private void MarketDataResolved(AdapterEventArgs <InformationReport> args)
{
var contractId = args.Message.symbol_resolution_report.contract_metadata.contract_id;
ResolutionRequest request;
using (resolutionRequestsLock.Lock())
{
if (!resolutionRequestsById.TryGetValue(args.Message.id, out request))
{
return;
}
using (cacheLock.Lock())
{
cachedContractIds[request.Instrument] = contractId;
cachedContracts[contractId] = request.Instrument;
cachedContractPriceScales[contractId] = (decimal)args.Message.symbol_resolution_report.contract_metadata.correct_price_scale;
}
resolutionRequestsById.Remove(request.Id);
resolutionRequestsByInstrument.Remove(request.Instrument);
}
request.Resolve(contractId);
args.MarkHandled();
OnInstrumentResolved(contractId);
_Log.Debug().Print("Instrument is resolved", LogFields.Instrument(request.Instrument), LogFields.ContractId(contractId), LogFields.RequestId(request.Id));
}
/// <summary>
/// Обработка сообщения по ГО
/// </summary>
private void CollateralStatusReceived(AdapterEventArgs <CollateralStatus> args)
{
args.MarkHandled();
// Ищем счет для MP
string accountCode;
using (accountsLock.ReadLock())
{
if (!accountCodesById.TryGetValue(args.Message.account_id, out accountCode))
{
Logger.Error().Print("Unable to process collateral: account is unknown", LogFields.AccountId(args.Message.account_id));
return;
}
}
// Собираем Money Position
var moneyPosition = new MoneyPosition
{
Account = accountCode
};
moneyPosition[MoneyPositionPropertyNames.Ote] = (decimal)args.Message.ote;
moneyPosition[MoneyPositionPropertyNames.Mvo] = (decimal)args.Message.mvo;
moneyPosition[MoneyPositionPropertyNames.PurchasingPower] = (decimal)args.Message.purchasing_power;
moneyPosition[MoneyPositionPropertyNames.TotalMargin] = (decimal)args.Message.total_margin;
moneyPosition[MoneyPositionPropertyNames.Currency].Value = args.Message.currency;
OnMessageReceived(moneyPosition);
}
private void OnMarketDataResolved(AdapterEventArgs <InformationReport> args)
{
using (resolutionRequestsLock.Lock())
{
if (!resolutionRequestsById.TryGetValue(args.Message.id, out var request))
{
return;
}
resolutionRequestsById.Remove(args.Message.id);
var resolvedSymbol = args.Message.symbol_resolution_report.contract_metadata.contract_symbol;
if (resolvedSymbol.EndsWith(request.Symbol))
{
request.TrySetResult(SubscriptionTestResult.Passed(
ContractMetadataToString(args.Message.symbol_resolution_report.contract_metadata))
);
}
else
{
request.TrySetResult(SubscriptionTestResult.Failed(
ContractMetadataToString(args.Message.symbol_resolution_report.contract_metadata))
);
}
}
//request.TrySetResult(Tuple.Create(true,args.Message.ToString()));
args.MarkHandled();
}
private void UserMessageReceived(AdapterEventArgs <UserMessage> args)
{
args.MarkHandled();
var type = (UserMessage.MessageType)args.Message.message_type;
switch (type)
{
case UserMessage.MessageType.CRITICAL_ERROR:
_Log.Error().PrintFormat("CQG Error Adapter error\n{0}", FormatUserMessage(args.Message).Preformatted());
adapter.Terminate();
adapter.Start();
break;
case UserMessage.MessageType.WARNING:
_Log.Warn().Print(FormatUserMessage(args.Message).Preformatted());
break;
case UserMessage.MessageType.INFO:
_Log.Info().Print(FormatUserMessage(args.Message).Preformatted());
break;
case UserMessage.MessageType.LOG:
_Log.Debug().Print(FormatUserMessage(args.Message).Preformatted());
break;
}
}
private void TimeBarReportReceived(AdapterEventArgs <TimeBarReport> args)
