private QuoteChangeMessage ApplyNewState(BookInfo info, QuoteChangeMessage quoteMsg, QuoteChangeStates newState)
{
var currState = info.State;
void CheckSwitch()
{
switch (currState)
{
case _none:
case QuoteChangeStates.SnapshotStarted:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
}
break;
}
case QuoteChangeStates.SnapshotBuilding:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
}
break;
}
case QuoteChangeStates.SnapshotComplete:
case QuoteChangeStates.Increment:
{
if (newState == QuoteChangeStates.SnapshotBuilding)
{
this.AddDebugLog($"{currState}->{newState}");
}
break;
}
}
}
if (currState != newState)
{
CheckSwitch();
if (newState == QuoteChangeStates.SnapshotStarted)
{
info.Bids.Clear();
info.Asks.Clear();
}
switch (currState)
{
case _none:
{
info.Bids.Clear();
info.Asks.Clear();
break;
}
case QuoteChangeStates.SnapshotStarted:
break;
case QuoteChangeStates.SnapshotBuilding:
break;
case QuoteChangeStates.SnapshotComplete:
{
if (newState == QuoteChangeStates.SnapshotComplete)
{
info.Bids.Clear();
info.Asks.Clear();
}
break;
}
case QuoteChangeStates.Increment:
break;
default:
throw new ArgumentOutOfRangeException(currState.ToString());
}
info.State = currState = newState;
}
void Apply(IEnumerable <QuoteChange> from, QuotesDict to)
{
foreach (var quote in from)
{
if (quote.Volume == 0)
{
to.Remove(quote.Price);
}
else
{
to[quote.Price] = Tuple.Create(quote.Volume, quote.OrdersCount, quote.Condition);
}
}
}
void ApplyByPos(IEnumerable <QuoteChange> from, QuotesByPosList to)
{
foreach (var quote in from)
{
var startPos = quote.StartPosition.Value;
switch (quote.Action)
{
case QuoteChangeActions.New:
{
var tuple = Tuple.Create(quote.Price, quote.Volume, quote.OrdersCount, quote.Condition);
if (startPos > to.Count)
{
throw new InvalidOperationException($"Pos={startPos}>Count={to.Count}");
}
else if (startPos == to.Count)
{
to.Add(tuple);
}
else
{
to.Insert(startPos, tuple);
}
break;
}
case QuoteChangeActions.Update:
{
to[startPos] = Tuple.Create(quote.Price, quote.Volume, quote.OrdersCount, quote.Condition);
break;
}
case QuoteChangeActions.Delete:
{
if (quote.EndPosition == null)
{
to.RemoveAt(startPos);
}
else
{
to.RemoveRange(startPos, (quote.EndPosition.Value - startPos) + 1);
}
break;
}
default:
throw new ArgumentOutOfRangeException(nameof(from), quote.Action, LocalizedStrings.Str1219);
}
}
}
if (quoteMsg.HasPositions)
{
ApplyByPos(quoteMsg.Bids, info.BidsByPos);
ApplyByPos(quoteMsg.Asks, info.AsksByPos);
}
else
{
Apply(quoteMsg.Bids, info.Bids);
Apply(quoteMsg.Asks, info.Asks);
}
if (currState == QuoteChangeStates.SnapshotStarted || currState == QuoteChangeStates.SnapshotBuilding)
{
return(null);
}
IEnumerable <QuoteChange> bids;
IEnumerable <QuoteChange> asks;
if (quoteMsg.HasPositions)
{
bids = info.BidsByPos.Select(p => new QuoteChange(p.Item1, p.Item2, p.Item3, p.Item4));
asks = info.AsksByPos.Select(p => new QuoteChange(p.Item1, p.Item2, p.Item3, p.Item4));
}
else
{
bids = info.Bids.Select(p => new QuoteChange(p.Key, p.Value.Item1, p.Value.Item2, p.Value.Item3));
asks = info.Asks.Select(p => new QuoteChange(p.Key, p.Value.Item1, p.Value.Item2, p.Value.Item3));
}
return(new QuoteChangeMessage
{
SecurityId = quoteMsg.SecurityId,
Bids = bids.ToArray(),
Asks = asks.ToArray(),
IsSorted = true,
ServerTime = quoteMsg.ServerTime,
OriginalTransactionId = quoteMsg.OriginalTransactionId,
});
}
/// <summary>
/// Try create full book.
