Class MessageConverterHelper

The auxiliary class for conversion of business-objects (StockSharp.BusinessEntities) into messages (StockSharp.Messages) and vice versa.

Inheritance

Object

MessageConverterHelper

Namespace: StockSharp.Algo

Assembly: StockSharp.Algo.dll

Syntax

public static class MessageConverterHelper : Object

Properties

AllCandleTypes

All registered candle types.

Declaration

public static IEnumerable<Type> AllCandleTypes { get; }

Property Value

Type	Description
IEnumerable<Type>

Methods

ApplyChanges(ExchangeBoard, BoardMessage)

To convert the message into board.

Declaration

public static ExchangeBoard ApplyChanges(this ExchangeBoard board, BoardMessage message)

Parameters

Type	Name	Description
ExchangeBoard	board	Board.
BoardMessage	message	Message.

Returns

Type	Description
ExchangeBoard	Board.

CreateCancelMessage(Order, SecurityId, Int64)

To create the message of cancelling old order.

Declaration

public static OrderCancelMessage CreateCancelMessage(this Order order, SecurityId securityId, long transactionId)

Parameters

Type	Name	Description
Order	order	Order.
SecurityId	securityId	Security ID.
Int64	transactionId	The transaction number.

Returns

Type	Description
OrderCancelMessage	Message.

CreateCandleMessage(Type)

Create instance of CandleMessage.

Declaration

public static CandleMessage CreateCandleMessage(this Type messageType)

Parameters

Type	Name	Description
Type	messageType	The type of candle message.

Returns

Type	Description
CandleMessage	Instance of CandleMessage.

CreateRegisterMessage(Order, Nullable<SecurityId>)

To create the message of new order registration.

Declaration

public static OrderRegisterMessage CreateRegisterMessage(this Order order, Nullable<SecurityId> securityId = null)

Parameters

Type	Name	Description
Order	order	Order.
Nullable<SecurityId>	securityId	Security ID.

Returns

Type	Description
OrderRegisterMessage	Message.

CreateReplaceMessage(Order, Order, SecurityId)

To create the message of replacing old order with new one.

Declaration

public static OrderReplaceMessage CreateReplaceMessage(this Order oldOrder, Order newOrder, SecurityId securityId)

Parameters

Type	Name	Description
Order	oldOrder	Old order.
Order	newOrder	New order.
SecurityId	securityId	Security ID.

Returns

Type	Description
OrderReplaceMessage	Message.

CreateReplaceMessage(Order, Order, SecurityId, Order, Order, SecurityId)

To create the message of replacing pair of old orders to new ones.

Declaration

public static OrderPairReplaceMessage CreateReplaceMessage(this Order oldOrder1, Order newOrder1, SecurityId security1, Order oldOrder2, Order newOrder2, SecurityId security2)

Parameters

Type	Name	Description
Order	oldOrder1	Old order.
Order	newOrder1	New order.
SecurityId	security1	Security ID.
Order	oldOrder2	Old order.
Order	newOrder2	New order.
SecurityId	security2	Security ID.

Returns

Type	Description
OrderPairReplaceMessage	Message.

FillMessage<TMessage>(Security, TMessage)

To convert the instrument into message.

Declaration

public static TMessage FillMessage<TMessage>(this Security security, TMessage message)
    where TMessage : SecurityMessage

Parameters

Type	Name	Description
Security	security	Security.
TMessage	message	Message.

Returns

Type	Description
TMessage	Message.

Type Parameters

Name	Description
TMessage	Message type.

HasExternalId(SecurityId)

To check, if SecurityId contains identifiers of external sources.

Declaration

public static bool HasExternalId(this SecurityId securityId)

Parameters

Type	Name	Description
SecurityId	securityId	Security ID.

Returns

Type	Description
Boolean	true, if there are identifiers of external sources, otherwise, false.

RegisterCandle(Type, Type, Func<Candle>, Func<CandleMessage>)

Register new candle type.

Declaration

public static void RegisterCandle(Type candleType, Type messageType, Func<Candle> candleCreator, Func<CandleMessage> candleMessageCreator)

Parameters

Type	Name	Description
Type	candleType	Candle type.
Type	messageType	The type of candle message.
Func<Candle>	candleCreator	Candle instance creator.
Func<CandleMessage>	candleMessageCreator	CandleMessage instance creator.

