/// <summary>
/// Initializes a new instance of the <see cref="BasketSecurityBaseProcessor{TSecurity}"/>.
/// </summary>
/// <param name="basketSecurity">Instruments basket.</param>
protected BasketSecurityBaseProcessor(TSecurity basketSecurity)
{
BasketSecurity = basketSecurity ?? throw new ArgumentNullException(nameof(basketSecurity));
BasketLegs = BasketSecurity.InnerSecurityIds.ToArray();
SecurityId = BasketSecurity.ToSecurityId();
if (BasketLegs.IsEmpty())
{
throw new ArgumentException(LocalizedStrings.SecurityDoNotContainsLegs.Put(basketSecurity.Id), nameof(basketSecurity));
}
}
private IEnumerable <Message> ProcessMessage <TMessage>(Dictionary <SecurityId, TMessage> dict, SecurityId securityId, TMessage message, Func <TMessage[], TMessage> convert)
where TMessage : Message
{
dict[securityId] = message.TypedClone();
if (dict.Count != BasketLegs.Length)
{
yield break;
}
yield return(convert(BasketLegs.Select(leg => dict[leg]).ToArray()));
dict.Clear();
}
private decimal Calculate(IEnumerable <CandleMessage> candles, bool isPrice, Func <CandleMessage, decimal> getPart)
{
var values = candles.Select(getPart).ToArray();
try
{
return(Calculate(values, isPrice));
}
catch (ArithmeticException excp)
{
throw new ArithmeticException(LocalizedStrings.BuildIndexError.Put(SecurityId, BasketLegs.Zip(values, (s, v) => $"{s}: {v}").JoinCommaSpace()), excp);
}
}
