Class TraderHelper
The auxiliary class for provision of various algorithmic functionalities.
Namespace: StockSharp.Algo
Assembly: StockSharp.Algo.dll
Syntax
public static class TraderHelper : Object
Fields
LookupAllCriteria
Lookup all securities predefined criteria.
Declaration
public static readonly Security LookupAllCriteria
Field Value
Type | Description |
---|---|
Security |
MoneySecurity
"Money" security instance.
Declaration
public static readonly Security MoneySecurity
Field Value
Type | Description |
---|---|
Security |
NewsSecurity
"News" security instance.
Declaration
public static readonly Security NewsSecurity
Field Value
Type | Description |
---|---|
Security |
Properties
AllSecurity
"All securities" instance.
Declaration
public static Security AllSecurity { get; }
Property Value
Type | Description |
---|---|
Security |
IndicatorValue
Indicator value.
Declaration
public static DataType IndicatorValue { get; }
Property Value
Type | Description |
---|---|
DataType |
UsdRateMinAvailableTime
The earliest date for which there is an indicative rate of US dollar to the Russian ruble. It is 2 November 2009.
Declaration
public static DateTime UsdRateMinAvailableTime { get; }
Property Value
Type | Description |
---|---|
DateTime |
Methods
AddAdapter<TAdapter>(Connector, Action<TAdapter>)
Create IMessageAdapter.
Declaration
public static Connector AddAdapter<TAdapter>(this Connector connector, Action<TAdapter> init)
where TAdapter : IMessageAdapter
Parameters
Type | Name | Description |
---|---|---|
Connector | connector | The class to create connections to trading systems. |
Action<TAdapter> | init | Initialize |
Returns
Type | Description |
---|---|
Connector | The class to create connections to trading systems. |
Type Parameters
Name | Description |
---|---|
TAdapter | Adapter type. |
AddOrderErrorLog(ILogReceiver, Order, String, Func<String>)
Write order error to the log.
Declaration
public static void AddOrderErrorLog(this ILogReceiver receiver, Order order, string operation, Func<string> getAdditionalInfo = null)
Parameters
Type | Name | Description |
---|---|---|
ILogReceiver | receiver | Logs receiver. |
Order | order | Order. |
String | operation | Order action name. |
Func<String> | getAdditionalInfo | Extended order info. |
AddOrderInfoLog(ILogReceiver, Order, String, Func<String>)
Write order info to the log.
Declaration
public static void AddOrderInfoLog(this ILogReceiver receiver, Order order, string operation, Func<string> getAdditionalInfo = null)
Parameters
Type | Name | Description |
---|---|---|
ILogReceiver | receiver | Logs receiver. |
Order | order | Order. |
String | operation | Order action name. |
Func<String> | getAdditionalInfo | Extended order info. |
AddOrSubtractTradingDays(ExchangeBoard, DateTimeOffset, Int32, Boolean)
To get date of day T +/- of N trading days.
Declaration
public static DateTimeOffset AddOrSubtractTradingDays(this ExchangeBoard board, DateTimeOffset date, int n, bool checkHolidays = true)
Parameters
Type | Name | Description |
---|---|---|
ExchangeBoard | board | Board info. |
DateTimeOffset | date | The start T date, to which are added or subtracted N trading days. |
Int32 | n | The N size. The number of trading days for the addition or subtraction. |
Boolean | checkHolidays | Whether to check the passed date for a weekday (Saturday and Sunday are days off, returned value for them is false). |
Returns
Type | Description |
---|---|
DateTimeOffset | The end T +/- N date. |
ApplyChanges(Portfolio, PositionChangeMessage, IExchangeInfoProvider)
Apply changes to the portfolio object.
Declaration
public static void ApplyChanges(this Portfolio portfolio, PositionChangeMessage message, IExchangeInfoProvider exchangeInfoProvider)
Parameters
Type | Name | Description |
---|---|---|
Portfolio | portfolio | Portfolio. |
PositionChangeMessage | message | Portfolio change message. |
IExchangeInfoProvider | exchangeInfoProvider | Exchanges and trading boards provider. |
ApplyChanges(Position, PositionChangeMessage)
Apply changes to the position object.
Declaration
public static void ApplyChanges(this Position position, PositionChangeMessage message)
Parameters
Type | Name | Description |
---|---|---|
Position | position | Position. |
PositionChangeMessage | message | Position change message. |
ApplyChanges(Security, Level1ChangeMessage)
Apply change to the security object.
Declaration
public static void ApplyChanges(this Security security, Level1ChangeMessage message)
Parameters
Type | Name | Description |
---|---|---|
Security | security | Security. |
Level1ChangeMessage | message | Changes. |
ApplyChanges(Security, SecurityMessage, IExchangeInfoProvider, Boolean)
Apply change to the security object.
Declaration
public static void ApplyChanges(this Security security, SecurityMessage message, IExchangeInfoProvider exchangeInfoProvider, bool isOverride = true)
Parameters
Type | Name | Description |
---|---|---|
Security | security | Security. |
SecurityMessage | message | Meta info. |
IExchangeInfoProvider | exchangeInfoProvider | Exchanges and trading boards provider. |
Boolean | isOverride | Override previous security data by new values. |
ApplyChanges(Security, IEnumerable<KeyValuePair<Level1Fields, Object>>, DateTimeOffset, DateTimeOffset, Action<Security, Level1Fields, Object>)
Apply change to the security object.
Declaration
public static void ApplyChanges(this Security security, IEnumerable<KeyValuePair<Level1Fields, object>> changes, DateTimeOffset serverTime, DateTimeOffset localTime, Action<Security, Level1Fields, object> defaultHandler = null)
Parameters
Type | Name | Description |
---|---|---|
Security | security | Security. |
IEnumerable<KeyValuePair<Level1Fields, Object>> | changes | Changes. |
DateTimeOffset | serverTime | Change server time. |
DateTimeOffset | localTime | Local timestamp when a message was received/created. |
Action<Security, Level1Fields, Object> | defaultHandler | Default handler. |
ApplyNewBalance(Nullable<Decimal>, Decimal, Int64, ILogReceiver)
Check the possibility Balance change.
Declaration
public static Decimal ApplyNewBalance(this Nullable<Decimal> currBal, Decimal newBal, long transactionId, ILogReceiver logs)
Parameters
Type | Name | Description |
---|---|---|
Nullable<Decimal> | currBal | Current balance. |
Decimal | newBal | New balance. |
Int64 | transactionId | Transaction id. |
ILogReceiver | logs | Logs. |
Returns
Type | Description |
---|---|
Decimal | New balance. |
ApplyNewState(Order, OrderStates, ILogReceiver)
Check the possibility order's state change.
Declaration
public static void ApplyNewState(this Order order, OrderStates state, ILogReceiver logs = null)
Parameters
Type | Name | Description |
---|---|---|
Order | order | Order. |
OrderStates | state | Current order's state. |
ILogReceiver | logs | Logs. |
ApplyOffset(Unit, Sides, Unit, Security)
To use shifting for price, depending on direction side
.
Declaration
public static Decimal ApplyOffset(this Unit price, Sides side, Unit offset, Security security)
Parameters
Type | Name | Description |
---|---|---|
Unit | price | Price. |
Sides | side | The order direction, used as shift direction (for buy the shift is added, for sell - subtracted). |
Unit | offset | Price shift. |
Security | security | Security. |
Returns
Type | Description |
---|---|
Decimal | New price. |
CancelOrders(IConnector, IEnumerable<Order>, Nullable<Boolean>, Portfolio, Nullable<Sides>, ExchangeBoard, Security, Nullable<SecurityTypes>)
Cancel orders by filter.
Declaration
public static void CancelOrders(this IConnector connector, IEnumerable<Order> orders, Nullable<bool> isStopOrder = null, Portfolio portfolio = null, Nullable<Sides> direction = null, ExchangeBoard board = null, Security security = null, Nullable<SecurityTypes> securityType = null)
Parameters
Type | Name | Description |
---|---|---|
IConnector | connector | The connection of interaction with trade systems. |
IEnumerable<Order> | orders | The group of orders, from which the required orders shall be found and cancelled. |
Nullable<Boolean> | isStopOrder | true, if cancel only a stop orders, false - if regular orders, null - both. |
Portfolio | portfolio | Portfolio. If the value is equal to null, then the portfolio does not match the orders cancel filter. |
Nullable<Sides> | direction | Order side. If the value is null, the direction does not use. |
ExchangeBoard | board | Trading board. If the value is equal to null, then the board does not match the orders cancel filter. |
Security | security | Instrument. If the value is equal to null, then the instrument does not match the orders cancel filter. |
Nullable<SecurityTypes> | securityType | Security type. If the value is null, the type does not use. |
ChangeSubscriptionState(SubscriptionStates, SubscriptionStates, Int64, ILogReceiver, Boolean)
Change subscription state.
Declaration
public static SubscriptionStates ChangeSubscriptionState(this SubscriptionStates currState, SubscriptionStates newState, long subscriptionId, ILogReceiver receiver, bool isInfoLevel = true)
Parameters
Type | Name | Description |
---|---|---|
SubscriptionStates | currState | Current state. |
SubscriptionStates | newState | New state. |
Int64 | subscriptionId | Subscription id. |
ILogReceiver | receiver | Logs. |
Boolean | isInfoLevel | Use Info for log message. |
Returns
Type | Description |
---|---|
SubscriptionStates | New state. |
Compile(String, Boolean)
Compile mathematical formula.
Declaration
public static ExpressionFormula Compile(this string expression, bool useIds = true)
Parameters
Type | Name | Description |
---|---|---|
String | expression | Text expression. |
Boolean | useIds | Use ids as variables. |
Returns
Type | Description |
---|---|
Ecng.ComponentModel.Expressions.ExpressionFormula | Compiled mathematical formula. |
Contains(BasketSecurity, ISecurityProvider, Security)
To check whether specified instrument is used now.
Declaration
public static bool Contains(this BasketSecurity basketSecurity, ISecurityProvider securityProvider, Security security)
Parameters
Type | Name | Description |
---|---|---|
BasketSecurity | basketSecurity | Instruments basket. |
ISecurityProvider | securityProvider | The provider of information about instruments. |
Security | security | The instrument that should be checked. |
Returns
Type | Description |
---|---|
Boolean | true, if specified instrument is used now, otherwise false. |
CreateProcessor(IBasketSecurityProcessorProvider, Security)
Create market data processor for basket securities.
Declaration
public static IBasketSecurityProcessor CreateProcessor(this IBasketSecurityProcessorProvider processorProvider, Security security)
Parameters
Type | Name | Description |
---|---|---|
IBasketSecurityProcessorProvider | processorProvider | Basket security processors provider. |
Security | security | Basket security. |
Returns
Type | Description |
---|---|
IBasketSecurityProcessor | Market data processor for basket securities. |
DeleteAll(ISecurityStorage)
To delete all instruments.