/// </summary>
/// <param name="change">Book change.</param>
/// <returns>Full book.</returns>
public QuoteChangeMessage TryApply(QuoteChangeMessage change)
{
if (change is null)
{
throw new ArgumentNullException(nameof(change));
}
if (change.State is null)
{
throw new ArgumentException(nameof(change));
}
var currState = _state;
var newState = change.State.Value;
bool CheckSwitch()
{
switch (currState)
{
case _none:
case QuoteChangeStates.SnapshotStarted:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
return(false);
}
break;
}
case QuoteChangeStates.SnapshotBuilding:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
return(false);
}
break;
}
case QuoteChangeStates.SnapshotComplete:
case QuoteChangeStates.Increment:
{
if (newState == QuoteChangeStates.SnapshotBuilding)
{
this.AddDebugLog($"{currState}->{newState}");
return(false);
}
break;
}
}
return(true);
}
var resetState = newState == QuoteChangeStates.SnapshotStarted || newState == QuoteChangeStates.SnapshotComplete;
if (currState != newState || resetState)
{
if (!CheckSwitch())
{
return(null);
}
if (currState == _none || resetState)
{
_bids.Clear();
_asks.Clear();
_bidsByPos.Clear();
_asksByPos.Clear();
}
_state = currState = newState;
}
/// <summary>
/// Try create full book.
/// </summary>
/// <param name="change">Book change.</param>
/// <returns>Full book.</returns>
public QuoteChangeMessage TryApply(QuoteChangeMessage change)
{
if (change is null)
{
throw new ArgumentNullException(nameof(change));
}
if (change.State == null)
{
throw new ArgumentException(nameof(change));
}
var currState = _state;
var newState = change.State.Value;
void CheckSwitch()
{
switch (currState)
{
case _none:
case QuoteChangeStates.SnapshotStarted:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
_logs.AddDebugLog($"{currState}->{newState}");
}
break;
}
case QuoteChangeStates.SnapshotBuilding:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
_logs.AddDebugLog($"{currState}->{newState}");
}
break;
}
case QuoteChangeStates.SnapshotComplete:
case QuoteChangeStates.Increment:
{
if (newState == QuoteChangeStates.SnapshotBuilding)
{
_logs.AddDebugLog($"{currState}->{newState}");
}
break;
}
}
}
if (currState != newState || newState == QuoteChangeStates.SnapshotComplete)
{
CheckSwitch();
if (newState == QuoteChangeStates.SnapshotStarted)
{
_bids.Clear();
_asks.Clear();
}
switch (currState)
{
case _none:
{
_bids.Clear();
_asks.Clear();
break;
}
case QuoteChangeStates.SnapshotStarted:
break;
case QuoteChangeStates.SnapshotBuilding:
break;
case QuoteChangeStates.SnapshotComplete:
{
if (newState == QuoteChangeStates.SnapshotComplete)
{
_bids.Clear();
_asks.Clear();
}
break;
}
case QuoteChangeStates.Increment:
break;
default:
throw new ArgumentOutOfRangeException(currState.ToString());
}
_state = currState = newState;
}
void Apply(IEnumerable <QuoteChange> from, SortedList <decimal, QuoteChange> to)
{
foreach (var quote in from)
{
if (quote.Volume == 0)
{
to.Remove(quote.Price);
}
else
{
to[quote.Price] = quote;
}
}
}
void ApplyByPos(IEnumerable <QuoteChange> from, List <QuoteChange> to)
{
foreach (var quote in from)
{
var startPos = quote.StartPosition.Value;
switch (quote.Action)
{
case QuoteChangeActions.New:
{
var tuple = new QuoteChange(quote.Price, quote.Volume, quote.OrdersCount, quote.Condition);
if (startPos > to.Count)
{
throw new InvalidOperationException($"Pos={startPos}>Count={to.Count}");
}
else if (startPos == to.Count)
{
to.Add(tuple);
}
else
{
to.Insert(startPos, tuple);
}
break;
}
case QuoteChangeActions.Update:
{
to[startPos] = new QuoteChange(quote.Price, quote.Volume, quote.OrdersCount, quote.Condition);
break;
}
case QuoteChangeActions.Delete:
{
if (quote.EndPosition == null)
{
to.RemoveAt(startPos);
}
else
{
to.RemoveRange(startPos, (quote.EndPosition.Value - startPos) + 1);
}
break;
}
default:
throw new ArgumentOutOfRangeException(nameof(from), quote.Action, LocalizedStrings.Str1219);