RegisterCandle<TCandle, TMessage>(Func<TCandle>, Func<TMessage>)

Register new candle type.

Declaration

public static void RegisterCandle<TCandle, TMessage>(Func<TCandle> candleCreator, Func<TMessage> candleMessageCreator)
    where TCandle : Candle where TMessage : CandleMessage

Parameters

Type	Name	Description
Func<TCandle>	candleCreator	Candle instance creator.
Func<TMessage>	candleMessageCreator	CandleMessage instance creator.

Type Parameters

Name	Description
TCandle	Candle type.
TMessage	The type of candle message.

ToBoard(BoardMessage)

To convert the message into board.

Declaration

public static ExchangeBoard ToBoard(this BoardMessage message)

Parameters

Type	Name	Description
BoardMessage	message	Message.

Returns

Type	Description
ExchangeBoard	Board.

ToCandle(CandleMessage, CandleSeries)

To convert CandleMessage into candle.

Declaration

public static Candle ToCandle(this CandleMessage message, CandleSeries series)

Parameters

Type	Name	Description
CandleMessage	message	Message.
CandleSeries	series	Series.

Returns

Type	Description
Candle	Candle.

ToCandle(CandleMessage, Security)

To convert CandleMessage into candle.

Declaration

public static Candle ToCandle(this CandleMessage message, Security security)

Parameters

Type	Name	Description
CandleMessage	message	Message.
Security	security	Security.

Returns

Type	Description
Candle	Candle.

ToCandle<TCandle>(CandleMessage, CandleSeries)

To convert CandleMessage into candle.

Declaration

public static TCandle ToCandle<TCandle>(this CandleMessage message, CandleSeries series)
    where TCandle : Candle, new()

Parameters

Type	Name	Description
CandleMessage	message	Message.
CandleSeries	series	Series.

Returns

Type	Description
TCandle	Candle.

Type Parameters

Name	Description
TCandle	The candle type.

ToCandleMessageType(Type)

Cast candle type Candle to the message CandleMessage.

Declaration

public static Type ToCandleMessageType(this Type candleType)

Parameters

Type	Name	Description
Type	candleType	The type of the candle Candle.

Returns

Type	Description
Type	The type of the message CandleMessage.

ToCandles<TCandle>(IEnumerable<CandleMessage>, Security)

To convert messages into trading objects.

Declaration

public static IEnumerable<TCandle> ToCandles<TCandle>(this IEnumerable<CandleMessage> messages, Security security)

Parameters

Type	Name	Description
IEnumerable<CandleMessage>	messages	Messages.
Security	security	Security.

Returns

Type	Description
IEnumerable<TCandle>	Trading objects.

Type Parameters

Name	Description
TCandle	The candle type.

ToCandleSeries(DataType, Security)

Convert DataType to CandleSeries value.

Declaration

public static CandleSeries ToCandleSeries(this DataType dataType, Security security)

Parameters

Type	Name	Description
DataType	dataType	Data type info.
Security	security	The instrument to be used for candles formation.

Returns

Type	Description
CandleSeries	Candles series.

ToCandleSeries(MarketDataMessage, CandleSeries, Boolean)

Cast MarketDataMessage to CandleSeries.

Declaration

public static void ToCandleSeries(this MarketDataMessage message, CandleSeries series, bool throwIfInvalidType)

Parameters

Type	Name	Description
MarketDataMessage	message	Market-data message (uses as a subscribe/unsubscribe in outgoing case, confirmation event in incoming case).
CandleSeries	series	Candles series.
Boolean	throwIfInvalidType	Throw an error if DataType2 isn't candle type.

ToCandleSeries(MarketDataMessage, Security, Boolean)

Cast MarketDataMessage to CandleSeries.

Declaration

public static CandleSeries ToCandleSeries(this MarketDataMessage message, Security security, bool throwIfInvalidType)

Parameters

Type	Name	Description
MarketDataMessage	message	Market-data message (uses as a subscribe/unsubscribe in outgoing case, confirmation event in incoming case).
Security	security	Security.
Boolean	throwIfInvalidType	Throw an error if DataType2 isn't candle type.

Returns

Type	Description
CandleSeries	Candles series.

