public Tuple<Trade, bool> ProcessTradeMessage(Security security, ExecutionMessage message)
{
if (security == null)
throw new ArgumentNullException(nameof(security));
if (message == null)
throw new ArgumentNullException(nameof(message));
var trade = GetTrade(security, message.TradeId, message.TradeStringId, (id, stringId) =>
{
var t = message.ToTrade(EntityFactory.CreateTrade(security, id, stringId));
t.LocalTime = message.LocalTime;
t.Time = message.ServerTime;
message.CopyExtensionInfo(t);
return t;
});
return trade;
}
public Tuple<MyTrade, bool> ProcessMyTradeMessage(Security security, ExecutionMessage message)
{
if (security == null)
throw new ArgumentNullException(nameof(security));
if (message == null)
throw new ArgumentNullException(nameof(message));
var originalTransactionId = _orderStatusTransactions.Contains(message.OriginalTransactionId)
? 0 : message.OriginalTransactionId;
if (originalTransactionId == 0 && message.OrderId == null && message.OrderStringId.IsEmpty())
throw new ArgumentOutOfRangeException(nameof(message), originalTransactionId, LocalizedStrings.Str715);
var securityData = GetData(security);
var myTrade = securityData.MyTrades.TryGetValue(Tuple.Create(originalTransactionId, message.TradeId ?? 0));
if (myTrade != null)
return Tuple.Create(myTrade, false);
var order = GetOrder(security, originalTransactionId, message.OrderId, message.OrderStringId);
if (order == null)
return null;
var trade = message.ToTrade(EntityFactory.CreateTrade(security, message.TradeId, message.TradeStringId));
var isNew = false;
myTrade = securityData.MyTrades.SafeAdd(Tuple.Create(order.TransactionId, trade.Id), key =>
{
isNew = true;
var t = EntityFactory.CreateMyTrade(order, trade);
if (t.ExtensionInfo == null)
t.ExtensionInfo = new Dictionary<object, object>();
if (message.Commission != null)
t.Commission = message.Commission;
if (message.Slippage != null)
t.Slippage = message.Slippage;
message.CopyExtensionInfo(t);
//trades.Add(t);
_myTrades.Add(t);
return t;
});
return Tuple.Create(myTrade, isNew);
// mika
// http://stocksharp.com/forum/yaf_postst1072_Probliemy-so-sdielkami--pozitsiiami.aspx
// из-за того, что сделки по заявке иногда приходит быстрее события NewOrders, неправильно расчитывается поза по стратегиям
//var raiseOrderChanged = false;
//trades.SyncDo(d =>
//{
// var newBalance = order.Volume - d.Sum(t => t.Trade.Volume);
// if (order.Balance > newBalance)
// {
// raiseOrderChanged = true;
// order.Balance = newBalance;
// if (order.Balance == 0)
// order.State = OrderStates.Done;
// }
//});
//if (raiseOrderChanged)
// RaiseOrderChanged(order);
}
public Tuple<Order, bool, bool> ProcessOrderMessage(Security security, ExecutionMessage message)
{
if (security == null)
throw new ArgumentNullException(nameof(security));
if (message == null)
throw new ArgumentNullException(nameof(message));
if (message.Error != null)
throw new ArgumentException(LocalizedStrings.Str714Params.PutEx(message));
bool isNew;
var transactionId = message.TransactionId;
if (transactionId == 0)
{
// ExecMsg.OriginalTransactionId == OrderStatMsg.TransactionId when orders info requested by OrderStatMsg
transactionId = _orderStatusTransactions.Contains(message.OriginalTransactionId) ? 0 : message.OriginalTransactionId;
}
var securityData = GetData(security);
var orderInfo = GetOrderInfo(securityData, message.OrderType, transactionId, message.OrderId, message.OrderStringId, trId =>
{
var o = EntityFactory.CreateOrder(security, message.OrderType, trId);
o.Time = message.ServerTime;
o.Price = message.OrderPrice;
o.Volume = message.OrderVolume ?? 0;
o.Direction = message.Side;
o.Comment = message.Comment;
o.ExpiryDate = message.ExpiryDate;
