public override void Serialize(Stream stream, IEnumerable <QuoteChangeMessage> data, IMarketDataMetaInfo metaInfo)
{
var list = data.SelectMany(d =>
{
var items = new List <TimeQuoteChange>();
items.AddRange(d.Bids.OrderByDescending(q => q.Price).Select(q => new TimeQuoteChange(q, d)));
if (items.Count == 0)
{
items.Add(new TimeQuoteChange {
Side = Sides.Buy, ServerTime = d.ServerTime
});
}
var bidsCount = items.Count;
items.AddRange(d.Asks.OrderBy(q => q.Price).Select(q => new TimeQuoteChange(q, d)));
if (items.Count == bidsCount)
{
items.Add(new TimeQuoteChange {
Side = Sides.Sell, ServerTime = d.ServerTime
});
}
return(items);
});
_quoteSerializer.Serialize(stream, list, metaInfo);
}
public override byte[] Serialize(IEnumerable <QuoteChangeMessage> data, IMarketDataMetaInfo metaInfo)
{
var list = data.SelectMany(d =>
{
var items = new List <TimeQuoteChange>();
items.AddRange(d.Bids.OrderBy(q => q.Price).Select(q => new TimeQuoteChange(q, d)));
items.AddRange(d.Asks.OrderBy(q => q.Price).Select(q => new TimeQuoteChange(q, d)));
return(items);
});
return(_quoteSerializer.Serialize(list, metaInfo));
}