Declaration
public static void DeleteAll(this ISecurityStorage storage)
Parameters
Type | Name | Description |
---|---|---|
ISecurityStorage | storage | Securities meta info storage. |
Download<TResult>(IMessageAdapter, Message)
Download data.
Declaration
public static IEnumerable<TResult> Download<TResult>(this IMessageAdapter adapter, Message request)
where TResult : Message
Parameters
Type | Name | Description |
---|---|---|
IMessageAdapter | adapter | Adapter. |
Message | request | Request. |
Returns
Type | Description |
---|---|
IEnumerable<TResult> | Downloaded data. |
Type Parameters
Name | Description |
---|---|
TResult | Result message. |
DownloadInfo(IDictionary<Tuple<String, SecurityTypes>, SecurityMessage>)
Download securities info.
Declaration
public static void DownloadInfo(this IDictionary<Tuple<string, SecurityTypes>, SecurityMessage> securities)
Parameters
Type | Name | Description |
---|---|---|
IDictionary<Tuple<String, SecurityTypes>, SecurityMessage> | securities | Securities. |
EmulateTrades(MarketDepth, IEnumerable<ExecutionMessage>)
To delete in order book levels, which shall disappear in case of trades occurrence trades
.
Declaration
public static void EmulateTrades(this MarketDepth depth, IEnumerable<ExecutionMessage> trades)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | The order book to be cleared. |
IEnumerable<ExecutionMessage> | trades | Trades. |
FillFortsJumps(ExpirationContinuousSecurity, ISecurityProvider, String, DateTime, DateTime)
To fill transitions ExpirationJumps.
Declaration
public static void FillFortsJumps(this ExpirationContinuousSecurity continuousSecurity, ISecurityProvider provider, string baseCode, DateTime from, DateTime to)
Parameters
Type | Name | Description |
---|---|---|
ExpirationContinuousSecurity | continuousSecurity | Continuous security. |
ISecurityProvider | provider | The provider of information about instruments. |
String | baseCode | The base part of the instrument code. |
DateTime | from | The start of the expiration range. |
DateTime | to | The end of the expiration range. |
Filter(IEnumerable<ExchangeBoard>, BoardLookupMessage)
Filter boards by code criteria.
Declaration
public static IEnumerable<ExchangeBoard> Filter(this IEnumerable<ExchangeBoard> boards, BoardLookupMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<ExchangeBoard> | boards | All boards. |
BoardLookupMessage | criteria | Criteria. |
Returns
Type | Description |
---|---|
IEnumerable<ExchangeBoard> | Found boards. |
Filter(IEnumerable<MyTrade>, Order)
To filter own trades for the given order.
Declaration
public static IEnumerable<MyTrade> Filter(this IEnumerable<MyTrade> myTrades, Order order)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<MyTrade> | myTrades | All own trades, in which the required shall be looked for. |
Order | order | The order, for which trades shall be filtered. |
Returns
Type | Description |
---|---|
IEnumerable<MyTrade> | Filtered orders. |
Filter(IEnumerable<MyTrade>, Portfolio)
To filter own trades for the given portfolio.
Declaration
public static IEnumerable<MyTrade> Filter(this IEnumerable<MyTrade> myTrades, Portfolio portfolio)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<MyTrade> | myTrades | All own trades, in which the required shall be looked for. |
Portfolio | portfolio | The portfolio, for which the trades shall be filtered. |
Returns
Type | Description |
---|---|
IEnumerable<MyTrade> | Filtered trades. |
Filter(IEnumerable<MyTrade>, Security)
To filter own trades for the given instrument.
Declaration
public static IEnumerable<MyTrade> Filter(this IEnumerable<MyTrade> myTrades, Security security)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<MyTrade> | myTrades | All own trades, in which the required shall be looked for. |
Security | security | The instrument, on which the trades shall be found. |
Returns
Type | Description |
---|---|
IEnumerable<MyTrade> | Filtered trades. |
Filter(IEnumerable<Order>, Portfolio)
To filter orders for the given portfolio.
Declaration
public static IEnumerable<Order> Filter(this IEnumerable<Order> orders, Portfolio portfolio)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Order> | orders | All orders, in which the required shall be searched for. |
Portfolio | portfolio | The portfolio, for which the orders shall be filtered. |
Returns
Type | Description |
---|---|
IEnumerable<Order> | Filtered orders. |
Filter(IEnumerable<Order>, Security)
To filter orders for the given instrument.
Declaration
public static IEnumerable<Order> Filter(this IEnumerable<Order> orders, Security security)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Order> | orders | All orders, in which the required shall be searched for. |
Security | security | The instrument, for which the orders shall be filtered. |
Returns
Type | Description |
---|---|
IEnumerable<Order> | Filtered orders. |
Filter(IEnumerable<Order>, OrderStates)
To filter orders for the given condition.
Declaration
public static IEnumerable<Order> Filter(this IEnumerable<Order> orders, OrderStates state)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Order> | orders | All orders, in which the required shall be searched for. |
OrderStates | state | Order state. |
Returns
Type | Description |
---|---|
IEnumerable<Order> | Filtered orders. |
Filter(IEnumerable<Order>, Sides)
To filter orders for the given direction.
Declaration
public static IEnumerable<Order> Filter(this IEnumerable<Order> orders, Sides direction)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Order> | orders | All orders, in which the required shall be searched for. |
Sides | direction | Order side. |
Returns
Type | Description |
---|---|
IEnumerable<Order> | Filtered orders. |
Filter(IEnumerable<Portfolio>, PortfolioLookupMessage)
Filter portfolios by the specified criteria.
Declaration
public static IEnumerable<Portfolio> Filter(this IEnumerable<Portfolio> portfolios, PortfolioLookupMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Portfolio> | portfolios | All portfolios. |
PortfolioLookupMessage | criteria | Criteria. |
Returns
Type | Description |
---|---|
IEnumerable<Portfolio> | Found portfolios. |
Filter(IEnumerable<Position>, Portfolio)
To filter positions for the given portfolio.
Declaration
public static IEnumerable<Position> Filter(this IEnumerable<Position> positions, Portfolio portfolio)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Position> | positions | All positions, in which the required shall be searched for. |
Portfolio | portfolio | The portfolio, for which positions shall be filtered. |
Returns
Type | Description |
---|---|
IEnumerable<Position> | Filtered positions. |
Filter(IEnumerable<Position>, Security)
To filter positions for the given instrument.
Declaration
public static IEnumerable<Position> Filter(this IEnumerable<Position> positions, Security security)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Position> | positions | All positions, in which the required shall be searched for. |
Security | security | The instrument, for which positions shall be filtered. |
Returns
Type | Description |
---|---|
IEnumerable<Position> | Filtered positions. |
Filter(IEnumerable<Position>, PortfolioLookupMessage)
Filter positions the specified criteria.
Declaration
public static IEnumerable<Position> Filter(this IEnumerable<Position> positions, PortfolioLookupMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Position> | positions | All positions. |
PortfolioLookupMessage | criteria | Criteria. |
Returns
Type | Description |
---|---|
IEnumerable<Position> | Found positions. |
Filter(IEnumerable<Security>, ExchangeBoard)
To filter instruments by the trading board.
Declaration
public static IEnumerable<Security> Filter(this IEnumerable<Security> securities, ExchangeBoard board)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Security> | securities | Securities. |
ExchangeBoard | board | Trading board. |
Returns
Type | Description |
---|---|
IEnumerable<Security> | Instruments filtered. |
Filter(IEnumerable<Security>, Security)
To filter instruments by the given criteria.
Declaration
public static IEnumerable<Security> Filter(this IEnumerable<Security> securities, Security criteria)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Security> | securities | Securities. |
Security | criteria | The instrument whose fields will be used as a filter. |
Returns
Type | Description |
---|---|
IEnumerable<Security> | Instruments filtered. |
Filter(IEnumerable<Security>, SecurityLookupMessage)
To filter instruments by the given criteria.
Declaration
public static IEnumerable<Security> Filter(this IEnumerable<Security> securities, SecurityLookupMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Security> | securities | Securities. |
SecurityLookupMessage | criteria | Message security lookup for specified criteria. |
Returns
Type | Description |
---|---|
IEnumerable<Security> | Instruments filtered. |
Filter(IEnumerable<Trade>, Security)
To filter orders for the given instrument.
Declaration
public static IEnumerable<Trade> Filter(this IEnumerable<Trade> trades, Security security)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Trade> | trades | All trades, in which the required shall be searched for. |
Security | security | The instrument, for which the trades shall be filtered. |
Returns
Type | Description |
---|---|
IEnumerable<Trade> | Filtered trades. |
Filter(IEnumerable<Trade>, DateTimeOffset, DateTimeOffset)
To filter trades for the given time period.
Declaration
public static IEnumerable<Trade> Filter(this IEnumerable<Trade> trades, DateTimeOffset from, DateTimeOffset to)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<Trade> | trades | All trades, in which the required shall be searched for. |
DateTimeOffset | from | The start date for trades searching. |
DateTimeOffset | to | The end date for trades searching. |
Returns
Type | Description |
---|---|
IEnumerable<Trade> | Filtered trades. |
GenerateId(SecurityIdGenerator, String, ExchangeBoard)
Declaration
public static string GenerateId(this SecurityIdGenerator generator, string secCode, ExchangeBoard board)
Parameters
Type | Name | Description |
---|---|---|
SecurityIdGenerator | generator | |
String | secCode | |
ExchangeBoard | board |
Returns
Type | Description |
---|---|
String |
GetAllSecurity(ISecurityProvider)
Find AllSecurity instance in the specified provider.
Declaration
public static Security GetAllSecurity(this ISecurityProvider provider)
Parameters
Type | Name | Description |
---|---|---|
ISecurityProvider | provider | The provider of information about instruments. |
Returns
Type | Description |
---|---|
Security | Found instance. |
GetAveragePrice(Order, IConnector)
To get weighted mean price of order matching.
Declaration
public static Decimal GetAveragePrice(this Order order, IConnector connector)
Parameters
Type | Name | Description |
---|---|---|
Order | order | The order, for which the weighted mean matching price shall be got. |
IConnector | connector | The connection of interaction with trade systems. |
Returns
Type | Description |
---|---|
Decimal | The weighted mean price. If no order exists no trades, 0 is returned. |
GetAveragePrice(IEnumerable<MyTrade>)
To get the weighted mean price of matching by own trades.
