StockSharp/Algo/EntityCache.cs at master · StockSharp/StockSharp · GitHub

History

1373 lines (1104 loc) · 40.2 KB

Raw

100

101

102

103

104

105

106

107

108

109

110

111

112

113

114

115

116

117

118

119

120

121

122

123

124

125

126

127

128

129

130

131

132

133

134

135

136

137

138

139

140

141

142

143

144

145

146

147

148

149

150

151

152

153

154

155

156

157

158

159

160

161

162

163

164

165

166

167

168

169

170

171

172

173

174

175

176

177

178

179

180

181

182

183

184

185

186

187

188

189

190

191

192

193

194

195

196

197

198

199

200

201

202

203

204

205

206

207

208

209

210

211

212

213

214

215

216

217

218

219

220

221

222

223

224

225

226

227

228

229

230

231

232

233

234

235

236

237

238

239

240

241

242

243

244

245

246

247

248

249

250

251

252

253

254

255

256

257

258

259

260

261

262

263

264

265

266

267

268

269

270

271

272

273

274

275

276

277

278

279

280

281

282

283

284

285

286

287

288

289

290

291

292

293

294

295

296

297

298

299

300

301

302

303

304

305

306

307

308

309

310

311

312

313

314

315

316

317

318

319

320

321

322

323

324

325

326

327

328

329

330

331

332

333

334

335

336

337

338

339

340

341

342

343

344

345

346

347

348

349

350

351

352

353

354

355

356

357

358

359

360

361

362

363

364

365

366

367

368

369

370

371

372

373

374

375

376

377

378

379

380

381

382

383

384

385

386

387

388

389

390

391

392

393

394

395

396

397

398

399

400

401

402

403

404

405

406

407

408

409

410

411

412

413

414

415

416

417

418

419

420

421

422

423

424

425

426

427

428

429

430

431

432

433

434

435

436

437

438

439

440

441

442

443

444

445

446

447

448

449

450

451

452

453

454

455

456

457

458

459

460

461

462

463

464

465

466

467

468

469

470

471

472

473

474

475

476

477

478

479

480

481

482

483

484

485

486

487

488

489

490

491

492

493

494

495

496

497

498

499

500

501

502

503

504

505

506

507

508

509

510

511

512

513

514

515

516

517

518

519

520

521

522

523

524

525

526

527

528

529

530

531

532

533

534

535

536

537

538

539

540

541

542

543

544

545

546

547

548

549

550

551

552

553

554

555

556

557

558

559

560

561

562

563

564

565

566

567

568

569

570

571

572

573

574

575

576

577

578

579

580

581

582

583

584

585

586

587

588

589

590

591

592

593

594

595

596

597

598

599

600

601

602

603

604

605

606

607

608

609

610

611

612

613

614

615

616

617

618

619

620

621

622

623

624

625

626

627

628

629

630

631

632

633

634

635

636

637

638

639

640

641

642

643

644

645

646

647

648

649

650

651

652

653

654

655

656

657

658

659

660

661

662

663

664

665

666

667

668

669

670

671

672

673

674

675

676

677

678

679

680

681

682

683

684

685

686

687

688

689

690

691

692

693

694

695

696

697

698

699

700

701

702

703

704

705

706

707

708

709

710

711

712

713

714

715

716

717

718

719

720

721

722

723

724

725

726

727

728

729

730

731

732

733

734

735

736

737

738

739

740

741

742

743

744

745

746

747

748

749

750

751

752

753

754

755

756

757

758

759

760

761

762

763

764

765

766

767

768

769

770

771

772

773

774

775

776

777

778

779

780

781

782

783

784

785

786

787

788

789

790

791

792

793

794

795

796

797

798

799

800

801

802

803

804

805

806

807

808

809

810

811

812

813

814

815

816

817

818

819

820

821

822

823

824

825

826

827

828

829

830

831

832

833

834

835

836

837

838

839

840

841

842

843

844

845

846

847

848

849

850

851

852

853

854

855

856

857

858

859

860

861

862

863

864

865

866

867

868

869

870

871

872

873

874

875

876

877

878

879

880

881

882

883

884

885

886

887

888

889

890

891

892

893

894

895

896

897

898

899

900

901

902

903

904

905

906

907

908

909

910

911

912

913

914

915

916

917

918

919

920

921

922

923

924

925

926

927

928

929

930

931

932

933

934

935

936

937

938

939

940

941

942

943

944

945

946

947

948

949

950

951

952

953

954

955

956

957

958

959

960

961

962

963

964

965

966

967

968

969

970

971

972

973

974

975

976

977

978

979

980

981

982

983

984

985

986

987

988

989

990

991

992

993

994

995

996

997

998

999

1000

namespace StockSharp.Algo;

/// <summary>

/// Order operation types.