{
ITimeBarReportHandler request;
using (requestsLock.Lock())
{
if (!requests.TryGetValue(args.Message.request_id, out request))
{
return;
}
}
args.MarkHandled();
bool shouldRemoveHandler;
request.Process(args.Message, out shouldRemoveHandler);
if (shouldRemoveHandler)
{
using (requestsLock.Lock())
{
requests.Remove(args.Message.request_id);
}
}
}
/// <summary>
/// Обработчик события по статусу заявки
/// </summary>
private async void OrderStatusReceived(AdapterEventArgs <OrderStatus> args)
{
using (LogManager.Scope())
{
try
{
Logger.Debug().Print(
"Order status received",
LogFields.ExchangeOrderId(args.Message.order_id),
LogFields.ChainOrderId(args.Message.chain_order_id),
LogFields.State(ConvertionHelper.GetOrderState(args.Message)),
LogFields.AccountId(args.Message.account_id),
LogFields.ExecOrderId(args.Message.exec_order_id)
);
args.MarkHandled();
// Обрабатываем метаданные контрактов
if (args.Message.contract_metadata != null)
{
foreach (var metadata in args.Message.contract_metadata)
{
await instrumentResolver.HandleMetadataAsync(metadata);
}
}
// Пытаемся выбрать заявку из контейнера
Order order;
using (ordersLock.Lock())
ordersByOrderExchangeId.TryGetValue(args.Message.chain_order_id, out order);
Message message;
// Обрабатываем изменение статуса заявки
if (order != null)
{
message = HandleOrderStateAsOrderStateChange(order, args.Message);
}
// Обрабатываем заявку как новую
else
{
message = HandleOrderStateAsNewOrder(args.Message, out order);
}
// Отправляем сообщение и TransactionReply
if (message != null)
{
OnMessageReceived(message);
TryEmitTransactionReplies(args.Message);
// Обрабатываем сделки
TryEmitFills(args.Message, order);
}
}
catch (Exception e)
{
Logger.Error().Print(e, $"Failed to process {args.Message}");
}
}
}
/// <summary>
/// Обработчик события завершения выгрузки снапшота
/// </summary>
private void TradeSnapshotCompletionReceived(AdapterEventArgs <TradeSnapshotCompletion> args)
{
args.MarkHandled();
var scopes = args.Message.subscription_scope
.Select(x => ((TradeSubscription.SubscriptionScope)x).ToString("G"));
Logger.Debug().PrintFormat("Trade snapshot completed ({0})", string.Join(", ", scopes).Preformatted());
}
/// <summary>
/// Обработка отказа по заявке
/// </summary>
private void OrderRequestRejectReceived(AdapterEventArgs <OrderRequestReject> args)
{
args.MarkHandled();
var message = $"[{args.Message.reject_code}] {args.Message.text_message}";
Logger.Error().Print("CQG order rejected", LogFields.Message(message));
TrySendTransactionReplyRejected(args.Message.request_id, message);
}
private static void MarketDataSubscriptionStatusReceived(AdapterEventArgs <MarketDataSubscriptionStatus> args)
{
args.MarkHandled();
_Log.Debug().Print(
$"Subscription status for contract #{args.Message.contract_id}: Level={1}, Status={2}. {3}",
LogFields.Level((MarketDataSubscription.Level)args.Message.level),
LogFields.Status((MarketDataSubscriptionStatus.StatusCode)args.Message.status_code),
LogFields.Message(args.Message.text_message)
);
}
private async void ContractMetadataReceived(AdapterEventArgs <ContractMetadata> args)
{
try
{
args.MarkHandled();
await Task.Yield();
await HandleMetadataAsync(args.Message);
}
catch { }
}
/// <summary>
/// Обработчик события изменения статуса подписки
/// </summary>
private void TradeSubscriptionStatusReceived(AdapterEventArgs <TradeSubscriptionStatus> args)
{
args.MarkHandled();
Logger.Debug().Print(
"Trade subscription status received",