Declaration
public static Decimal GetAveragePrice(this IEnumerable<MyTrade> trades)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<MyTrade> | trades | Trades, for which the weighted mean price of matching shall be got. |
Returns
Type | Description |
---|---|
Decimal | The weighted mean price. If no trades, 0 is returned. |
GetCandles(IMessageAdapter, SecurityId, TimeSpan, DateTimeOffset, DateTimeOffset, Nullable<Int64>, Nullable<Level1Fields>)
To download candles.
Declaration
public static IEnumerable<TimeFrameCandleMessage> GetCandles(this IMessageAdapter adapter, SecurityId securityId, TimeSpan timeFrame, DateTimeOffset from, DateTimeOffset to, Nullable<long> count = null, Nullable<Level1Fields> buildField = null)
Parameters
Type | Name | Description |
---|---|---|
IMessageAdapter | adapter | Adapter. |
SecurityId | securityId | Security ID. |
TimeSpan | timeFrame | Time-frame. |
DateTimeOffset | from | Begin period. |
DateTimeOffset | to | End period. |
Nullable<Int64> | count | Candles count. |
Nullable<Level1Fields> | buildField | Extra info for the BuildFrom. |
Returns
Type | Description |
---|---|
IEnumerable<TimeFrameCandleMessage> | Downloaded candles. |
GetCurrentPrice(MarketDepth, Sides, MarketPriceTypes, IEnumerable<Order>)
To calculate the current price by the order book depending on the order direction.
Declaration
public static Unit GetCurrentPrice(this MarketDepth depth, Sides side, MarketPriceTypes priceType, IEnumerable<Order> orders = null)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | The order book for the current price calculation. |
Sides | side | The order direction. If it is a buy, BestAsk value is used, otherwise BestBid. |
MarketPriceTypes | priceType | The type of current price. |
IEnumerable<Order> | orders | Orders to be ignored. |
Returns
Type | Description |
---|---|
Unit | The current price. If information in order book is insufficient, then null will be returned. |
Remarks
For correct operation of the method the order book export shall be launched.
GetCurrentPrice(MarketDepthPair, Sides, MarketPriceTypes)
To calculate the current price based on the best pair of quotes, depending on the order direction.
Declaration
public static Unit GetCurrentPrice(this MarketDepthPair bestPair, Sides side, MarketPriceTypes priceType)
Parameters
Type | Name | Description |
---|---|---|
MarketDepthPair | bestPair | The best pair of quotes, used for the current price calculation. |
Sides | side | The order direction. If it is a buy, Ask value is used, otherwise Bid. |
MarketPriceTypes | priceType | The type of current price. |
Returns
Type | Description |
---|---|
Unit | The current price. If information in order book is insufficient, then null will be returned. |
Remarks
For correct operation of the method the order book export shall be launched.
GetCurrentPrice(Security, IMarketDataProvider, Nullable<Sides>, MarketPriceTypes, IEnumerable<Order>)
To calculate the current price by the instrument depending on the order direction.
Declaration
public static Unit GetCurrentPrice(this Security security, IMarketDataProvider provider, Nullable<Sides> direction = null, MarketPriceTypes priceType, IEnumerable<Order> orders = null)
Parameters
Type | Name | Description |
---|---|---|
Security | security | The instrument used for the current price calculation. |
IMarketDataProvider | provider | The market data provider. |
Nullable<Sides> | direction | Order side. |
MarketPriceTypes | priceType | The type of market price. |
IEnumerable<Order> | orders | Orders to be ignored. |
Returns
Type | Description |
---|---|
Unit | The current price. If information in order book is insufficient, then null will be returned. |
GetDirection(Position)
To get the order direction for the position.
Declaration
public static Nullable<Sides> GetDirection(this Position position)
Parameters
Type | Name | Description |
---|---|---|
Position | position | The position value. |
Returns
Type | Description |
---|---|
Nullable<Sides> | Order side. |
Remarks
GetDirection(Decimal)
To get the order direction for the position.
Declaration
public static Nullable<Sides> GetDirection(this Decimal position)
Parameters
Type | Name | Description |
---|---|---|
Decimal | position | The position value. |
Returns
Type | Description |
---|---|
Nullable<Sides> | Order side. |
Remarks
GetExpiryDates(DateTime, DateTime)
To get the expiration date for Forts.
Declaration
public static IEnumerable<DateTimeOffset> GetExpiryDates(this DateTime from, DateTime to)
Parameters
Type | Name | Description |
---|---|---|
DateTime | from | The start of the expiration range. |
DateTime | to | The end of the expiration range. |
Returns
Type | Description |
---|---|
IEnumerable<DateTimeOffset> | Expiration dates. |
GetFortsEndOfDay(String, DateTime, DateTime)
It returns a list of the data at the end of day (EOD, End-Of-Day) by the selected instrument for the specified period.
Declaration
public static IEnumerable<Level1ChangeMessage> GetFortsEndOfDay(this string securityName, DateTime fromDate, DateTime toDate)
Parameters
Type | Name | Description |
---|---|---|
String | securityName | Security name. |
DateTime | fromDate | Begin period. |
DateTime | toDate | End period. |
Returns
Type | Description |
---|---|
IEnumerable<Level1ChangeMessage> | Historical market-data. |
GetFortsJumps(ExpirationContinuousSecurity, ISecurityProvider, String, DateTime, DateTime, Boolean)
To get real expiration instruments for the continuous instrument.
Declaration
public static IEnumerable<Security> GetFortsJumps(this ExpirationContinuousSecurity continuousSecurity, ISecurityProvider provider, string baseCode, DateTime from, DateTime to, bool throwIfNotExists = true)
Parameters
Type | Name | Description |
---|---|---|
ExpirationContinuousSecurity | continuousSecurity | Continuous security. |
ISecurityProvider | provider | The provider of information about instruments. |
String | baseCode | The base part of the instrument code. |
DateTime | from | The start of the expiration range. |
DateTime | to | The end of the expiration range. |
Boolean | throwIfNotExists | To generate exception, if some of instruments for passed |
Returns
Type | Description |
---|---|
IEnumerable<Security> | Expiration instruments. |
GetFortsJumps(String, DateTime, DateTime, Func<String, Security>, Boolean)
To get real expiration instruments for base part of the code.
Declaration
public static IEnumerable<Security> GetFortsJumps(this string baseCode, DateTime from, DateTime to, Func<string, Security> getSecurity, bool throwIfNotExists = true)
Parameters
Type | Name | Description |
---|---|---|
String | baseCode | The base part of the instrument code. |
DateTime | from | The start of the expiration range. |
DateTime | to | The end of the expiration range. |
Func<String, Security> | getSecurity | The function to get instrument by the code. |
Boolean | throwIfNotExists | To generate exception, if some of instruments are not available. |
Returns
Type | Description |
---|---|
IEnumerable<Security> | Expiration instruments. |
GetFortsRate(SecurityId, DateTime, DateTime)
To get an indicative exchange rate of a currency pair.
Declaration
public static IDictionary<DateTimeOffset, Decimal> GetFortsRate(this SecurityId securityId, DateTime fromDate, DateTime toDate)
Parameters
Type | Name | Description |
---|---|---|
SecurityId | securityId | Security ID. |
DateTime | fromDate | Begin period. |
DateTime | toDate | End period. |
Returns
Type | Description |
---|---|
IDictionary<DateTimeOffset, Decimal> | The indicative rate of US dollar to the Russian ruble. |
GetFortsYesterdayEndOfDay(String)
It returns yesterday's data at the end of day (EOD, End-Of-Day) by the selected instrument.
Declaration
public static Level1ChangeMessage GetFortsYesterdayEndOfDay(this string securityName)
Parameters
Type | Name | Description |
---|---|---|
String | securityName | Security name. |
Returns
Type | Description |
---|---|
Level1ChangeMessage | Yesterday's market-data. |
Remarks
Date is determined by the system time.
GetInnerSecurities(BasketSecurity, ISecurityProvider)
Find inner security instances.
Declaration
public static IEnumerable<Security> GetInnerSecurities(this BasketSecurity security, ISecurityProvider securityProvider)
Parameters
Type | Name | Description |
---|---|---|
BasketSecurity | security | Instruments basket. |
ISecurityProvider | securityProvider | The provider of information about instruments. |
Returns
Type | Description |
---|---|
IEnumerable<Security> | Instruments, from which this basket is created. |
GetLevel1(IMessageAdapter, SecurityId, DateTime, DateTime, IEnumerable<Level1Fields>)
To get level1 market data.
Declaration
public static IEnumerable<Level1ChangeMessage> GetLevel1(this IMessageAdapter adapter, SecurityId securityId, DateTime beginDate, DateTime endDate, IEnumerable<Level1Fields> fields = null)
Parameters
Type | Name | Description |
---|---|---|
IMessageAdapter | adapter | Adapter. |
SecurityId | securityId | Security ID. |
DateTime | beginDate | Start date. |
DateTime | endDate | End date. |
IEnumerable<Level1Fields> | fields | Market data fields. |
Returns
Type | Description |
---|---|
IEnumerable<Level1ChangeMessage> | Level1 market data. |
GetMatchedVolume(Order)
To calculate the implemented part of volume for order.
Declaration
public static Decimal GetMatchedVolume(this Order order)
Parameters
Type | Name | Description |
---|---|---|
Order | order | The order, for which the implemented part of volume shall be calculated. |
Returns
Type | Description |
---|---|
Decimal | The implemented part of volume. |
GetMatchedVolume(Order, IConnector)
To calculate the implemented part of volume for order.
Declaration
public static Decimal GetMatchedVolume(this Order order, IConnector connector)
Parameters
Type | Name | Description |
---|---|---|
Order | order | The order, for which the implemented part of volume shall be calculated. |
IConnector | connector | The connection of interaction with trade systems. |
Returns
Type | Description |
---|---|
Decimal | The implemented part of volume. |
GetOrCreate(ISecurityStorage, SecurityId, Func<String, Security>, out Boolean)
Get or create (if not exist).
Declaration
public static Security GetOrCreate(this ISecurityStorage storage, SecurityId id, Func<string, Security> creator, out bool isNew)
Parameters
Type | Name | Description |
---|---|---|
ISecurityStorage | storage | Securities meta info storage. |
SecurityId | id | Security ID. |
Func<String, Security> | creator | Creator. |
Boolean | isNew | Is newly created. |
Returns
Type | Description |
---|---|
Security | Security. |
GetOrCreateBoard(IExchangeInfoProvider, String, out Boolean, Func<String, ExchangeBoard>)
To get a board by its code. If board with the passed name does not exist, then it will be created.