/// </summary>

public enum OrderOperations

{

/// <summary>

/// Order registration.

/// </summary>

/// <summary>

/// Order cancellation.

/// </summary>

Cancel,

/// <summary>

/// Order modification.

/// </summary>

Edit,

}

/// <summary>

/// Entity cache for storing orders, trades, news and other trading entities.

/// </summary>

/// <param name="logReceiver">Log receiver for logging messages.</param>

/// <param name="tryGetSecurity">Function to get security by id.</param>

/// <param name="exchangeInfoProvider">Exchange info provider.</param>

/// <param name="positionProvider">Position provider.</param>

public class EntityCache(ILogReceiver logReceiver, Func<SecurityId?, Security> tryGetSecurity, IExchangeInfoProvider exchangeInfoProvider, IPositionProvider positionProvider) : ISnapshotHolder

{

/// <summary>

/// Information about order state change.

/// </summary>

public class OrderChangeInfo

{

private OrderChangeInfo() { }

/// <summary>

/// Initializes a new instance of the <see cref="OrderChangeInfo"/>.

/// </summary>

/// <param name="order">Order.</param>

/// <param name="isNew">Is new order.</param>

/// <param name="isChanged">Is order changed.</param>

/// <param name="isEdit">Is order edited.</param>

public OrderChangeInfo(Order order, bool isNew, bool isChanged, bool isEdit)

{

Order = order ?? throw new ArgumentNullException(nameof(order));

IsNew = isNew;

IsChanged = isChanged;

IsEdit = isEdit;

}

/// <summary>

/// Order.

/// </summary>

public Order Order { get; }

/// <summary>

/// Is new order.

/// </summary>

public bool IsNew { get; }

/// <summary>

/// Is order changed.

/// </summary>

public bool IsChanged { get; }

/// <summary>

/// Is order edited.

/// </summary>

public bool IsEdit { get; }

/// <summary>

/// Order does not exist.

/// </summary>

public static readonly OrderChangeInfo NotExist = new();

}

private class OrderInfo(EntityCache parent, Order order, bool raiseNewOrder)

{

private readonly EntityCache _parent = parent ?? throw new ArgumentNullException(nameof(parent));

public Order Order { get; } = order ?? throw new ArgumentNullException(nameof(order));

public IEnumerable<OrderChangeInfo> ApplyChanges(ExecutionMessage message, OrderOperations operation, Action<Order> process)

{

if (process is null)

throw new ArgumentNullException(nameof(process));

var order = Order;

OrderChangeInfo retVal;

if (order.State == OrderStates.Done)

{

// данные о заявке могут приходить из маркет-дата и транзакционного адаптеров

retVal = new OrderChangeInfo(order, raiseNewOrder, false, false);

raiseNewOrder = false;

process(order);

yield return retVal;

//throw new InvalidOperationException("Изменение заявки в состоянии Done невозможно.");

}

else if (order.State == OrderStates.Failed)

{

// some adapters can resend order's info

//throw new InvalidOperationException();

yield break;

}

var isPending = order.State == OrderStates.Pending;

// is we have Pending order and received Done event

// add intermediate Active event

if (isPending && message.OrderState == OrderStates.Done)

{

var clone = message.TypedClone();

clone.OrderState = OrderStates.Active;

clone.Balance = null;

foreach (var i in ApplyChanges(clone, operation, process))

yield return i;

}

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;

if (message.Balance != null)

order.Balance = ((decimal?)order.Balance).ApplyNewBalance(message.Balance.Value, order.TransactionId, _parent._logReceiver);

if (message.OrderState != null)

{

// Do not allow state "resurrection" after Done (out-of-order updates can arrive).

if (order.State != OrderStates.Done || message.OrderState.Value == OrderStates.Done)

order.ApplyNewState(message.OrderState.Value, _parent._logReceiver);

}

if (order.Time == DateTime.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.ServerTime = raiseNewOrder ? message.ServerTime : message.LocalTime;

order.LocalTime = message.LocalTime;

if (message.OrderState == OrderStates.Done)

