private static void GetCandleParams(MarketDataTypes type, object arg, out string strArg, out string intervalType)
{
switch (type)
{
case MarketDataTypes.CandleTimeFrame:
{
intervalType = "s";
strArg = arg.To <TimeSpan>().TotalSeconds.To <int>().To <string>();
break;
}
case MarketDataTypes.CandleTick:
{
intervalType = "t";
strArg = arg.To <string>();
break;
}
case MarketDataTypes.CandleVolume:
{
intervalType = "v";
strArg = arg.To <string>();
break;
}
default:
throw new ArgumentOutOfRangeException("type", type, LocalizedStrings.WrongCandleType);
}
}
private void SendInHistorySourceMessage(Security security, MarketDataTypes dataType, object arg, Func <DateTimeOffset, IEnumerable <Message> > getMessages)
{
var isSubscribe = getMessages != null;
if (isSubscribe)
{
if (_historySourceSubscriptions.ChangeSubscribers(Tuple.Create(security.ToSecurityId(), dataType, arg), true) != 1)
{
return;
}
}
else
{
if (_historySourceSubscriptions.ChangeSubscribers(Tuple.Create(security.ToSecurityId(), dataType, arg), false) != 0)
{
return;
}
}
SendInMessage(new HistorySourceMessage
{
IsSubscribe = isSubscribe,
SecurityId = security.ToSecurityId(),
DataType = dataType,
Arg = arg,
GetMessages = getMessages
});
}
/// <summary>
/// Отписаться от получения рыночных данных по инструменту.
/// </summary>
/// <param name="security">Инструмент, по которому необходимо начать получать новую информацию.</param>
/// <param name="type">Тип рыночных данных.</param>
public override void UnSubscribeMarketData(Security security, MarketDataTypes type)
{
var tf = MarketEmulator.Settings.UseCandlesTimeFrame;
if (tf != null)
{
var securityId = GetSecurityId(security);
var key = Tuple.Create(securityId, tf.Value);
if (_subscribedCandles.ChangeSubscribers(key, -1) != 0)
{
return;
}
MarketDataAdapter.SendInMessage(new MarketDataMessage
{
//SecurityId = securityId,
DataType = MarketDataTypes.CandleTimeFrame,
Arg = tf.Value,
IsSubscribe = false,
}.FillSecurityInfo(this, security));
}
else
{
base.UnSubscribeMarketData(security, type);
}
}
private void UnSubscribeContinuous(ContinuousSecurity security, MarketDataTypes type)
{
lock (_continuousSecurities.SyncRoot)
{
var node = _continuousSecurities.Find(new ContinuousInfo(security, type));
if (node == null)
{
return;
}
var diff = node.Value.Elapsed;
var curr = node;
while (curr != null)
{
curr.Value.Elapsed += diff;
curr = curr.Next;
}
_continuousSecurities.Remove(node);
if (_continuousSecurities.Count == 0)
{
_connector.MarketTimeChanged -= ConnectorOnMarketTimeChanged;
}
}
}
/// <summary>
/// Create candle builder.
/// </summary>
/// <param name="dataType">Market data type.</param>
/// <returns>Candle builder.</returns>
public static ICandleBuilder CreateCandleBuilder(this MarketDataTypes dataType)
{
switch (dataType)
{
case MarketDataTypes.CandleTimeFrame:
return(new TimeFrameCandleBuilder());
case MarketDataTypes.CandleTick:
return(new TickCandleBuilder());
case MarketDataTypes.CandleVolume:
return(new VolumeCandleBuilder());
case MarketDataTypes.CandleRange:
return(new RangeCandleBuilder());
case MarketDataTypes.CandlePnF:
return(new PnFCandleBuilder());
case MarketDataTypes.CandleRenko:
return(new RenkoCandleBuilder());
default:
throw new ArgumentOutOfRangeException(nameof(dataType), dataType, LocalizedStrings.Str1219);
}
}
private void TryUnSubscribe(Security subscriber, MarketDataTypes type)
{
if (TryUnSubscribe(GetSubscribers(type), subscriber))
{
SendUnSubscribeMessage(subscriber, type);
}
}
private void TryUnSubscribe(Security subscriber, MarketDataTypes type)
{
var subscribers = GetSubscribers(type);
var subscribed = false;
lock (subscribers.SyncRoot)
{
var value = subscribers.TryGetValue2(subscriber);
if (value == 0)
{
_unsubscribeActions.SafeAdd(subscriber).Add(type);
}
if (value > 0)
{
subscribed = true;
}
}
if (!subscribed || !TryUnSubscribe(subscribers, subscriber))
{
return;
}
SendUnSubscribeMessage(subscriber, type);
}
/// <summary>
/// Отписаться от получения рыночных данных по инструменту.