Declaration
public static ExchangeBoard GetOrCreateBoard(this IExchangeInfoProvider exchangeInfoProvider, string code, out bool isNew, Func<string, ExchangeBoard> createBoard = null)
Parameters
Type | Name | Description |
---|---|---|
IExchangeInfoProvider | exchangeInfoProvider | Exchanges and trading boards provider. |
String | code | Board code. |
Boolean | isNew | Is newly created. |
Func<String, ExchangeBoard> | createBoard | The handler creating a board, if it is not found. If the value is null, then the board is created by default initialization. |
Returns
Type | Description |
---|---|
ExchangeBoard | Exchange board. |
GetOrCreateBoard(IExchangeInfoProvider, String, Func<String, ExchangeBoard>)
To get a board by its code. If board with the passed name does not exist, then it will be created.
Declaration
public static ExchangeBoard GetOrCreateBoard(this IExchangeInfoProvider exchangeInfoProvider, string code, Func<string, ExchangeBoard> createBoard = null)
Parameters
Type | Name | Description |
---|---|---|
IExchangeInfoProvider | exchangeInfoProvider | Exchanges and trading boards provider. |
String | code | Board code. |
Func<String, ExchangeBoard> | createBoard | The handler creating a board, if it is not found. If the value is null, then the board is created by default initialization. |
Returns
Type | Description |
---|---|
ExchangeBoard | Exchange board. |
GetOrCreatePortfolio(IPositionStorage, String, Func<String, Portfolio>, out Boolean)
Get or create (if not exist).
Declaration
public static Portfolio GetOrCreatePortfolio(this IPositionStorage storage, string portfolioName, Func<string, Portfolio> creator, out bool isNew)
Parameters
Type | Name | Description |
---|---|---|
IPositionStorage | storage | Storage. |
String | portfolioName | Portfolio code name. |
Func<String, Portfolio> | creator | Creator. |
Boolean | isNew | Is newly created. |
Returns
Type | Description |
---|---|
Portfolio | Portfolio. |
GetOrCreatePosition(IPositionStorage, Portfolio, Security, String, Nullable<Sides>, String, String, Nullable<TPlusLimits>, Func<Portfolio, Security, String, Nullable<Sides>, String, String, Nullable<TPlusLimits>, Position>, out Boolean)
Get or create (if not exist).
Declaration
public static Position GetOrCreatePosition(this IPositionStorage storage, Portfolio portfolio, Security security, string strategyId, Nullable<Sides> side, string clientCode, string depoName, Nullable<TPlusLimits> limitType, Func<Portfolio, Security, string, Nullable<Sides>, string, string, Nullable<TPlusLimits>, Position> creator, out bool isNew)
Parameters
Type | Name | Description |
---|---|---|
IPositionStorage | storage | Storage. |
Portfolio | portfolio | Portfolio. |
Security | security | Security. |
String | strategyId | Strategy ID. |
Nullable<Sides> | side | Side. |
String | clientCode | Client code. |
String | depoName | Depo name. |
Nullable<TPlusLimits> | limitType | Limit type. |
Func<Portfolio, Security, String, Nullable<Sides>, String, String, Nullable<TPlusLimits>, Position> | creator | Creator. |
Boolean | isNew | Is newly created. |
Returns
Type | Description |
---|---|
Position | Position. |
GetOrderLog(IMessageAdapter, SecurityId, DateTime, DateTime)
To get order log.
Declaration
public static IEnumerable<ExecutionMessage> GetOrderLog(this IMessageAdapter adapter, SecurityId securityId, DateTime beginDate, DateTime endDate)
Parameters
Type | Name | Description |
---|---|---|
IMessageAdapter | adapter | Adapter. |
SecurityId | securityId | Security ID. |
DateTime | beginDate | Start date. |
DateTime | endDate | End date. |
Returns
Type | Description |
---|---|
IEnumerable<ExecutionMessage> | Order log. |
GetPlazaTimeInForce(Int64)
Extract TimeInForce from bits flag.
Declaration
public static Nullable<TimeInForce> GetPlazaTimeInForce(this long status)
Parameters
Type | Name | Description |
---|---|---|
Int64 | status | Bits flag. |
Returns
Type | Description |
---|---|
Nullable<TimeInForce> |
GetPnL(Portfolio)
To calculate profit-loss based on the portfolio.
Declaration
public static Nullable<Decimal> GetPnL(this Portfolio portfolio)
Parameters
Type | Name | Description |
---|---|---|
Portfolio | portfolio | The portfolio, for which the profit-loss shall be calculated. |
Returns
Type | Description |
---|---|
Nullable<Decimal> | Profit-loss. |
GetPosition(MyTrade)
To get the position on own trade.
Declaration
public static Nullable<Decimal> GetPosition(this MyTrade trade)
Parameters
Type | Name | Description |
---|---|---|
MyTrade | trade | Own trade, used for position calculation. At buy the trade volume Volume is taken with positive sign, at sell - with negative. |
Returns
Type | Description |
---|---|
Nullable<Decimal> | Position. |
GetPosition(ExecutionMessage, Boolean)
To get the position on own trade.
Declaration
public static Nullable<Decimal> GetPosition(this ExecutionMessage message, bool byOrder)
Parameters
Type | Name | Description |
---|---|---|
ExecutionMessage | message | Own trade, used for position calculation. At buy the trade volume TradeVolume is taken with positive sign, at sell - with negative. |
Boolean | byOrder | To check implemented volume by order balance (Balance) or by received trades. The default is checked by the order. |
Returns
Type | Description |
---|---|
Nullable<Decimal> | Position. |
GetSecurities(IMessageAdapter, SecurityLookupMessage)
Download all securities.
Declaration
public static IEnumerable<SecurityMessage> GetSecurities(this IMessageAdapter adapter, SecurityLookupMessage lookupMsg)
Parameters
Type | Name | Description |
---|---|---|
IMessageAdapter | adapter | Adapter. |
SecurityLookupMessage | lookupMsg | Message security lookup for specified criteria. |
Returns
Type | Description |
---|---|
IEnumerable<SecurityMessage> | All securities. |
GetSecurityCriteria(Connector, SecurityLookupMessage, IExchangeInfoProvider)
To create the search criteria Security from SecurityLookupMessage.
Declaration
public static Security GetSecurityCriteria(this Connector connector, SecurityLookupMessage criteria, IExchangeInfoProvider exchangeInfoProvider)
Parameters
Type | Name | Description |
---|---|---|
Connector | connector | Connection to the trading system. |
SecurityLookupMessage | criteria | The criterion which fields will be used as a filter. |
IExchangeInfoProvider | exchangeInfoProvider | Exchanges and trading boards provider. |
Returns
Type | Description |
---|---|
Security | Search criterion. |
GetSecurityValue<T>(IMarketDataProvider, Security, Level1Fields)
To get the value of market data for the instrument.
Declaration
public static T GetSecurityValue<T>(this IMarketDataProvider provider, Security security, Level1Fields field)
Parameters
Type | Name | Description |
---|---|---|
IMarketDataProvider | provider | The market data provider. |
Security | security | Security. |
Level1Fields | field | Market-data field. |
Returns
Type | Description |
---|---|
T | The field value. If no data, the null will be returned. |
Type Parameters
Name | Description |
---|---|
T | The type of the market data field value. |
GetSecurityValues(IMarketDataProvider, Security)
To get all market data values for the instrument.
Declaration
public static IDictionary<Level1Fields, object> GetSecurityValues(this IMarketDataProvider provider, Security security)
Parameters
Type | Name | Description |
---|---|---|
IMarketDataProvider | provider | The market data provider. |
Security | security | Security. |
Returns
Type | Description |
---|---|
IDictionary<Level1Fields, Object> | Filed values. If there is no data, null is returned. |
GetTheoreticalTrades(MarketDepth, Order)
To get probable trades for order book for the given order.
Declaration
public static IEnumerable<MyTrade> GetTheoreticalTrades(this MarketDepth depth, Order order)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | The order book, reflecting situation on market at the moment of function call. |
Order | order | The order, for which probable trades shall be calculated. |
Returns
Type | Description |
---|---|
IEnumerable<MyTrade> | Probable trades. |
GetTheoreticalTrades(MarketDepth, Sides, Decimal)
To get probable trades by the order book for the market price and given volume.
Declaration
public static IEnumerable<MyTrade> GetTheoreticalTrades(this MarketDepth depth, Sides orderDirection, Decimal volume)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | The order book, reflecting situation on market at the moment of function call. |
Sides | orderDirection | Order side. |
Decimal | volume | The volume, supposed to be implemented. |
Returns
Type | Description |
---|---|
IEnumerable<MyTrade> | Probable trades. |
GetTheoreticalTrades(MarketDepth, Sides, Decimal, Decimal)
To get probable trades by order book for given price and volume.
Declaration
public static IEnumerable<MyTrade> GetTheoreticalTrades(this MarketDepth depth, Sides orderDirection, Decimal volume, Decimal price)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | The order book, reflecting situation on market at the moment of function call. |
Sides | orderDirection | Order side. |
Decimal | volume | The volume, supposed to be implemented. |
Decimal | price | The price, based on which the order is supposed to be forwarded. If it equals 0, option of market order will be considered. |
Returns
Type | Description |
---|---|
IEnumerable<MyTrade> | Probable trades. |
GetTicks(IMessageAdapter, SecurityId, DateTime, DateTime)
To get tick data.
Declaration
public static IEnumerable<ExecutionMessage> GetTicks(this IMessageAdapter adapter, SecurityId securityId, DateTime beginDate, DateTime endDate)
Parameters
Type | Name | Description |
---|---|---|
IMessageAdapter | adapter | Adapter. |
SecurityId | securityId | Security ID. |
DateTime | beginDate | Start date. |
DateTime | endDate | End date. |
Returns
Type | Description |
---|---|
IEnumerable<ExecutionMessage> | Tick data. |
GetTrades(Order, IConnector)
To get order trades.
Declaration
public static IEnumerable<MyTrade> GetTrades(this Order order, IConnector connector)
Parameters
Type | Name | Description |
---|---|---|
Order | order | Orders. |
IConnector | connector | The connection of interaction with trade systems. |
Returns
Type | Description |
---|---|
IEnumerable<MyTrade> | Trades. |
GetUniqueId(Portfolio)
Get portfolio identifier.
Declaration
public static string GetUniqueId(this Portfolio portfolio)
Parameters
Type | Name | Description |
---|---|---|
Portfolio | portfolio | Portfolio. |
Returns
Type | Description |
---|---|
String | Portfolio identifier. |
Group(MarketDepth, Unit)
To group the order book by the price range.