{

if (message.IsCanceled())

order.CancelledTime ??= message.ServerTime;

else

order.MatchedTime ??= message.ServerTime;

}

if (message.OrderPrice != 0)

order.Price = message.OrderPrice;

if (message.OrderVolume != null)

order.Volume = message.OrderVolume.Value;

if (message.Commission != default)

order.Commission = message.Commission;

if (!message.CommissionCurrency.IsEmpty())

order.CommissionCurrency = message.CommissionCurrency;

if (message.TimeInForce != default)

order.TimeInForce = message.TimeInForce.Value;

if (message.Latency != default)

{

switch (operation)

{

case OrderOperations.Register:

{

if (isPending && order.State != OrderStates.Pending)

order.LatencyRegistration = message.Latency.Value;

break;

}

case OrderOperations.Cancel:

{

order.LatencyCancellation = message.Latency.Value;

break;

}

case OrderOperations.Edit:

{

order.LatencyEdition = message.Latency.Value;

break;

}

default:

throw new ArgumentOutOfRangeException(operation.ToString());

}

if (message.AveragePrice != default)

order.AveragePrice = message.AveragePrice;

if (message.Yield != default)

order.Yield = message.Yield;

if (message.PostOnly != default)

order.PostOnly = message.PostOnly;

if (message.SeqNum != default)

order.SeqNum = message.SeqNum;

if (message.Leverage != default)

order.Leverage = message.Leverage;

if (message.MarketPrice != default)

order.MarketPrice = message.MarketPrice;

retVal = new OrderChangeInfo(order, raiseNewOrder, true, operation == OrderOperations.Edit);

raiseNewOrder = false;

process(order);

yield return retVal;

}

private class SecurityData

{

public readonly CachedSynchronizedDictionary<(long transId, long tradeId, string tradeStrId), MyTrade> MyTrades = [];

public readonly CachedSynchronizedDictionary<(long transId, bool conditional, OrderOperations operation), OrderInfo> Orders = [];

public OrderInfo TryGetOrder(OrderTypes? type, long transactionId, OrderOperations operation)

{

return Orders.TryGetValue(CreateOrderKey(type, transactionId, operation))

?? (type == null ? Orders.TryGetValue(CreateOrderKey(OrderTypes.Conditional, transactionId, operation)) : null);

}

public readonly SynchronizedDictionary<long, Order> OrdersById = [];

public readonly SynchronizedDictionary<string, Order> OrdersByStringId = new(StringComparer.InvariantCultureIgnoreCase);

}

private readonly SynchronizedDictionary<Security, SecurityData> _securityData = [];

private SecurityData GetData(Security security)

=> _securityData.SafeAdd(security);

private readonly SynchronizedDictionary<(long transId, OrderOperations operation), Order> _allOrdersByTransactionId = [];

private readonly SynchronizedDictionary<(long transId, OrderOperations operation), OrderFail> _allOrdersByFailedId = [];

private readonly SynchronizedDictionary<long, Order> _allOrdersById = [];

private readonly SynchronizedDictionary<string, Order> _allOrdersByStringId = new(StringComparer.InvariantCultureIgnoreCase);

private readonly SynchronizedDictionary<Order, (decimal totalVolume, decimal weightedPriceSum)> _ordersAvgPrices = [];

private readonly SynchronizedDictionary<string, News> _newsById = new(StringComparer.InvariantCultureIgnoreCase);

private readonly SynchronizedList<News> _newsWithoutId = [];

/// <summary>

/// All news.

/// </summary>

public IEnumerable<News> News => [.. _newsWithoutId.SyncGet(t => t.ToArray()), .. _newsById.SyncGet(t => t.Values.ToArray())];

private int _ordersKeepCount = 1000;

/// <summary>

/// Maximum number of orders to keep in cache. Default is 1000.

/// </summary>

public int OrdersKeepCount

{

get => _ordersKeepCount;

set

{

if (_ordersKeepCount == value)

return;

if (value < 0)

throw new ArgumentOutOfRangeException(nameof(value), value, LocalizedStrings.NegativeOrderCountStorage);

_ordersKeepCount = value;

RecycleOrders();

}

private void AddOrder(Order order)

{

if (order == null)

throw new ArgumentNullException(nameof(order));

if (OrdersKeepCount > 0)

_orders.Add(order, null);

RecycleOrders();

}

private readonly HashSet<long> _orderStatusTransactions = [];

private readonly HashSet<long> _massCancelationTransactions = [];

/// <summary>

/// Exchange info provider.

