private MarketDataSubscription GetDataSub(SymbolInfo symbol)
{
MarketDataSubscription sub = MarketDataSubs.Values.FirstOrDefault(ds => ds.Symbol.Key == symbol.Key);
if (sub == null)
{
var nextId = MarketDataSubs.Values.Max(ds => ds.Id);
var id = nextId++;
Client.reqMktData(id, symbol, "", false, false, null);
sub = new MarketDataSubscription()
{
Id = id,
Symbol = symbol
};
}
return(sub);
}
public SymbolFeed(SymbolInfo symbol, MarketDataSubscription sub)
{
Symbol = symbol;
MarketData = sub;
}
