/// <summary>
/// Handling replies to a data push, a historical data request, or an available data request
/// </summary>
private void HistoricalDataSocketReceiveReady(object sender, NetMQSocketEventArgs e)
{
lock (historicalDataSocketLock)
{
if (historicalDataSocket == null)
{
return;
}
// 1st message part: what kind of stuff we're receiving
DataRequestMessageType type = (DataRequestMessageType)BitConverter.ToInt16(historicalDataSocket.ReceiveFrameBytes(), 0);
switch (type)
{
case DataRequestMessageType.Error:
HandleErrorReply();
break;
case DataRequestMessageType.AvailableDataReply:
HandleAvailabledataReply();
break;
case DataRequestMessageType.HistReply:
HandleHistoricalDataRequestReply();
break;
case DataRequestMessageType.HistPushReply:
HandleDataPushReply();
break;
default:
throw new ArgumentOutOfRangeException();
}
}
}
/// <summary>
/// Process replies on the request socket.
/// Heartbeats, errors, and subscribing to real time data streams.
/// </summary>
private void RealTimeRequestSocketReceiveReady(object sender, NetMQSocketEventArgs e)
{
lock (realTimeRequestSocketLock)
{
string reply = realTimeRequestSocket?.ReceiveFrameString();
if (reply == null)
{
return;
}
DataRequestMessageType mesageTye = (DataRequestMessageType)BitConverter.ToInt16(realTimeRequestSocket.ReceiveFrameBytes(), 0);
RealTimeDataRequest request;
switch (mesageTye)
{
case DataRequestMessageType.Pong:
lastHeartBeat = DateTime.Now;
break;
case DataRequestMessageType.Error:
string error = realTimeRequestSocket.ReceiveFrameString();
byte[] buffer1 = realTimeRequestSocket.ReceiveFrameBytes();
using (MemoryStream ms = new MemoryStream(buffer1))
{
request = MyUtils.ProtoBufDeserialize <RealTimeDataRequest>(ms);
}
// Error event
RaiseEvent(Error, this,
new ErrorArgs(-1, "Real time data request error: " + error, request.RequestID));
break;
case DataRequestMessageType.Success:
byte[] buffer = realTimeRequestSocket.ReceiveFrameBytes();
using (MemoryStream ms = new MemoryStream(buffer))
{
request = MyUtils.ProtoBufDeserialize <RealTimeDataRequest>(ms);
}
lock (realTimeDataStreamsLock)
{
RealTimeDataStreams.Add(request);
}
realTimeDataSocket.Subscribe(BitConverter.GetBytes(request.Instrument.ID));
break;
case DataRequestMessageType.RTDCanceled:
string symbol = realTimeRequestSocket.ReceiveFrameString();
break;
default:
throw new ArgumentOutOfRangeException();
}
}
}
private bool CreateRealTimeRequestSocket()
{
realTimeRequestSocket = new DealerSocket(realTimeRequestConnectionString);
realTimeRequestSocket.Options.Identity = Encoding.UTF8.GetBytes(name);
// Start off by sending a ping to make sure everything is regular
byte[] reply = new byte[] { };
try
{
realTimeRequestSocket.SendMoreFrame(string.Empty)
.SendFrame(BitConverter.GetBytes((byte)DataRequestMessageType.Ping));
if (realTimeRequestSocket.TryReceiveFrameBytes(TimeSpan.FromSeconds(1), out reply))
{
realTimeRequestSocket.TryReceiveFrameBytes(TimeSpan.FromMilliseconds(50), out reply);
}
}
catch
{
Disconnect();
}
if (reply?.Length > 0)
{
DataRequestMessageType type = (DataRequestMessageType)BitConverter.ToInt16(reply, 0);
if (type != DataRequestMessageType.Pong)
{
try
{
realTimeRequestSocket.Disconnect(realTimeRequestConnectionString);
}
finally
{
realTimeRequestSocket.Close();
realTimeRequestSocket = null;
}
RaiseEvent(Error, this, new ErrorArgs(-1, "Could not connect to server."));
return(true);
}
}
else
{
RaiseEvent(Error, this, new ErrorArgs(-1, "Could not connect to server."));
}
realTimeRequestSocket.ReceiveReady += RealTimeRequestSocketReceiveReady;
return(false);
}
/// <summary>
/// Called on a reply to a data push
/// </summary>
private void HandleDataPushReply()
{
DataRequestMessageType result = (DataRequestMessageType)BitConverter.ToInt16(historicalDataSocket.ReceiveFrameBytes(), 0);
switch (result)
{
case DataRequestMessageType.Success:
break;
case DataRequestMessageType.Error:
// Receive the error
string error = historicalDataSocket.ReceiveFrameString();
RaiseEvent(Error, this, new ErrorArgs(-1, "Data push error: " + error));
break;
}
}