/// </summary>

public IExchangeInfoProvider ExchangeInfoProvider { get; } = exchangeInfoProvider ?? throw new ArgumentNullException(nameof(exchangeInfoProvider));

private readonly CachedSynchronizedDictionary<Order, IMessageAdapter> _orders = [];

/// <summary>

/// All orders.

/// </summary>

public IEnumerable<Order> Orders => _orders.CachedKeys;

private readonly CachedSynchronizedList<MyTrade> _myTrades = [];

/// <summary>

/// All own trades.

/// </summary>

public IEnumerable<MyTrade> MyTrades => _myTrades.Cache;

private readonly SynchronizedList<OrderFail> _orderRegisterFails = [];

/// <summary>

/// Order registration failures.

/// </summary>

public IEnumerable<OrderFail> OrderRegisterFails => _orderRegisterFails.SyncGet(c => c.ToArray());

private readonly SynchronizedList<OrderFail> _orderCancelFails = [];

/// <summary>

/// Order cancellation failures.

/// </summary>

public IEnumerable<OrderFail> OrderCancelFails => _orderCancelFails.SyncGet(c => c.ToArray());

private readonly SynchronizedList<OrderFail> _orderEditFails = [];

/// <summary>

/// Order modification failures.

/// </summary>

public IEnumerable<OrderFail> OrderEditFails => _orderEditFails.SyncGet(c => c.ToArray());

private readonly ILogReceiver _logReceiver = logReceiver ?? throw new ArgumentNullException(nameof(logReceiver));

private readonly Func<SecurityId?, Security> _tryGetSecurity = tryGetSecurity ?? throw new ArgumentNullException(nameof(tryGetSecurity));

private readonly IPositionProvider _positionProvider = positionProvider ?? throw new ArgumentNullException(nameof(positionProvider));

/// <summary>

/// Clear all cached data.

/// </summary>

public void Clear()

{

_securityData.Clear();

_allOrdersById.Clear();

_allOrdersByStringId.Clear();

_allOrdersByTransactionId.Clear();

_allOrdersByFailedId.Clear();

_orders.Clear();

_newsById.Clear();

_newsWithoutId.Clear();

_myTrades.Clear();

_orderStatusTransactions.Clear();

_massCancelationTransactions.Clear();

_orderCancelFails.Clear();

_orderRegisterFails.Clear();

_orderEditFails.Clear();

_securityValues.Clear();

_orderBookSnapshots.Clear();

}

/// <summary>

/// Add order status transaction id.

/// </summary>

/// <param name="transactionId">Transaction id.</param>

public void AddOrderStatusTransactionId(long transactionId)

{

if (!_orderStatusTransactions.Add(transactionId))

throw new InvalidOperationException();

}

/// <summary>

/// Remove order status transaction id.

/// </summary>

/// <param name="transactionId">Transaction id.</param>

public void RemoveOrderStatusTransactionId(long transactionId)

{

_orderStatusTransactions.Remove(transactionId);

}

/// <summary>

/// Get orders by security and state.

/// </summary>

/// <param name="security">Security.</param>

/// <param name="state">Order state.</param>

/// <returns>Orders.</returns>

public IEnumerable<Order> GetOrders(Security security, OrderStates state)

{

if (security == null)

throw new ArgumentNullException(nameof(security));

return GetData(security).Orders.CachedValues.Select(info => info.Order).Filter(state);

}

/// <summary>

/// Try add mass cancelation transaction id.

/// </summary>

/// <param name="transactionId">Transaction id.</param>

public void TryAddMassCancelationId(long transactionId)

{

_massCancelationTransactions.TryAdd(transactionId);

//if (!_massCancelationTransactions.Add(transactionId))

// throw new InvalidOperationException();

}

/// <summary>

/// Check if transaction is mass cancelation.

/// </summary>

/// <param name="transactionId">Transaction id.</param>

/// <returns><see langword="true"/> if mass cancelation.</returns>

public bool IsMassCancelation(long transactionId) => _massCancelationTransactions.Contains(transactionId);

/// <summary>

/// Check if transaction is order status request.

/// </summary>

/// <param name="transactionId">Transaction id.</param>

/// <returns><see langword="true"/> if order status request.</returns>

public bool IsOrderStatusRequest(long transactionId) => _orderStatusTransactions.Contains(transactionId);

/// <summary>

/// Add order by cancelation transaction id.

