private MarketDataMessage ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (!InnerAdapter.IsMarketDataTypeSupported(DataType.OrderLog))
{
return(message);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == DataType.OrderLog;
if (message.DataType2 == DataType.MarketDepth)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.ToDataType()))
{
var secId = GetSecurityId(message.SecurityId);
IOrderLogMarketDepthBuilder builder = null;
if (InnerAdapter.IsSecurityRequired(DataType.OrderLog))
{
builder = message.DepthBuilder ?? InnerAdapter.CreateOrderLogMarketDepthBuilder(secId);
}
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(true, builder, new SyncObject()));
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->MD subscribed {0}/{1}.", secId, message.TransactionId);
}
}
else if (message.DataType2 == DataType.Ticks)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.ToDataType()))
{
var secId = GetSecurityId(message.SecurityId);
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(false, (IOrderLogMarketDepthBuilder)null, new SyncObject()));
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->TICK subscribed {0}/{1}.", secId, message.TransactionId);
}
}
}
else
{
RemoveSubscription(message.OriginalTransactionId);
}
return(message);
}
private void ProcessInMarketDataMessage(MarketDataMessage message)
{
var dataType = message.ToDataType();
var secId = GetSecurityId(dataType, message.SecurityId);
ProcessInSubscriptionMessage(message, dataType, secId);
}
/// <inheritdoc />
public void UnSubscribeMarketData(Security security, MarketDataMessage message)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
var subscription = _subscriptionManager.TryFindSubscription(0, message.ToDataType(), security);
if (subscription != null)
{
UnSubscribe(subscription);
}
}
private MarketDataMessage ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (!InnerAdapter.IsMarketDataTypeSupported(DataType.OrderLog))
{
return(message);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == MarketDataTypes.OrderLog;
switch (message.DataType)
{
case MarketDataTypes.MarketDepth:
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.ToDataType()))
{
var secId = GetSecurityId(message.SecurityId);
IOrderLogMarketDepthBuilder builder = null;
if (InnerAdapter.IsSecurityRequired(DataType.OrderLog))
{
builder = InnerAdapter.CreateOrderLogMarketDepthBuilder(secId);
}
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(secId, true, builder));
message = (MarketDataMessage)message.Clone();
message.DataType = MarketDataTypes.OrderLog;
this.AddInfoLog("OL->MD subscribed {0}/{1}.", secId, message.TransactionId);
}
break;
}
case MarketDataTypes.Trades:
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.ToDataType()))
{
var secId = GetSecurityId(message.SecurityId);
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(secId, false, (IOrderLogMarketDepthBuilder)null));
message = (MarketDataMessage)message.Clone();
message.DataType = MarketDataTypes.OrderLog;
this.AddInfoLog("OL->TICK subscribed {0}/{1}.", secId, message.TransactionId);
}
break;
}
}
}
else
{
RemoveSubscription(message.OriginalTransactionId);
}
return(message);
}
