/// <inheritdoc />
public Subscription SubscribeMarketDepth(Security security, DateTimeOffset?from = null, DateTimeOffset?to = null, long?count = null, MarketDataBuildModes buildMode = MarketDataBuildModes.LoadAndBuild, DataType buildFrom = null, int?maxDepth = null, TimeSpan?refreshSpeed = null, IOrderLogMarketDepthBuilder depthBuilder = null, bool passThroughOrderBookInrement = false, IMessageAdapter adapter = null)
{
return(SubscribeMarketData(security, DataType.MarketDepth, from, to, count, buildMode, buildFrom, null, maxDepth, refreshSpeed, depthBuilder, passThroughOrderBookInrement, adapter));
}
private Subscription SubscribeMarketData(Security security, DataType type, DateTimeOffset?from = null, DateTimeOffset?to = null, long?count = null, MarketDataBuildModes buildMode = MarketDataBuildModes.LoadAndBuild, DataType buildFrom = null, Level1Fields?buildField = null, int?maxDepth = null, TimeSpan?refreshSpeed = null, IOrderLogMarketDepthBuilder depthBuilder = null, bool passThroughOrderBookInrement = false, IMessageAdapter adapter = null)
{
return(SubscribeMarketData(security, new MarketDataMessage
{
DataType2 = type,
IsSubscribe = true,
From = from,
To = to,
Count = count,
BuildMode = buildMode,
BuildFrom = buildFrom,
BuildField = buildField,
MaxDepth = maxDepth,
RefreshSpeed = refreshSpeed,
DepthBuilder = depthBuilder,
PassThroughOrderBookInrement = passThroughOrderBookInrement,
Adapter = adapter
}));
}
/// <summary>
/// Build market depths from order log.
/// </summary>
/// <param name="items">Orders log lines.</param>
/// <param name="builder">Order log to market depth builder.</param>
/// <param name="interval">The interval of the order book generation. The default is <see cref="TimeSpan.Zero"/>, which means order books generation at each new item of orders log.</param>
/// <param name="maxDepth">The maximal depth of order book. The default is <see cref="Int32.MaxValue"/>, which means endless depth.</param>
/// <returns>Market depths.</returns>
public static IEnumerable <QuoteChangeMessage> ToOrderBooks(this IEnumerable <ExecutionMessage> items, IOrderLogMarketDepthBuilder builder, TimeSpan interval = default, int maxDepth = int.MaxValue)
{
return(new DepthEnumerable(items, builder, interval, maxDepth));
}
/// <summary>
/// To build level1 from the orders log.
/// </summary>
/// <param name="items">Orders log lines.</param>
/// <param name="builder">Order log to market depth builder.</param>
/// <param name="interval">The interval of the order book generation. The default is <see cref="TimeSpan.Zero"/>, which means order books generation at each new item of orders log.</param>
/// <returns>Tick trades.</returns>
public static IEnumerable <Level1ChangeMessage> ToLevel1(this IEnumerable <ExecutionMessage> items, IOrderLogMarketDepthBuilder builder, TimeSpan interval = default)
{
if (builder == null)
{
return(new TickLevel1Enumerable(items));
}
else
{
return(items.ToOrderBooks(builder, interval, 1).BuildIfNeed().ToLevel1());
}
}
/// <summary>
/// Build market depths from order log.
/// </summary>
/// <param name="items">Orders log lines.</param>
/// <param name="builder">Order log to market depth builder.</param>
/// <param name="interval">The interval of the order book generation. The default is <see cref="TimeSpan.Zero"/>, which means order books generation at each new item of orders log.</param>
/// <param name="maxDepth">The maximal depth of order book. The default is <see cref="Int32.MaxValue"/>, which means endless depth.</param>
/// <returns>Market depths.</returns>
public static IEnumerable <MarketDepth> ToOrderBooks(this IEnumerable <OrderLogItem> items, IOrderLogMarketDepthBuilder builder, TimeSpan interval = default, int maxDepth = int.MaxValue)
{
var first = items.FirstOrDefault();
if (first == null)
{
return(Enumerable.Empty <MarketDepth>());
}
return(items.ToMessages <OrderLogItem, ExecutionMessage>()
.ToOrderBooks(builder, interval)
.BuildIfNeed()
.ToEntities <QuoteChangeMessage, MarketDepth>(first.Order.Security));
}
/// <summary>
/// To build level1 from the orders log.
