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);
}
/// <summary>
/// Process <see cref="MarketDataMessage"/>.
/// </summary>
/// <param name="message">Market-data message (uses as a subscribe/unsubscribe in outgoing case, confirmation event in incoming case).</param>
/// <param name="newOutMessage">New message event.</param>
/// <returns>Market-data message (uses as a subscribe/unsubscribe in outgoing case, confirmation event in incoming case).</returns>
public MarketDataMessage ProcessMarketData(MarketDataMessage message, Action <Message> newOutMessage)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (newOutMessage is null)
{
throw new ArgumentNullException(nameof(newOutMessage));
}
if (message.From == null && Settings.DaysLoad == TimeSpan.Zero)
{
return(message);
}
if (message.IsSubscribe)
{
if (message.SecurityId.IsAllSecurity())
{
return(message);
}
var transactionId = message.TransactionId;
var lastTime = LoadMessages(message, message.From, message.To, transactionId, newOutMessage);
if (message.To != null && lastTime != null && message.To <= lastTime)
{
_fullyProcessedSubscriptions.Add(transactionId);
newOutMessage(new SubscriptionFinishedMessage {
OriginalTransactionId = transactionId
});
return(null);
}
if (lastTime != null)
{
if (!(message.DataType == MarketDataTypes.MarketDepth && message.From == null && message.To == null))
{
var clone = message.TypedClone();
clone.From = lastTime;
message = clone;
message.ValidateBounds();
}
}
}
else
{
if (_fullyProcessedSubscriptions.Remove(message.OriginalTransactionId))
{
newOutMessage(new SubscriptionResponseMessage
{
OriginalTransactionId = message.TransactionId,
});
return(null);
}
}
return(message);
}
private DateTimeOffset?LoadMessages(MarketDataMessage msg, DateTimeOffset?from, DateTimeOffset?to, long transactionId, Action <Message> newOutMessage)
{
void SendReply() => newOutMessage(new SubscriptionResponseMessage {
OriginalTransactionId = transactionId
});
void SendOut(Message message)
{
message.OfflineMode = MessageOfflineModes.Ignore;
newOutMessage(message);
}
DateTimeOffset?lastTime = null;
var secId = msg.SecurityId;
switch (msg.DataType)
{
case MarketDataTypes.Level1:
if (msg.BuildMode != MarketDataBuildModes.Build)
{
if (Settings.IsMode(StorageModes.Incremental))
{
lastTime = LoadMessages(Settings.GetStorage <Level1ChangeMessage>(secId, null), from, to, TimeSpan.Zero, transactionId, SendReply, SendOut);
}
}
else
{
if (msg.BuildFrom == MarketDataTypes.OrderLog)
{
var storage = Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.OrderLog);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToLevel1(msg.DepthBuilder, msg.RefreshSpeed ?? default, msg.MaxDepth ?? int.MaxValue), range.Item1, transactionId, SendReply, SendOut);
}
}
else if (msg.BuildFrom == MarketDataTypes.MarketDepth)
{
var storage = Settings.GetStorage <QuoteChangeMessage>(secId, null);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToLevel1(), range.Item1, transactionId, SendReply, SendOut);
}
}
}
break;
case MarketDataTypes.MarketDepth:
if (msg.BuildMode != MarketDataBuildModes.Build)
{
if (Settings.IsMode(StorageModes.Incremental))
{
lastTime = LoadMessages(Settings.GetStorage <QuoteChangeMessage>(secId, null), from, to, TimeSpan.Zero, transactionId, SendReply, SendOut);
}
}
else
{
if (msg.BuildFrom == MarketDataTypes.OrderLog)
{
var storage = Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.OrderLog);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToOrderBooks(msg.DepthBuilder, msg.RefreshSpeed ?? default, msg.MaxDepth ?? int.MaxValue), range.Item1, transactionId, SendReply, SendOut);
}
}
else if (msg.BuildFrom == MarketDataTypes.Level1)
{
var storage = Settings.GetStorage <Level1ChangeMessage>(secId, null);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToOrderBooks(), range.Item1, transactionId, SendReply, SendOut);
}
}
}
break;
case MarketDataTypes.Trades:
if (msg.BuildMode != MarketDataBuildModes.Build)
{
lastTime = LoadMessages(Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.Tick), from, to, Settings.DaysLoad, transactionId, SendReply, SendOut);
}
else
{
if (msg.BuildFrom == MarketDataTypes.OrderLog)
{
var storage = Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.OrderLog);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToTicks(), range.Item1, transactionId, SendReply, SendOut);
}
}
else if (msg.BuildFrom == MarketDataTypes.Level1)
{
var storage = Settings.GetStorage <Level1ChangeMessage>(secId, null);
var range = GetRange(storage, from, to, TimeSpan.Zero);
if (range != null)
{
lastTime = LoadMessages(storage
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToTicks(), range.Item1, transactionId, SendReply, SendOut);
