private MarketDataMessage ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (!InnerAdapter.IsMarketDataTypeSupported(DataType.OrderLog))
{
return(message);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == DataType.OrderLog;
if (message.DataType2 == DataType.MarketDepth)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.ToDataType()))
{
var secId = GetSecurityId(message.SecurityId);
IOrderLogMarketDepthBuilder builder = null;
if (InnerAdapter.IsSecurityRequired(DataType.OrderLog))
{
builder = message.DepthBuilder ?? InnerAdapter.CreateOrderLogMarketDepthBuilder(secId);
}
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(true, builder, new SyncObject()));
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->MD subscribed {0}/{1}.", secId, message.TransactionId);
}
}
else if (message.DataType2 == DataType.Ticks)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.ToDataType()))
{
var secId = GetSecurityId(message.SecurityId);
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(false, (IOrderLogMarketDepthBuilder)null, new SyncObject()));
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->TICK subscribed {0}/{1}.", secId, message.TransactionId);
}
}
}
else
{
RemoveSubscription(message.OriginalTransactionId);
}
return(message);
}
private MarketDataMessage ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (message.SecurityId == default || !InnerAdapter.IsMarketDataTypeSupported(DataType.OrderLog))
{
return(message);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == DataType.OrderLog;
if (message.DataType2 == DataType.MarketDepth)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType2))
{
var builder = message.DepthBuilder ?? InnerAdapter.CreateOrderLogMarketDepthBuilder(message.SecurityId);
_subscriptionIds.Add(message.TransactionId, new SubscriptionInfo(message.TypedClone())
{
Builder = builder
});
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->MD subscribed {0}/{1}.", message.SecurityId, message.TransactionId);
}
}
else if (message.DataType2 == DataType.Ticks)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType2))
{
_subscriptionIds.Add(message.TransactionId, new SubscriptionInfo(message.TypedClone()));
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->TICK subscribed {0}/{1}.", message.SecurityId, message.TransactionId);
}
}
}
else
{
TryRemoveSubscription(message.OriginalTransactionId, out _);
}
return(message);
}
private MarketDataMessage ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (!InnerAdapter.IsMarketDataTypeSupported(MarketDataTypes.OrderLog))
{
return(message);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == MarketDataTypes.OrderLog;
switch (message.DataType)
{
case MarketDataTypes.MarketDepth:
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType))
{
var secId = GetSecurityId(message.SecurityId);
IOrderLogMarketDepthBuilder builder = null;
if (InnerAdapter.IsSecurityRequired(DataType.OrderLog))
{
builder = InnerAdapter.CreateOrderLogMarketDepthBuilder(secId);
}
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(secId, true, builder));
message = (MarketDataMessage)message.Clone();
message.DataType = MarketDataTypes.OrderLog;
this.AddInfoLog("OL->MD subscribed {0}/{1}.", secId, message.TransactionId);
}
break;
}
case MarketDataTypes.Trades:
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType))
{
var secId = GetSecurityId(message.SecurityId);
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(secId, false, (IOrderLogMarketDepthBuilder)null));
message = (MarketDataMessage)message.Clone();
message.DataType = MarketDataTypes.OrderLog;
this.AddInfoLog("OL->TICK subscribed {0}/{1}.", secId, message.TransactionId);
}
break;
}
}
}
else
{
var tuple = _subscriptionIds.TryGetAndRemove(message.OriginalTransactionId);
if (tuple != null)
{
this.AddInfoLog("OL->{0} unsubscribed {1}/{2}.", tuple.Second ? "MD" : "TICK", tuple.First, message.OriginalTransactionId);
}
}
return(message);
}
IOrderLogMarketDepthBuilder IMessageAdapter.CreateOrderLogMarketDepthBuilder(SecurityId securityId)
{
return(InnerAdapter.CreateOrderLogMarketDepthBuilder(securityId));
}
private bool ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (!InnerAdapter.IsMarketDataTypeSupported(MarketDataTypes.OrderLog))
{
return(false);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == MarketDataTypes.OrderLog;
switch (message.DataType)
{
case MarketDataTypes.MarketDepth:
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType))
{
var secId = GetSecurityId(message.SecurityId);
if (InnerAdapter.IsSupportSubscriptionBySecurity)
{
_depthBuilders.Add(secId, InnerAdapter.CreateOrderLogMarketDepthBuilder(secId));
}
else
{
_depthBuilders.TryAdd(secId, (IOrderLogMarketDepthBuilder)null);
}
_subscriptionIds.Add(message.TransactionId, Tuple.Create(secId, message.DataType));
var clone = (MarketDataMessage)message.Clone();
clone.DataType = MarketDataTypes.OrderLog;
base.SendInMessage(clone);
this.AddInfoLog("OL->MD subscribed {0}.", secId);
return(true);
}
break;
}
case MarketDataTypes.Trades:
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType))
{
var secId = GetSecurityId(message.SecurityId);
_tickBuilders.Add(secId);
_subscriptionIds.Add(message.TransactionId, Tuple.Create(secId, message.DataType));
var clone = (MarketDataMessage)message.Clone();
clone.DataType = MarketDataTypes.OrderLog;
base.SendInMessage(clone);
this.AddInfoLog("OL->TICK subscribed {0}.", secId);
return(true);
}
break;
}
}
}
else
{
if (!_subscriptionIds.TryGetValue(message.OriginalTransactionId, out var tuple))
{
return(false);
}
var secId = tuple.Item1;
if (tuple.Item2 == MarketDataTypes.MarketDepth)
{
_depthBuilders.Remove(secId);
this.AddInfoLog("OL->MD unsubscribed {0}.", secId);
}
else
{
_tickBuilders.Remove(secId);
this.AddInfoLog("OL->TICK unsubscribed {0}.", secId);
}
}
return(false);
}
