/// <summary>
/// Подписаться на инструмент.
/// </summary>
/// <param name="instrument">
/// Инструмент для подписки.
/// </param>
public async Task <SubscriptionResult> Subscribe(Instrument instrument)
{
var symbol = await adapter.ResolveSymbolAsync(instrument);
if (symbol == null)
{
return(SubscriptionResult.Error(instrument, "Unable to resolve symbol"));
}
adapter.SendMessage(new QLInstrumentParamsSubscriptionRequest(symbol));
return(SubscriptionResult.OK(instrument));
}
public async Task <SubscriptionResult> Subscribe(Instrument instrument)
{
var code = await connector.ResolveInstrumentAsync(instrument);
if (code == null)
{
return(SubscriptionResult.Error(instrument, "Unable to resolve instrument symbol"));
}
using (allInstrumentLock.WriteLock())
{
if (allInstruments.Contains(code))
{
if (!subscribedInstruments.Contains(code))
{
subscribedInstruments.Add(code);
InstrumentParams ip;
if (instrumentsParams.TryGetValue(code, out ip))
{
OnMessageReceived(ip);
}
else
{
ip = new InstrumentParams {
Instrument = instrument
};
instrumentsParams[code] = ip;
}
return(SubscriptionResult.OK(instrument));
}
return(SubscriptionResult.Error(instrument, "Already subscribed."));
}
}
return(SubscriptionResult.Error(instrument, "Instrument doesn't exist."));
}
private async Task <SubscriptionResult> SubscribeAsync(Instrument instrument, SubscriptionFlags flags)
{
using (LogManager.Scope())
{
InstrumentSubscription subscription = null;
ContractMetadata metadata = null;
var hasSubscriptionLock = false;
try
{
// Получаем параметры подписки на инструмент
using (subscriptionsLock.Lock())
{
subscriptionsByInstrument.TryGetValue(instrument, out subscription);
}
if (subscription == null)
{
// Получаем ID инструмента
var contractId = await instrumentResolver.GetContractIdAsync(instrument);
if (contractId == uint.MaxValue)
{
return(SubscriptionResult.Error(instrument, "Symbol is not resolved in tree node for CQG"));
}
using (subscriptionsLock.Lock())
{
if (!subscriptionsByInstrument.TryGetValue(instrument, out subscription))
{
if (!subscriptionsByContractId.TryGetValue(contractId, out subscription))
{
subscription = new InstrumentSubscription(instrumentResolver, instrument, contractId);
// Сразу захватываем блокировку
subscription.AcquireFlagsLock();
hasSubscriptionLock = true;
subscriptionsByContractId.Add(contractId, subscription);
contractMetadatas.TryGetValue(contractId, out metadata);
}
subscriptionsByInstrument.Add(instrument, subscription);
}
}
}
else
{
// Захватываем блокировку
subscription.AcquireFlagsLock();
hasSubscriptionLock = true;
}
// Подписываемся на инструмент с учетом флагов подписки
if ((subscription.Flags & flags) != flags)
{
// Нужные флаги подписки не проставлены, требуется доподписаться
MarketDataSubscription.Level?level = null;
switch (subscription.Flags | flags)
{
case SubscriptionFlags.InstrumentParams:
level = MarketDataSubscription.Level.TRADES_BBA_VOLUMES;
break;
case SubscriptionFlags.OrderBook:
level = MarketDataSubscription.Level.TRADES_BBA_DOM;
break;
case SubscriptionFlags.InstrumentParams | SubscriptionFlags.OrderBook:
level = MarketDataSubscription.Level.TRADES_BBA_DOM;
break;
}
if (level != null)
{
subscription.Flags |= flags;
RequestMarketDataSubscription(subscription, level.Value);
}
}
// При необходимости обрабатываем метаданные и выбрасываем события
if (metadata != null)
{
Process(subscription, metadata, (s, data) => s.Handle(data));
}
// Готово
var result = SubscriptionResult.OK(instrument);
return(result);
}
catch (OperationCanceledException)
{
_Log.Warn().Print($"Unable to subscribe to {instrument} (operation has been cancelled)");
return(SubscriptionResult.Error(instrument, "Operation has been cancelled"));
}
catch (Exception e)
{
_Log.Error().Print(e, $"Unable to subscribe to {instrument}");
return(SubscriptionResult.Error(instrument, e.Message));
}
finally
{
if (subscription != null && hasSubscriptionLock)
{
subscription.ReleaseFlagsLock();
}
}
}
}
/// <summary>
/// Обработка входящего сообщения
/// </summary>
private void Connection_MessageReceived(object sender, StompMessageReceivedEventArgs e)
{
TaskCompletionSource <SubscriptionResult> tcs;
Instrument instrument;
switch (e.Message.Command)
{
case StompCommands.CONNECTED:
ChangeConnectionStatus(ConnectionStatus.Connected);
//var request = new Request(
// destination: "SEARCH.ticker",
// id: Guid.NewGuid().ToString(),
// selector: "pattern=\"*BR*\""
// //selector: "pattern=\"\""
// );
//connection.Send(request);
break;
case StompCommands.ERROR:
var error = new Error(e.Message);
var sub = error.ReceiptId ?? e.Message.GetHeader("subscription");
if (ipSubscriptionResults.TryGetValue(sub, out tcs) &&
ipIdToInstrument.TryGetValue(sub, out instrument))
{
ipSubscriptionResults.Remove(sub);
tcs.SetResult(SubscriptionResult.Error(instrument, error.Message));
}
break;
case StompCommands.RECEIPT:
var reci = new Receipt(e.Message);
if (ipSubscriptionResults.TryGetValue(reci.ReceiptId, out tcs) &&
ipIdToInstrument.TryGetValue(reci.ReceiptId, out instrument))
{
ipSubscriptionResults.Remove(reci.ReceiptId);
tcs.SetResult(SubscriptionResult.OK(instrument));
}
break;
case StompCommands.MESSAGE:
var subscription = e.Message.GetHeader("subscription", isRequired: false);
var destination = e.Message.GetHeader("destination", isRequired: false);
if (destination == Securities)
{
if (subscription != null &&
ipSubscriptionResults.TryGetValue(subscription, out tcs) &&
ipIdToInstrument.TryGetValue(subscription, out instrument))
{
ipSubscriptionResults.Remove(subscription);
tcs.SetResult(SubscriptionResult.OK(instrument));
}
try
{
ParseParams(e.Message, subscription);
}
catch { }
}
else if (destination == Orderbooks)
{
try
{
ParseBook(e.Message, subscription);
}
catch { }
}
break;
case "REPLY":
break;
default:
return;
}
}