/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
void AddInfo(OrderRegisterMessage regMsg)
{
if (regMsg is null)
{
throw new ArgumentNullException(nameof(regMsg));
}
if (regMsg.OrderType == OrderTypes.Market || regMsg.Price == 0)
{
return;
}
if (regMsg.TimeInForce == TimeInForce.MatchOrCancel || regMsg.TimeInForce == TimeInForce.CancelBalance)
{
return;
}
lock (_sync)
{
foreach (var info in _byId.Values)
{
if (info.BookSubscription.SecurityId == regMsg.SecurityId)
{
info.AddOrder(regMsg);
}
}
}
}
switch (message.Type)
{
case MessageTypes.Reset:
{
lock (_sync)
{
_byId.Clear();
_byBookId.Clear();
_byOrderStatusId.Clear();
_online.Clear();
_unsubscribeRequests.Clear();
}
break;
}
case MessageTypes.OrderRegister:
case MessageTypes.OrderReplace:
{
AddInfo((OrderRegisterMessage)message);
break;
}
case MessageTypes.OrderPairReplace:
{
var pairMsg = (OrderPairReplaceMessage)message;
AddInfo(pairMsg.Message1);
AddInfo(pairMsg.Message2);
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.IsSubscribe)
{
if (mdMsg.SecurityId == default)
{
break;
}
if (mdMsg.DataType2 != DataType.FilteredMarketDepth)
{
break;
}
var transId = mdMsg.TransactionId;
mdMsg = mdMsg.TypedClone();
mdMsg.TransactionId = TransactionIdGenerator.GetNextId();
mdMsg.DataType2 = DataType.MarketDepth;
var orderStatus = new OrderStatusMessage
{
TransactionId = TransactionIdGenerator.GetNextId(),
IsSubscribe = true,
States = new[] { OrderStates.Active },
SecurityId = mdMsg.SecurityId,
};
var info = new FilteredMarketDepthInfo(transId, new Subscription(mdMsg, mdMsg), new Subscription(orderStatus, orderStatus));
lock (_sync)
{
_byId.Add(transId, info);
_byBookId.Add(mdMsg.TransactionId, info);
_byOrderStatusId.Add(orderStatus.TransactionId, info);
}
base.OnSendInMessage(mdMsg);
base.OnSendInMessage(orderStatus);
return(true);
}
else
{
MarketDataMessage bookUnsubscribe = null;
OrderStatusMessage ordersUnsubscribe = null;
lock (_sync)
{
if (!_byId.TryGetValue(mdMsg.OriginalTransactionId, out var info))
{
break;
}
info.UnSubscribeId = mdMsg.TransactionId;
if (info.BookSubscription.State.IsActive())
{
bookUnsubscribe = new MarketDataMessage
{
TransactionId = TransactionIdGenerator.GetNextId(),
OriginalTransactionId = info.BookSubscription.TransactionId,
IsSubscribe = false,
};
_unsubscribeRequests.Add(bookUnsubscribe.TransactionId, Tuple.Create(info, true));
}
if (info.OrdersSubscription.State.IsActive())
{
ordersUnsubscribe = new OrderStatusMessage
{
TransactionId = TransactionIdGenerator.GetNextId(),
OriginalTransactionId = info.OrdersSubscription.TransactionId,
IsSubscribe = false,
};
_unsubscribeRequests.Add(ordersUnsubscribe.TransactionId, Tuple.Create(info, false));
}
}
if (bookUnsubscribe == null && ordersUnsubscribe == null)
{
RaiseNewOutMessage(new SubscriptionResponseMessage
{
OriginalTransactionId = mdMsg.TransactionId,
Error = new InvalidOperationException(LocalizedStrings.SubscriptionNonExist.Put(mdMsg.OriginalTransactionId)),
});
}
else
{
if (bookUnsubscribe != null)
{
base.OnSendInMessage(bookUnsubscribe);
}
if (ordersUnsubscribe != null)
{
base.OnSendInMessage(ordersUnsubscribe);
}
}
return(true);
}
}
}
return(base.OnSendInMessage(message));
}
/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_infos.Clear();
_infosBySecId.Clear();
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.IsSubscribe)
{
if (!(mdMsg is FilteredMarketDepthMessage filteredMsg))
{
break;
}
if (mdMsg.SecurityId == default)
{
break;
}
var transId = mdMsg.TransactionId;
var data = mdMsg.GetArg <Tuple <QuoteChangeMessage, ExecutionMessage[]> >();
var info = new FilteredMarketDepthInfo(filteredMsg.TypedClone(), data.Item2);
_infos.Add(transId, info);
_infosBySecId.SafeAdd(mdMsg.SecurityId).Add(transId);
mdMsg = new MarketDataMessage();
filteredMsg.CopyTo(mdMsg);
mdMsg.DataType2 = DataType.MarketDepth;
message = mdMsg;
RaiseNewOutMessage(info.Process(data.Item1));
}
else
{
if (_infos.TryGetAndRemove(mdMsg.OriginalTransactionId, out var info))
{
info.State = SubscriptionStates.Stopped;
_infosBySecId.TryGetValue(info.Origin.SecurityId)?.Remove(mdMsg.OriginalTransactionId);
var clone = new MarketDataMessage();
mdMsg.CopyTo(clone);
message = clone;
}
}
break;
}
}
return(base.OnSendInMessage(message));
}