/// </summary>

/// <param name="order">Order.</param>

/// <param name="transactionId">Transaction id.</param>

public void AddOrderByCancelationId(Order order, long transactionId)

{

AddOrderByTransactionId(order, transactionId, OrderOperations.Cancel);

}

/// <summary>

/// Add order by registration transaction id.

/// </summary>

/// <param name="order">Order.</param>

public void AddOrderByRegistrationId(Order order)

{

AddOrder(order);

AddOrderByTransactionId(order, order.TransactionId, OrderOperations.Register);

}

/// <summary>

/// Add order by edition transaction id.

/// </summary>

/// <param name="order">Order.</param>

/// <param name="transactionId">Transaction id.</param>

public void AddOrderByEditionId(Order order, long transactionId)

{

AddOrderByTransactionId(order, transactionId, OrderOperations.Edit);

}

/// <summary>

/// Add order fail by transaction id.

/// </summary>

/// <param name="fail">Order fail.</param>

/// <param name="operation">Order operation.</param>

/// <param name="transactionId">Transaction id.</param>

public void AddOrderFailById(OrderFail fail, OrderOperations operation, long transactionId)

{

_allOrdersByFailedId.TryAdd2((transactionId, operation), fail);

}

private void AddOrderByTransactionId(Order order, long transactionId, OrderOperations operation)

{

if (order == null)

throw new ArgumentNullException(nameof(order));

GetData(order.Security).Orders.Add(CreateOrderKey(order.Type, transactionId, operation), new OrderInfo(this, order, operation == OrderOperations.Register));

_allOrdersByTransactionId.Add((transactionId, operation), order);

}

/// <summary>

/// Try get order by id.

/// </summary>

/// <param name="orderId">Order id.</param>

/// <param name="orderStringId">Order string id.</param>

/// <returns>Order or <see langword="null"/>.</returns>

public Order TryGetOrder(long? orderId, string orderStringId)

=> orderId != null

? _allOrdersById.TryGetValue(orderId.Value)

: (orderStringId.IsEmpty() ? null : _allOrdersByStringId.TryGetValue(orderStringId));

/// <summary>

/// Try get order by transaction id and operation.

/// </summary>

/// <param name="transactionId">Transaction id.</param>

/// <param name="operation">Operation.</param>

/// <returns>Order or <see langword="null"/>.</returns>

public Order TryGetOrder(long transactionId, OrderOperations operation)

=> _allOrdersByTransactionId.TryGetValue((transactionId, operation));

private void UpdateOrderIds(Order order, SecurityData securityData)

{

// 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;

}

/// <summary>

/// Try get message adapter for order.

/// </summary>

/// <param name="order">Order.</param>

/// <returns>Adapter or <see langword="null"/>.</returns>

public IMessageAdapter TryGetAdapter(Order order)

{

if (order is null)

throw new ArgumentNullException(nameof(order));

return _orders.TryGetValue(order);

}

/// <summary>

/// Try set message adapter for order.

/// </summary>

/// <param name="order">Order.</param>

/// <param name="adapter">Adapter.</param>

public void TrySetAdapter(Order order, IMessageAdapter adapter)

{

if (order is null)

throw new ArgumentNullException(nameof(order));

if (adapter is null or BasketMessageAdapter)

return;

_orders[order] = adapter;

}

/// <summary>

/// Process order message.

/// </summary>

/// <param name="order">Order.</param>

/// <param name="security">Security.</param>

/// <param name="message">Message.</param>

/// <param name="transactionId">Transaction id.</param>

/// <param name="getPortfolio">Function to get portfolio.</param>

/// <returns>Order change info.</returns>

public IEnumerable<OrderChangeInfo> ProcessOrderMessage(Order order, Security security, ExecutionMessage message, long transactionId, Func<string, Portfolio> getPortfolio)

{

if (security is null)

throw new ArgumentNullException(nameof(security));

if (message is null)

throw new ArgumentNullException(nameof(message));

if (getPortfolio is null)

throw new ArgumentNullException(nameof(getPortfolio));

if (!message.IsOk())

throw new ArgumentException(LocalizedStrings.MessageHasStateAndError.PutEx(message));

var securityData = GetData(security);

if (transactionId == 0 && message.OrderId == null && message.OrderStringId.IsEmpty())

throw new ArgumentException(LocalizedStrings.NoOrderIds);

if (transactionId == 0)