Declaration
public static MarketDepth Group(this MarketDepth depth, Unit priceRange)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | The order book to be grouped. |
Unit | priceRange | The price range, for which grouping shall be performed. |
Returns
Type | Description |
---|---|
MarketDepth | The grouped order book. |
IsActive(SubscriptionStates)
Declaration
public static bool IsActive(this SubscriptionStates state)
Parameters
Type | Name | Description |
---|---|---|
SubscriptionStates | state | State. |
Returns
Type | Description |
---|---|
Boolean | Check result. |
IsAllSecurity(Security)
Check if the specified security is AllSecurity.
Declaration
public static bool IsAllSecurity(this Security security)
Parameters
Type | Name | Description |
---|---|---|
Security | security | Security. |
Returns
Type | Description |
---|---|
Boolean | true, if the specified security is AllSecurity, otherwise, false. |
IsAssociated(SecurityId, ExchangeBoard)
Is specified security id associated with the board.
Declaration
public static bool IsAssociated(this SecurityId securityId, ExchangeBoard board)
Parameters
Type | Name | Description |
---|---|---|
SecurityId | securityId | Security ID. |
ExchangeBoard | board | Board info. |
Returns
Type | Description |
---|---|
Boolean | true, if associated, otherwise, false. |
IsBasket(Security)
Is specified security is basket.
Declaration
public static bool IsBasket(this Security security)
Parameters
Type | Name | Description |
---|---|---|
Security | security | Security. |
Returns
Type | Description |
---|---|
Boolean | Check result. |
IsCanceled(Order)
To check, whether the order was cancelled.
Declaration
public static bool IsCanceled(this Order order)
Parameters
Type | Name | Description |
---|---|---|
Order | order | The order to be checked. |
Returns
Type | Description |
---|---|
Boolean | true, if the order is cancelled, otherwise, false. |
IsContinuous(Security)
Is specified security is continuous.
Declaration
public static bool IsContinuous(this Security security)
Parameters
Type | Name | Description |
---|---|---|
Security | security | Security. |
Returns
Type | Description |
---|---|
Boolean | Check result. |
IsContinuous(SecurityMessage)
Is specified security is continuous.
Declaration
public static bool IsContinuous(this SecurityMessage security)
Parameters
Type | Name | Description |
---|---|---|
SecurityMessage | security | Security. |
Returns
Type | Description |
---|---|
Boolean | Check result. |
IsFinal(OrderStates)
Declaration
public static bool IsFinal(this OrderStates state)
Parameters
Type | Name | Description |
---|---|---|
OrderStates | state | Order state. |
Returns
Type | Description |
---|---|
Boolean | Check result. |
IsFullEmpty(MarketDepth)
To determine, is the order book empty.
Declaration
public static bool IsFullEmpty(this MarketDepth depth)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | Market depth. |
Returns
Type | Description |
---|---|
Boolean | true, if order book is empty, otherwise, false. |
IsHalfEmpty(MarketDepth)
To determine, is the order book half-empty.
Declaration
public static bool IsHalfEmpty(this MarketDepth depth)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | Market depth. |
Returns
Type | Description |
---|---|
Boolean | true, if the order book is half-empty, otherwise, false. |
IsIndex(Security)
Is specified security is index.
Declaration
public static bool IsIndex(this Security security)
Parameters
Type | Name | Description |
---|---|---|
Security | security | Security. |
Returns
Type | Description |
---|---|
Boolean | Check result. |
IsLookupAll(Security)
Determine the criteria
contains lookup all filter.
Declaration
public static bool IsLookupAll(this Security criteria)
Parameters
Type | Name | Description |
---|---|---|
Security | criteria | The instrument whose fields will be used as a filter. |
Returns
Type | Description |
---|---|
Boolean | Check result. |
IsMatched(Order)
To check, is the order matched completely.
Declaration
public static bool IsMatched(this Order order)
Parameters
Type | Name | Description |
---|---|---|
Order | order | The order to be checked. |
Returns
Type | Description |
---|---|
Boolean | true, if the order is matched completely, otherwise, false. |
IsMatchedEmpty(Order)
To check, if no contract in order is implemented.
Declaration
public static bool IsMatchedEmpty(this Order order)
Parameters
Type | Name | Description |
---|---|---|
Order | order | The order to be checked. |
Returns
Type | Description |
---|---|
Boolean | true, if no contract is implemented, otherwise, false. |
IsMatchedPartially(Order)
To check, is a part of volume is implemented in the order.
Declaration
public static bool IsMatchedPartially(this Order order)
Parameters
Type | Name | Description |
---|---|---|
Order | order | The order to be checked. |
Returns
Type | Description |
---|---|
Boolean | true, if part of volume is implemented, otherwise, false. |
IsMicex(ExchangeBoard)
Is MICEX board.
Declaration
public static bool IsMicex(this ExchangeBoard board)
Parameters
Type | Name | Description |
---|---|---|
ExchangeBoard | board | Board to check. |
Returns
Type | Description |
---|---|
Boolean | Check result. |
IsPlazaSystem(Int64)
Extract system attribute from the bits flag.
Declaration
public static bool IsPlazaSystem(this long status)
Parameters
Type | Name | Description |
---|---|---|
Int64 | status | Bits flag. |
Returns
Type | Description |
---|---|
Boolean | true if an order is system, otherwise, false. |
IsSame(Portfolio, String)
Determines the specified portfolio is required.
Declaration
public static bool IsSame(this Portfolio portfolio, string uniqueId)
Parameters
Type | Name | Description |
---|---|---|
Portfolio | portfolio | Portfolio. |
String | uniqueId | Portfolio identifier. |
Returns
Type | Description |
---|---|
Boolean | Check result. |
IsStockSharp(News)
Determines whether the specified news related with StockSharp.
Declaration
public static bool IsStockSharp(this News news)
Parameters
Type | Name | Description |
---|---|---|
News | news | News. |
Returns
Type | Description |
---|---|
Boolean | Check result. |
IsTradeDate(ExchangeBoard, DateTimeOffset, Boolean)
To check, whether date is traded.
Declaration
public static bool IsTradeDate(this ExchangeBoard board, DateTimeOffset date, bool checkHolidays = false)
Parameters
Type | Name | Description |
---|---|---|
ExchangeBoard | board | Board info. |
DateTimeOffset | date | The passed date to be checked. |
Boolean | checkHolidays | Whether to check the passed date for a weekday (Saturday and Sunday are days off, returned value for them is false). |
Returns
Type | Description |
---|---|
Boolean | true, if the date is traded, otherwise, is not traded. |
IsTradeDate(BoardMessage, DateTimeOffset, Boolean)
To check, whether date is traded.
Declaration
public static bool IsTradeDate(this BoardMessage board, DateTimeOffset date, bool checkHolidays = false)
Parameters
Type | Name | Description |
---|---|---|
BoardMessage | board | Board info. |
DateTimeOffset | date | The passed date to be checked. |
Boolean | checkHolidays | Whether to check the passed date for a weekday (Saturday and Sunday are days off, returned value for them is false). |
Returns
Type | Description |
---|---|
Boolean | true, if the date is traded, otherwise, is not traded. |
IsTradeDate(WorkingTime, DateTime, Boolean)
To check, whether date is traded.
Declaration
public static bool IsTradeDate(this WorkingTime workingTime, DateTime date, bool checkHolidays = false)
Parameters
Type | Name | Description |
---|---|---|
WorkingTime | workingTime | Board working hours. |
DateTime | date | The passed date to be checked. |
Boolean | checkHolidays | Whether to check the passed date for a weekday (Saturday and Sunday are days off, returned value for them is false). |
Returns
Type | Description |
---|---|
Boolean | true, if the date is traded, otherwise, is not traded. |
IsTradeTime(ExchangeBoard, DateTimeOffset)
To check, whether the time is traded (has the session started, ended, is there a clearing).
Declaration
public static bool IsTradeTime(this ExchangeBoard board, DateTimeOffset time)
Parameters
Type | Name | Description |
---|---|---|
ExchangeBoard | board | Board info. |
DateTimeOffset | time | The passed time to be checked. |
Returns
Type | Description |
---|---|
Boolean | true, if time is traded, otherwise, not traded. |
IsTradeTime(ExchangeBoard, DateTimeOffset, out Nullable<Boolean>, out WorkingTimePeriod)
To check, whether the time is traded (has the session started, ended, is there a clearing).
Declaration
public static bool IsTradeTime(this ExchangeBoard board, DateTimeOffset time, out Nullable<bool> isWorkingDay, out WorkingTimePeriod period)
Parameters
Type | Name | Description |
---|---|---|
ExchangeBoard | board | Board info. |
DateTimeOffset | time | The passed time to be checked. |
Nullable<Boolean> | isWorkingDay | true, if the date is traded, otherwise, is not traded. |
WorkingTimePeriod | period | Current working time period. |
Returns
Type | Description |
---|---|
Boolean | true, if time is traded, otherwise, not traded. |
IsTradeTime(BoardMessage, DateTimeOffset)
To check, whether the time is traded (has the session started, ended, is there a clearing).
Declaration
public static bool IsTradeTime(this BoardMessage board, DateTimeOffset time)
Parameters
Type | Name | Description |
---|---|---|
BoardMessage | board | Board info. |
DateTimeOffset | time | The passed time to be checked. |
Returns
Type | Description |
---|---|
Boolean | true, if time is traded, otherwise, not traded. |
IsTradeTime(BoardMessage, DateTimeOffset, out Nullable<Boolean>, out WorkingTimePeriod)
To check, whether the time is traded (has the session started, ended, is there a clearing).
Declaration
public static bool IsTradeTime(this BoardMessage board, DateTimeOffset time, out Nullable<bool> isWorkingDay, out WorkingTimePeriod period)
Parameters
Type | Name | Description |
---|---|---|
BoardMessage | board | Board info. |
DateTimeOffset | time | The passed time to be checked. |
Nullable<Boolean> | isWorkingDay | true, if the date is traded, otherwise, is not traded. |
WorkingTimePeriod | period | Current working time period. |
Returns
Type | Description |
---|---|
Boolean | true, if time is traded, otherwise, not traded. |
IsTradeTime(WorkingTime, DateTime, out Nullable<Boolean>, out WorkingTimePeriod)
To check, whether the time is traded (has the session started, ended, is there a clearing).
Declaration
public static bool IsTradeTime(this WorkingTime workingTime, DateTime time, out Nullable<bool> isWorkingDay, out WorkingTimePeriod period)
Parameters
Type | Name | Description |
---|---|---|
WorkingTime | workingTime | Board working hours. |
DateTime | time | The passed time to be checked. |
Nullable<Boolean> | isWorkingDay | true, if the date is traded, otherwise, is not traded. |
WorkingTimePeriod | period | Current working time period. |
Returns
Type | Description |
---|---|
Boolean | true, if time is traded, otherwise, not traded. |
IsUxStock(ExchangeBoard)
Is the UX exchange stock market board.
