/// <summary>
/// Добавить первый уровень маркет-данных.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="message">Первый уровень маркет-данных.</param>
protected virtual void AddLevel1Change(Security security, Level1ChangeMessage message)
{
if (security == null)
{
throw new ArgumentNullException("security");
}
if (message == null)
{
throw new ArgumentNullException("message");
}
message = (Level1ChangeMessage)message.Clone();
foreach (var change in message.Changes.ToArray())
{
if (!_task.Settings.SupportedLevel1Fields.Contains(change.Key))
{
message.Changes.Remove(change.Key);
}
}
if (message.Changes.Count > 0)
{
_level1Buffer.Add(security, message);
}
}
private void ProcessLevel1ChangeMessage(Level1ChangeMessage message)
{
var security = LookupSecurity(message.SecurityId);
if (UpdateSecurityByLevel1)
{
security.ApplyChanges(message);
RaiseSecurityChanged(security);
}
var values = GetSecurityValues(security);
lock (values.SyncRoot)
{
foreach (var change in message.Changes)
values[(int)change.Key] = change.Value;
}
RaiseValuesChanged(security, message.Changes, message.ServerTime, message.LocalTime);
if (CreateDepthFromLevel1)
{
// генерация стакана из Level1
var quoteMsg = GetBuilder(message.SecurityId).Process(message);
if (quoteMsg != null)
{
ProcessQuotesMessage(security, quoteMsg, true);
CreateAssociatedSecurityQuotes(quoteMsg);
}
}
if (CreateAssociatedSecurity && !IsAssociated(message.SecurityId.BoardCode))
{
// обновление BestXXX для ALL из конкретных тикеров
var clone = (Level1ChangeMessage)message.Clone();
clone.SecurityId = CreateAssociatedId(clone.SecurityId);
ProcessLevel1ChangeMessage(clone);
}
}