{

var info = securityData.Orders.CachedValues.FirstOrDefault(i =>

{

if (order != null)

return i.Order == order;

if (message.OrderId != null)

return i.Order.Id == message.OrderId;

else

return i.Order.StringId.EqualsIgnoreCase(message.OrderStringId);

});

if (info == null)

{

yield return OrderChangeInfo.NotExist;

//throw new InvalidOperationException(LocalizedStrings.OrderNotFound.Put(orderId.To<string>() ?? orderStringId));

}

else

{

foreach (var i in info.ApplyChanges(message, OrderOperations.Register, o => UpdateOrderIds(o, securityData)))

yield return i;

}

else

{

var cancelledInfo = securityData.TryGetOrder(message.OrderType, transactionId, OrderOperations.Cancel);

var registeredInfo = securityData.TryGetOrder(message.OrderType, transactionId, OrderOperations.Register);

var editedInfo = securityData.TryGetOrder(message.OrderType, transactionId, OrderOperations.Edit);

// проверяем не отмененная ли заявка пришла

if (cancelledInfo != null) // && (cancelledOrder.Id == orderId || (!cancelledOrder.StringId.IsEmpty() && cancelledOrder.StringId.EqualsIgnoreCase(orderStringId))))

{

var cancellationOrder = cancelledInfo.Order;

if (registeredInfo == null)

{

_logReceiver.LogDebug("Сancel '{0}': {1}", cancellationOrder.TransactionId, message);

foreach (var i in cancelledInfo.ApplyChanges(message, OrderOperations.Cancel, o => UpdateOrderIds(o, securityData)))

yield return i;

yield break;

}

var newOrderState = message.OrderState;

if ((newOrderState == OrderStates.Active || newOrderState == OrderStates.Done) && cancellationOrder.State != OrderStates.Done)

{

_logReceiver.LogDebug("Replace-cancel '{0}': {1}", cancellationOrder.TransactionId, message);

cancellationOrder.ApplyNewState(OrderStates.Done, _logReceiver);

if (message.Latency != null)

cancellationOrder.LatencyCancellation = message.Latency.Value;

yield return new OrderChangeInfo(cancellationOrder, false, true, false);

//var isCancelOrderOnly = (message.OrderId != null && message.OrderId == cancellationOrder.Id)

// || (message.OrderStringId != null && message.OrderStringId == cancellationOrder.StringId)

// || (message.OrderBoardId != null && message.OrderBoardId == cancellationOrder.BoardId);

//if (isCancelOrderOnly)

//{

// _logReceiver.AddDebugLog("Replace-reg empty");

// yield break;

//}

}

_logReceiver.LogDebug("Replace-reg '{0}': {1}", registeredInfo.Order.TransactionId, message);

foreach (var i in registeredInfo.ApplyChanges(message, OrderOperations.Register, o => UpdateOrderIds(o, securityData)))

yield return i;

yield break;

}

if (editedInfo != null)

{

_logReceiver.LogDebug("Edit '{0}': {1}", editedInfo.Order.TransactionId, message);

if (message.Latency != null)

editedInfo.Order.LatencyEdition = message.Latency.Value;

foreach (var i in editedInfo.ApplyChanges(message, OrderOperations.Edit, o => UpdateOrderIds(o, securityData)))

yield return i;

yield break;

}

if (registeredInfo == null)

{

// This branch builds an order nobody here has seen before, so the message is its only

// source of truth. Without a side there is no order to build.

if (message.Side is not Sides side)

throw new ArgumentException(LocalizedStrings.OrderSideNotSpecified, nameof(message));

var o = new Order

{

Security = security,

Type = message.OrderType,

TransactionId = transactionId,

Time = message.ServerTime,

ServerTime = message.ServerTime,

Price = message.OrderPrice,

Volume = message.OrderVolume ?? 0,

Side = side,

Comment = message.Comment,

ExpiryDate = message.ExpiryDate,

Condition = message.Condition,

UserOrderId = message.UserOrderId,

StrategyId = message.StrategyId,

ClientCode = message.ClientCode,

BrokerCode = message.BrokerCode,

IsMarketMaker = message.IsMarketMaker,

MarginMode = message.MarginMode,

Slippage = message.Slippage,

IsManual = message.IsManual,

MinVolume = message.MinVolume,

PositionEffect = message.PositionEffect,

PostOnly = message.PostOnly,

SeqNum = message.SeqNum,

Leverage = message.Leverage

};

if (message.Balance != null)

