bool IEnumerator.MoveNext()
{
while (_itemsEnumerator.MoveNext())
{
var item = _itemsEnumerator.Current;
//if (_builder == null)
// _builder = new OrderLogMarketDepthBuilder(new QuoteChangeMessage { SecurityId = item.SecurityId, IsSorted = true }, _maxDepth);
if (!_builder.Update(item))
{
continue;
}
if (Current != null && (_builder.Depth.ServerTime - Current.ServerTime) < _interval)
{
continue;
}
Current = (QuoteChangeMessage)_builder.Depth.Clone();
if (_maxDepth < int.MaxValue)
{
//Current.MaxDepth = _maxDepth;
Current.Bids = Current.Bids.Take(_maxDepth).ToArray();
Current.Asks = Current.Asks.Take(_maxDepth).ToArray();
}
return(true);
}
Current = null;
return(false);
}
/// <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 void ProcessBuilders(ExecutionMessage execMsg)
{
if (execMsg.IsSystem == false)
{
return;
}
foreach (var subscriptionId in execMsg.GetSubscriptionIds())
{
if (!_subscriptionIds.TryGetValue(subscriptionId, out var tuple))
{
// can be non OL->MB subscription
//this.AddDebugLog("OL processing {0}/{1} not found.", execMsg.SecurityId, subscriptionId);
continue;
}
if (tuple.First)
{
var sync = tuple.Third;
IOrderLogMarketDepthBuilder builder = tuple.Second;
try
{
QuoteChangeMessage depth;
lock (sync)
depth = builder.Update(execMsg)?.TypedClone();
this.AddDebugLog("OL->MD processing {0}={1}.", execMsg.SecurityId, depth != null);
if (depth != null)
{
depth.SetSubscriptionIds(subscriptionId: subscriptionId);
base.OnInnerAdapterNewOutMessage(depth);
}
}
catch (Exception ex)
{
// если ОЛ поврежден, то не нарушаем весь цикл обработки сообщения
// а только выводим сообщение в лог
base.OnInnerAdapterNewOutMessage(ex.ToErrorMessage());
}
}
else
{
this.AddDebugLog("OL->TICK processing {0}.", execMsg.SecurityId);
base.OnInnerAdapterNewOutMessage(execMsg.ToTick());
}
}
}