/// <summary>
/// To get securities for the instrument code.
/// </summary>
/// <param name="code">Instrument code.</param>
/// <param name="type">Security type.</param>
/// <param name="isDownload">Whether to download information from the site, if it is not found locally.</param>
/// <returns>Found securities.</returns>
public static IEnumerable <SecurityInfo> GetSecurities(string code, SecurityTypes?type, bool isDownload = true)
{
if (code.IsEmpty())
{
throw new ArgumentNullException(nameof(code));
}
if (_ignoreCodes.Contains(code))
{
return(Enumerable.Empty <SecurityInfo>());
}
var info = SecurityInfoCache.TryGetByCode(code);
if (info?.Length > 0)
{
if (type != null)
{
info = info.Where(i => i.GetSecurityType() == type).ToArray();
}
return(info);
}
var si = SecurityInfoCache.TryGetByShortName(code);
if (si != null)
{
return(new[] { si });
}
if (!isDownload)
{
return(Enumerable.Empty <SecurityInfo>());
}
var tplus = code.EndsWithIgnoreCase(".T+");
if (tplus)
{
code = code.Remove(code.Length - 3);
}
var securities = EnsureDownload(code);
return(securities);
}
private static void DownloadInfo()
{
// https://iss.moex.com/iss/engines/stock/markets/shares/securities.json
// https://iss.moex.com/iss/engines/futures/markets/forts/securities.json
// https://iss.moex.com/iss/engines/futures/markets/options/securities.json
// https://iss.moex.com/iss/securities/BRX0.jsonp
var types = new[]
{
Tuple.Create("stock", "shares"),
Tuple.Create("stock", "index"),
Tuple.Create("stock", "bonds"),
Tuple.Create("futures", "forts"),
//Tuple.Create("futures", "options"),
Tuple.Create("commodity", "futures"),
Tuple.Create("currency", "futures"),
};
foreach (var tuple in types)
{
dynamic tikerInfo = JsonConvert.DeserializeObject(DownloadMicex($"https://iss.moex.com/iss/engines/{tuple.Item1}/markets/{tuple.Item2}/securities.json"));
var codeInd = -1;
var boardInd = -1;
var shortNameInd = -1;
var nameInd = -1;
var lotSizeInd = -1;
var isinInd = -1;
var issueSizeInd = -1;
var issueDateInd = -1;
var priceStepInd = -1;
var decimalsInd = -1;
var lastTrdDateInd = -1;
var settleDateInd = -1;
var assetInd = -1;
var currInd = -1;
var ind = 0;
foreach (string column in tikerInfo.securities.columns)
{
switch (column)
{
case "SECID":
codeInd = ind;
break;
case "BOARDID":
boardInd = ind;
break;
case "SHORTNAME":
shortNameInd = ind;
break;
case "SECNAME":
nameInd = ind;
break;
case "DECIMALS":
decimalsInd = ind;
break;
case "MINSTEP":
priceStepInd = ind;
break;
case "LASTTRADEDATE":
lastTrdDateInd = ind;
break;
case "ASSETCODE":
assetInd = ind;
break;
case "LOTVOLUME":
lotSizeInd = ind;
break;
case "ISSUESIZE":
issueSizeInd = ind;
break;
case "ISSUEDATE":
issueDateInd = ind;
break;
case "ISIN":
isinInd = ind;
break;
case "CURRENCYID":
currInd = ind;
break;
case "SETTLEDATE":
settleDateInd = ind;
break;
}
ind++;
}
foreach (var item in tikerInfo.securities.data)
{
var code = (string)item[codeInd];
var board = (string)item[boardInd];
var shortName = (string)Get <string>(item, shortNameInd);
var prevInfo = SecurityInfoCache.TryGetByCodeAndBoard(code, board);
if (prevInfo?.Length > 0 && prevInfo.Any(i => i.ShortName.CompareIgnoreCase(shortName) || i.Name.CompareIgnoreCase(shortName)))
{
continue;
}
var type = tuple.Item2;
if (type == "forts")
{
type = "futures";
}
SecurityInfoCache.Add(new SecurityInfo
{
Code = code,
Board = board,
Type = type,
