/// <inheritdoc />
public override void SendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_subscriptions.Clear();
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.IsSubscribe)
{
if (!mdMsg.IsBasket())
{
break;
}
if (_securityProvider.LookupById(mdMsg.SecurityId) is BasketSecurity basket)
{
var processor = _processorProvider.CreateProcessor(basket);
var tuple = Tuple.Create(processor, mdMsg.TransactionId);
var info = _subscriptions.SafeAdd(mdMsg.DataType);
var ids = new long[processor.BasketLegs.Length];
for (var i = 0; i < ids.Length; i++)
{
ids[i] = TransactionIdGenerator.GetNextId();
info.ByTransactionIds.Add(ids[i], tuple);
}
foreach (var id in ids)
{
var clone = (MarketDataMessage)mdMsg.Clone();
clone.TransactionId = id;
SendInMessage(clone);
}
return;
}
}
else
{
}
break;
}
}
base.SendInMessage(message);
}
/// <inheritdoc />
public override void SendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_subscriptions.Clear();
_subscriptionsById.Clear();
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.SecurityId.IsDefault())
{
break;
}
var security = _securityProvider.LookupById(mdMsg.SecurityId);
if (security == null)
{
if (!mdMsg.IsBasket())
{
break;
}
security = mdMsg.ToSecurity(_exchangeInfoProvider).ToBasket(_processorProvider);
}
else if (!security.IsBasket())
{
break;
}
if (mdMsg.IsSubscribe)
{
var processor = _processorProvider.CreateProcessor(security);
var info = new SubscriptionInfo(processor, mdMsg.TransactionId);
var dict = _subscriptions.SafeAdd(mdMsg.DataType);
_subscriptionsById.Add(mdMsg.TransactionId, info);
var inners = new MarketDataMessage[processor.BasketLegs.Length];
for (var i = 0; i < inners.Length; i++)
{
var inner = (MarketDataMessage)mdMsg.Clone();
inner.TransactionId = TransactionIdGenerator.GetNextId();
inner.SecurityId = processor.BasketLegs[i];
inners[i] = inner;
info.LegsSubscriptions.Add(inner.TransactionId);
dict.Add(inner.TransactionId, info);
}
foreach (var inner in inners)
{
base.SendInMessage(inner);
}
}
else
{
if (!_subscriptionsById.TryGetValue(mdMsg.OriginalTransactionId, out var info))
{
break;
}
_subscriptionsById.Remove(mdMsg.OriginalTransactionId);
foreach (var id in info.LegsSubscriptions)
{
base.SendInMessage(new MarketDataMessage
{
TransactionId = TransactionIdGenerator.GetNextId(),
IsSubscribe = false,
OriginalTransactionId = id
});
}
}
RaiseNewOutMessage(new MarketDataMessage
{
OriginalTransactionId = mdMsg.TransactionId
});
return;
}
}
base.SendInMessage(message);
}