o.Condition = message.Condition;
o.UserOrderId = message.UserOrderId;
o.Portfolio = message.PortfolioName.IsEmpty()
? _portfolios.FirstOrDefault().Value
: ProcessPortfolio(message.PortfolioName).Item1;
o.ClientCode = message.ClientCode;
return o;
}, out isNew, true);
if (orderInfo == null)
return null;
var order = orderInfo.Item1;
var isCancelled = orderInfo.Item2;
//var isReReregisterCancelled = orderInfo.Item3;
var raiseNewOrder = orderInfo.Item3;
var isPending = order.State == OrderStates.Pending;
//var isPrevIdSet = (order.Id != null || !order.StringId.IsEmpty());
bool isChanged;
if (order.State == OrderStates.Done)
{
// данные о заявке могут приходить из маркет-дата и транзакционного адаптеров
isChanged = false;
//throw new InvalidOperationException("Изменение заявки в состоянии Done невозможно.");
}
else
{
if (message.OrderId != null)
order.Id = message.OrderId.Value;
if (!message.OrderStringId.IsEmpty())
order.StringId = message.OrderStringId;
if (!message.OrderBoardId.IsEmpty())
order.BoardId = message.OrderBoardId;
//// некоторые коннекторы не транслируют при отмене отмененный объем
//// esper. при перерегистрации заявок необходимо обновлять баланс
//if (message.Balance > 0 || !isCancelled || isReReregisterCancelled)
//{
// // BTCE коннектор не транслирует баланс заявки
// if (!(message.OrderState == OrderStates.Active && message.Balance == 0))
// order.Balance = message.Balance;
//}
if (message.Balance != null)
order.Balance = message.Balance.Value;
// IB коннектор не транслирует состояние заявки в одном из своих сообщений
if (message.OrderState != null)
order.State = message.OrderState.Value;
if (order.Time == DateTimeOffset.MinValue)
order.Time = message.ServerTime;
// для новых заявок используем серверное время,
// т.к. заявка получена первый раз и не менялась
// ServerTime для заявки - это время регистрации
order.LastChangeTime = isNew ? message.ServerTime : message.LocalTime;
order.LocalTime = message.LocalTime;
//нулевой объем может быть при перерегистрации
if (order.Volume == 0 && message.OrderVolume != null)
order.Volume = message.OrderVolume.Value;
if (message.Commission != null)
order.Commission = message.Commission;
if (message.TimeInForce != null)
order.TimeInForce = message.TimeInForce.Value;
if (isPending)
{
if (order.State != OrderStates.Pending && message.Latency != null)
order.LatencyRegistration = message.Latency.Value;
}
else if (isCancelled && order.State == OrderStates.Done)
{
if (message.Latency != null)
order.LatencyCancellation = message.Latency.Value;
}
isChanged = true;
}
//if (isNew || (!isPrevIdSet && (order.Id != null || !order.StringId.IsEmpty())))
//{
// так как биржевые идентифиаторы могут повторяться, то переписываем старые заявки новыми как наиболее актуальными
if (order.Id != null)
{
securityData.OrdersById[order.Id.Value] = order;
_allOrdersById[order.Id.Value] = order;
}
if (!order.StringId.IsEmpty())
{
securityData.OrdersByStringId[order.StringId] = order;
_allOrdersByStringId[order.StringId] = order;
}
//}
//if (message.OrderType == OrderTypes.Conditional && (message.DerivedOrderId != null || !message.DerivedOrderStringId.IsEmpty()))
//{
// var derivedOrder = GetOrder(security, 0L, message.DerivedOrderId ?? 0, message.DerivedOrderStringId);
// if (order == null)
// _orderStopOrderAssociations.Add(Tuple.Create(message.DerivedOrderId ?? 0, message.DerivedOrderStringId), new RefPair<Order, Action<Order, Order>>(order, (s, o) => s.DerivedOrder = o));
// else
// order.DerivedOrder = derivedOrder;
//}
message.CopyExtensionInfo(order);
return Tuple.Create(order, raiseNewOrder, isChanged);
}
public Tuple<OrderFail, bool> ProcessOrderFailMessage(Security security, ExecutionMessage message)
{
