public override void OnTicksReject(ClientSession session, TicksRequestClientContext TicksRequestClientContext, QueryReject reject)
{
var context = (QueryQuoteHistoryTicksAsyncContext)TicksRequestClientContext;
var exception = new Exception(reject.Message);
context.Tcs.SetException(exception);
}
public override void OnTicksReport(ClientSession session, TicksRequestClientContext TicksRequestClientContext, QueryTicksReport report)
{
var context = (QueryQuoteHistoryTicksAsyncContext)TicksRequestClientContext;
var result = new List <Tick>();
for (int i = 0; i < report.Ticks.Length; i++)
{
var sourceTick = report.Ticks[i];
var tick = new Tick()
{
Id = new TickId
{
Time = sourceTick.Id.Time,
Index = sourceTick.Id.Index
},
Level2 = new Level2Collection()
};
for (int j = 0; j < sourceTick.Level2.Bids.Length; j++)
{
var sourceBid = sourceTick.Level2.Bids[j];
var bid = new Level2Value
{
Price = (decimal)sourceBid.Price,
Volume = (decimal)sourceBid.Volume
};
tick.Level2.Bids.Add(bid);
}
for (int j = 0; j < sourceTick.Level2.Asks.Length; j++)
{
var sourceAsk = sourceTick.Level2.Asks[j];
var ask = new Level2Value
{
Price = (decimal)sourceAsk.Price,
Volume = (decimal)sourceAsk.Volume
};
tick.Level2.Asks.Add(ask);
}
result.Add(tick);
}
context.Tcs.SetResult(result);
}
