private void RemoveSubscription(long id)
{
if (_subscriptionIds.TryGetAndRemove(id, out var tuple))
{
this.AddInfoLog("OL->{0} unsubscribed {1}/{2}.", tuple.Second ? "MD" : "TICK", tuple.First, id);
}
}
/// <summary>
/// Remove series tracking.
/// </summary>
/// <param name="transactionId">Request identifier.</param>
/// <returns>Candles series.</returns>
public CandleSeries RemoveCandleSeries(long transactionId)
{
CandlesSeriesHolder info;
lock (_holders.SyncRoot)
info = _holders.TryGetAndRemove(transactionId);
return(info?.Series);
}
private bool TryRemoveSubscription(long id, out SubscriptionInfo info)
{
if (!_subscriptionIds.TryGetAndRemove(id, out info))
{
return(false);
}
this.AddInfoLog("OL->{0} unsubscribed {1}/{2}.", info.IsTicks ? "MD" : "TICK", info.Origin.SecurityId, info.Origin.TransactionId);
return(true);
}
/// <summary>
/// Start storage auto-save thread.
/// </summary>
private void StartStorageTimer()
{
if (_timer != null || !Buffer.Enabled || Buffer.DisableStorageTimer)
{
return;
}
var isProcessing = false;
var sync = new SyncObject();
_timer = ThreadingHelper.Timer(() =>
{
lock (sync)
{
if (isProcessing)
{
return;
}
isProcessing = true;
}
try
{
var incremental = Settings.IsMode(StorageModes.Incremental);
var snapshot = Settings.IsMode(StorageModes.Snapshot);
foreach (var pair in Buffer.GetTicks())
{
if (incremental)
{
Settings.GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.Tick).Save(pair.Value);
}
}
foreach (var pair in Buffer.GetOrderLog())
{
if (incremental)
{
Settings.GetStorage <ExecutionMessage>(pair.Key, ExecutionTypes.OrderLog).Save(pair.Value);
}
}
foreach (var pair in Buffer.GetTransactions())
{
var secId = pair.Key;
if (incremental)
{
Settings.GetStorage <ExecutionMessage>(secId, ExecutionTypes.Transaction).Save(pair.Value);
}
if (snapshot)
{
var snapshotStorage = GetSnapshotStorage(DataType.Transactions);
foreach (var message in pair.Value)
{
// do not store cancellation commands into snapshot
if (message.IsCancellation)
{
this.AddWarningLog("Cancellation transaction: {0}", message);
continue;
}
var originTransId = message.OriginalTransactionId;
if (originTransId == 0)
{
continue;
}
if (_cancellationTransactions.TryGetValue(originTransId, out var cancelledId))
{
// do not store cancellation errors
if (message.Error != null)
{
continue;
}
// override cancel trans id by original order's registration trans id
originTransId = cancelledId;
}
else if (_orderStatusIds.Contains(originTransId))
{
// override status request trans id by original order's registration trans id
originTransId = message.TransactionId;
}
else if (_replaceTransactions.TryGetAndRemove(originTransId, out var replacedId))
{
if (message.Error == null)
{
var replaced = (ExecutionMessage)snapshotStorage.Get(replacedId);
if (replaced == null)
{
this.AddWarningLog("Replaced order {0} not found.", replacedId);
}
else
{
if (replaced.OrderState != OrderStates.Done)
{
replaced.OrderState = OrderStates.Done;
}
}
}
}
message.SecurityId = secId;
if (message.TransactionId == 0)
{
message.TransactionId = originTransId;
}
message.OriginalTransactionId = 0;
SaveTransaction(snapshotStorage, message);
}
}
}
foreach (var pair in Buffer.GetOrderBooks())
{
if (incremental)
{
Settings.GetStorage <QuoteChangeMessage>(pair.Key, null).Save(pair.Value);
}
if (snapshot)
{
var snapshotStorage = GetSnapshotStorage(DataType.MarketDepth);
foreach (var message in pair.Value)
{
snapshotStorage.Update(message);
}
}
}
foreach (var pair in Buffer.GetLevel1())
{
var messages = pair.Value.Where(m => m.Changes.Count > 0).ToArray();
if (incremental)
{
Settings.GetStorage <Level1ChangeMessage>(pair.Key, null).Save(messages);
}
if (Settings.IsMode(StorageModes.Snapshot))
{
var snapshotStorage = GetSnapshotStorage(DataType.Level1);
foreach (var message in messages)
{
snapshotStorage.Update(message);
}
}
}
foreach (var pair in Buffer.GetCandles())
{
Settings.GetStorage(pair.Key.Item1, pair.Key.Item2, pair.Key.Item3).Save(pair.Value);
}
foreach (var pair in Buffer.GetPositionChanges())
{
var messages = pair.Value.Where(m => m.Changes.Count > 0).ToArray();
if (incremental)
{
Settings.GetStorage <PositionChangeMessage>(pair.Key, null).Save(messages);
}
if (snapshot)