ShortName = shortName,
Name = Get <string>(item, nameInd),
Decimals = Get <int?>(item, decimalsInd),
PriceStep = Get <decimal?>(item, priceStepInd),
LastDate = ((string)Get <string>(item, lastTrdDateInd)).TryToDateTime("yyyy-MM-dd", CultureInfo.InvariantCulture),
Asset = Get <string>(item, assetInd),
Multiplier = Get <decimal?>(item, lotSizeInd),
Currency = Get <string>(item, currInd),
Isin = Get <string>(item, isinInd),
IssueSize = Get <decimal?>(item, issueSizeInd),
IssueDate = ((string)Get <string>(item, issueDateInd)).TryToDateTime("yyyy-MM-dd", CultureInfo.InvariantCulture),
SettleDate = ((string)Get <string>(item, settleDateInd)).TryToDateTime("yyyy-MM-dd", CultureInfo.InvariantCulture),
});
}
}
}
private static IEnumerable <SecurityInfo> EnsureDownload(string code)
{
//System.Diagnostics.Debug.WriteLine(code);
var tiker = new SecurityInfo {
Code = code
};
dynamic tikerInfo = JsonConvert.DeserializeObject(DownloadMicex($"https://iss.moex.com/iss/securities/{tiker.Code}.jsonp"));
foreach (var item in tikerInfo.description.data)
{
var value = item[2];
switch (((string)item[0]).ToUpperInvariant())
{
case "NAME":
tiker.Name = value;
break;
case "SHORTNAME":
tiker.ShortName = value;
break;
case "ASSETCODE":
tiker.Asset = value;
break;
case "ISIN":
tiker.Isin = value;
break;
case "LSTTRADE":
tiker.LastDate = ((string)value).TryToDateTime("yyyy-MM-dd", CultureInfo.InvariantCulture);
break;
case "ISSUEDATE":
tiker.IssueDate = ((string)value).TryToDateTime("yyyy-MM-dd", CultureInfo.InvariantCulture);
break;
case "ISSUESIZE":
tiker.IssueSize = (decimal)value;
break;
case "TYPE":
tiker.Type = value;
break;
}
}
var boardIdIdx = -1;
var marketIdx = -1;
var engineIdx = -1;
var idx = 0;
foreach (var item in tikerInfo.boards.columns)
{
switch (((string)item).ToLowerInvariant())
{
case "boardid":
boardIdIdx = idx;
break;
case "market":
marketIdx = idx;
break;
case "engine":
engineIdx = idx;
break;
}
idx++;
}
var securities = new List <SecurityInfo>();
foreach (var boardItem in tikerInfo.boards.data)
{
dynamic secInfo = JsonConvert.DeserializeObject(DownloadMicex($"https://iss.moex.com/iss/engines/{boardItem[engineIdx]}/markets/{boardItem[marketIdx]}/boards/{boardItem[boardIdIdx]}/securities/{code}.jsonp"));
var security = tiker.Clone();
security.Board = (string)boardItem[boardIdIdx];
if (secInfo.securities.data.Count > 0)
{
var data = secInfo.securities.data[0];
idx = 0;
foreach (var item in secInfo.securities.columns)
{
var value = data[idx];
switch (((string)item).ToUpperInvariant())
{
case "LOTSIZE":
security.Multiplier = (int)value;
break;
case "DECIMALS":
security.Decimals = (int)value;
break;
case "NAME":
if (security.Name.IsEmpty())
{
security.Name = (string)value;
}
break;
case "SHORTNAME":
if (security.ShortName.IsEmpty())
{
security.ShortName = (string)value;
}
break;
case "ASSETCODE":
if (security.Asset.IsEmpty())
{
security.Asset = (string)value;
}
break;
case "MINSTEP":
// http://stocksharp.com/forum/yaf_postsm8573_Gidra-i-Finam.aspx#post8573
// can be either 0.1 or 1e-6. so parse it as a double
security.PriceStep = (decimal)double.Parse((string)value, CultureInfo.InvariantCulture);
break;
case "CURRENCYID":
security.Currency = (string)value;
break;
}
idx++;
}
}
SecurityInfoCache.Add(security);
securities.Add(security);
}
//if (securities.Count == 0)
// System.Diagnostics.Debug.WriteLine(code);
return(securities);
}