ToCandleType(Type)

Cast message type CandleMessage to the candle type Candle.

Declaration

public static Type ToCandleType(this Type messageType)

Parameters

Type	Name	Description
Type	messageType	The type of the message CandleMessage.

Returns

Type	Description
Type	The type of the candle Candle.

ToChangeMessage(Portfolio)

To convert the portfolio into message.

Declaration

public static PositionChangeMessage ToChangeMessage(this Portfolio portfolio)

Parameters

Type	Name	Description
Portfolio	portfolio	Portfolio.

Returns

Type	Description
PositionChangeMessage	Message.

ToChangeMessage(Position, Int64)

To convert the position into message.

Declaration

public static PositionChangeMessage ToChangeMessage(this Position position, long originalTransactionId = 0L)

Parameters

Type	Name	Description
Position	position	Position.
Int64	originalTransactionId	ID of original transaction, for which this message is the answer.

Returns

Type	Description
PositionChangeMessage	Message.

ToDataType(CandleSeries)

Convert DataType to CandleSeries value.

Declaration

public static DataType ToDataType(this CandleSeries series)

Parameters

Type	Name	Description
CandleSeries	series	Candles series.

Returns

Type	Description
DataType	Data type info.

ToDataTypeString(MarketDataMessage)

Format data type into into human-readable string.

Declaration

public static string ToDataTypeString(this MarketDataMessage message)

Parameters

Type	Name	Description
MarketDataMessage	message	Market-data message (uses as a subscribe/unsubscribe in outgoing case, confirmation event in incoming case).

Returns

Type	Description
String	String.

ToEntities<TMessage, TEntity>(IEnumerable<TMessage>, Security, IExchangeInfoProvider)

To convert messages into trading objects.

Declaration

public static IEnumerable<TEntity> ToEntities<TMessage, TEntity>(this IEnumerable<TMessage> messages, Security security, IExchangeInfoProvider exchangeInfoProvider = null)
    where TMessage : Message

Parameters

Type	Name	Description
IEnumerable<TMessage>	messages	Messages.
Security	security	Security.
IExchangeInfoProvider	exchangeInfoProvider	Exchanges and trading boards provider.

Returns

Type	Description
IEnumerable<TEntity>	Trading objects.

Type Parameters

Name	Description
TMessage	Message type.
TEntity	The type of trading object.

ToExchange(BoardMessage)

To convert the message into exchange.

Declaration

public static Exchange ToExchange(this BoardMessage message)

Parameters

Type	Name	Description
BoardMessage	message	Message.

Returns

Type	Description
Exchange	Exchange.

ToExchange(BoardMessage, Exchange)

To convert the message into exchange.

Declaration

public static Exchange ToExchange(this BoardMessage message, Exchange exchange)

Parameters

Type	Name	Description
BoardMessage	message	Message.
Exchange	exchange	Exchange.

Returns

Type	Description
Exchange	Exchange.

ToExternalId(SecurityId)

Cast SecurityId to the SecurityExternalId.

Declaration

public static SecurityExternalId ToExternalId(this SecurityId securityId)

Parameters

Type	Name	Description
SecurityId	securityId	SecurityId.

Returns

Type	Description
SecurityExternalId	SecurityExternalId.

ToLookupCriteria(Order, Nullable<Decimal>, Nullable<Sides>)

Convert Order to OrderStatusMessage value.

Declaration

public static OrderStatusMessage ToLookupCriteria(this Order criteria, Nullable<Decimal> volume, Nullable<Sides> side)

Parameters

Type	Name	Description
Order	criteria	The criterion which fields will be used as a filter.
Nullable<Decimal>	volume	Volume.
Nullable<Sides>	side	Order side.

Returns

Type	Description
OrderStatusMessage	A message requesting current registered orders and trades.

ToLookupCriteria(Portfolio)

Convert Portfolio to PortfolioLookupMessage value.

Declaration

public static PortfolioLookupMessage ToLookupCriteria(this Portfolio criteria)

Parameters

Type	Name	Description
Portfolio	criteria	The criterion which fields will be used as a filter.

Returns

Type	Description
PortfolioLookupMessage	Message portfolio lookup for specified criteria.

ToLookupCriteria(SecurityLookupMessage, IExchangeInfoProvider)

Convert SecurityLookupMessage message to Security criteria.