Declaration
public static bool IsUxStock(this ExchangeBoard board)
Parameters
Type | Name | Description |
---|---|---|
ExchangeBoard | board | Board to check. |
Returns
Type | Description |
---|---|
Boolean | Check result. |
Join(MarketDepth, MarketDepth)
To merge the initial order book and its sparse representation.
Declaration
public static MarketDepth Join(this MarketDepth original, MarketDepth rare)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | original | The initial order book. |
MarketDepth | rare | The sparse order book. |
Returns
Type | Description |
---|---|
MarketDepth | The merged order book. |
LastTradeDay(BoardMessage, DateTimeOffset, Boolean)
Get last trade date.
Declaration
public static DateTimeOffset LastTradeDay(this BoardMessage board, DateTimeOffset date, bool checkHolidays = true)
Parameters
Type | Name | Description |
---|---|---|
BoardMessage | board | Board info. |
DateTimeOffset | date | The date from which to start checking. |
Boolean | checkHolidays | Whether to check the passed date for a weekday (Saturday and Sunday are days off, returned value for them is false). |
Returns
Type | Description |
---|---|
DateTimeOffset | Last trade date. |
Lookup(ISecurityProvider, Security)
Lookup securities by criteria criteria
.
Declaration
public static IEnumerable<Security> Lookup(this ISecurityProvider provider, Security criteria)
Parameters
Type | Name | Description |
---|---|---|
ISecurityProvider | provider | The provider of information about instruments. |
Security | criteria | The instrument whose fields will be used as a filter. |
Returns
Type | Description |
---|---|
IEnumerable<Security> | Found instruments. |
LookupAll(Connector)
Lookup securities, portfolios and orders.
Declaration
public static void LookupAll(this Connector connector)
Parameters
Type | Name | Description |
---|---|---|
Connector | connector | The connection of interaction with trade systems. |
LookupAll(ISecurityProvider)
Get all available instruments.
Declaration
public static IEnumerable<Security> LookupAll(this ISecurityProvider provider)
Parameters
Type | Name | Description |
---|---|---|
ISecurityProvider | provider | The provider of information about instruments. |
Returns
Type | Description |
---|---|
IEnumerable<Security> | All available instruments. |
LookupBoards(ISubscriptionProvider, ExchangeBoard, IMessageAdapter, MessageOfflineModes)
To find boards that match the filter criteria
. Found boards will be passed through the event LookupBoardsResult.
Declaration
public static Subscription LookupBoards(this ISubscriptionProvider provider, ExchangeBoard criteria, IMessageAdapter adapter = null, MessageOfflineModes offlineMode)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
ExchangeBoard | criteria | The criterion which fields will be used as a filter. |
IMessageAdapter | adapter | Target adapter. Can be null. |
MessageOfflineModes | offlineMode | Offline mode handling message. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
LookupBoards(ISubscriptionProvider, BoardLookupMessage)
To find boards that match the filter criteria
. Found boards will be passed through the event LookupBoardsResult.
Declaration
public static Subscription LookupBoards(this ISubscriptionProvider provider, BoardLookupMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
BoardLookupMessage | criteria | The criterion which fields will be used as a filter. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
LookupBoards(IExchangeInfoProvider, BoardLookupMessage)
Filter boards by code criteria.
Declaration
public static IEnumerable<ExchangeBoard> LookupBoards(this IExchangeInfoProvider provider, BoardLookupMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
IExchangeInfoProvider | provider | The exchange boards provider. |
BoardLookupMessage | criteria | Criteria. |
Returns
Type | Description |
---|---|
IEnumerable<ExchangeBoard> | Found boards. |
LookupBoards2(IExchangeInfoProvider, BoardLookupMessage)
Filter boards by code criteria.
Declaration
public static IEnumerable<BoardMessage> LookupBoards2(this IExchangeInfoProvider provider, BoardLookupMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
IExchangeInfoProvider | provider | The exchange boards provider. |
BoardLookupMessage | criteria | Criteria. |
Returns
Type | Description |
---|---|
IEnumerable<BoardMessage> | Found boards. |
LookupByCode(ISecurityProvider, String, Nullable<SecurityTypes>)
To get the instrument by the instrument code.
Declaration
public static IEnumerable<Security> LookupByCode(this ISecurityProvider provider, string code, Nullable<SecurityTypes> type = null)
Parameters
Type | Name | Description |
---|---|---|
ISecurityProvider | provider | The provider of information about instruments. |
String | code | Security code. |
Nullable<SecurityTypes> | type | Security type. |
Returns
Type | Description |
---|---|
IEnumerable<Security> | The got instrument. If there is no instrument by given criteria, null is returned. |
LookupById(ISecurityProvider, String)
To get the instrument by the identifier.
Declaration
public static Security LookupById(this ISecurityProvider provider, string id)
Parameters
Type | Name | Description |
---|---|---|
ISecurityProvider | provider | The provider of information about instruments. |
String | id | Security ID. |
Returns
Type | Description |
---|---|
Security | The got instrument. If there is no instrument by given criteria, null is returned. |
LookupByNativeId(ISecurityProvider, INativeIdStorage, String, Object)
To get the instrument by the system identifier.
Declaration
public static Security LookupByNativeId(this ISecurityProvider provider, INativeIdStorage nativeIdStorage, string storageName, object nativeId)
Parameters
Type | Name | Description |
---|---|---|
ISecurityProvider | provider | The provider of information about instruments. |
INativeIdStorage | nativeIdStorage | Security native identifier storage. |
String | storageName | Storage name. |
Object | nativeId | Native (internal) trading system security id. |
Returns
Type | Description |
---|---|
Security | The got instrument. If there is no instrument by given criteria, null is returned. |
LookupOrders(ISubscriptionProvider, Order, IMessageAdapter, MessageOfflineModes)
To find orders that match the filter criteria
. Found orders will be passed through the event NewOrder.
Declaration
public static Subscription LookupOrders(this ISubscriptionProvider provider, Order criteria, IMessageAdapter adapter = null, MessageOfflineModes offlineMode)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Order | criteria | The order which fields will be used as a filter. |
IMessageAdapter | adapter | Target adapter. Can be null. |
MessageOfflineModes | offlineMode | Offline mode handling message. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
LookupOrders(ISubscriptionProvider, OrderStatusMessage)
To find orders that match the filter criteria
. Found orders will be passed through the event NewOrder.
Declaration
public static Subscription LookupOrders(this ISubscriptionProvider provider, OrderStatusMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
OrderStatusMessage | criteria | The order which fields will be used as a filter. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
LookupPortfolios(ISubscriptionProvider, Portfolio, IMessageAdapter, MessageOfflineModes)
To find portfolios that match the filter criteria
. Found portfolios will be passed through the event LookupPortfoliosResult.
Declaration
public static Subscription LookupPortfolios(this ISubscriptionProvider provider, Portfolio criteria, IMessageAdapter adapter = null, MessageOfflineModes offlineMode)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Portfolio | criteria | The criterion which fields will be used as a filter. |
IMessageAdapter | adapter | Target adapter. Can be null. |
MessageOfflineModes | offlineMode | Offline mode handling message. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
LookupPortfolios(ISubscriptionProvider, PortfolioLookupMessage)
To find portfolios that match the filter criteria
. Found portfolios will be passed through the event LookupPortfoliosResult.
Declaration
public static Subscription LookupPortfolios(this ISubscriptionProvider provider, PortfolioLookupMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
PortfolioLookupMessage | criteria | The criterion which fields will be used as a filter. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
LookupSecurities(ISubscriptionProvider, Security, IMessageAdapter, MessageOfflineModes)
To find instruments that match the filter criteria
. Found instruments will be passed through the event LookupSecuritiesResult.
Declaration
public static Subscription LookupSecurities(this ISubscriptionProvider provider, Security criteria, IMessageAdapter adapter = null, MessageOfflineModes offlineMode)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | criteria | The criterion which fields will be used as a filter. |
IMessageAdapter | adapter | Target adapter. Can be null. |
MessageOfflineModes | offlineMode | Offline mode handling message. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
LookupSecurities(ISubscriptionProvider, SecurityLookupMessage)
To find instruments that match the filter criteria
. Found instruments will be passed through the event LookupSecuritiesResult.
Declaration
public static Subscription LookupSecurities(this ISubscriptionProvider provider, SecurityLookupMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
SecurityLookupMessage | criteria | The criterion which fields will be used as a filter. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
LookupTimeFrames(ISubscriptionProvider, TimeFrameLookupMessage)
To find time-frames that match the filter criteria
. Found time-frames will be passed through the event LookupTimeFramesResult.
Declaration
public static Subscription LookupTimeFrames(this ISubscriptionProvider provider, TimeFrameLookupMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
TimeFrameLookupMessage | criteria | The criterion which fields will be used as a filter. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SafeGetOrderId(ExecutionMessage)
To get order identifier, or discard exception, if no information available.
Declaration
public static long SafeGetOrderId(this ExecutionMessage message)
Parameters
Type | Name | Description |
---|---|---|
ExecutionMessage | message | Operations. |
Returns
Type | Description |
---|---|
Int64 | Order ID. |
SafeGetVolume(ExecutionMessage)
To get the number of operations, or discard the exception, if no information available.
Declaration
public static Decimal SafeGetVolume(this ExecutionMessage message)
Parameters
Type | Name | Description |
---|---|---|
ExecutionMessage | message | Operations. |
Returns
Type | Description |
---|---|
Decimal | Quantity. |
ShrinkPrice(Order, ShrinkRules)
Declaration
public static void ShrinkPrice(this Order order, ShrinkRules rule)
Parameters
Type | Name | Description |
---|---|---|
Order | order | |
ShrinkRules | rule |
ShrinkPrice(Security, Decimal, ShrinkRules)
Declaration
public static Decimal ShrinkPrice(this Security security, Decimal price, ShrinkRules rule)
Parameters
Type | Name | Description |
---|---|---|
Security | security | |
Decimal | price | |
ShrinkRules | rule |
Returns
Type | Description |
---|---|
Decimal |
Sparse(MarketDepth)
To create from regular order book a sparse on, with minimal price step of PriceStep.
Declaration
public static MarketDepth Sparse(this MarketDepth depth)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | The regular order book. |
Returns
Type | Description |
---|---|
MarketDepth | The sparse order book. |
Remarks
In sparsed book shown quotes with no active orders. The volume of these quotes is 0.
Sparse(MarketDepth, Unit)
To create from regular order book a sparse one.
