private void ProcessMarketDataMessage(MarketDataMessage mdMsg)
{
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
SendCommand(mdMsg.IsSubscribe
? new SubscribeMessage {
Quotations = { mdMsg.SecurityId }
}
: new UnsubscribeMessage {
Quotations = { mdMsg.SecurityId }
});
break;
}
case MarketDataTypes.MarketDepth:
{
SendCommand(mdMsg.IsSubscribe
? new SubscribeMessage {
Quotes = { mdMsg.SecurityId }
}
: new UnsubscribeMessage {
Quotes = { mdMsg.SecurityId }
});
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.IsSubscribe)
{
//Подписаться/отписаться на тики можно двумя способами:
//SubscribeMessage/UnsubscribeMessage - тики приходят с момента подписки
//SubscribeTicksMessage - Тики приходят с момента подиски(TradeNo = 0), или с любого номера. При повторном запросе отписка получения тиков по предыдущему запросу.
//var command = new SubscribeMessage();
//command.AllTrades.Add(security.GetTransaqId());
//ApiClient.Send(new Tuple<BaseCommandMessage, Action<BaseResponse>>(command, ProcessResult));
//---
_registeredSecurityIds.Add(mdMsg.SecurityId);
var command = new SubscribeTicksMessage {
Filter = true
}; //Filter только сделки нормально периода торгов
foreach (var id in _registeredSecurityIds)
{
command.Items.Add(new SubscribeTicksSecurity
{
SecId = (int)id.Native,
TradeNo = id.Equals(mdMsg.SecurityId) ? 1 : 0,
});
}
SendCommand(command);
}
else
{
//var command = new UnsubscribeMessage();
//command.AllTrades.Add(security.GetTransaqId());
//ApiClient.Send(new Tuple<BaseCommandMessage, Action<BaseResponse>>(command, ProcessResult));
//---
_registeredSecurityIds.Remove(mdMsg.SecurityId);
var command = new SubscribeTicksMessage {
Filter = true
}; //Filter только сделки нормально периода торгов
foreach (var id in _registeredSecurityIds)
{
command.Items.Add(new SubscribeTicksSecurity
{
SecId = (int)id.Native,
TradeNo = 0,
});
}
SendCommand(command);
}
break;
}
case MarketDataTypes.News:
{
if (mdMsg.IsSubscribe)
{
if (mdMsg.NewsId.IsEmpty())
{
var count = (int)mdMsg.Count;
if (count <= 0)
{
throw new InvalidOperationException(LocalizedStrings.Str3511Params.Put(count));
}
if (count > MaxNewsHeaderCount)
{
throw new InvalidOperationException(LocalizedStrings.Str3512Params.Put(count, MaxNewsHeaderCount));
}
SendCommand(new RequestOldNewsMessage {
Count = count
});
}
else
{
SendCommand(new RequestNewsBodyMessage {
NewsId = mdMsg.NewsId.To <int>()
});
}
}
break;
}
case MarketDataTypes.CandleTimeFrame:
{
if (mdMsg.IsSubscribe)
{
var periodId = _candlePeriods.GetKeys((TimeSpan)mdMsg.Arg).First();
_candleTransactions.Add(Tuple.Create((int)mdMsg.SecurityId.Native, periodId), mdMsg.TransactionId);
var command = new RequestHistoryDataMessage
{
SecId = (int)mdMsg.SecurityId.Native,
Period = periodId,
Count = mdMsg.Count,
Reset = mdMsg.To == DateTimeOffset.MaxValue,
};
SendCommand(command);
}
break;
}
default:
throw new ArgumentOutOfRangeException("mdMsg", mdMsg.DataType, LocalizedStrings.Str1618);
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
}
private void ProcessMarketDataMessage(MarketDataMessage mdMsg)
{
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
SendCommand(mdMsg.IsSubscribe
? new SubscribeMessage {
Quotations = { mdMsg.SecurityId }
}
: new UnsubscribeMessage {
Quotations = { mdMsg.SecurityId }
});
break;
}
case MarketDataTypes.MarketDepth:
{
SendCommand(mdMsg.IsSubscribe
? new SubscribeMessage {
Quotes = { mdMsg.SecurityId }
}
: new UnsubscribeMessage {
Quotes = { mdMsg.SecurityId }
});
break;
}
case MarketDataTypes.Trades:
{
if (mdMsg.IsSubscribe)
{
//Подписаться/отписаться на тики можно двумя способами:
//SubscribeMessage/UnsubscribeMessage - тики приходят с момента подписки
//SubscribeTicksMessage - Тики приходят с момента подиски(TradeNo = 0), или с любого номера. При повторном запросе отписка получения тиков по предыдущему запросу.
//var command = new SubscribeMessage();
//command.AllTrades.Add(security.GetTransaqId());
//ApiClient.Send(new Tuple<BaseCommandMessage, Action<BaseResponse>>(command, ProcessResult));
//---
_registeredSecurityIds.Add(mdMsg.SecurityId);
var command = new SubscribeTicksMessage {
Filter = true
}; //Filter только сделки нормально периода торгов
foreach (var id in _registeredSecurityIds)
{
command.Items.Add(new SubscribeTicksSecurity
{
SecId = (int)id.Native,
// http://stocksharp.com/forum/yaf_postsm35978_Obnovlieniie-Tranzak-do-viersii-2-16-1.aspx#post35978
//TradeNo = id.Equals(mdMsg.SecurityId) ? 1 : 0,
TradeNo = 1,
});
}
SendCommand(command);
}
else
{
//var command = new UnsubscribeMessage();
//command.AllTrades.Add(security.GetTransaqId());
//ApiClient.Send(new Tuple<BaseCommandMessage, Action<BaseResponse>>(command, ProcessResult));
//---
_registeredSecurityIds.Remove(mdMsg.SecurityId);
var command = new SubscribeTicksMessage {
Filter = true
}; //Filter только сделки нормально периода торгов
foreach (var id in _registeredSecurityIds)
{
command.Items.Add(new SubscribeTicksSecurity
{
SecId = (int)id.Native,
TradeNo = 0,
});
}
SendCommand(command);
}
break;
}
case MarketDataTypes.News:
{
if (mdMsg.IsSubscribe)
{
if (mdMsg.NewsId.IsEmpty())
{
var count = mdMsg.Count;
if (count == null)
{
count = MaxNewsHeaderCount;
}
else
{
if (count < 0)
{
throw new InvalidOperationException(LocalizedStrings.Str3511Params.Put(count));
}
if (count > MaxNewsHeaderCount)
{
throw new InvalidOperationException(LocalizedStrings.Str3512Params.Put(count, MaxNewsHeaderCount));
}
}
SendCommand(new RequestOldNewsMessage {
Count = (int)count.Value
});
}
else
{
SendCommand(new RequestNewsBodyMessage {
NewsId = mdMsg.NewsId.To <int>()
});
}
}
break;
}
case MarketDataTypes.CandleTimeFrame:
{
if (mdMsg.IsSubscribe)
{
var periodId = _candlePeriods.GetKeys((TimeSpan)mdMsg.Arg).First();
var secId = (int)mdMsg.SecurityId.Native;
var key = Tuple.Create(secId, periodId);
_candleTransactions.Add(key, mdMsg.TransactionId);
var command = new RequestHistoryDataMessage
{
SecId = secId,
Period = periodId,
Count = mdMsg.Count ?? 0,
Reset = mdMsg.To == null,
};
try
{
SendCommand(command);
}
catch (Exception)
{
_candleTransactions.Remove(key);
throw;
}
}
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(reply);
}