Declaration

public static Security ToLookupCriteria(this SecurityLookupMessage message, IExchangeInfoProvider exchangeInfoProvider)

Parameters

Type	Name	Description
SecurityLookupMessage	message	Message.
IExchangeInfoProvider	exchangeInfoProvider	Exchanges and trading boards provider.

Returns

Type	Description
Security	Criteria.

ToLookupMessage(Security)

Convert Security criteria to SecurityLookupMessage.

Declaration

public static SecurityLookupMessage ToLookupMessage(this Security criteria)

Parameters

Type	Name	Description
Security	criteria	Criteria.

Returns

Type	Description
SecurityLookupMessage	Message.

ToMarketDataMessage(CandleSeries, Boolean, Nullable<DateTimeOffset>, Nullable<DateTimeOffset>, Nullable<Int64>, Boolean)

Cast CandleSeries to MarketDataMessage.

Declaration

public static MarketDataMessage ToMarketDataMessage(this CandleSeries series, bool isSubscribe, Nullable<DateTimeOffset> from = null, Nullable<DateTimeOffset> to = null, Nullable<long> count = null, bool throwIfInvalidType = true)

Parameters

Type	Name	Description
CandleSeries	series	Candles series.
Boolean	isSubscribe	The message is subscription.
Nullable<DateTimeOffset>	from	The initial date from which you need to get data.
Nullable<DateTimeOffset>	to	The final date by which you need to get data.
Nullable<Int64>	count	Candles count.
Boolean	throwIfInvalidType	Throw an error if DataType2 isn't candle type.

Returns

Type	Description
MarketDataMessage	Market-data message (uses as a subscribe/unsubscribe in outgoing case, confirmation event in incoming case).

ToMarketDepth(Level1ChangeMessage, Security)

Cast Level1ChangeMessage to the MarketDepth.

Declaration

public static MarketDepth ToMarketDepth(this Level1ChangeMessage message, Security security)

Parameters

Type	Name	Description
Level1ChangeMessage	message	Message.
Security	security	Security.

Returns

Type	Description
MarketDepth	Market depth.

ToMarketDepth(QuoteChangeMessage, MarketDepth)

To convert the message into order book.

Declaration

public static MarketDepth ToMarketDepth(this QuoteChangeMessage message, MarketDepth marketDepth)

Parameters

Type	Name	Description
QuoteChangeMessage	message	Message.
MarketDepth	marketDepth	Market depth.

Returns

Type	Description
MarketDepth	Market depth.

ToMarketDepth(QuoteChangeMessage, Security)

To convert the message into order book.

Declaration

public static MarketDepth ToMarketDepth(this QuoteChangeMessage message, Security security)

Parameters

Type	Name	Description
QuoteChangeMessage	message	Message.
Security	security	Security.

Returns

Type	Description
MarketDepth	Market depth.

ToMessage(Candle)

To convert the candle into message.

Declaration

public static CandleMessage ToMessage(this Candle candle)

Parameters

Type	Name	Description
Candle	candle	Candle.

Returns

Type	Description
CandleMessage	Message.

ToMessage(ExchangeBoard, Int64)

To convert the board into message.

Declaration

public static BoardMessage ToMessage(this ExchangeBoard board, long originalTransactionId = 0L)

Parameters

Type	Name	Description
ExchangeBoard	board	Board.
Int64	originalTransactionId	ID of original transaction, for which this message is the answer.

Returns

Type	Description
BoardMessage	Message.

ToMessage(MarketDepth)

Cast MarketDepth to the QuoteChangeMessage.

Declaration

public static QuoteChangeMessage ToMessage(this MarketDepth depth)

Parameters

Type	Name	Description
MarketDepth	depth	MarketDepth.

Returns

Type	Description
QuoteChangeMessage	QuoteChangeMessage.

ToMessage(MyTrade)

To convert the own trade into message.

Declaration

public static ExecutionMessage ToMessage(this MyTrade trade)

Parameters

Type	Name	Description
MyTrade	trade	Own trade.

Returns

Type	Description
ExecutionMessage	Message.

ToMessage(News)

To convert news into message.

Declaration

public static NewsMessage ToMessage(this News news)

Parameters

Type	Name	Description
News	news	News.