Declaration
public static MarketDepth Sparse(this MarketDepth depth, Unit priceStep)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | The regular order book. |
Unit | priceStep | Minimum price step. |
Returns
Type | Description |
---|---|
MarketDepth | The sparse order book. |
Remarks
In sparsed book shown quotes with no active orders. The volume of these quotes is 0.
SubscribeBoard(ISubscriptionProvider, ExchangeBoard, Nullable<DateTimeOffset>, Nullable<DateTimeOffset>, Nullable<Int64>, IMessageAdapter, Nullable<Int64>)
Subscribe on the board changes.
Declaration
public static Subscription SubscribeBoard(this ISubscriptionProvider provider, ExchangeBoard board, Nullable<DateTimeOffset> from = null, Nullable<DateTimeOffset> to = null, Nullable<long> count = null, IMessageAdapter adapter = null, Nullable<long> skip = null)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
ExchangeBoard | board | Board for 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 | Max count. |
IMessageAdapter | adapter | Target adapter. Can be null. |
Nullable<Int64> | skip | Skip count. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribeCandles(ISubscriptionProvider, CandleSeries, Nullable<DateTimeOffset>, Nullable<DateTimeOffset>, Nullable<Int64>, Nullable<Int64>, IMessageAdapter, Nullable<Int64>)
Subscribe to receive new candles.
Declaration
public static Subscription SubscribeCandles(this ISubscriptionProvider provider, CandleSeries series, Nullable<DateTimeOffset> from = null, Nullable<DateTimeOffset> to = null, Nullable<long> count = null, Nullable<long> transactionId = null, IMessageAdapter adapter = null, Nullable<long> skip = null)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
CandleSeries | series | Candles series. |
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. |
Nullable<Int64> | transactionId | Transaction ID. |
IMessageAdapter | adapter | Target adapter. Can be null. |
Nullable<Int64> | skip | Skip count. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribeFilteredMarketDepth(ISubscriptionProvider, Security)
To start getting filtered quotes (order book) by the instrument. Quotes values are available through the event FilteredMarketDepthChanged.
Declaration
public static Subscription SubscribeFilteredMarketDepth(this ISubscriptionProvider provider, Security security)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | The instrument by which quotes getting should be started. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribeLevel1(ISubscriptionProvider, Security, Nullable<DateTimeOffset>, Nullable<DateTimeOffset>, Nullable<Int64>, MarketDataBuildModes, DataType, IMessageAdapter, Nullable<Int64>)
Declaration
public static Subscription SubscribeLevel1(this ISubscriptionProvider provider, Security security, Nullable<DateTimeOffset> from = null, Nullable<DateTimeOffset> to = null, Nullable<long> count = null, MarketDataBuildModes buildMode, DataType buildFrom = null, IMessageAdapter adapter = null, Nullable<long> skip = null)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | The instrument by which new information getting should be started. |
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 | Max count. |
MarketDataBuildModes | buildMode | Build mode. |
DataType | buildFrom | Which market-data type is used as a source value. |
IMessageAdapter | adapter | Target adapter. Can be null. |
Nullable<Int64> | skip | Skip count. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribeMarketData(ISubscriptionProvider, Security, MarketDataMessage)
To subscribe to get market data by the instrument.
Declaration
public static Subscription SubscribeMarketData(this ISubscriptionProvider provider, Security security, MarketDataMessage message)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | The instrument by which new information getting should be started. |
MarketDataMessage | message | The message that contain subscribe info. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribeMarketData(ISubscriptionProvider, MarketDataMessage)
To subscribe to get market data.
Declaration
public static Subscription SubscribeMarketData(this ISubscriptionProvider provider, MarketDataMessage message)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
MarketDataMessage | message | The message that contain subscribe info. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribeMarketDepth(ISubscriptionProvider, Security, Nullable<DateTimeOffset>, Nullable<DateTimeOffset>, Nullable<Int64>, MarketDataBuildModes, DataType, Nullable<Int32>, Nullable<TimeSpan>, IOrderLogMarketDepthBuilder, Boolean, IMessageAdapter, Nullable<Int64>)
To start getting quotes (order book) by the instrument. Quotes values are available through the event MarketDepthChanged.
Declaration
public static Subscription SubscribeMarketDepth(this ISubscriptionProvider provider, Security security, Nullable<DateTimeOffset> from = null, Nullable<DateTimeOffset> to = null, Nullable<long> count = null, MarketDataBuildModes buildMode, DataType buildFrom = null, Nullable<int> maxDepth = null, Nullable<TimeSpan> refreshSpeed = null, IOrderLogMarketDepthBuilder depthBuilder = null, bool passThroughOrderBookInrement = false, IMessageAdapter adapter = null, Nullable<long> skip = null)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | The instrument by which quotes getting should be started. |
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 | Max count. |
MarketDataBuildModes | buildMode | Build mode. |
DataType | buildFrom | Which market-data type is used as a source value. |
Nullable<Int32> | maxDepth | Max depth of requested order book. |
Nullable<TimeSpan> | refreshSpeed | Interval for data refresh. |
IOrderLogMarketDepthBuilder | depthBuilder | Order log to market depth builder. |
Boolean | passThroughOrderBookInrement | Pass through incremental QuoteChangeMessage. |
IMessageAdapter | adapter | Target adapter. Can be null. |
Nullable<Int64> | skip | Skip count. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribeNews(ISubscriptionProvider, Security, Nullable<DateTimeOffset>, Nullable<DateTimeOffset>, Nullable<Int64>, IMessageAdapter, Nullable<Int64>)
Subscribe on news.
Declaration
public static Subscription SubscribeNews(this ISubscriptionProvider provider, Security security = null, Nullable<DateTimeOffset> from = null, Nullable<DateTimeOffset> to = null, Nullable<long> count = null, IMessageAdapter adapter = null, Nullable<long> skip = null)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | Security for 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 | Max count. |
IMessageAdapter | adapter | Target adapter. Can be null. |
Nullable<Int64> | skip | Skip count. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribeOrderLog(ISubscriptionProvider, Security, Nullable<DateTimeOffset>, Nullable<DateTimeOffset>, Nullable<Int64>, IMessageAdapter, Nullable<Int64>)
Subscribe on order log for the security.
Declaration
public static Subscription SubscribeOrderLog(this ISubscriptionProvider provider, Security security, Nullable<DateTimeOffset> from = null, Nullable<DateTimeOffset> to = null, Nullable<long> count = null, IMessageAdapter adapter = null, Nullable<long> skip = null)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | Security for 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 | Max count. |
IMessageAdapter | adapter | Target adapter. Can be null. |
Nullable<Int64> | skip | Skip count. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribeOrders(ISubscriptionProvider, Security, Nullable<DateTimeOffset>, Nullable<DateTimeOffset>, Nullable<Int64>, IEnumerable<OrderStates>, IMessageAdapter, Nullable<Int64>)
Subscribe on orders changes.
Declaration
public static Subscription SubscribeOrders(this ISubscriptionProvider provider, Security security = null, Nullable<DateTimeOffset> from = null, Nullable<DateTimeOffset> to = null, Nullable<long> count = null, IEnumerable<OrderStates> states = null, IMessageAdapter adapter = null, Nullable<long> skip = null)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | Security for 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 | Max count. |
IEnumerable<OrderStates> | states | Filter order by the specified states. |
IMessageAdapter | adapter | Target adapter. Can be null. |
Nullable<Int64> | skip | Skip count. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribeOrders(ISubscriptionProvider, OrderStatusMessage)
To find orders that match the filter criteria
. Found orders will be passed through the event NewOrder.
Declaration
public static Subscription SubscribeOrders(this ISubscriptionProvider provider, OrderStatusMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
OrderStatusMessage | criteria | The order which fields will be used as a filter. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribePositions(ISubscriptionProvider, Security, Portfolio, Nullable<DateTimeOffset>, Nullable<DateTimeOffset>, Nullable<Int64>, IMessageAdapter, Nullable<Int64>)
Subscribe on positions changes.
Declaration
public static Subscription SubscribePositions(this ISubscriptionProvider provider, Security security = null, Portfolio portfolio = null, Nullable<DateTimeOffset> from = null, Nullable<DateTimeOffset> to = null, Nullable<long> count = null, IMessageAdapter adapter = null, Nullable<long> skip = null)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | The instrument on which the position should be found. |
Portfolio | portfolio | The portfolio on which the position should be found. |
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 | Max count. |
IMessageAdapter | adapter | Target adapter. Can be null. |
Nullable<Int64> | skip | Skip count. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribePositions(ISubscriptionProvider, PortfolioLookupMessage)
To find portfolios that match the filter criteria
. Found portfolios will be passed through the event LookupPortfoliosResult.
Declaration
public static Subscription SubscribePositions(this ISubscriptionProvider provider, PortfolioLookupMessage criteria)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
PortfolioLookupMessage | criteria | The criterion which fields will be used as a filter. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
SubscribeTrades(ISubscriptionProvider, Security, Nullable<DateTimeOffset>, Nullable<DateTimeOffset>, Nullable<Int64>, MarketDataBuildModes, DataType, IMessageAdapter, Nullable<Int64>)
To start getting trades (tick data) by the instrument. New trades will come through the event NewTrade.
Declaration
public static Subscription SubscribeTrades(this ISubscriptionProvider provider, Security security, Nullable<DateTimeOffset> from = null, Nullable<DateTimeOffset> to = null, Nullable<long> count = null, MarketDataBuildModes buildMode, DataType buildFrom = null, IMessageAdapter adapter = null, Nullable<long> skip = null)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | The instrument by which trades getting should be started. |
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 | Max count. |
MarketDataBuildModes | buildMode | Build mode. |
DataType | buildFrom | Which market-data type is used as a source value. |
IMessageAdapter | adapter | Target adapter. Can be null. |
Nullable<Int64> | skip | Skip count. |
Returns
Type | Description |
---|---|
Subscription | Subscription. |
ToBasket(Security, IBasketSecurityProcessorProvider)
Convert Security to BasketSecurity value.
Declaration
public static BasketSecurity ToBasket(this Security security, IBasketSecurityProcessorProvider processorProvider)
Parameters
Type | Name | Description |
---|---|---|
Security | security | Security. |
IBasketSecurityProcessorProvider | processorProvider | Basket security processors provider. |
Returns
Type | Description |
---|---|
BasketSecurity | Instruments basket. |
ToBasket<TBasketSecurity>(Security)
Convert Security to BasketSecurity value.
Declaration
public static TBasketSecurity ToBasket<TBasketSecurity>(this Security security)
where TBasketSecurity : BasketSecurity, new()
Parameters
Type | Name | Description |
---|---|---|
Security | security | Security. |
Returns
Type | Description |
---|---|
TBasketSecurity | Instruments basket. |
Type Parameters
Name | Description |
---|---|
TBasketSecurity | Basket security type. |
ToBasket<TMessage>(IEnumerable<TMessage>, Security, IBasketSecurityProcessorProvider)
Convert inner securities messages to basket.
