private void L1OnUpdateMsg(IQMessageArgs args)
{
if (!L1UpdateMsg.TryParse(args, fieldIndex, out var msg))
{
return;
}
InstrumentSubscription subscription;
using (instrumentSubscriptionsLock.Lock())
{
if (!instrumentSubscriptionsByCode.TryGetValue(msg.Symbol, out subscription))
{
return;
}
}
var shouldTransmit = subscription.Update(ref msg);
if (shouldTransmit)
{
OnMessageReceived(subscription.InstrumentParams);
}
}
/// <summary>
///
/// </summary>
/// <param name="msg"></param>
/// <returns></returns>
public bool Update(ref L1UpdateMsg msg)
{
Confirm();
using (syncRoot.Lock())
{
InstrumentParams.BestBidPrice = msg.BestBidPrice;
InstrumentParams.BestBidQuantity = msg.BestBidQuantity;
InstrumentParams.BestOfferPrice = msg.BestOfferPrice;
InstrumentParams.BestOfferQuantity = msg.BestOfferQuantity;
InstrumentParams.LastPrice = msg.LastPrice;
InstrumentParams.Settlement = msg.Settlement;
InstrumentParams.PreviousSettlement = msg.PreviousSettlement;
var date = DateTime.UtcNow;
if ((date - lastUpdateTime).TotalMilliseconds >= UpdateIntervalMs)
{
lastUpdateTime = date;
return(true);
}
return(false);
}
}