{

if (message.Balance.Value < 0)

_logReceiver.LogError($"Order {transactionId}: balance {message.Balance.Value} < 0");

o.Balance = message.Balance.Value;

}

o.Portfolio = getPortfolio(message.PortfolioName);

AddOrder(o);

_allOrdersByTransactionId.TryAdd2((transactionId, OrderOperations.Register), o);

registeredInfo = new OrderInfo(this, o, true);

securityData.Orders.Add(CreateOrderKey(o.Type, transactionId, OrderOperations.Register), registeredInfo);

}

foreach (var i in registeredInfo.ApplyChanges(message, OrderOperations.Register, o => UpdateOrderIds(o, securityData)))

yield return i;

}

/// <summary>

/// Process order fail message.

/// </summary>

/// <param name="order">Order.</param>

/// <param name="security">Security.</param>

/// <param name="message">Message.</param>

/// <returns>Order fails with operations.</returns>

public IEnumerable<(OrderFail, OrderOperations)> ProcessOrderFailMessage(Order order, 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<(Order order, OrderOperations operation)>();

if (message.OriginalTransactionId == 0)

throw new ArgumentOutOfRangeException(nameof(message), message.OriginalTransactionId, LocalizedStrings.TransactionInvalid);

var orderType = message.OrderType;

if (order == null)

{

var cancelledOrder = data.TryGetOrder(orderType, message.OriginalTransactionId, OrderOperations.Cancel)?.Order;

if (cancelledOrder != null && orderType == null)

orderType = cancelledOrder.Type;

if (cancelledOrder != null /*&& order.Id == message.OrderId*/)

orders.Add((cancelledOrder, OrderOperations.Cancel));

var registeredOrder = data.TryGetOrder(orderType, message.OriginalTransactionId, OrderOperations.Register)?.Order;

if (registeredOrder != null)

orders.Add((registeredOrder, OrderOperations.Register));

var editedOrder = data.TryGetOrder(orderType, message.OriginalTransactionId, OrderOperations.Edit)?.Order;

if (editedOrder != null)

orders.Add((editedOrder, OrderOperations.Edit));

if (cancelledOrder == null && registeredOrder == null && editedOrder == null)

{

if (!message.OrderStringId.IsEmpty())

{

order = data.OrdersByStringId.TryGetValue(message.OrderStringId);

if (order != null)

{

var pair = data.Orders.LastOrDefault(p => p.Value.Order == order);

if (pair.Value != null)

orders.Add((pair.Value.Order, pair.Key.operation));

}

else

{

void TryAdd(OrderOperations operation)

{

var foundOrder = data.TryGetOrder(order.Type, message.OriginalTransactionId, operation)?.Order;

if (foundOrder != null)

orders.Add((foundOrder, operation));

}

TryAdd(OrderOperations.Cancel);

TryAdd(OrderOperations.Register);

TryAdd(OrderOperations.Edit);

}

if (orders.Count == 0)

{

var fails = new List<(OrderFail, OrderOperations)>();

Order TryAddFail(OrderOperations operation)

{

using (_allOrdersByFailedId.EnterScope())

{

if (_allOrdersByFailedId.TryGetAndRemove((message.OriginalTransactionId, operation), out var fail))

{

fails.Add((fail, operation));

return fail.Order;

}

return null;

}

TryAddFail(OrderOperations.Edit);

TryAddFail(OrderOperations.Cancel);

var regOrder = TryAddFail(OrderOperations.Register);

if (regOrder != null && regOrder.State == OrderStates.None)

{

regOrder.State = OrderStates.Failed;

regOrder.ServerTime = message.ServerTime;

regOrder.LocalTime = message.LocalTime;

}

return fails;

}

return orders.Select(t =>

{

var o = t.order;

var operation = t.operation;

o.ServerTime = message.ServerTime;

o.LocalTime = message.LocalTime;

if (message.OrderStatus != null)

o.Status = message.OrderStatus;

//для ошибок снятия не надо менять состояние заявки

if (operation == OrderOperations.Register)

o.ApplyNewState(OrderStates.Failed, _logReceiver);

if (message.Commission != null)

o.Commission = message.Commission;

if (!message.CommissionCurrency.IsEmpty())

o.CommissionCurrency = message.CommissionCurrency;

var error = message.Error ?? new InvalidOperationException(operation == OrderOperations.Cancel ? LocalizedStrings.ErrorCancelling : LocalizedStrings.ErrorRegistering);

var fail = new OrderFail

{

Order = o,

Error = error,

ServerTime = message.ServerTime,

LocalTime = message.LocalTime,

SeqNum = message.SeqNum,

TransactionId = message.OriginalTransactionId,

};

return (fail, operation);

});

}

/// <summary>

/// Process own trade message.

