protected void DoCleanOldSecurities()
{
while (true)
{
Thread.Sleep(_SECURITIES_REMOVEL_PERIOD);//Once every hour
lock (tLock)
{
try
{
List <int> keysToRemove = new List <int>();
foreach (int key in ContractsTimeStamps.Keys)
{
DateTime timeStamp = ContractsTimeStamps[key];
if ((DateTime.Now - timeStamp).Hours >= _MAX_ELAPSED_HOURS_FOR_MARKET_DATA)
{
keysToRemove.Add(key);
}
}
foreach (int keyToRemove in keysToRemove)
{
ContractsTimeStamps.Remove(keyToRemove);
ActiveSecuritiesQuotes.Remove(keyToRemove);
}
}
catch (Exception ex)
{
DoLog(string.Format("@{1}: There was an error cleaning old securities from market data flow error={0} ", ex.Message, GetConfig().Name),
Main.Common.Util.Constants.MessageType.Error);
}
}
}
}
protected void RemoveSymbol(string symbol)
{
List <int> keysToRemove = new List <int>();
foreach (int key in ActiveSecuritiesQuotes.Keys)
{
Security sec = ActiveSecuritiesQuotes[key];
if (sec.Symbol == symbol)
{
keysToRemove.Add(key);
}
}
foreach (int keyToRemove in keysToRemove)
{
ContractsTimeStamps.Remove(keyToRemove);
ActiveSecuritiesQuotes.Remove(keyToRemove);
}
}
protected CMState ProcessMarketDataRequestQuotes(Wrapper wrapper)
{
string symbol = (string)wrapper.GetField(MarketDataRequestField.Symbol);
int mdReqId = (int)wrapper.GetField(MarketDataRequestField.MDReqId);
Security sec = new Security()
{
Symbol = symbol
};
lock (ActiveSecuritiesQuotes)
{
ActiveSecuritiesQuotes.Add(mdReqId, sec);
}
Thread RequestMarketDataThread = new Thread(DoRequestMarketDataQuotes);
RequestMarketDataThread.Start(symbol);
return(CMState.BuildSuccess());
}