/// </summary>
/// <param name="security">Инструмент, по которому необходимо начать получать новую информацию.</param>
/// <param name="type">Тип рыночных данных.</param>
public override void UnSubscribeMarketData(Security security, MarketDataTypes type)
{
if (_ownTrader)
{
UnderlyingConnector.UnSubscribeMarketData(security, type);
}
}
private void TrySubscribe(Security subscriber, MarketDataTypes type)
{
//Если уже выполняется поиск данного инструмента, то нет необходимости в повторном вызове OnRegisterXXX.
//Если на инструмент была подписка ранее, то просто вызываем событие SubscriptionSucceed.
var subscribersCount = GetSubscribers(type).ChangeSubscribers(subscriber, true);
var securityId = _connector.GetSecurityId(subscriber);
if (subscribersCount == 1)
{
var lookupMessage = new SecurityLookupMessage
{
SecurityId = securityId,
SecurityType = subscriber.Type,
TransactionId = _connector.TransactionIdGenerator.GetNextId()
};
_lookupMessages.Add(lookupMessage.TransactionId, Tuple.Create(lookupMessage, subscriber, type));
_connector.LookupSecurities(lookupMessage);
}
else // if (subscribed == true)
{
_connector.SendOutMessage(new MarketDataMessage
{
DataType = type,
IsSubscribe = true,
//SecurityId = securityId,
}.FillSecurityInfo(_connector, subscriber));
}
}
private void ProcessSecurityMarketData(Security security, MarketDataTypes dataType, Security subscriber)
{
var message = new MarketDataMessage
{
DataType = dataType,
IsSubscribe = true,
//SecurityId = _connector.GetSecurityId(subscriber),
TransactionId = _connector.TransactionIdGenerator.GetNextId()
};
switch (dataType)
{
case MarketDataTypes.Trades:
message.Arg = ExecutionTypes.Tick;
break;
case MarketDataTypes.OrderLog:
message.Arg = ExecutionTypes.OrderLog;
break;
}
message.FillSecurityInfo(_connector, subscriber);
if (security == null)
{
message.Error = new ArgumentException(LocalizedStrings.Str692Params.Put(message.SecurityId, _connector.Name));
_connector.SendOutMessage(message);
}
else
{
_connector.SendInMessage(message);
}
}
private void SubscribeMarketData(SecurityId securityId, MarketDataTypes type)
{
var message = new MarketDataMessage
{
DataType = type,
IsSubscribe = true,
SecurityId = securityId,
From = DateTimeOffset.MinValue,
To = DateTimeOffset.MaxValue,
TransactionId = _messAdapter.TransactionIdGenerator.GetNextId()
};
switch (type)
{
case MarketDataTypes.MarketDepth:
message.MaxDepth = MarketDataMessage.DefaultMaxDepth;
break;
case MarketDataTypes.Trades:
message.Arg = ExecutionTypes.Tick;
break;
case MarketDataTypes.OrderLog:
message.Arg = ExecutionTypes.OrderLog;
break;
}
_messAdapter.SendInMessage(message);
}
private void UnSubscribeMarketData(Security security, MarketDataTypes type)
{
UnSubscribeMarketData(security, new MarketDataMessage
{
DataType = type,
IsSubscribe = false,
});
}
/// <summary>
/// Нужно ли обрабатывать маркет-данные.
