/// <summary>Parse a market data update message</summary>
private void ApplyUpdate(CandleUpdate update) // Worker thread context
{
lock (CandleData)
{
// Push the update to the buffer
m_pending.Add(update);
// If the data hasn't had the initial snapshot applied yet, we're done
if (CandleData.Count == 0)
{
return;
}
// Apply updates
foreach (var upd in m_pending)
{
var idx = CandleData.BinarySearch(x => x.Time.CompareTo(upd.Kline.StartTime));
if (idx >= 0)
{
CandleData[idx] = upd.Kline;
}
else
{
CandleData.Insert(~idx, upd.Kline);
}
}
// Cap the length of the candle data
if (CandleData.Count > 1500)
{
CandleData.RemoveRange(0, 500);
}
// All pending updates have been applied
m_pending.Clear();
}
}
