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| Original file line number | Diff line number | Diff line change |
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| // | ||
| // OrderAction.swift | ||
| // DXFeedFramework | ||
| // | ||
| // Created by Aleksey Kosylo on 06.10.23. | ||
| // | ||
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| import Foundation | ||
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| public enum OrderAction { | ||
| /// Default enum value for orders that do not support "Full Order Book" and for backward compatibility - | ||
| /// action must be derived from other ``Order`` | ||
| case undefined | ||
| /// New Order is added to Order Book. | ||
| case new | ||
| /// Order is modified and price-time-priority is not maintained (i.e. order has re-entered Order Book). | ||
| case replace | ||
| /// Order is modified without changing its price-time-priority (usually due to partial cancel by user). | ||
| case modify | ||
| /// Order is fully canceled and removed from Order Book. | ||
| case delete | ||
| /// Size is changed (usually reduced) due to partial order execution. | ||
| case partial | ||
| /// Order is fully executed and removed from Order Book. | ||
| case execute | ||
| /// Non-Book Trade - this Trade not refers to any entry in Order Book. | ||
| case trade | ||
| /// Prior Trade/Order Execution bust | ||
| case bust | ||
| } |
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,141 @@ | ||
| // | ||
| // OrderBase.swift | ||
| // DXFeedFramework | ||
| // | ||
| // Created by Aleksey Kosylo on 06.10.23. | ||
| // | ||
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| import Foundation | ||
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| class OrderBase: MarketEvent, IIndexedEvent, CustomStringConvertible { | ||
| var type: EventCode = .orderBase | ||
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| var eventSource: IndexedEventSource | ||
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| var eventFlags: Int32 = 0 | ||
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| var index: Long = 0 | ||
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| var eventSymbol: String | ||
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| var eventTime: Int64 = 0 | ||
| /* | ||
| * Flags property has several significant bits that are packed into an integer in the following way: | ||
| * 31..15 14..11 10..4 3 2 1 0 | ||
| * +--------+--------+--------+----+----+----+----+ | ||
| * | | Action |Exchange| Side | Scope | | ||
| * +--------+--------+--------+----+----+----+----+ | ||
| */ | ||
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| // ACTION values are taken from OrderAction enum. | ||
| private static let actionMask = 0x0f | ||
| private static let actionShift = 11 | ||
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| // EXCHANGE values are ASCII chars in [0, 127]. | ||
| private static let exchangeMask = 0x7f | ||
| private static let exchangeShift = 4 | ||
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| // SIDE values are taken from Side enum. | ||
| private static let sideMask = 3 | ||
| private static let sideShift = 2 | ||
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| // SCOPE values are taken from Scope enum. | ||
| private static let scopeMask = 3 | ||
| private static let scopeShift = 0 | ||
| /* | ||
| * Index field contains source identifier, optional exchange code and low-end index (virtual id or MMID). | ||
| * Index field has 2 formats depending on whether source is "special" (see OrderSource.IsSpecialSourceId()). | ||
| * Note: both formats are IMPLEMENTATION DETAILS, they are subject to change without notice. | ||
| * 63..48 47..32 31..16 15..0 | ||
| * +--------+--------+--------+--------+ | ||
| * | Source |Exchange| Index | <- "special" order sources (non-printable id with exchange) | ||
| * +--------+--------+--------+--------+ | ||
| * 63..48 47..32 31..16 15..0 | ||
| * +--------+--------+--------+--------+ | ||
| * | Source | Index | <- generic order sources (alphanumeric id without exchange) | ||
| * +--------+--------+--------+--------+ | ||