/// </summary>
/// <param name="dataType">Тип маркет-данных.</param>
/// <param name="securityId">Идентификатор инструмента.</param>
/// <returns>Нужно ли обрабатывать маркет-данные.</returns>
public bool NeedProcess(MarketDataTypes dataType, SecurityId securityId)
{
return(_fixServer.HasSubscriptions(dataType, new SecurityId
{
SecurityCode = securityId.SecurityCode,
BoardCode = GetBoardCode(securityId.BoardCode)
}));
}
/// <summary>
/// Нужно ли обрабатывать маркет-данные.
/// </summary>
/// <param name="dataType">Тип маркет-данных.</param>
/// <param name="securityId">Идентификатор инструмента.</param>
/// <returns>Нужно ли обрабатывать маркет-данные.</returns>
public bool NeedProcess(MarketDataTypes dataType, SecurityId securityId)
{
return(_fixServer.HasReceivers(dataType, new SecurityId
{
SecurityCode = securityId.SecurityCode,
BoardCode = _sessionHolder.GetBoardCode(securityId.BoardCode)
}));
}
/// <summary>
/// Add market data type into <see cref="IMessageAdapter.SupportedMarketDataTypes"/>.
/// </summary>
/// <param name="adapter">Adapter.</param>
/// <param name="type">Market data type.</param>
public static void AddSupportedMarketDataType(this IMessageAdapter adapter, MarketDataTypes type)
{
if (adapter == null)
{
throw new ArgumentNullException(nameof(adapter));
}
adapter.SupportedMarketDataTypes = adapter.SupportedMarketDataTypes.Concat(type).ToArray();
}
/// <summary>
/// Determines whether the specified market-data type is supported by the adapter.
/// </summary>
/// <param name="adapter">Adapter.</param>
/// <param name="type">Message type.</param>
/// <returns><see langword="true"/> if the specified message type is supported, otherwise, <see langword="false"/>.</returns>
public static bool IsMarketDataTypeSupported(this IMessageAdapter adapter, MarketDataTypes type)
{
if (adapter == null)
{
throw new ArgumentNullException(nameof(adapter));
}
return(adapter.SupportedMarketDataTypes.Contains(type));
}
public static MessageTypes ToMessageType(this MarketDataTypes type, out object arg)
{
if (!_messageTypeMap.TryGetValue(type, out var tuple))
{
throw new ArgumentOutOfRangeException(nameof(type), type, LocalizedStrings.Str1219);
}
arg = tuple.Item2;
return(tuple.Item1);
}
public ICandleBuilder Get(MarketDataTypes type)
{
var builder = _builders.TryGetValue(type);
if (builder == null)
{
throw new ArgumentOutOfRangeException(nameof(type), type, LocalizedStrings.Str1219);
}
return(builder);
}
private void OnConnectorMarketDataSubscriptionFailed(Security security, MarketDataTypes type, Exception error)
{
var types = _unsubscribeActions.TryGetValue(security);
if (types == null)
{
return;
}
types.Remove(type);
}
private bool IsSubscribed(MarketDataTypes type, Security security)
{
var dic = _subscriptions.TryGetValue(type);
if (dic == null)
{
return(false);
}
return(dic.TryGetValue(security) != 0);
}
private void ProcessValue(SecurityId securityId, long transactionId, MarketDataTypes dataType, Func <ICandleBuilderSourceValue> getValue)
{
var infos = _seriesInfos.TryGetValue(securityId);
if (infos == null)
{
return;
}
ICandleBuilderSourceValue value = null;
foreach (var info in infos)
{
if (info.DataType != dataType)
{
continue;
}
if (info.TransactionId != transactionId && (transactionId != 0 || info.IsHistory))
{
continue;
}
if (value == null)
{
value = getValue();
}
if (!CheckTime(info, value))
{
continue;
}
var mdMsg = info.MarketDataMessage;
var builder = _candleBuilders.Get(mdMsg.DataType);
if (builder == null)
{
throw new InvalidOperationException($"Builder for {mdMsg.DataType} not found.");
}
info.LastTime = value.Time;