{
var snapshotStorage = GetSnapshotStorage(DataType.PositionChanges);
foreach (var message in messages)
{
snapshotStorage.Update(message);
}
}
}
var news = Buffer.GetNews().ToArray();
if (news.Length > 0)
{
Settings.GetStorage <NewsMessage>(default, null).Save(news);
private MarketDataMessage ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (!InnerAdapter.IsMarketDataTypeSupported(MarketDataTypes.OrderLog))
{
return(message);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == MarketDataTypes.OrderLog;
switch (message.DataType)
{
case MarketDataTypes.MarketDepth:
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType))
{
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.DataType))
{
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
{
var tuple = _subscriptionIds.TryGetAndRemove(message.OriginalTransactionId);
if (tuple != null)
{
this.AddInfoLog("OL->{0} unsubscribed {1}/{2}.", tuple.Second ? "MD" : "TICK", tuple.First, message.OriginalTransactionId);
}
}
return(message);
}
/// <inheritdoc />
protected override void OnInnerAdapterNewOutMessage(Message message)
{
var processSuspended = false;
switch (message.Type)
{
case MessageTypes.SubscriptionResponse:
{
var responseMsg = (SubscriptionResponseMessage)message;
if (responseMsg.Error != null)
{
_transactionLogSubscriptions.Remove(responseMsg.OriginalTransactionId);
}
break;
}
case MessageTypes.SubscriptionFinished:
case MessageTypes.SubscriptionOnline:
{
var originMsg = (IOriginalTransactionIdMessage)message;
if (!_transactionLogSubscriptions.TryGetAndRemove(originMsg.OriginalTransactionId, out var subscription))
{
break;
}
Tuple <ExecutionMessage, List <ExecutionMessage> >[] tuples;
lock (subscription.Sync)
tuples = subscription.Transactions.Values.ToArray();
var canProcessFailed = subscription.Original.States.Contains(OrderStates.Failed);
foreach (var tuple in tuples)
{
var order = tuple.Item1;
if (order.OrderState == OrderStates.Failed && !canProcessFailed)
{
if (tuple.Item2.Count > 0)
{
this.AddWarningLog("Order {0} has failed state but contains {1} trades.", order.TransactionId, tuple.Item2.Count);
}
continue;
}
base.OnInnerAdapterNewOutMessage(order);
ProcessSuspended(order);
foreach (var trade in tuple.Item2)
{
base.OnInnerAdapterNewOutMessage(trade);
}
}
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
if (execMsg.IsMarketData())
{
break;
}
// skip cancellation cause they are reply on action and no have transaction state
if (execMsg.IsCancellation)
{
break;
}
var transId = execMsg.TransactionId;
if (transId != 0)
{
_secIds.TryAdd(transId, execMsg.SecurityId);
}
else
{
if (execMsg.SecurityId == default && _secIds.TryGetValue(execMsg.OriginalTransactionId, out var secId))
{
execMsg.SecurityId = secId;
}
}
if (transId != 0 || execMsg.OriginalTransactionId != 0)
{
if (transId == 0)
{
transId = execMsg.OriginalTransactionId;
}
if (execMsg.OrderId != null)
{
_orderIds.TryAdd(execMsg.OrderId.Value, transId);
}
else if (!execMsg.OrderStringId.IsEmpty())
{
_orderStringIds.TryAdd(execMsg.OrderStringId, transId);
}
}
if (execMsg.TransactionId == 0 && execMsg.HasTradeInfo && _orderStatusIds.Contains(execMsg.OriginalTransactionId))
{
// below the code will try find order's transaction
execMsg.OriginalTransactionId = 0;
}
if (/*execMsg.TransactionId == 0 && */ execMsg.OriginalTransactionId == 0)
{
if (!execMsg.HasTradeInfo)
{
this.AddWarningLog("Order doesn't have origin trans id: {0}", execMsg);
break;
}
if (execMsg.OrderId != null)
{
if (_orderIds.TryGetValue(execMsg.OrderId.Value, out var originId))
{
execMsg.OriginalTransactionId = originId;
}
else
{
this.AddWarningLog("Trade doesn't have origin trans id: {0}", execMsg);
break;
}
}
else if (!execMsg.OrderStringId.IsEmpty())
{
if (_orderStringIds.TryGetValue(execMsg.OrderStringId, out var originId))
{
execMsg.OriginalTransactionId = originId;
}
else
{
this.AddWarningLog("Trade doesn't have origin trans id: {0}", execMsg);
break;
}
}
}
if (execMsg.HasTradeInfo && !execMsg.HasOrderInfo)
{
if (execMsg.OrderId != null && !_orderIds.ContainsKey(execMsg.OrderId.Value) && (execMsg.OriginalTransactionId == 0 || !_secIds.ContainsKey(execMsg.OriginalTransactionId)))
{
this.AddInfoLog("{0} suspended.", execMsg);