if (security == null)
throw new ArgumentNullException(nameof(security));
if (message == null)
throw new ArgumentNullException(nameof(message));
var data = GetData(security);
Order order = null;
if (!message.OrderStringId.IsEmpty())
order = data.OrdersByStringId.TryGetValue(message.OrderStringId);
bool isCancelled;
if (order == null)
{
if (message.OriginalTransactionId == 0)
throw new ArgumentOutOfRangeException(nameof(message), message.OriginalTransactionId, LocalizedStrings.Str715);
var orders = data.Orders;
order = (Order)orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, true));
if (order != null && order.Id == message.OrderId)
isCancelled = true;
else
{
order = (Order)orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, false));
isCancelled = false;
}
if (order == null)
return null;
}
else
{
var pair = data.Orders.LastOrDefault(p => p.Value.Order == order);
isCancelled = pair.Key.Item3;
}
// ServerTime для заявки - это время регистрации
order.LastChangeTime = message.LocalTime;
order.LocalTime = message.LocalTime;
if (message.OrderStatus != null)
order.Status = message.OrderStatus;
//для ошибок снятия не надо менять состояние заявки
if (!isCancelled)
order.State = OrderStates.Failed;
if (message.Commission != null)
order.Commission = message.Commission;
message.CopyExtensionInfo(order);
var error = message.Error ?? new InvalidOperationException(
isCancelled ? LocalizedStrings.Str716 : LocalizedStrings.Str717);
var fail = EntityFactory.CreateOrderFail(order, error);
fail.ServerTime = message.ServerTime;
fail.LocalTime = message.LocalTime;
return Tuple.Create(fail, isCancelled);
}
public IEnumerable<Tuple<OrderFail, bool>> ProcessOrderFailMessage(Security security, ExecutionMessage message)
{
if (security == null)
throw new ArgumentNullException(nameof(security));
if (message == null)
throw new ArgumentNullException(nameof(message));
var data = GetData(security);
var orders = new List<Tuple<Order, bool>>();
if (message.OriginalTransactionId == 0)
throw new ArgumentOutOfRangeException(nameof(message), message.OriginalTransactionId, LocalizedStrings.Str715);
var o = (Order)data.Orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, true));
if (o != null /*&& order.Id == message.OrderId*/)
{
orders.Add(Tuple.Create(o, true));
// if replace
var replaced = (Order)data.Orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, false));
if (replaced != null)
orders.Add(Tuple.Create(replaced, false));
}
else
{
o = (Order)data.Orders.TryGetValue(CreateOrderKey(message.OrderType, message.OriginalTransactionId, false));
orders.Add(Tuple.Create(o, false));
}
if (o == null)
{
if (!message.OrderStringId.IsEmpty())
{
o = data.OrdersByStringId.TryGetValue(message.OrderStringId);
if (o != null)
{
var pair = data.Orders.LastOrDefault(p => p.Value.Order == o);
if (pair.Key != null)
orders.Add(Tuple.Create(pair.Value.Order, pair.Key.Item3));
}
}
}
if (orders.Count == 0)
return Enumerable.Empty<Tuple<OrderFail, bool>>();
return orders.Select(t =>
{
var order = t.Item1;
var isCancelled = t.Item2;
order.LastChangeTime = message.ServerTime;
order.LocalTime = message.LocalTime;
if (message.OrderStatus != null)
order.Status = message.OrderStatus;
//для ошибок снятия не надо менять состояние заявки
if (!isCancelled)
order.State = OrderStates.Failed;
if (message.Commission != null)
order.Commission = message.Commission;
message.CopyExtensionInfo(order);
var error = message.Error ?? new InvalidOperationException(
isCancelled ? LocalizedStrings.Str716 : LocalizedStrings.Str717);
var fail = EntityFactory.CreateOrderFail(order, error);
fail.ServerTime = message.ServerTime;
fail.LocalTime = message.LocalTime;
return Tuple.Create(fail, isCancelled);
});
}
