BaseFixDialect
Base class describing the dialect of the FIX protocol.
継承元: BaseLogReceiver
実装: IFixDialect, IMessageAdapter, IMessageTransport, IPersistable, ILogReceiver, ILogSource, IDisposable, ICloneable<IMessageAdapter>, ICloneable, IDemoAdapter
コンストラクター
BaseFixDialect(IdGenerator, Encoding, string)
Initialize BaseFixDialect.
- transactionIdGenerator
- Transaction id generator.
- encoding
- Encoding.
- version
- FIX version.
プロパティ
AssociatedBoards : string[]
The adapter can process subscription only with instruments associated with the specified board.
CancelOnDisconnect : bool
Cancel On Disconnect.
CandlesBuildFrom : IEnumerable<Level1Fields>
Possible options for candles building.
Categories : MessageAdapterCategories
Message adapter categories.
CheckTimeFrameByRequest : bool
Check possible time-frame by request.
ClientCode : string
Client code assigned by the broker.
ClientVersion : string
Client app version.
CurrentCounter : long
Counter.
DateParser : FastDateTimeParser
Date parser.
DisconnectTimeout : TimeSpan
Gets the timeout to wait for a graceful disconnect.
DoNotSendAccount : bool
Do not send Account.
EnqueueSubscriptions : bool
Enqueue subscriptions.
ExchangeBoard : string
Board, where securities are traded.
ExtraSetup : bool
The adapter requires extra setup.
FaultDelay : TimeSpan
Gets or sets the delay applied between faulted iterations.
FeatureName : string
Feature name.
HeartbeatBeforeConnect : bool
Start sending TimeMessage before connection established.
HeartbeatInterval : TimeSpan
Server check interval for track the connection alive. The value is Zero turned off tracking.
IsAutoReplyOnTransactonalUnsubscription : bool
Send auto response for OrderStatusMessage and PortfolioLookupMessage unsubscribes.
IsFullCandlesOnly : bool
Translates CandleMessage as only fully filled.
IsNativeIdentifiers : bool
Identify security in messages by native identifier Native.
IsNativeIdentifiersPersistable : bool
Native identifier can be stored.
IsPositionsEmulationRequired : bool?
Adapter required emulation PositionChangeMessage.
IsReplaceCommandEditCurrent : bool
Is the OrderReplaceMessage command edit a current order.
IsResetCounter : bool
Should the sequence counter be reset.
IsSecurityNewsOnly : bool
Adapter provides news related with specified security.
IsSupportExecutionsPnL : bool
Adapter fills PnL.
IsSupportMarketDataResponse : bool
Support market-data response.
IsSupportOrderBookIncrements : bool
Adapter translates incremental order books.
IsSupportSubscriptions : bool
Support any subscriptions (ticks, order books etc.).
IsSupportTransactionLog : bool
Adapter translates orders changes on reply of OrderStatusMessage.
IterationInterval : TimeSpan
Interval between iterations.
LoginAsPortfolioName : bool
Use Login as portfolio name.
LookupTimeout : TimeSpan?
Lookup timeout.
MaxParallelMessages : int
Gets or sets the maximum number of parallel (non-control) messages that can be processed. Must be greater than or equal to1.
NewOrderSingleErrorsAsReject : bool
Reply errors for messages of type NewOrderSingle transfers via Reject.
NotSupportedResultMessages : IEnumerable<MessageTypes>
Not supported by adapter result message types.
OrderConditionType : Type
Type of OrderCondition.
OverrideExecIdByNative : bool
Override ExecId by native identifier (if present in FIX message).
Password : SecureString
Password.
PossibleSupportedMessages : IEnumerable<MessageTypeInfo>
Possible supported message types.
QuotesAsLevel1 : bool
Translate quote data as Level1ChangeMessage or QuoteChangeMessage.
ReConnectionSettings : ReConnectionSettings
Connection tracking settings IMessageAdapter with a server.
SecurityExtendedFields : IEnumerable<ValueTuple<string, Type>>
Names of extended security fields in SecurityMessage.
SenderCompId : string
Sender ID.
StorageName : string
Storage name.
SupportedInMessages : IEnumerable<MessageTypes>
Supported by adapter message types.
SupportedOrderBookDepths : IEnumerable<int>
Available options for MaxDepth.
SupportLicensing : bool
Support of licensing features.
SupportUnknownExecutions : bool
Support executions processing, generated by third-party software.
TargetCompId : string
Target ID.
TickAsLevel1 : bool
Translate tick data as Level1ChangeMessage or ExecutionMessage.
TimeParser : FastTimeSpanParser
Time parser.
TimeStampParser : FastDateTimeParser
Time stamp parser.
TimeZone : TimeZoneInfo
Local time zone for all DateTime values conversion.