var result = builder.Process(mdMsg, info.CurrentCandleMessage, value);
foreach (var candleMessage in result)
{
info.CurrentCandleMessage = candleMessage;
SendCandle(info, candleMessage);
}
}
}
private void SubscribeMarketData(Security security, MarketDataTypes type, DateTimeOffset?from = null, DateTimeOffset?to = null, long?count = null, MarketDataTypes?buildFrom = null, Level1Fields?buildField = null, int?maxDepth = null)
{
SubscribeMarketData(security, new MarketDataMessage
{
DataType = type,
IsSubscribe = true,
From = from,
To = to,
Count = count,
BuildFrom = buildFrom,
BuildField = buildField,
MaxDepth = maxDepth,
});
}
private void AddExport(Security security, MarketDataTypes type)
{
if (security == null)
{
throw new ArgumentNullException("security");
}
_exports.SafeAdd(security).SafeAdd(type);
if (ConnectionState == ConnectionStates.Connected)
{
base.SubscribeMarketData(security, type);
}
}
private void TrySubscribe(Security subscriber, MarketDataTypes type)
{
var subscribers = GetSubscribers(type);
//Если уже выполняется поиск данного инструмента, то нет необходимости в повторном вызове OnRegisterXXX.
//Если на инструмент была подписка ранее, то просто вызываем событие SubscriptionSucceed.
bool?subscribed = false;
lock (subscribers.SyncRoot)
{
var value = subscribers.TryGetValue2(subscriber);
if (value == null)
{
subscribers[subscriber] = 0;
subscribed = null;
}
if (value > 0)
{
subscribers[subscriber] = (int)value + 1;
subscribed = true;
}
}
var securityId = _connector.GetSecurityId(subscriber);
if (subscribed == null)
{
var lookupMessage = new SecurityLookupMessage
{
SecurityId = securityId,
SecurityType = subscriber.Type,
TransactionId = _connector.TransactionIdGenerator.GetNextId()
};
_lookupMessages.Add(lookupMessage.TransactionId, Tuple.Create(lookupMessage, subscriber, type));
_connector.LookupSecurities(lookupMessage);
}
if (subscribed == true)
{
_connector.SendOutMessage(new MarketDataMessage
{
DataType = type,
IsSubscribe = true,
//SecurityId = securityId,
}.FillSecurityInfo(_connector, subscriber));
}
}
private long SubscribeMarketData(Security security, MarketDataTypes type, DateTimeOffset?from = null, DateTimeOffset?to = null, long?count = null, MarketDataBuildModes buildMode = MarketDataBuildModes.LoadAndBuild, MarketDataTypes?buildFrom = null, Level1Fields?buildField = null, int?maxDepth = null, IMessageAdapter adapter = null)
{
return(SubscribeMarketData(security, new MarketDataMessage
{
DataType = type,
IsSubscribe = true,
From = from,
To = to,
Count = count,
BuildMode = buildMode,
BuildFrom = buildFrom,
BuildField = buildField,
MaxDepth = maxDepth,
Adapter = adapter
}));
}
private void UnSubscribe(MarketDataTypes type, Security security)
{
switch (type)
{
case MarketDataTypes.Level1:
case MarketDataTypes.OrderLog:
break;
case MarketDataTypes.Trades:
SafeGetConnector().UnRegisterTrades(security);
break;
case MarketDataTypes.MarketDepth:
SafeGetConnector().UnRegisterMarketDepth(security);
break;
}
}
public override void SubscribeMarketData(Security security, MarketDataTypes type)
{
if (_isHistory && type == MarketDataTypes.Trades)
{
SendInMessage(new MarketDataMessage
{
//SecurityId = GetSecurityId(security),
DataType = MarketDataTypes.CandleTimeFrame,
IsSubscribe = true,
From = _historyMessageAdapter.StartDate,
To = _historyMessageAdapter.StopDate,
Arg = _useCandlesTimeFrame
}.FillSecurityInfo(this, security));
}
_realConnector.SubscribeMarketData(security, type);
}
