private void CreateAssociatedSecurityQuotes(QuoteChangeMessage quoteMsg)
{
if (!SessionHolder.CreateAssociatedSecurity)
{
return;
}
if (quoteMsg.SecurityId.IsDefault())
{
return;
}
var builder = _quoteChangeDepthBuilders
.SafeAdd(quoteMsg.SecurityId.SecurityCode, c => new QuoteChangeDepthBuilder(c, SessionHolder.AssociatedBoardCode));
NewOutMessage.SafeInvoke(builder.Process(quoteMsg));
}
/// <summary>
/// Отправить исходящее сообщение, вызвав событие <see cref="NewOutMessage"/>.
/// </summary>
/// <param name="message">Сообщение.</param>
public virtual void SendOutMessage(Message message)
{
InitMessageLocalTime(message);
if (_prevTime != DateTime.MinValue)
{
var diff = message.LocalTime - _prevTime;
_secLookupTimeOut
.ProcessTime(diff)
.ForEach(id => SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = id
}));
_pfLookupTimeOut
.ProcessTime(diff)
.ForEach(id => SendOutMessage(new PortfolioLookupResultMessage {
OriginalTransactionId = id
}));
}
_prevTime = message.LocalTime;
NewOutMessage.SafeInvoke(message);
}
/// <summary>
/// Open channel.
/// </summary>
public void Open()
{
_messageQueue.Open();
ThreadingHelper
.Thread(() => CultureInfo.InvariantCulture.DoInCulture(() =>
{
while (!_messageQueue.IsClosed)
{
try
{
KeyValuePair <DateTimeOffset, Message> pair;
if (!_messageQueue.TryDequeue(out pair))
{
break;
}
//if (!(message is TimeMessage) && message.GetType().Name != "BasketMessage")
// Console.WriteLine("<< ({0}) {1}", System.Threading.Thread.CurrentThread.Name, message);
_msgStat.Remove(pair.Value);
NewOutMessage.SafeInvoke(pair.Value);
}
catch (Exception ex)
{
_errorHandler(ex);
}
}
Closed.SafeInvoke();
}))
.Name("{0} channel thread.".Put(Name))
//.Culture(CultureInfo.InvariantCulture)
.Launch();
}
public void Open()
{
_messageQueue.Open();
ThreadingHelper
.Thread(() => CultureInfo.InvariantCulture.DoInCulture(() =>
{
while (!_messageQueue.IsClosed)
{
try
{
var sended = _historyMessageAdapter.SendOutMessage();
KeyValuePair <DateTimeOffset, Message> pair;
if (!_messageQueue.TryDequeue(out pair, true, !sended))
{
if (!sended)
{
break;
}
}
else
{
NewOutMessage.SafeInvoke(pair.Value);
}
}
catch (Exception ex)
{
_errorHandler(ex);
}
}
}))
.Name("History emulation channel thread.")
.Launch();
}
/// <summary>
/// To call the event <see cref="NewOutMessage"/>.
/// </summary>
/// <param name="message">The message.</param>
protected void RaiseNewOutMessage(Message message)
{
NewOutMessage.SafeInvoke(message);
}
/// <summary>
/// Метод обработки исходящих сообщений для <see cref="OutMessageProcessor"/>.
/// </summary>
/// <param name="message">Сообщение.</param>
/// <param name="adapter">Адаптер.</param>
protected virtual void OnOutMessageProcessor(Message message, IMessageAdapter adapter)
{
if (this != adapter)
{
return;
}
switch (message.Type)
{
case MessageTypes.ClearMessageQueue:
OutMessageProcessor.Clear((ClearMessageQueueMessage)message);
return;
case MessageTypes.Security:
{
NewOutMessage.SafeInvoke(message);
if (!SessionHolder.CreateAssociatedSecurity)
{
break;
}
var clone = (SecurityMessage)message.Clone();
clone.SecurityId = CloneSecurityId(clone.SecurityId);
NewOutMessage.SafeInvoke(clone);
break;
}
case MessageTypes.Level1Change:
{
NewOutMessage.SafeInvoke(message);
var l1Msg = (Level1ChangeMessage)message;
if (l1Msg.SecurityId.IsDefault())
{
break;
}
if (SessionHolder.CreateAssociatedSecurity)
{
// обновление BestXXX для ALL из конкретных тикеров
var clone = (Level1ChangeMessage)l1Msg.Clone();
clone.SecurityId = CloneSecurityId(clone.SecurityId);
NewOutMessage.SafeInvoke(clone);
}
if (SessionHolder.CreateDepthFromLevel1)
{
// генерация стакана из Level1
var builder = _level1DepthBuilders.SafeAdd(l1Msg.SecurityId, c => new Level1DepthBuilder(c));
if (builder.Process(l1Msg))
{
var quoteMsg = builder.QuoteChange;
NewOutMessage.SafeInvoke(quoteMsg);
CreateAssociatedSecurityQuotes(quoteMsg);
}
}
break;
}
case MessageTypes.QuoteChange:
{
var quoteMsg = (QuoteChangeMessage)message;
NewOutMessage.SafeInvoke(quoteMsg);
if (SessionHolder.CreateDepthFromLevel1)
{
_level1DepthBuilders.SafeAdd(quoteMsg.SecurityId, c => new Level1DepthBuilder(c)).HasDepth = true;
}
CreateAssociatedSecurityQuotes(quoteMsg);
break;
}
case MessageTypes.Execution:
{
NewOutMessage.SafeInvoke(message);
if (!SessionHolder.CreateAssociatedSecurity)
{
break;
}
var execMsg = (ExecutionMessage)message;
if (execMsg.SecurityId.IsDefault())
{
break;
}
switch (execMsg.ExecutionType)
{
case ExecutionTypes.Tick:
case ExecutionTypes.OrderLog:
{
var clone = (ExecutionMessage)message.Clone();
clone.SecurityId = CloneSecurityId(clone.SecurityId);
NewOutMessage.SafeInvoke(clone);
break;
}
}
break;
}
default:
NewOutMessage.SafeInvoke(message);
break;
}
}
/// <summary>
/// Отправить исходящее сообщение, вызвав событие <see cref="NewOutMessage"/>.