TransactionIdGenerator : IdGenerator
Transaction id generator used for internal child subscription routing. Must be kept in sync with the parent adapter's generator.
UseInChannel : bool
Use channels for in messages.
UseOutChannel : bool
Use channels for out messages.
YearMonthParser : FastDateTimeParser
Year and month parser.
メソッド
ApplyTimeInForce(ExecutionReport, ExecutionMessage, bool) : bool
Apply time in force.
- report
- msg
- throwInvalid
CheckState()
Check state before connect.
Clone() : IMessageAdapter
Creates a deep copy of a DataSeries
CreateOrderLogMarketDepthBuilder(SecurityId) : IOrderLogMarketDepthBuilder
Create market depth builder.
- securityId
- Security ID.
戻り値: Order log to market depth builder.
DisposeManaged()
Release resources.
FromSecurityTradingStatus(int?) : SecurityStates?
Convert SecurityTradingStatus to SecurityStates value.
- status
- SecurityTradingStatus value.
戻り値: SecurityStates value.
GetBoardCode(string, string, string) : string
Get board code.
- destination
- ExDestination.
- exchange
- SecurityGroup.
- tradingSession
- TradingSessionID.
戻り値: Board code.
GetExecutionTime(ExecutionReport) : DateTime
Get execution time.
GetOrderState(ExecutionReport) : OrderStates?
Convert OrdStatus to OrderStates value.
- report
- ExecutionReport value.
戻り値: OrderStates value.
GetOrderStringId(string) : string
Get OrderStringId.
- orderId
- OrderStringId value.
戻り値: OrderStringId value.
GetOrderType(ExecutionReport, OrderCondition) : OrderTypes
Get order type.
- report
- Execution report.
- condition
- Base order condition (for example, for stop order algo orders).
戻り値: Order type.
GetSecurityType(string) : SecurityTypes?
Convert String to SecurityTypes value.
- type
- String value.
戻り値: SecurityTypes value.
GetSupportedMarketDataTypesAsync(SecurityId, DateTime?, DateTime?) : IAsyncEnumerable<DataType>
Get supported by adapter message types.
- securityId
- SecurityId
- from
- Start date for request. If , then all available messages will be returned.
- to
- End date for request. If , then all available messages will be returned.
戻り値: Supported by adapter market data types.
GetSyntheticPortfolioName() : string
Get synthetic portfolio name for LoginAsPortfolioName mode.
戻り値: Portfolio code name.
InitSecId(SecurityMessage, string, string, string, string)
Init security id information.
- message
- A message containing info about the security.
- symbol
- Symbol.
- securityExchange
- Security exchange.
- idSource
- Id source.
- idValue
- Id value.
IsAllDownloadingSupported(DataType) : bool
Is for the specified all securities downloading enabled.
- dataType
- Data type info.
戻り値: Check result.
IsLogoutError(string) : bool
Check Logout contains error message.
- text
- Text message.
戻り値: if the specified text contains error message, otherwise, .
IsSecurityRequired(DataType) : bool
Support filtering subscriptions (subscribe/unsubscribe for specified security).
- dataType
- Data type info.
戻り値: Check result.
IsSupportCandlesPriceLevels(MarketDataMessage) : bool
Support candles PriceLevels.
- subscription
- MarketDataMessage
戻り値: Check result.
IsSupportCandlesUpdates(MarketDataMessage) : bool
Support candles subscription and live updates.
- subscription
- MarketDataMessage
戻り値: Check result.
IsSyntheticPortfolioName(string) : bool
Is the specified portfolio name generated by GetSyntheticPortfolioName.
- portfolioName
- Portfolio code name.
戻り値: Check result.
OnReadAsync(IFixReader, string, CancellationToken) : IAsyncEnumerable<Message>
Read next message from FIX protocol.
- reader
- The reader of data recorded in the FIX protocol format.
- msgType
- Message type.
- cancellationToken
- CancellationToken
戻り値: The sequence of messages.
OnReset()
Reset state.
OnWriteAsync(IFixWriter, Message, CancellationToken) : ValueTask<string>
Write the specified message into FIX protocol.
- writer
- The recorder of data in the FIX protocol format.
- message
- The message.
- cancellationToken
- Cancellation token.
戻り値: FixMessages value.
ProcessExecutionReportAsync(ExecutionReport, Func<ExecutionReport, ExecutionMessage, CancellationToken, IAsyncEnumerable<ExecutionMessage>>, CancellationToken) : IAsyncEnumerable<Message>
Process ExecutionReport instance.
- report
- ExecutionReport instance.
- processExecMsg
- Post handle an ExecutionMessage instance.
- cancellationToken
- CancellationToken
ProcessExecutionReportAsync(ExecutionReport, ExecutionMessage, CancellationToken) : IAsyncEnumerable<Message>
Process ExecutionReport instance.
- report
- ExecutionReport instance.