private Subscription SubscribeMarketData(Security security, MarketDataTypes type, DateTimeOffset?from = null, DateTimeOffset?to = null, long?count = null, MarketDataBuildModes buildMode = MarketDataBuildModes.LoadAndBuild, MarketDataTypes?buildFrom = null, Level1Fields?buildField = null, int?maxDepth = null, TimeSpan?refreshSpeed = null, IOrderLogMarketDepthBuilder depthBuilder = null, IMessageAdapter adapter = null)
{
return(SubscribeMarketData(security, new MarketDataMessage
{
DataType = type,
IsSubscribe = true,
From = from,
To = to,
Count = count,
BuildMode = buildMode,
BuildFrom = buildFrom,
BuildField = buildField,
MaxDepth = maxDepth,
RefreshSpeed = refreshSpeed,
DepthBuilder = depthBuilder,
Adapter = adapter
}));
}
private void SubscribeContinuous(ContinuousSecurity security, MarketDataTypes type)
{
lock (_continuousSecurities.SyncRoot)
{
var info = new ContinuousInfo(security, type);
if (_continuousSecurities.Contains(info))
{
return;
}
_continuousSecurities.AddFirst(info);
if (_continuousSecurities.Count == 1)
{
_connector.MarketTimeChanged += ConnectorOnMarketTimeChanged;
}
}
}
public void UnSubscribe(Security security, MarketDataTypes type)
{
if (security == null)
{
throw new ArgumentNullException("security");
}
if (security is IndexSecurity)
{
((IndexSecurity)security).InnerSecurities.ForEach(s => _connector.UnSubscribeMarketData(s, type));
}
else if (security is ContinuousSecurity)
{
UnSubscribeContinuous((ContinuousSecurity)security, type);
}
else
{
TryUnSubscribe(security, type);
}
}
/// <summary>
/// Зарегистрировать исторические данные.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="dataType">Тип данных.</param>
/// <param name="arg">Параметр, ассоциированный с типом <paramref name="dataType"/>. Например, <see cref="Candle.Arg"/>.</param>
/// <param name="getMessages">Функция получения исторических данных.</param>
public void RegisterHistorySource(Security security, MarketDataTypes dataType, object arg, Func<DateTimeOffset, IEnumerable<Message>> getMessages)
{
SendInHistorySourceMessage(security, dataType, arg, getMessages);
}
private void SubscribeMarketData(SecurityId securityId, MarketDataTypes type)
{
var message = new MarketDataMessage
{
DataType = type,
IsSubscribe = true,
SecurityId = securityId,
From = DateTimeOffset.MinValue,
To = DateTimeOffset.MaxValue,
TransactionId = _messAdapter.TransactionIdGenerator.GetNextId()
};
switch (type)
{
case MarketDataTypes.MarketDepth:
message.MaxDepth = MarketDataMessage.DefaultMaxDepth;
break;
case MarketDataTypes.Trades:
message.Arg = ExecutionTypes.Tick;
break;
case MarketDataTypes.OrderLog:
message.Arg = ExecutionTypes.OrderLog;
break;
}
_messAdapter.SendInMessage(message);
}
public override void UnSubscribeMarketData(Security security, MarketDataTypes type)
{
_realConnector.UnSubscribeMarketData(security, type);
}
private static Type GetCandleMessageType(MarketDataTypes type)
{
switch (type)
{
case MarketDataTypes.CandleTimeFrame:
return typeof(TimeFrameCandleMessage);
case MarketDataTypes.CandleTick:
return typeof(TickCandleMessage);
case MarketDataTypes.CandleVolume:
return typeof(VolumeCandleMessage);
case MarketDataTypes.CandleRange:
return typeof(RangeCandleMessage);
default:
throw new ArgumentOutOfRangeException();
}
}
private bool IsSubscribed(MarketDataTypes type, Security security)
{
var dic = _subscriptions.TryGetValue(type);
if (dic == null)
return false;
return dic.TryGetValue(security) != 0;
}
public override void SubscribeMarketData(Security security, MarketDataTypes type)
{
if (_isHistory && type == MarketDataTypes.Trades)
{
SendInMessage(new MarketDataMessage
{
//SecurityId = GetSecurityId(security),
DataType = MarketDataTypes.CandleTimeFrame,
IsSubscribe = true,
From = _historyMessageAdapter.StartDate,