LogFields.Id(args.Message.id),
LogFields.Status((TradeSubscriptionStatus.StatusCode)args.Message.status_code),
LogFields.Message(args.Message.text_message)
);
}
private void MarketDataResolved(AdapterEventArgs <InformationReport> args)
{
var isHandled = Process(
args.Message.symbol_resolution_report.contract_metadata.contract_id,
args.Message,
(subscription, data) => subscription.Handle(data.symbol_resolution_report.contract_metadata)
);
if (isHandled)
{
args.MarkHandled();
}
}
private void RealTimeMarketDataReceived(AdapterEventArgs <RealTimeMarketData> args)
{
var isHandled = Process(
args.Message.contract_id,
args.Message,
(subscription, data) => subscription.Handle(data)
);
if (isHandled)
{
args.MarkHandled();
}
}
/// <summary>
/// Обработчик события получения списка счетов
/// </summary>
private void AccountResolved(AdapterEventArgs <AccountsReport> args)
{
args.MarkHandled();
// Инициализируем счета
if (args.Message.brokerage != null)
{
using (accountsLock.WriteLock())
{
foreach (
var account in
from brokerage in args.Message.brokerage
from ss in brokerage.sales_series
from account in ss.account
select account)
{
Logger.Debug().PrintFormat("Account resolved: {0};{1};{2}", account.brokerage_account_id, account.account_id, account.name);
AddAccount(account.name);
accountCodesById[account.account_id] = account.name;
accountIdsByCode[account.name] = account.account_id;
}
}
OnMessageReceived(
new InitResponseMessage
{
OrderRouters = new Dictionary <string, string[]>
{
{ ServiceCode, AvailableAccounts.ToArray() }
}
});
}
// Подписываемся на счета
var subscription = new TradeSubscription
{
publication_type = (uint)TradeSubscription.PublicationType.ALL_AUTHORIZED,
subscription_scope =
{
(uint)TradeSubscription.SubscriptionScope.ORDERS,
(uint)TradeSubscription.SubscriptionScope.POSITIONS,
(uint)TradeSubscription.SubscriptionScope.COLLATERAL
},
subscribe = true,
id = adapter.GetNextRequestId()
};
adapter.SendMessage(subscription);
}
private void OnMarketDataNotResolved(AdapterEventArgs <InformationReport> args)
{
ResolutionRequest request;
using (resolutionRequestsLock.Lock())
{
if (!resolutionRequestsById.TryGetValue(args.Message.id, out request))
{
return;
}
resolutionRequestsById.Remove(args.Message.id);
}
request.TrySetResult(SubscriptionTestResult.Failed(args.Message.text_message));
args.MarkHandled();
}
private void ContractMetadataReceived(AdapterEventArgs <ContractMetadata> args)
{
using (subscriptionsLock.Lock())
{
contractMetadatas[args.Message.contract_id] = args.Message;
}
var isHandled = Process(
args.Message.contract_id,
args.Message,
(subscription, data) => subscription.Handle(data)
);
if (isHandled)
{
args.MarkHandled();
}
}
private void MarketDataNotResolved(AdapterEventArgs <InformationReport> args)
{
ResolutionRequest request;
using (resolutionRequestsLock.Lock())
{
if (!resolutionRequestsById.TryGetValue(args.Message.id, out request))
{
return;
}
resolutionRequestsById.Remove(request.Id);
resolutionRequestsByInstrument.Remove(request.Instrument);
}
request.Reject();
args.MarkHandled();
_Log.Error().Print("Failed to resolve instrument", LogFields.RequestId(request.Id), LogFields.Message(args.Message.text_message));
}
/// <summary>
/// Обработать сообщение
/// </summary>
private void RaiseImpl(T message, uint requestId = 0, bool hasRequestId = true)
{
var h = handler;
if (h != null)
{
try
{
var args = new AdapterEventArgs <T>(message);
h(args);
if (args.Handled)
{