/// </summary>
/// <param name="items">Orders log lines.</param>
/// <param name="builder">Order log to market depth builder.</param>
/// <param name="interval">The interval of the order book generation. The default is <see cref="TimeSpan.Zero"/>, which means order books generation at each new item of orders log.</param>
/// <param name="maxDepth">The maximal depth of order book. The default is <see cref="Int32.MaxValue"/>, which means endless depth.</param>
/// <returns>Tick trades.</returns>
public static IEnumerable <Level1ChangeMessage> ToLevel1(this IEnumerable <ExecutionMessage> items, IOrderLogMarketDepthBuilder builder, TimeSpan interval = default, int maxDepth = int.MaxValue)
{
return(items.ToOrderBooks(builder, interval, maxDepth).ToLevel1());
}
/// <summary>
/// Build market depths from order log.
/// </summary>
/// <param name="items">Orders log lines.</param>
/// <param name="builder">Order log to market depth builder.</param>
/// <param name="interval">The interval of the order book generation. The default is <see cref="TimeSpan.Zero"/>, which means order books generation at each new item of orders log.</param>
/// <param name="maxDepth">The maximal depth of order book. The default is <see cref="Int32.MaxValue"/>, which means endless depth.</param>
/// <returns>Market depths.</returns>
public static IEnumerable <QuoteChangeMessage> ToOrderBooks(this IEnumerable <ExecutionMessage> items, IOrderLogMarketDepthBuilder builder, TimeSpan interval = default, int maxDepth = int.MaxValue)
{
var snapshotSent = false;
var prevTime = default(DateTimeOffset?);
foreach (var item in items)
{
if (!snapshotSent)
{
yield return(builder.Snapshot.TypedClone());
snapshotSent = true;
}
var depth = builder.Update(item);
if (depth is null)
{
continue;
}
if (prevTime != null && (depth.ServerTime - prevTime.Value) < interval)
{
continue;
}
depth = depth.TypedClone();
if (maxDepth < int.MaxValue)
{
depth.Bids = depth.Bids.Take(maxDepth).ToArray();
depth.Asks = depth.Asks.Take(maxDepth).ToArray();
}
yield return(depth);
prevTime = depth.ServerTime;
}
}
private MarketDataMessage ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (!InnerAdapter.IsMarketDataTypeSupported(MarketDataTypes.OrderLog))
{
return(message);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == MarketDataTypes.OrderLog;
switch (message.DataType)
{
case MarketDataTypes.MarketDepth:
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType))
{
var secId = GetSecurityId(message.SecurityId);
IOrderLogMarketDepthBuilder builder = null;
if (InnerAdapter.IsSecurityRequired(DataType.OrderLog))
{
builder = InnerAdapter.CreateOrderLogMarketDepthBuilder(secId);
}
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(secId, true, builder));
message = (MarketDataMessage)message.Clone();
message.DataType = MarketDataTypes.OrderLog;
this.AddInfoLog("OL->MD subscribed {0}/{1}.", secId, message.TransactionId);
}
break;
}
case MarketDataTypes.Trades:
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType))
{
var secId = GetSecurityId(message.SecurityId);
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(secId, false, (IOrderLogMarketDepthBuilder)null));
message = (MarketDataMessage)message.Clone();
message.DataType = MarketDataTypes.OrderLog;
this.AddInfoLog("OL->TICK subscribed {0}/{1}.", secId, message.TransactionId);
}
break;
}
}
}
else
{
if (_subscriptionIds.TryGetAndRemove(message.OriginalTransactionId, out var tuple))
{
this.AddInfoLog("OL->{0} unsubscribed {1}/{2}.", tuple.Second ? "MD" : "TICK", tuple.First, message.OriginalTransactionId);
}
}
return(message);
}
Subscription IMarketDataProviderEx.SubscribeMarketDepth(Security security, DateTimeOffset?from, DateTimeOffset?to, long?count, MarketDataBuildModes buildMode, MarketDataTypes?buildFrom, int?maxDepth, TimeSpan?refreshSpeed, IOrderLogMarketDepthBuilder depthBuilder, IMessageAdapter adapter) => null;