To = _historyMessageAdapter.StopDate,
Arg = _useCandlesTimeFrame
}.FillSecurityInfo(this, security));
}
_realConnector.SubscribeMarketData(security, type);
}
private void UnSubscribeMarketData(SecurityId securityId, MarketDataTypes type)
{
var message = new MarketDataMessage
{
DataType = type,
SecurityId = securityId,
IsSubscribe = false,
TransactionId = _messAdapter.TransactionIdGenerator.GetNextId()
};
switch (type)
{
case MarketDataTypes.Trades:
message.Arg = ExecutionTypes.Tick;
break;
case MarketDataTypes.OrderLog:
message.Arg = ExecutionTypes.OrderLog;
break;
}
_messAdapter.SendInMessage(message);
}
private void UnSubscribe(MarketDataTypes type, Security security)
{
switch (type)
{
case MarketDataTypes.Level1:
case MarketDataTypes.OrderLog:
break;
case MarketDataTypes.Trades:
SafeGetConnector().UnRegisterTrades(security);
break;
case MarketDataTypes.MarketDepth:
SafeGetConnector().UnRegisterMarketDepth(security);
break;
}
}
private void RemoveExport(Security security, MarketDataTypes type)
{
if (security == null)
throw new ArgumentNullException(nameof(security));
if(!IsConnected)
return;
if (type != MarketDataTypes.CandleTimeFrame)
_connector.UnSubscribeMarketData(security, type);
}
private void RemoveExport(Security security, MarketDataTypes type)
{
if (security == null)
throw new ArgumentNullException("security");
_exports.SyncDo(d =>
{
var types = d.TryGetValue(security);
if (types == null)
return;
types.Remove(type);
});
base.UnSubscribeMarketData(security, type);
}
private static void GetCandleParams(MarketDataTypes type, object arg, out string strArg, out string intervalType)
{
switch (type)
{
case MarketDataTypes.CandleTimeFrame:
{
intervalType = "s";
strArg = arg.To<TimeSpan>().TotalSeconds.To<int>().To<string>();
break;
}
case MarketDataTypes.CandleTick:
{
intervalType = "t";
strArg = arg.To<string>();
break;
}
case MarketDataTypes.CandleVolume:
{
intervalType = "v";
strArg = arg.To<string>();
break;
}
default:
throw new ArgumentOutOfRangeException("type", type, LocalizedStrings.WrongCandleType);
}
}
public override void SubscribeMarketData(Security security, MarketDataTypes type)
{
AddExport(security, type);
}
private void AddExport(Security security, MarketDataTypes type)
{
if (security == null)
throw new ArgumentNullException("security");
_exports.SafeAdd(security).SafeAdd(type);
if (ConnectionState == ConnectionStates.Connected)
base.SubscribeMarketData(security, type);
}
/// <summary>
/// Удалить регистрацию, ранее осуществленную через <see cref="RegisterHistorySource"/>.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="dataType">Тип данных.</param>
/// <param name="arg">Параметр, ассоциированный с типом <paramref name="dataType"/>. Например, <see cref="Candle.Arg"/>.</param>
public void UnRegisterHistorySource(Security security, MarketDataTypes dataType, object arg)
{
SendInHistorySourceMessage(security, dataType, arg, null);
}
private void SendInHistorySourceMessage(Security security, MarketDataTypes dataType, object arg, Func<DateTimeOffset, IEnumerable<Message>> getMessages)
{
var isSubscribe = getMessages != null;
if (isSubscribe)
{
if (_historySourceSubscriptions.ChangeSubscribers(Tuple.Create(security.ToSecurityId(), dataType, arg), true) != 1)
return;
}
else
{
if (_historySourceSubscriptions.ChangeSubscribers(Tuple.Create(security.ToSecurityId(), dataType, arg), false) != 0)
return;
}
SendInMessage(new HistorySourceMessage
{
IsSubscribe = isSubscribe,
SecurityId = security.ToSecurityId(),
DataType = dataType,
Arg = arg,
GetMessages = getMessages
});
}
/// <summary>
/// Нужно ли обрабатывать маркет-данные.