/// </summary>
/// <param name="message">Сообщение.</param>
public virtual void SendOutMessage(Message message)
{
InitMessageLocalTime(message);
switch (message.Type)
{
case MessageTypes.Security:
{
NewOutMessage.SafeInvoke(message);
if (!CreateAssociatedSecurity)
{
break;
}
var clone = (SecurityMessage)message.Clone();
clone.SecurityId = CloneSecurityId(clone.SecurityId);
NewOutMessage.SafeInvoke(clone);
break;
}
case MessageTypes.Level1Change:
{
NewOutMessage.SafeInvoke(message);
var l1Msg = (Level1ChangeMessage)message;
if (l1Msg.SecurityId.IsDefault())
{
break;
}
if (CreateAssociatedSecurity)
{
// обновление BestXXX для ALL из конкретных тикеров
var clone = (Level1ChangeMessage)l1Msg.Clone();
clone.SecurityId = CloneSecurityId(clone.SecurityId);
NewOutMessage.SafeInvoke(clone);
}
if (CreateDepthFromLevel1)
{
// генерация стакана из Level1
var builder = _level1DepthBuilders.SafeAdd(l1Msg.SecurityId, c => new Level1DepthBuilder(c));
if (builder.Process(l1Msg))
{
var quoteMsg = builder.QuoteChange;
NewOutMessage.SafeInvoke(quoteMsg);
CreateAssociatedSecurityQuotes(quoteMsg);
}
}
break;
}
case MessageTypes.QuoteChange:
{
var quoteMsg = (QuoteChangeMessage)message;
NewOutMessage.SafeInvoke(quoteMsg);
if (CreateDepthFromLevel1)
{
_level1DepthBuilders.SafeAdd(quoteMsg.SecurityId, c => new Level1DepthBuilder(c)).HasDepth = true;
}
CreateAssociatedSecurityQuotes(quoteMsg);
break;
}
case MessageTypes.Execution:
{
NewOutMessage.SafeInvoke(message);
if (!CreateAssociatedSecurity)
{
break;
}
var execMsg = (ExecutionMessage)message;
if (execMsg.SecurityId.IsDefault())
{
break;
}
switch (execMsg.ExecutionType)
{
case ExecutionTypes.Tick:
case ExecutionTypes.OrderLog:
{
var clone = (ExecutionMessage)message.Clone();
clone.SecurityId = CloneSecurityId(clone.SecurityId);
NewOutMessage.SafeInvoke(clone);
break;
}
}
break;
}
default:
{
if (_prevTime != DateTime.MinValue)
{
var diff = message.LocalTime - _prevTime;
//if (message.Type != MessageTypes.Time && diff >= MarketTimeChangedInterval)
//{
// SendOutMessage(new TimeMessage
// {
// LocalTime = message.LocalTime,
// ServerTime = message.GetServerTime(),
// });
//}
_secLookupTimeOut
.ProcessTime(diff)
.ForEach(id => SendOutMessage(new SecurityLookupResultMessage {
OriginalTransactionId = id
}));
_pfLookupTimeOut
.ProcessTime(diff)
.ForEach(id => SendOutMessage(new PortfolioLookupResultMessage {
OriginalTransactionId = id
}));
//ProcessReconnection(diff);
}
_prevTime = message.LocalTime;
NewOutMessage.SafeInvoke(message);
break;
}
}
}
private void TransactionAdapterOnNewOutMessage(Message message)
{
NewOutMessage.SafeInvoke(message);
}
private void MarketDataAdapterOnNewOutMessage(Message message)
{
NewOutMessage.SafeInvoke(message);
}