/// <summary>
/// Called ona reply to a historical data request
/// </summary>
private void HandleHistoricalDataRequestReply()
{
using (var ms = new MemoryStream())
{
// 2nd message part: the HistoricalDataRequest object that was used to make the request
bool hasMore;
var requestBuffer = _historicalDataSocket.ReceiveFrameBytes(out hasMore);
if (!hasMore)
{
return;
}
var request = MyUtils.ProtoBufDeserialize <HistoricalDataRequest>(requestBuffer, ms);
// 3rd message part: the size of the uncompressed, serialized data. Necessary for decompression.
var sizeBuffer = _historicalDataSocket.ReceiveFrameBytes(out hasMore);
if (!hasMore)
{
return;
}
var outputSize = BitConverter.ToInt32(sizeBuffer, 0);
// 4th message part: the compressed serialized data.
var dataBuffer = _historicalDataSocket.ReceiveFrameBytes();
var decompressed = LZ4Codec.Decode(dataBuffer, 0, dataBuffer.Length, outputSize);
var data = MyUtils.ProtoBufDeserialize <List <OHLCBar> >(decompressed, ms);
// Remove from pending requests
lock (_pendingHistoricalRequestsLock)
{
PendingHistoricalRequests.RemoveAll(x => x.RequestID == request.RequestID);
}
RaiseEvent(HistoricalDataReceived, this, new HistoricalDataEventArgs(request, data));
}
}
/// <summary>
/// Called when we get some sort of error reply
/// </summary>
private void HandleErrorReply()
{
// The request ID
byte[] buffer = historicalDataSocket.ReceiveFrameBytes(out bool hasMore);
if (!hasMore)
{
return;
}
int requestId = BitConverter.ToInt32(buffer, 0);
// Remove from pending requests
lock (pendingHistoricalRequestsLock)
{
PendingHistoricalRequests.RemoveAll(x => x.RequestID == requestId);
}
// Finally the error message
string message = historicalDataSocket.ReceiveFrameString();
// Raise the error event
RaiseEvent(Error, this, new ErrorArgs(-1, message, requestId));
}
/// <summary>
/// Called when we get some sort of error reply
/// </summary>
private void HandleErrorReply()
{
//the request ID
bool hasMore;
byte[] buffer = _dealerSocket.Receive(out hasMore);
if (!hasMore)
{
return;
}
int requestID = BitConverter.ToInt32(buffer, 0);
//remove from pending requests
lock (_pendingHistoricalRequestsLock)
{
PendingHistoricalRequests.RemoveAll(x => x.RequestID == requestID);
}
//finally the error message
string message = _dealerSocket.ReceiveString();
//raise the error event
RaiseEvent(Error, this, new ErrorArgs(-1, message, requestID));
}