}
}
}
break;
case MarketDataTypes.OrderLog:
lastTime = LoadMessages(Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.OrderLog), from, to, Settings.DaysLoad, transactionId, SendReply, SendOut);
break;
case MarketDataTypes.News:
lastTime = LoadMessages(Settings.GetStorage <NewsMessage>(default, null), from, to, Settings.DaysLoad, transactionId, SendReply, SendOut);
break;
case MarketDataTypes.Board:
lastTime = LoadMessages(Settings.GetStorage <BoardStateMessage>(default, null), from, to, Settings.DaysLoad, transactionId, SendReply, SendOut);
break;
case MarketDataTypes.CandleTimeFrame:
var tf = msg.GetTimeFrame();
if (msg.IsBuildOnly())
{
IMarketDataStorage storage;
switch (msg.BuildFrom)
{
case null:
case MarketDataTypes.Trades:
storage = Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.Tick);
break;
case MarketDataTypes.OrderLog:
storage = Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.OrderLog);
break;
case MarketDataTypes.Level1:
storage = Settings.GetStorage <Level1ChangeMessage>(secId, null);
break;
case MarketDataTypes.MarketDepth:
storage = Settings.GetStorage <QuoteChangeMessage>(secId, null);
break;
default:
throw new ArgumentOutOfRangeException(nameof(msg), msg.BuildFrom, LocalizedStrings.Str1219);
}
var range = GetRange(storage, from, to, TimeSpan.FromDays(2));
if (range != null)
{
var mdMsg = msg.TypedClone();
mdMsg.From = mdMsg.To = null;
switch (msg.BuildFrom)
{
case null:
case MarketDataTypes.Trades:
lastTime = LoadMessages(((IMarketDataStorage <ExecutionMessage>)storage)
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToCandles(mdMsg, candleBuilderProvider: CandleBuilderProvider), range.Item1, transactionId, SendReply, SendOut);
break;
case MarketDataTypes.OrderLog:
{
switch (msg.BuildField)
{
case null:
case Level1Fields.LastTradePrice:
lastTime = LoadMessages(((IMarketDataStorage <ExecutionMessage>)storage)
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToCandles(mdMsg, candleBuilderProvider: CandleBuilderProvider), range.Item1, transactionId, SendReply, SendOut);
break;
// TODO
//case Level1Fields.SpreadMiddle:
// lastTime = LoadMessages(((IMarketDataStorage<ExecutionMessage>)storage)
// .Load(range.Item1.Date, range.Item2.Date.EndOfDay())
// .ToOrderBooks(OrderLogBuilders.Plaza2.CreateBuilder(security.ToSecurityId()))
// .ToCandles(mdMsg, false, exchangeInfoProvider: exchangeInfoProvider), range.Item1, transactionId, SendReply, SendOut);
// break;
}
break;
}
case MarketDataTypes.Level1:
switch (msg.BuildField)
{
case null:
case Level1Fields.LastTradePrice:
lastTime = LoadMessages(((IMarketDataStorage <Level1ChangeMessage>)storage)
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToTicks()
.ToCandles(mdMsg, candleBuilderProvider: CandleBuilderProvider), range.Item1, transactionId, SendReply, SendOut);
break;
case Level1Fields.BestBidPrice:
case Level1Fields.BestAskPrice:
case Level1Fields.SpreadMiddle:
lastTime = LoadMessages(((IMarketDataStorage <Level1ChangeMessage>)storage)
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToOrderBooks()
.ToCandles(mdMsg, msg.BuildField.Value, candleBuilderProvider: CandleBuilderProvider), range.Item1, transactionId, SendReply, SendOut);
break;
}
break;
case MarketDataTypes.MarketDepth:
lastTime = LoadMessages(((IMarketDataStorage <QuoteChangeMessage>)storage)
.Load(range.Item1.Date, range.Item2.Date.EndOfDay())
.ToCandles(mdMsg, msg.BuildField ?? Level1Fields.SpreadMiddle, candleBuilderProvider: CandleBuilderProvider), range.Item1, transactionId, SendReply, SendOut);
break;
default:
throw new ArgumentOutOfRangeException(nameof(msg), msg.BuildFrom, LocalizedStrings.Str1219);
}
}
}
else
{
var days = Settings.DaysLoad;
//if (tf.Ticks > 1)
//{
// if (tf.TotalMinutes < 15)
// days = TimeSpan.FromTicks(tf.Ticks * 10000);
// else if (tf.TotalHours < 2)
// days = TimeSpan.FromTicks(tf.Ticks * 1000);
// else if (tf.TotalDays < 2)
// days = TimeSpan.FromTicks(tf.Ticks * 100);
// else
// days = TimeSpan.FromTicks(tf.Ticks * 50);
//}
lastTime = LoadMessages(GetTimeFrameCandleMessageStorage(secId, tf, msg.AllowBuildFromSmallerTimeFrame), from, to, days, transactionId, SendReply, SendOut);
}
break;
default:
{
if (msg.DataType.IsCandleDataType())
{
var storage = (IMarketDataStorage <CandleMessage>)Settings.GetStorage(secId, msg.DataType.ToCandleMessage(), msg.Arg);
var range = GetRange(storage, from, to, Settings.DaysLoad);
if (range != null)
{
var messages = storage.Load(range.Item1.Date, range.Item2.Date.EndOfDay());
lastTime = LoadMessages(messages, range.Item1, transactionId, SendReply, SendOut);
}
}
break;
// throw new ArgumentOutOfRangeException(nameof(msg), msg.DataType, LocalizedStrings.Str721);
}
}
return(lastTime);
}