/// </summary>

/// <param name="order">Order.</param>

/// <param name="security">Security.</param>

/// <param name="message">Message.</param>

/// <param name="transactionId">Transaction id.</param>

/// <returns>Trade and is new flag.</returns>

public (MyTrade trade, bool isNew) ProcessOwnTradeMessage(Order order, Security security, ExecutionMessage message, long transactionId)

{

if (security == null)

throw new ArgumentNullException(nameof(security));

if (message == null)

throw new ArgumentNullException(nameof(message));

// Validate trade price and volume to avoid downstream division by zero or invalid data

if (message.TradePrice == null || message.TradePrice <= 0)

throw new ArgumentException("Trade price must be a positive value.", nameof(message));

if (message.TradeVolume == null || message.TradeVolume <= 0)

throw new ArgumentException("Trade volume must be a positive value.", nameof(message));

var securityData = GetData(security);

if (transactionId == 0 && message.OrderId == null && message.OrderStringId.IsEmpty())

throw new ArgumentOutOfRangeException(nameof(message), transactionId, LocalizedStrings.TransactionInvalid);

var tradeKey = (transactionId, message.TradeId ?? 0, message.TradeStringId ?? string.Empty);

if (securityData.MyTrades.TryGetValue(tradeKey, out var myTrade))

return (myTrade, false);

if (order == null)

{

if (security == null)

throw new ArgumentNullException(nameof(security));

var orderId = message.OrderId;

var orderStringId = message.OrderStringId;

if (transactionId == 0 && orderId == null && orderStringId.IsEmpty())

throw new ArgumentException(LocalizedStrings.NoOrderIds);

var data = GetData(security);

if (transactionId != 0)

order = data.TryGetOrder(OrderTypes.Limit, transactionId, OrderOperations.Register)?.Order;

if (order == null)

{

if (orderId != null)

order = data.OrdersById.TryGetValue(orderId.Value);

if (order == null && !orderStringId.IsEmpty())

order = data.OrdersByStringId.TryGetValue(orderStringId);

if (order == null)

return default;

}

var isNew = false;

myTrade = securityData.MyTrades.SafeAdd(tradeKey, key =>

{

isNew = true;

var trade = (ITickTradeMessage)message.TypedClone();

if (message.SeqNum != default)

trade.SeqNum = message.SeqNum;

var t = new MyTrade { Order = order, Trade = trade };

if (message.Commission != null)

t.Commission = message.Commission;

if (!message.CommissionCurrency.IsEmpty())

t.CommissionCurrency = message.CommissionCurrency;

if (message.Slippage != null)

t.Slippage = message.Slippage;

if (message.PnL != null)

t.PnL = message.PnL;

if (message.Position != null)

t.Position = message.Position;

if (message.Initiator != null)

t.Initiator = message.Initiator;

if (message.Yield != null)

t.Yield = message.Yield;

_myTrades.Add(t);

if (order.AveragePrice is null)

{

var weightedPrice = trade.Price * trade.Volume;

if (_ordersAvgPrices.TryGetValue(order, out var t1))

{

t1.totalVolume += trade.Volume;

t1.weightedPriceSum += weightedPrice;

_ordersAvgPrices[order] = t1;

}

else

{

_ordersAvgPrices.Add(order, t1 = new(trade.Volume, weightedPrice));

}

order.AveragePrice = t1.weightedPriceSum / t1.totalVolume;

}

return t;

});

return (myTrade, isNew);

}

/// <summary>

/// Process news message.

/// </summary>

/// <param name="security">Security.</param>

/// <param name="message">Message.</param>

/// <returns>News and is new flag.</returns>

public (News news, bool isNew) ProcessNewsMessage(Security security, NewsMessage message)

{

if (message == null)

throw new ArgumentNullException(nameof(message));

var isNew = false;

View remainder of file in raw view

StockSharp/Algo/EntityCache.cs at master · StockSharp/StockSharp · GitHub

Uh oh!

Expand file tree

Breadcrumbs

EntityCache.cs

Latest commit

History

Breadcrumbs

EntityCache.cs

File metadata and controls