Returns

Type	Description
NewsMessage	Message.

ToMessage(Order)

To convert the order into message.

Declaration

public static ExecutionMessage ToMessage(this Order order)

Parameters

Type	Name	Description
Order	order	Order.

Returns

Type	Description
ExecutionMessage	Message.

ToMessage(OrderFail, Int64)

To convert the error description into message.

Declaration

public static ExecutionMessage ToMessage(this OrderFail fail, long originalTransactionId)

Parameters

Type	Name	Description
OrderFail	fail	Error details.
Int64	originalTransactionId	ID of original transaction, for which this message is the answer.

Returns

Type	Description
ExecutionMessage	Message.

ToMessage(OrderLogItem)

To convert the string of orders log onto message.

Declaration

public static ExecutionMessage ToMessage(this OrderLogItem item)

Parameters

Type	Name	Description
OrderLogItem	item	Order log item.

Returns

Type	Description
ExecutionMessage	Message.

ToMessage(Portfolio, Int64)

To convert the portfolio into message.

Declaration

public static PortfolioMessage ToMessage(this Portfolio portfolio, long originalTransactionId = 0L)

Parameters

Type	Name	Description
Portfolio	portfolio	Portfolio.
Int64	originalTransactionId	ID of original transaction, for which this message is the answer.

Returns

Type	Description
PortfolioMessage	Message.

ToMessage(Security, Nullable<SecurityId>, Int64, Boolean)

To convert the instrument into message.

Declaration

public static SecurityMessage ToMessage(this Security security, Nullable<SecurityId> securityId = null, long originalTransactionId = 0L, bool copyExtendedId = false)

Parameters

Type	Name	Description
Security	security	Security.
Nullable<SecurityId>	securityId	Security ID.
Int64	originalTransactionId	ID of original transaction, for which this message is the answer.
Boolean	copyExtendedId	Copy ExternalId and Type.

Returns

Type	Description
SecurityMessage	Message.

ToMessage(Trade)

To convert the tick trade into message.

Declaration

public static ExecutionMessage ToMessage(this Trade trade)

Parameters

Type	Name	Description
Trade	trade	Tick trade.

Returns

Type	Description
ExecutionMessage	Message.

ToMessages<TEntity, TMessage>(IEnumerable<TEntity>)

To convert trading objects into messages.

Declaration

public static IEnumerable<TMessage> ToMessages<TEntity, TMessage>(this IEnumerable<TEntity> entities)

Parameters

Type	Name	Description
IEnumerable<TEntity>	entities	Trading objects.

Returns

Type	Description
IEnumerable<TMessage>	Messages.

Type Parameters

Name	Description
TEntity	The type of trading object.
TMessage	Message type.

ToMessageType(Type, ref Object)

To convert the type of business object into type of message.

Declaration

public static Type ToMessageType(this Type dataType, ref object arg)

Parameters

Type	Name	Description
Type	dataType	The type of business object.
Object	arg	The data parameter.

Returns

Type	Description
Type	Message type.

ToNews(NewsMessage, IExchangeInfoProvider)

Cast NewsMessage to the News.

Declaration

public static News ToNews(this NewsMessage message, IExchangeInfoProvider exchangeInfoProvider)

Parameters

Type	Name	Description
NewsMessage	message	Message.
IExchangeInfoProvider	exchangeInfoProvider	Exchanges and trading boards provider.

Returns

Type	Description
News	News.

ToOrder(ExecutionMessage, Order)

To convert the message into order.

Declaration

public static Order ToOrder(this ExecutionMessage message, Order order)

Parameters

Type	Name	Description
ExecutionMessage	message	Message.
Order	order	The order.

Returns

Type	Description
Order	Order.

ToOrder(ExecutionMessage, Security)

To convert the message into order.

Declaration

public static Order ToOrder(this ExecutionMessage message, Security security)

Parameters

Type	Name	Description
ExecutionMessage	message	Message.
Security	security	Security.

Returns

Type	Description
Order	Order.

ToOrderLog(ExecutionMessage, OrderLogItem)

To convert the message into orders log string.

Declaration

public static OrderLogItem ToOrderLog(this ExecutionMessage message, OrderLogItem item)

Parameters

Type	Name	Description
ExecutionMessage	message	Message.
OrderLogItem	item	Order log item.