return;
}
}
catch (Exception e)
{
CQGCAdapter.Log.Error().Print(e, $"Failed to process a {messageName} message");
return;
}
}
if (hasRequestId)
{
CQGCAdapter.Log.Warn().Print(
$"Received a {messageName} message but there are no consumers to handle it",
LogFields.RequestId(requestId)
);
}
else
{
CQGCAdapter.Log.Warn().Print($"Received a {messageName} message but there are no consumers to handle it");
}
}
/// <summary>
/// Обработчик события получения позиции
/// </summary>
private async void PositionStatusReceived(AdapterEventArgs <PositionStatus> args)
{
using (LogManager.Scope())
{
try
{
args.MarkHandled();
// Ищем счет для позиции
string accountCode;
using (accountsLock.ReadLock())
{
if (!accountCodesById.TryGetValue(args.Message.account_id, out accountCode))
{
Logger.Error().PrintFormat(
"Unable to process position on contract #{0}: account #{1} is unknown",
args.Message.contract_id,
args.Message.account_id);
return;
}
}
// Обрабатываем метаданные контрактов
if (args.Message.contract_metadata != null)
{
await
instrumentResolver.HandleMetadataAsync(args.Message.contract_metadata,
$"A position in \"{accountCode}\" account");
}
// Ищем инструмент для позиции
var instrument = instrumentResolver.GetInstrument(args.Message.contract_id);
if (instrument == null)
{
Logger.Warn().PrintFormat(
"Received a position on contract #{0} in account {1} but no matching instrument is found",
args.Message.contract_id,
accountCode);
return;
}
// Рассчитываем позицию
var position = new PositionMessage
{
Account = accountCode,
Instrument = instrument
};
var message = new StringBuilder();
message.AppendFormat("Position received: {0} [ ", instrument.Code);
using (openPositionsLock.Lock())
{
Dictionary <uint, Dictionary <int, OpenPosition> > d1;
if (!openPositions.TryGetValue(args.Message.account_id, out d1))
{
d1 = new Dictionary <uint, Dictionary <int, OpenPosition> >();
openPositions.Add(args.Message.account_id, d1);
}
Dictionary <int, OpenPosition> d2;
if (!d1.TryGetValue(args.Message.contract_id, out d2))
{
d2 = new Dictionary <int, OpenPosition>();
d1.Add(args.Message.contract_id, d2);
}
if (args.Message.is_snapshot)
{
d2.Clear();
}
position.Quantity = 0;
foreach (var p in args.Message.open_position)
{
var fmt = ObjectLogFormatter.Create(PrintOption.Nested, "CQGC_POSITION");
fmt.AddField(LogFieldNames.Id, p.id);
fmt.AddField(LogFieldNames.Price, p.price);
fmt.AddField(LogFieldNames.Quantity, p.qty);
fmt.AddField(LogFieldNames.TradeDate, p.trade_date);
fmt.AddField(LogFieldNames.TradeUtcTime, p.trade_utc_time);
fmt.AddField(LogFieldNames.StatementDate, p.statement_date);
message.Append(fmt.Print(PrintOption.Nested));
message.Append(", ");
position.Quantity = (int)p.qty;
position.Price = (decimal)p.price;
d2[p.id] = p;
}
var volume = 0d;
var quantity = 0u;
foreach (var pair in d2)
{
volume += pair.Value.price * pair.Value.qty;
quantity += pair.Value.qty;
}
position.Quantity = (int)quantity;
position.Price = quantity != 0u ? (decimal)(volume / quantity) : 0;
}
if (args.Message.is_short_open_position)
{
position.Quantity *= -1;
}
message.Append("]: ");
message.Append(LogFields.Price(position.Price));
message.Append(LogFields.Quantity(position.Quantity));
message.Append(LogFields.IsSnapshot(args.Message.is_snapshot));
Logger.Debug().Print(message.ToString().Preformatted());
// Отправляем сообщение
OnMessageReceived(position);
}
catch (Exception e)
{
Logger.Error().Print(e, $"Failed to process {args.Message}");
}
}
}