/// </summary>
/// <param name="dataType">Тип маркет-данных.</param>
/// <param name="securityId">Идентификатор инструмента.</param>
/// <returns>Нужно ли обрабатывать маркет-данные.</returns>
public bool NeedProcess(MarketDataTypes dataType, SecurityId securityId)
{
return _fixServer.HasSubscriptions(dataType, new SecurityId
{
SecurityCode = securityId.SecurityCode,
BoardCode = GetBoardCode(securityId.BoardCode)
});
}
public override void UnSubscribeMarketData(Security security, MarketDataTypes type)
{
RemoveExport(security, type);
}
/// <summary>
/// Отписаться от получения рыночных данных по инструменту.
/// </summary>
/// <param name="security">Инструмент, по которому необходимо начать получать новую информацию.</param>
/// <param name="type">Тип рыночных данных.</param>
public override void UnSubscribeMarketData(Security security, MarketDataTypes type)
{
var tf = MarketEmulator.Settings.UseCandlesTimeFrame;
if (tf != null)
{
var securityId = GetSecurityId(security);
var key = Tuple.Create(securityId, tf.Value);
if (_subscribedCandles.ChangeSubscribers(key, -1) != 0)
return;
MarketDataAdapter.SendInMessage(new MarketDataMessage
{
//SecurityId = securityId,
DataType = MarketDataTypes.CandleTimeFrame,
Arg = tf.Value,
IsSubscribe = false,
}.FillSecurityInfo(this, security));
}
else
base.UnSubscribeMarketData(security, type);
}
private void Subscribe(MarketDataTypes type, Security security)
{
switch (type)
{
case MarketDataTypes.Level1:
SafeGetConnector().RegisterSecurity(security);
break;
case MarketDataTypes.OrderLog:
break;
case MarketDataTypes.Trades:
{
security
.WhenNewTrades(SafeGetConnector())
.Do(trades => new NewTradesCommand(trades).Process(this))
.Until(() => !(CanProcess && IsSubscribed(MarketDataTypes.Trades, security)))
.Apply(this);
SafeGetConnector().RegisterTrades(security);
break;
}
case MarketDataTypes.MarketDepth:
{
security
.WhenMarketDepthChanged(SafeGetConnector())
.Do(md => new UpdateMarketDepthCommand(md).Process(this))
.Until(() => !(CanProcess && IsSubscribed(MarketDataTypes.MarketDepth, security)))
.Apply(this);
SafeGetConnector().RegisterMarketDepth(security);
break;
}
}
}
public RefuseMarketDataCommand(Security security, MarketDataTypes type)
{
Security = security;
Type = type;
}
private void RaiseMarketDataSubscriptionFailed(Security security, MarketDataTypes dataType, Exception error)
{
this.AddErrorLog(LocalizedStrings.Str634Params, security.Id, dataType, error);
MarketDataSubscriptionFailed.SafeInvoke(security, dataType, error);
}
