private void ProcessMarketDataFinished(MarketDataFinishedMessage message)
{
var info = _seriesInfosByTransactions.TryGetValue(message.OriginalTransactionId);
if (info == null)
{
RaiseNewOutMessage(message);
return;
}
if (message.IsHistory)
{
if (!info.MarketDataMessage.IsHistory)
{
return;
}
RemoveSeriesInfo(info);
RaiseNewOutMessage(new MarketDataFinishedMessage {
OriginalTransactionId = info.MarketDataMessage.TransactionId, IsHistory = true
});
return;
}
_seriesInfosByTransactions.Remove(message.OriginalTransactionId);
switch (info.DataType)
{
case MarketDataTypes.Level1:
case MarketDataTypes.MarketDepth:
case MarketDataTypes.Trades:
{
SendMarketDataFinished(info);
break;
}
case MarketDataTypes.CandleTimeFrame:
case MarketDataTypes.CandleTick:
case MarketDataTypes.CandleVolume:
case MarketDataTypes.CandleRange:
case MarketDataTypes.CandlePnF:
case MarketDataTypes.CandleRenko:
{
if (info.MarketDataMessage.BuildCandlesMode != BuildCandlesModes.LoadAndBuild)
{
SendMarketDataFinished(info);
}
else
{
Subscribe(info, true);
}
break;
}
}
}
private void RaiseMarketDataSubscriptionFinished(Security security, MarketDataFinishedMessage message, Subscription subscription)
{
this.AddDebugLog(LocalizedStrings.SubscriptionFinished, security?.Id, message);
MarketDataSubscriptionFinished?.Invoke(security, message);
if (subscription != null)
{
RaiseSubscriptionStopped(subscription, null);
}
}
private void SendMarketDataFinished(SeriesInfo info)
{
RemoveSeriesInfo(info);
var msg = new MarketDataFinishedMessage
{
OriginalTransactionId = info.MarketDataMessage.TransactionId
};
RaiseNewOutMessage(msg);
}
public Subscription ProcessMarketDataFinishedMessage(MarketDataFinishedMessage message)
{
var subscription = TryGetSubscription(message.OriginalTransactionId, true);
if (subscription != null)
{
ChangeState(subscription, SubscriptionStates.Finished);
}
return(subscription);
}
private void RaiseMarketDataSubscriptionFinished(MarketDataFinishedMessage message, Subscription subscription)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (subscription == null)
{
throw new ArgumentNullException(nameof(subscription));
}
var security = subscription.Security;
this.AddDebugLog(LocalizedStrings.SubscriptionFinished, security?.Id, message);
MarketDataSubscriptionFinished?.Invoke(security, message);
RaiseSubscriptionStopped(subscription, null);
if (subscription.CandleSeries != null)
{
RaiseCandleSeriesStopped(subscription.CandleSeries);
}
}
private void RaiseMarketDataSubscriptionFinished(Security security, MarketDataFinishedMessage message)
{
this.AddDebugLog("Market data finished: {0} {1}", security?.Id, message);
MarketDataSubscriptionFinished?.Invoke(security, message);
}
private void RaiseMarketDataSubscriptionFinished(Security security, MarketDataFinishedMessage message)
{
this.AddDebugLog(LocalizedStrings.SubscriptionFinished, security?.Id, message);
MarketDataSubscriptionFinished?.Invoke(security, message);
}
public Subscription ProcessMarketDataFinishedMessage(MarketDataFinishedMessage message)
{
return(TryGetSubscription(message.OriginalTransactionId, true));
}
/// <inheritdoc />
protected override void OnSendInMessage(Message message)
{
Message outMsg = null;
switch (message.Type)
{
case MessageTypes.Reset:
case MessageTypes.Disconnect:
{
lock (_syncObject)
{
_partialRequests.Clear();
_original.Clear();
_liveRequests.Clear();
}
break;
}
case MessageTypes.OrderStatus:
case MessageTypes.PortfolioLookup:
{
var subscriptionMsg = (ISubscriptionMessage)message;
if (subscriptionMsg.IsSubscribe)
{
if (subscriptionMsg is OrderStatusMessage statusMsg && statusMsg.HasOrderId())
{
break;
}
var from = subscriptionMsg.From;
var to = subscriptionMsg.To;
if (from != null || to != null)
{
var step = InnerAdapter.GetHistoryStepSize(DataType.Transactions, out _);
// adapter do not provide historical request
if (step == TimeSpan.Zero)
{
if (to != null)
{
// finishing current history request
if (message.Type == MessageTypes.PortfolioLookup)
{
outMsg = message.Type.ToResultType().CreateLookupResult(subscriptionMsg.TransactionId);
}
message = null;
}
else
{
// or sending further only live subscription
subscriptionMsg.From = null;
subscriptionMsg.To = null;
lock (_syncObject)
_liveRequests.Add(subscriptionMsg.TransactionId, false);
}
}
}
else
{
lock (_syncObject)
_liveRequests.Add(subscriptionMsg.TransactionId, false);
}
}
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
var transId = mdMsg.TransactionId;
if (mdMsg.IsSubscribe)
{
var from = mdMsg.From;
var to = mdMsg.To;
if (from != null || to != null)
{
var step = InnerAdapter.GetHistoryStepSize(mdMsg.ToDataType(), out var iterationInterval);
// adapter do not provide historical request
if (step == TimeSpan.Zero)
{
if (to != null)
{
// finishing current history request
outMsg = new MarketDataFinishedMessage {
OriginalTransactionId = transId
};
message = null;
break;
}
else
{
// or sending further only live subscription
mdMsg.From = null;
mdMsg.To = null;
lock (_syncObject)
_liveRequests.Add(transId, false);
break;
}
}
var info = new DownloadInfo(this, (MarketDataMessage)mdMsg.Clone(), step, iterationInterval);
message = info.InitNext();
lock (_syncObject)
{
_original.Add(info.Origin.TransactionId, info);
_partialRequests.Add(info.CurrTransId, info);
}
}
else
{
lock (_syncObject)
_liveRequests.Add(transId, false);
}
}
else
{
lock (_syncObject)
{
if (!_original.TryGetValue(mdMsg.OriginalTransactionId, out var info))
{
break;
}
info.UnsubscribingId = transId;
message = null;
}
}
break;
}
case ExtendedMessageTypes.PartialDownload:
{
var partialMsg = (PartialDownloadMessage)message;
lock (_syncObject)
{
if (!_original.TryGetValue(partialMsg.OriginalTransactionId, out var info))
{
return;
}
if (info.UnsubscribingId != null)
{
outMsg = new MarketDataMessage {
OriginalTransactionId = info.UnsubscribingId.Value
};
message = null;
break;
}
var mdMsg = info.InitNext();
if (mdMsg.To == null)
{
_liveRequests.Add(mdMsg.TransactionId, true);
_original.Remove(partialMsg.OriginalTransactionId);
_partialRequests.RemoveWhere(p => p.Value == info);
}
else
{
_partialRequests.Add(info.CurrTransId, info);
}
message = mdMsg;
}
break;
}
}
if (message != null)
{
base.OnSendInMessage(message);
}
if (outMsg != null)
{
RaiseNewOutMessage(outMsg);
}
}