Declaration
public static IEnumerable<TMessage> ToBasket<TMessage>(this IEnumerable<TMessage> innerSecMessages, Security security, IBasketSecurityProcessorProvider processorProvider)
where TMessage : Message
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<TMessage> | innerSecMessages | Inner securities messages. |
Security | security | Basket security. |
IBasketSecurityProcessorProvider | processorProvider | Basket security processors provider. |
Returns
Type | Description |
---|---|
IEnumerable<TMessage> | Messages of basket securities. |
Type Parameters
Name | Description |
---|---|
TMessage | Message type. |
ToOrderSnapshot(IEnumerable<ExecutionMessage>, Int64, ILogReceiver)
Convert order changes to final snapshot.
Declaration
public static ExecutionMessage ToOrderSnapshot(this IEnumerable<ExecutionMessage> diffs, long transactionId, ILogReceiver logs)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<ExecutionMessage> | diffs | Changes. |
Int64 | transactionId | Transaction ID. |
ILogReceiver | logs | Logs. |
Returns
Type | Description |
---|---|
ExecutionMessage | Snapshot. |
ToPositionManager(Position)
Convert the position object to the type IPositionManager.
Declaration
public static IPositionManager ToPositionManager(this Position position)
Parameters
Type | Name | Description |
---|---|---|
Position | position | Position. |
Returns
Type | Description |
---|---|
IPositionManager | Position calc manager. |
ToTimeQuotes(QuoteChangeMessage)
Convert depth to quotes.
Declaration
public static IEnumerable<TimeQuoteChange> ToTimeQuotes(this QuoteChangeMessage message)
Parameters
Type | Name | Description |
---|---|---|
QuoteChangeMessage | message | Depth. |
Returns
Type | Description |
---|---|
IEnumerable<TimeQuoteChange> | Quotes. |
ToTimeQuotes(IEnumerable<QuoteChangeMessage>)
Convert depths to quotes.
Declaration
public static IEnumerable<TimeQuoteChange> ToTimeQuotes(this IEnumerable<QuoteChangeMessage> messages)
Parameters
Type | Name | Description |
---|---|---|
IEnumerable<QuoteChangeMessage> | messages | Depths. |
Returns
Type | Description |
---|---|
IEnumerable<TimeQuoteChange> | Quotes. |
Truncate(MarketDepth, Int32)
Truncate the specified order book by max depth value.
Declaration
public static MarketDepth Truncate(this MarketDepth depth, int maxDepth)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | Order book. |
Int32 | maxDepth | The maximum depth of order book. |
Returns
Type | Description |
---|---|
MarketDepth | Truncated order book. |
TryFindLocal(IDictionary<Tuple<String, SecurityTypes>, SecurityMessage>, String, SecurityTypes, String, SecurityMessage, Boolean)
Declaration
public static void TryFindLocal(this IDictionary<Tuple<string, SecurityTypes>, SecurityMessage> securities, string code, SecurityTypes type, string board, SecurityMessage secMsg, bool onlyLocal = false)
Parameters
Type | Name | Description |
---|---|---|
IDictionary<Tuple<String, SecurityTypes>, SecurityMessage> | securities | |
String | code | |
SecurityTypes | type | |
String | board | |
SecurityMessage | secMsg | |
Boolean | onlyLocal |
TryGetAdapter(IPortfolioMessageAdapterProvider, IMessageAdapterProvider, Portfolio)
Get adapter by portfolio.
Declaration
public static IMessageAdapter TryGetAdapter(this IPortfolioMessageAdapterProvider portfolioProvider, IMessageAdapterProvider adapterProvider, Portfolio portfolio)
Parameters
Type | Name | Description |
---|---|---|
IPortfolioMessageAdapterProvider | portfolioProvider | The portfolio based message adapter's provider. |
IMessageAdapterProvider | adapterProvider | The message adapter's provider. |
Portfolio | portfolio | Portfolio. |
Returns
Type | Description |
---|---|
IMessageAdapter | Found adapter or null. |
TryGetAdapter(IPortfolioMessageAdapterProvider, IEnumerable<IMessageAdapter>, Portfolio)
Get adapter by portfolio.
Declaration
public static IMessageAdapter TryGetAdapter(this IPortfolioMessageAdapterProvider portfolioProvider, IEnumerable<IMessageAdapter> adapters, Portfolio portfolio)
Parameters
Type | Name | Description |
---|---|---|
IPortfolioMessageAdapterProvider | portfolioProvider | The portfolio based message adapter's provider. |
IEnumerable<IMessageAdapter> | adapters | All available adapters. |
Portfolio | portfolio | Portfolio. |
Returns
Type | Description |
---|---|
IMessageAdapter | Found adapter or null. |
UnGroup(MarketDepth)
To de-group the order book, grouped using the method StockSharp.Algo.TraderHelper.Group(StockSharp.BusinessEntities.MarketDepth, System.Decimal).
Declaration
public static MarketDepth UnGroup(this MarketDepth depth)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | The grouped order book. |
Returns
Type | Description |
---|---|
MarketDepth | The de-grouped order book. |
UnSubscribe(ISubscriptionProvider, Int64)
Unsubscribe.
Declaration
public static void UnSubscribe(this ISubscriptionProvider provider, long subscriptionId)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Int64 | subscriptionId | Subscription id. |
UnSubscribeBoard(ISubscriptionProvider, ExchangeBoard)
Unsubscribe from the board changes.
Declaration
public static void UnSubscribeBoard(this ISubscriptionProvider provider, ExchangeBoard board)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
ExchangeBoard | board | Board for unsubscription. |
UnSubscribeCandles(ISubscriptionProvider, CandleSeries)
To stop the candles receiving subscription, previously created by SubscribeCandles(ISubscriptionProvider, CandleSeries, Nullable<DateTimeOffset>, Nullable<DateTimeOffset>, Nullable<Int64>, Nullable<Int64>, IMessageAdapter, Nullable<Int64>).
Declaration
public static void UnSubscribeCandles(this ISubscriptionProvider provider, CandleSeries series)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
CandleSeries | series | Candles series. |
UnSubscribeLevel1(ISubscriptionProvider, Security)
To stop getting new information.
Declaration
public static void UnSubscribeLevel1(this ISubscriptionProvider provider, Security security)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | The instrument by which new information getting should be stopped. |
UnSubscribeMarketData(ISubscriptionProvider, Security, MarketDataMessage)
To unsubscribe from getting market data by the instrument.
Declaration
public static void UnSubscribeMarketData(this ISubscriptionProvider provider, Security security, MarketDataMessage message)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | The instrument by which new information getting should be started. |
MarketDataMessage | message | The message that contain unsubscribe info. |
UnSubscribeMarketData(ISubscriptionProvider, MarketDataMessage)
To unsubscribe from getting market data.
Declaration
public static void UnSubscribeMarketData(this ISubscriptionProvider provider, MarketDataMessage message)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
MarketDataMessage | message | The message that contain unsubscribe info. |
UnSubscribeMarketDepth(ISubscriptionProvider, Security)
To stop getting quotes by the instrument.
Declaration
public static void UnSubscribeMarketDepth(this ISubscriptionProvider provider, Security security)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | The instrument by which quotes getting should be stopped. |
UnSubscribeNews(ISubscriptionProvider, Security)
Unsubscribe from news.
Declaration
public static void UnSubscribeNews(this ISubscriptionProvider provider, Security security = null)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | Security for subscription. |
UnSubscribeOrderLog(ISubscriptionProvider, Security)
Unsubscribe from order log for the security.
Declaration
public static void UnSubscribeOrderLog(this ISubscriptionProvider provider, Security security)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | Security for unsubscription. |
UnSubscribeOrders(ISubscriptionProvider, Int64)
Unsubscribe from orders changes.
Declaration
public static void UnSubscribeOrders(this ISubscriptionProvider provider, long originalTransactionId = 0L)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Int64 | originalTransactionId | ID of the original message SubscribeOrders(ISubscriptionProvider, OrderStatusMessage) for which this message is a response. |
UnSubscribePositions(ISubscriptionProvider, Int64)
Unsubscribe from positions changes.
Declaration
public static void UnSubscribePositions(this ISubscriptionProvider provider, long originalTransactionId = 0L)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Int64 | originalTransactionId | ID of the original message SubscribePositions(ISubscriptionProvider, PortfolioLookupMessage) for which this message is a response. |
UnSubscribeTrades(ISubscriptionProvider, Security)
To stop getting trades (tick data) by the instrument.
Declaration
public static void UnSubscribeTrades(this ISubscriptionProvider provider, Security security)
Parameters
Type | Name | Description |
---|---|---|
ISubscriptionProvider | provider | Subscription provider. |
Security | security | The instrument by which trades getting should be stopped. |
Upload<TMessage>(IMessageAdapter, IEnumerable<TMessage>)
Upload data.
Declaration
public static void Upload<TMessage>(this IMessageAdapter adapter, IEnumerable<TMessage> messages)
where TMessage : Message
Parameters
Type | Name | Description |
---|---|---|
IMessageAdapter | adapter | Adapter. |
IEnumerable<TMessage> | messages | Messages. |
Type Parameters
Name | Description |
---|---|
TMessage | Request type. |
ValidateId(ref String)
To check the correctness of the entered identifier.
Declaration
public static string ValidateId(ref string id)
Parameters
Type | Name | Description |
---|---|---|
String | id | Security ID. |
Returns
Type | Description |
---|---|
String | An error message text, or null if no error. |
Verify(MarketDepth)
To determine whether the order book is in the right state.
Declaration
public static bool Verify(this MarketDepth depth)
Parameters
Type | Name | Description |
---|---|---|
MarketDepth | depth | Order book. |
Returns
Type | Description |
---|---|
Boolean | true, if the order book contains correct data, otherwise false. |
Remarks
It is used in cases when the trading system by mistake sends the wrong quotes.
VerifyOrderState(Nullable<OrderStates>, OrderStates, Int64, ILogReceiver)
Check the possibility State change.
Declaration
public static bool VerifyOrderState(this Nullable<OrderStates> currState, OrderStates newState, long transactionId, ILogReceiver logs)
Parameters
Type | Name | Description |
---|---|---|
Nullable<OrderStates> | currState | Current order's state. |
OrderStates | newState | New state. |
Int64 | transactionId | Transaction id. |
ILogReceiver | logs | Logs. |
Returns
Type | Description |
---|---|
Boolean | Check result. |