| * Note: when modifying formats track usages of getIndex/setIndex, getSource/setSource and isSpecialSourceId | ||
| * methods in order to find and modify all code dependent on current formats. | ||
| */ | ||
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| /* | ||
| * EventFlags property has several significant bits that are packed into an integer in the following way: | ||
| * 31..7 6 5 4 3 2 1 0 | ||
| * +---------+----+----+----+----+----+----+----+ | ||
| * | | SM | | SS | SE | SB | RE | TX | | ||
| * +---------+----+----+----+----+----+----+----+ | ||
| */ | ||
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| /// Gets or sets time and sequence of this order packaged into single long value | ||
| /// This method is intended for efficient order time priority comparison. | ||
| /// Do not set their property directly. | ||
| public var timeSequence: Int64 = 0 | ||
| /// Gets or sets microseconds and nanoseconds time part of this order. | ||
| public var timeNanoPart: Int32 = 0 | ||
| /// Gets or sets time of the last ``action`` | ||
| public var actionTime: Int64 = 0 | ||
| /// Gets or sets order ID if available. | ||
| /// Some actions ``OrderAction/trade``, ``OrderAction/bust`` | ||
| /// have no order ID since they are not related to any order in Order book. | ||
| public let orderId: Int64 = 0 | ||
| /// Gets or sets order ID if available. | ||
| /// Returns auxiliary order ID if available:. | ||
| /// ``OrderAction/new`` ID of the order replaced by this new order. | ||
| /// ``OrderAction/delete`` - ID of the order that replaces this deleted order. | ||
| /// ``OrderAction/partial`` - ID of the aggressor order. | ||
| /// ``OrderAction/execute`` - ID of the aggressor order. | ||
| public var auxOrderId: Int64 = 0 | ||
| /// Gets or sets price of this order event. | ||
| public var price: Double = .nan | ||
| /// Gets or sets size of this order event as floating number with fractions. | ||
| public var size: Double = .nan | ||
| /// Gets or sets executed size of this order. | ||
| public var executedSize: Double = .nan | ||
| /// Gets or sets number of individual orders in this aggregate order. | ||
| public var count: Int64 = 0 | ||
| /// Gets or sets implementation-specific flags. | ||
| /// **Do not use this property directly.** | ||
| var flags: Int32 = 0 | ||
| /// Gets or sets trade (order execution) ID for events containing trade-related action. | ||
| /// Returns 0 if trade ID not available. | ||
| public var tradeId: Int64 = 0 | ||
| /// Gets or sets trade price for events containing trade-related action. | ||
| public var tradePrice: Double = .nan | ||
| /// Gets or sets trade size for events containing trade-related action. | ||
| public var tradeSize: Double = .nan | ||
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| init(_ eventSymbol: String) { | ||
| self.eventSymbol = eventSymbol | ||
| } | ||
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| public var description: String { | ||
| """ | ||
| DXFG_ORDER_BASE_T \ | ||
| eventSymbol: \(eventSymbol) \ | ||
| eventTime: \(eventTime) \ | ||
| eventFlags: \(eventFlags), \ | ||
| index: \(index), \ | ||
| timeSequence: \(timeSequence), \ | ||
| timeNanoPart: \(timeNanoPart), \ | ||
| actionTime: \(actionTime), \ | ||
| orderId: \(orderId), \ | ||
| auxOrderId: \(auxOrderId), \ | ||
| price: \(price), \ | ||
| size: \(size), \ | ||
| executedSize: \(executedSize), \ | ||
| count: \(count), \ | ||
| flags: \(flags), \ | ||
| tradeId: \(tradeId), \ | ||
| tradePrice: \(tradePrice), \ | ||
| tradeSize: \(tradeSize) | ||
| """ | ||
| } | ||
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| } | ||
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| extension OrderBase { | ||
| func hsaSize() -> Bool { | ||
| return size != 0 && !size.isNaN | ||
| } | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,12 @@ | ||
| // | ||
| // OrderSource.swift | ||
| // DXFeedFramework | ||
| // | ||
| // Created by Aleksey Kosylo on 06.10.23. | ||
| // | ||
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| import Foundation | ||
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| public class OrderSource : IndexedEventSource | ||
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| } |