}
}
}
if (change.HasPositions)
{
ApplyByPos(change.Bids, _bidsByPos);
ApplyByPos(change.Asks, _asksByPos);
}
else
{
Apply(change.Bids, _bids);
Apply(change.Asks, _asks);
}
if (currState == QuoteChangeStates.SnapshotStarted || currState == QuoteChangeStates.SnapshotBuilding)
{
return(null);
}
QuoteChange[] bids;
QuoteChange[] asks;
if (change.HasPositions)
{
bids = _bidsByPos.ToArray();
asks = _asksByPos.ToArray();
}
else
{
bids = _bids.Values.ToArray();
asks = _asks.Values.ToArray();
}
return(new QuoteChangeMessage
{
SecurityId = SecurityId,
Bids = bids,
Asks = asks,
ServerTime = change.ServerTime,
OriginalTransactionId = change.OriginalTransactionId,
});
}
private QuoteChangeMessage ApplyNewState(BookInfo info, QuoteChangeMessage quoteMsg, QuoteChangeStates newState)
{
var currState = info.State;
if (currState != newState)
{
switch (currState)
{
case _none:
case QuoteChangeStates.SnapshotStarted:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
return(null);
}
info.Bids.Clear();
info.Asks.Clear();
break;
}
case QuoteChangeStates.SnapshotBuilding:
{
if (newState != QuoteChangeStates.SnapshotComplete)
{
this.AddDebugLog($"{currState}->{newState}");
return(null);
}
break;
}
case QuoteChangeStates.SnapshotComplete:
case QuoteChangeStates.Increment:
{
if (newState == QuoteChangeStates.SnapshotBuilding)
{
this.AddDebugLog($"{currState}->{newState}");
return(null);
}
break;
}
default:
throw new ArgumentOutOfRangeException(currState.ToString());
}
info.State = currState = newState;
}
void Copy(IEnumerable <QuoteChange> from, QuotesDict to)
{
foreach (var quote in from)
{
if (quote.Volume == 0)
{
to.Remove(quote.Price);
}
else
{
to[quote.Price] = quote.Volume;
}
}
}
Copy(quoteMsg.Bids, info.Bids);
Copy(quoteMsg.Asks, info.Asks);
if (currState == QuoteChangeStates.SnapshotStarted || currState == QuoteChangeStates.SnapshotBuilding)
{
return(null);
}
return(new QuoteChangeMessage
{
SecurityId = quoteMsg.SecurityId,
Bids = info.Bids.Select(p => new QuoteChange(Sides.Buy, p.Key, p.Value)).ToArray(),
Asks = info.Asks.Select(p => new QuoteChange(Sides.Sell, p.Key, p.Value)).ToArray(),
IsSorted = true,
ServerTime = quoteMsg.ServerTime,
OriginalTransactionId = quoteMsg.OriginalTransactionId,
});
}
/// <summary>
/// Try create full book.
/// </summary>
/// <param name="change">Book change.</param>
/// <param name="subscriptionId">Subscription.</param>
/// <returns>Full book.</returns>
public QuoteChangeMessage TryApply(QuoteChangeMessage change, long subscriptionId = default)
{
if (change is null)
{
throw new ArgumentNullException(nameof(change));
}
if (change.State is null)
{
throw new ArgumentException(nameof(change));
}
var currState = _state;
var newState = change.State.Value;
void WriteWarning()
{
var postfix = string.Empty;
if (subscriptionId != default)
{
if (!_invalidSubscriptions.Add(subscriptionId))
{
return;
}
postfix = $" (sub={subscriptionId})";
}
this.AddWarningLog($"{currState}->{newState}{postfix}");
}
bool CheckSwitch()
{
switch (currState)
{
case _none:
case QuoteChangeStates.SnapshotStarted:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
WriteWarning();
return(false);
}
break;
}
case QuoteChangeStates.SnapshotBuilding:
{
if (newState != QuoteChangeStates.SnapshotBuilding && newState != QuoteChangeStates.SnapshotComplete)
{
WriteWarning();
return(false);
}
break;
}
case QuoteChangeStates.SnapshotComplete:
case QuoteChangeStates.Increment:
{
if (newState == QuoteChangeStates.SnapshotBuilding)
{
WriteWarning();
return(false);
}
break;
}
}
return(true);
}
var resetState = newState == QuoteChangeStates.SnapshotStarted || newState == QuoteChangeStates.SnapshotComplete;
if (currState != newState || resetState)
{
if (!CheckSwitch())
{
return(null);
}
if (currState == _none || resetState)
{
_bids.Clear();
_asks.Clear();
_bidsByPos.Clear();
_asksByPos.Clear();
}
_state = currState = newState;
}
