EntityCache

StockSharp.Algo

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

Constructors

public EntityCache(ILogReceiver logReceiver, IExchangeInfoProvider exchangeInfoProvider, IPositionProvider positionProvider)

entityCache = EntityCache(logReceiver, exchangeInfoProvider, positionProvider)

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

logReceiver: Log receiver for logging messages.
exchangeInfoProvider: Exchange info provider.
positionProvider: Position provider.

Properties

ExchangeInfoProvider

public IExchangeInfoProvider ExchangeInfoProvider { get; }

value = entityCache.ExchangeInfoProvider

Exchange info provider.

MyTrades

public IEnumerable<MyTrade> MyTrades { get; }

value = entityCache.MyTrades

All own trades.

News

public IEnumerable<News> News { get; }

value = entityCache.News

All news.

OrderCancelFails

public IEnumerable<OrderFail> OrderCancelFails { get; }

value = entityCache.OrderCancelFails

Order cancellation failures.

OrderEditFails

public IEnumerable<OrderFail> OrderEditFails { get; }

value = entityCache.OrderEditFails

Order modification failures.

OrderRegisterFails

public IEnumerable<OrderFail> OrderRegisterFails { get; }

value = entityCache.OrderRegisterFails

Order registration failures.

Orders

public IEnumerable<Order> Orders { get; }

value = entityCache.Orders

All orders.

OrdersKeepCount

public int OrdersKeepCount { get; set; }

value = entityCache.OrdersKeepCount
entityCache.OrdersKeepCount = value

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

Methods

AddFail

public void AddFail(OrderOperations operation, OrderFail fail)

entityCache.AddFail(operation, fail)

Add order fail.

operation: Operation.
fail: Fail.

AddOrderByCancelationId

public void AddOrderByCancelationId(Order order, long transactionId)

entityCache.AddOrderByCancelationId(order, transactionId)

Add order by cancelation transaction id.

order: Order.
transactionId: Transaction id.

AddOrderByEditionId

public void AddOrderByEditionId(Order order, long transactionId)

entityCache.AddOrderByEditionId(order, transactionId)

Add order by edition transaction id.

order: Order.
transactionId: Transaction id.

AddOrderByRegistrationId

public void AddOrderByRegistrationId(Order order)

entityCache.AddOrderByRegistrationId(order)

Add order by registration transaction id.

order: Order.

AddOrderFailById

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

entityCache.AddOrderFailById(fail, operation, transactionId)

Add order fail by transaction id.

fail: Order fail.
operation: Order operation.
transactionId: Transaction id.

AddOrderStatusTransactionId

public void AddOrderStatusTransactionId(long transactionId)

entityCache.AddOrderStatusTransactionId(transactionId)

Add order status transaction id.

transactionId: Transaction id.

Clear

public void Clear()

entityCache.Clear()

Clear all cached data.

GetLevel1Fields

public IEnumerable<Level1Fields> GetLevel1Fields(Security security)

result = entityCache.GetLevel1Fields(security)

Get available Level1 fields for security.

security: Security.

Returns: Fields.

GetOrders

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

result = entityCache.GetOrders(security, state)

Get orders by security and state.

security: Security.
state: Order state.

Returns: Orders.

GetSecurityValue

public object GetSecurityValue(Security security, Level1Fields field)

result = entityCache.GetSecurityValue(security, field)

Get security Level1 field value.

security: Security.
field: Field.

Returns: Value.

GetSecurityValues

public Level1Info GetSecurityValues(Security security, DateTime serverTime)

result = entityCache.GetSecurityValues(security, serverTime)

Get or create Level1 info for security.

security: Security.
serverTime: Server time.

Returns: Level1 info.

HasLevel1Info

public bool HasLevel1Info(Security security)

result = entityCache.HasLevel1Info(security)

Check if security has Level1 info.

security: Security.

Returns: if has info.

IsMassCancelation

public bool IsMassCancelation(long transactionId)

result = entityCache.IsMassCancelation(transactionId)

Check if transaction is mass cancelation.

transactionId: Transaction id.

Returns: if mass cancelation.

IsOrderStatusRequest

public bool IsOrderStatusRequest(long transactionId)

result = entityCache.IsOrderStatusRequest(transactionId)

Check if transaction is order status request.

transactionId: Transaction id.

Returns: if order status request.

ProcessNewsMessage

public ValueTuple<News, bool> ProcessNewsMessage(Security security, NewsMessage message)

result = entityCache.ProcessNewsMessage(security, message)

Process news message.

security: Security.
message: Message.

Returns: News and is new flag.

ProcessOrderFailMessage

public IEnumerable<ValueTuple<OrderFail, OrderOperations>> ProcessOrderFailMessage(Order order, Security security, ExecutionMessage message)

result = entityCache.ProcessOrderFailMessage(order, security, message)

Process order fail message.

order: Order.
security: Security.
message: Message.

Returns: Order fails with operations.

ProcessOrderMessage

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

result = entityCache.ProcessOrderMessage(order, security, message, transactionId, getPortfolio)

Process order message.

order: Order.
security: Security.
message: Message.
transactionId: Transaction id.
getPortfolio: Function to get portfolio.

Returns: Order change info.

ProcessOwnTradeMessage

public ValueTuple<MyTrade, bool> ProcessOwnTradeMessage(Order order, Security security, ExecutionMessage message, long transactionId)

result = entityCache.ProcessOwnTradeMessage(order, security, message, transactionId)

Process own trade message.

order: Order.
security: Security.
message: Message.
transactionId: Transaction id.

Returns: Trade and is new flag.

ReleaseLevel1Ownership

public void ReleaseLevel1Ownership(SecurityId securityId, DataType dataType)

entityCache.ReleaseLevel1Ownership(securityId, dataType)

Hand the Level1 fields an ended market data stream owned back to Level1. An order book owns the best quotes and a tick stream owns the last trade only while it runs; once it is gone Level1 is the only source left for them.

securityId: Security the stream carried.
dataType: Data type of the stream that ended.

RemoveOrderStatusTransactionId

public void RemoveOrderStatusTransactionId(long transactionId)

entityCache.RemoveOrderStatusTransactionId(transactionId)

Remove order status transaction id.

transactionId: Transaction id.

TryAddMassCancelationId

public void TryAddMassCancelationId(long transactionId)

entityCache.TryAddMassCancelationId(transactionId)

Try add mass cancelation transaction id.

transactionId: Transaction id.

TryGetAdapter

public IMessageAdapter TryGetAdapter(Order order)

result = entityCache.TryGetAdapter(order)

Try get message adapter for order.

order: Order.

Returns: Adapter or .

TryGetOrder

public Order TryGetOrder(long transactionId, OrderOperations operation)

result = entityCache.TryGetOrder(transactionId, operation)

Try get order by transaction id and operation.

transactionId: Transaction id.
operation: Operation.

Returns: Order or .

TryGetOrder

public Order TryGetOrder(long? orderId, string orderStringId)

result = entityCache.TryGetOrder(orderId, orderStringId)

Try get order by id.

orderId: Order id.
orderStringId: Order string id.

Returns: Order or .

TrySetAdapter

public void TrySetAdapter(Order order, IMessageAdapter adapter)

entityCache.TrySetAdapter(order, adapter)

Try set message adapter for order.

order: Order.
adapter: Adapter.

UpdateOrderBookSnapshot

public void UpdateOrderBookSnapshot(QuoteChangeMessage message)

entityCache.UpdateOrderBookSnapshot(message)

Update cached order book snapshot for a security.

message: Order book message.