Returns

Type	Description
OrderLogItem	Order log item.

ToOrderLog(ExecutionMessage, Security)

To convert the message into orders log string.

Declaration

public static OrderLogItem ToOrderLog(this ExecutionMessage message, Security security)

Parameters

Type	Name	Description
ExecutionMessage	message	Message.
Security	security	Security.

Returns

Type	Description
OrderLogItem	Order log item.

ToPortfolio(PortfolioMessage, Portfolio, IExchangeInfoProvider)

Cast PortfolioMessage to the Portfolio.

Declaration

public static Portfolio ToPortfolio(this PortfolioMessage message, Portfolio portfolio, IExchangeInfoProvider exchangeInfoProvider)

Parameters

Type	Name	Description
PortfolioMessage	message	Message.
Portfolio	portfolio	Portfolio.
IExchangeInfoProvider	exchangeInfoProvider	Exchanges and trading boards provider.

Returns

Type	Description
Portfolio	Portfolio.

ToSecurity(SecurityMessage, IExchangeInfoProvider)

To convert the message into instrument.

Declaration

public static Security ToSecurity(this SecurityMessage message, IExchangeInfoProvider exchangeInfoProvider)

Parameters

Type	Name	Description
SecurityMessage	message	Message.
IExchangeInfoProvider	exchangeInfoProvider	Exchanges and trading boards provider.

Returns

Type	Description
Security	Security.

ToSecurityId(Security, SecurityIdGenerator, Boolean, Boolean)

Declaration

public static SecurityId ToSecurityId(this Security security, SecurityIdGenerator idGenerator = null, bool boardIsRequired = true, bool copyExtended = false)

Parameters

Type	Name	Description
Security	security
SecurityIdGenerator	idGenerator
Boolean	boardIsRequired
Boolean	copyExtended

Returns

Type	Description
SecurityId

ToSecurityId(SecurityExternalId, SecurityId)

Cast SecurityExternalId to the SecurityId.

Declaration

public static SecurityId ToSecurityId(this SecurityExternalId externalId, SecurityId secId)

Parameters

Type	Name	Description
SecurityExternalId	externalId	SecurityExternalId.
SecurityId	secId	SecurityId.

Returns

Type	Description
SecurityId	SecurityId.

ToSecurityId(SecurityExternalId, String, String)

Cast SecurityExternalId to the SecurityId.

Declaration

public static SecurityId ToSecurityId(this SecurityExternalId externalId, string securityCode, string boardCode)

Parameters

Type	Name	Description
SecurityExternalId	externalId	SecurityExternalId.
String	securityCode	Security code.
String	boardCode	Board code.

Returns

Type	Description
SecurityId	SecurityId.

ToSubscription(DataType)

Convert DataType to Subscription value.

Declaration

public static Subscription ToSubscription(this DataType dataType)

Parameters

Type	Name	Description
DataType	dataType	Data type info.

Returns

Type	Description
Subscription	Subscription.

ToSubscriptionMessage(DataType)

Convert DataType to ISubscriptionMessage value.

Declaration

public static ISubscriptionMessage ToSubscriptionMessage(this DataType dataType)

Parameters

Type	Name	Description
DataType	dataType	Data type info.

Returns

Type	Description
ISubscriptionMessage	Subscription message.

ToTrade(ExecutionMessage, Security)

To convert the message into tick trade.

Declaration

public static Trade ToTrade(this ExecutionMessage message, Security security)

Parameters

Type	Name	Description
ExecutionMessage	message	Message.
Security	security	Security.

Returns

Type	Description
Trade	Tick trade.

ToTrade(ExecutionMessage, Trade)

To convert the message into tick trade.

Declaration

public static Trade ToTrade(this ExecutionMessage message, Trade trade)

Parameters

Type	Name	Description
ExecutionMessage	message	Message.
Trade	trade	Tick trade.

Returns

Type	Description
Trade	Tick trade.

Update(Candle, CandleMessage)

Update candle from CandleMessage.

Declaration

public static Candle Update(this Candle candle, CandleMessage message)

Parameters

Type	Name	Description
Candle	candle	Candle.
CandleMessage	message	Message.

Returns

Type	Description
Candle	Candle.