- message
- ExecutionMessage
- cancellationToken
- CancellationToken
ProcessExecutionReportExtraTagAsync(FixTags, IFixReader, ExecutionReport, CancellationToken) : ValueTask<bool>
Process extra tags for ExecutionReport.
- tag
- Tag.
- reader
- The reader of data recorded in the FIX protocol format.
- report
- Execution report.
- cancellationToken
- CancellationToken
戻り値: Result.
ProcessSecurityDefinitionAsync(FixTags, IFixReader, SecurityMessage, CancellationToken) : ValueTask<bool>
Process SecurityDefinition message.
- tag
- Tag.
- reader
- The reader of data recorded in the FIX protocol format.
- message
- A message containing info about the security.
- cancellationToken
- CancellationToken
戻り値: Processing result.
ProcessSequenceResetExtraTagAsync(FixTags, IFixReader, FixSeqResetMessage, CancellationToken) : ValueTask<bool>
Process extra tags for FixSeqResetMessage.
- tag
- Tag.
- reader
- The reader of data recorded in the FIX protocol format.
- message
- Sequence reset message.
- cancellationToken
- CancellationToken
戻り値: Result.
RaiseNewOutMessageAsync(Message, CancellationToken) : ValueTask
Raise NewOutMessageAsync
- message
- Message.
- cancellationToken
- CancellationToken
ReadExecutionReportAsync(IFixReader, ExecutionReport, FastDateTimeParser, Func<FixTags, IFixReader, ExecutionReport, CancellationToken, ValueTask<bool>>, CancellationToken) : ValueTask<bool>
Read the ExecutionReport message.
- reader
- The reader of data recorded in the FIX protocol format.
- report
- ExecutionReport instance.
- transactTimeParser
- Parser for TransactTime field.
- extraTagProcess
- cancellationToken
- CancellationToken
戻り値: , if the messages was read successfully, to skip unknown message, null to break connection.
SendInMessageAsync(Message, CancellationToken) : ValueTask
Processes a generic message asynchronously.
- message
- The message to process.
- cancellationToken
- CancellationToken
TryParseNextMsqSeqNum(string) : long?
Try extract expected MsgSeqNum from the specified error message.
- errorMessage
- Error message.
戻り値: MsgSeqNum or .
WriteAccountAsync(IFixWriter, IPortfolioNameMessage, CancellationToken) : ValueTask
Write Account value.
- writer
- Writer.
- message
- Message.
- cancellationToken
- Cancellation token.
WriteClOrdIdAsync(IFixWriter, long, CancellationToken) : ValueTask
Write ClOrdID.
- writer
- Writer.
- transactionId
- Transaction ID.
- cancellationToken
- Cancellation token.
WriteLogonRequestAsync(IFixWriter, ConnectMessage, CancellationToken, Func<IFixWriter, CancellationToken, ValueTask>) : ValueTask<string>
To record the Logon message (request).
- writer
- The recorder of data in the FIX protocol format.
- message
- ConnectMessage.
- cancellationToken
- Cancellation token.
- extra
- Write extra parameters for Logon message.
戻り値: FixMessages value.
WriteLogoutRequestAsync(IFixWriter, CancellationToken, string) : ValueTask<string>
To record the Logout message (request).
- writer
- The recorder of data in the FIX protocol format.
- cancellationToken
- Cancellation token.
- text
- The text of reason.
戻り値: FixMessages value.
WriteResendRequestAsync(IFixWriter, long, long, CancellationToken) : ValueTask<string>
To record the ResendRequest message.
- writer
- The recorder of data in the FIX protocol format.
- beginSeqNo
- The original message identifier.
- endSeqNo
- The last message identifier.
- cancellationToken
- Cancellation token.
戻り値: FixMessages value.
WriteSequenceResetAsync(IFixWriter, bool, long, CancellationToken) : ValueTask<string>
To record the SequenceReset message (request).
- writer
- The recorder of data in the FIX protocol format.
- gapFill
- Gap fill.
- newSeqNo
- New sequence number.
- cancellationToken
- Cancellation token.
戻り値: FixMessages value.
WriteTimeMessageAsync(IFixWriter, TimeMessage, CancellationToken) : ValueTask<string>
To record the Heartbeat or TestRequest message.
- writer
- The recorder of data in the FIX protocol format.
- timeMsg
- Heartbeat message.
- cancellationToken
- Cancellation token.
戻り値: FixMessages value.
WriteUserRequestChangePasswordAsync(IFixWriter, ChangePasswordMessage, CancellationToken, string, string) : ValueTask<string>
To record the UserRequest message.
- writer
- The recorder of data in the FIX protocol format.
- message
- Password change message.
- cancellationToken
- Cancellation token.
- userName
- Current user name.
- password
- Current password.
戻り値: FixMessages value.