lock (_nonAssociatedLock)
_nonAssociatedOrderIds.SafeAdd(execMsg.OrderId.Value).Add(execMsg.TypedClone());
return;
}
else if (!execMsg.OrderStringId.IsEmpty() && !_orderStringIds.ContainsKey(execMsg.OrderStringId) && (execMsg.OriginalTransactionId == 0 || !_secIds.ContainsKey(execMsg.OriginalTransactionId)))
{
this.AddInfoLog("{0} suspended.", execMsg);
lock (_nonAssociatedLock)
_nonAssociatedStringOrderIds.SafeAdd(execMsg.OrderStringId).Add(execMsg.TypedClone());
return;
}
}
if (_transactionLogSubscriptions.Count == 0)
{
processSuspended = true;
break;
}
if (!_transactionLogSubscriptions.TryGetValue(execMsg.OriginalTransactionId, out var subscription))
{
if (!_orders.TryGetValue(execMsg.OriginalTransactionId, out var orderTransId))
{
break;
}
if (!_transactionLogSubscriptions.TryGetValue(orderTransId, out subscription))
{
break;
}
}
if (transId == 0)
{
if (execMsg.HasTradeInfo)
{
transId = execMsg.OriginalTransactionId;
}
if (transId == 0)
{
this.AddWarningLog("Message {0} do not contains transaction id.", execMsg);
break;
}
}
lock (subscription.Sync)
{
if (subscription.Transactions.TryGetValue(transId, out var tuple))
{
var snapshot = tuple.Item1;
if (execMsg.HasOrderInfo)
{
if (execMsg.Balance != null)
{
snapshot.Balance = snapshot.Balance.ApplyNewBalance(execMsg.Balance.Value, transId, this);
}
if (execMsg.OrderState != null)
{
snapshot.OrderState = snapshot.OrderState.ApplyNewState(execMsg.OrderState.Value, transId, this);
}
if (execMsg.OrderStatus != null)
{
snapshot.OrderStatus = execMsg.OrderStatus;
}
if (execMsg.OrderId != null)
{
snapshot.OrderId = execMsg.OrderId;
}
if (!execMsg.OrderStringId.IsEmpty())
{
snapshot.OrderStringId = execMsg.OrderStringId;
}
if (execMsg.OrderBoardId != null)
{
snapshot.OrderBoardId = execMsg.OrderBoardId;
}
if (execMsg.PnL != null)
{
snapshot.PnL = execMsg.PnL;
}
if (execMsg.Position != null)
{
snapshot.Position = execMsg.Position;
}
if (execMsg.Commission != null)
{
snapshot.Commission = execMsg.Commission;
}
if (execMsg.CommissionCurrency != null)
{
snapshot.CommissionCurrency = execMsg.CommissionCurrency;
}
if (execMsg.AveragePrice != null)
{
snapshot.AveragePrice = execMsg.AveragePrice;
}
if (execMsg.Latency != null)
{
snapshot.Latency = execMsg.Latency;
}
}
if (execMsg.HasTradeInfo)
{
var clone = execMsg.TypedClone();
// all order's info in snapshot
execMsg.HasTradeInfo = false;
clone.HasOrderInfo = false;
tuple.Item2.Add(clone);
}
}
else
{
_orders.Add(transId, execMsg.OriginalTransactionId);
subscription.Transactions.Add(transId, Tuple.Create(execMsg.TypedClone(), new List <ExecutionMessage>()));
}
}
return;
}
}
base.OnInnerAdapterNewOutMessage(message);
if (processSuspended)
{
ProcessSuspended((ExecutionMessage)message);
}
}
/// <inheritdoc />
protected override void OnInnerAdapterNewOutMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.SubscriptionResponse:
{
var responseMsg = (SubscriptionResponseMessage)message;
if (responseMsg.Error != null)
{
_transactionLogSubscriptions.Remove(responseMsg.OriginalTransactionId);
}
break;
}
case MessageTypes.SubscriptionFinished:
case MessageTypes.SubscriptionOnline:
{
var originMsg = (IOriginalTransactionIdMessage)message;
if (!_transactionLogSubscriptions.TryGetAndRemove(originMsg.OriginalTransactionId, out var subscription))
{
break;
}
foreach (var pair in subscription.Transactions)
{
base.OnInnerAdapterNewOutMessage(pair.Value.Item1);
foreach (var trade in pair.Value.Item2)
{
base.OnInnerAdapterNewOutMessage(trade);
}
}
break;
}
case MessageTypes.Execution:
{
var execMsg = (ExecutionMessage)message;
if (execMsg.IsMarketData())
{
break;
}
// skip cancellation cause they are reply on action and no have transaction state
if (execMsg.IsCancellation)
{
break;
}
var transId = execMsg.TransactionId;
if (transId != 0)
{
_secIds.TryAdd(transId, execMsg.SecurityId);
}
else
{
if (execMsg.SecurityId == default && _secIds.TryGetValue(execMsg.OriginalTransactionId, out var secId))
{
execMsg.SecurityId = secId;
}
}
if (transId != 0 || execMsg.OriginalTransactionId != 0)
{
if (transId == 0)
{
transId = execMsg.OriginalTransactionId;
}
if (execMsg.OrderId != null)
{
_orderIds.TryAdd(execMsg.OrderId.Value, transId);
}
else if (!execMsg.OrderStringId.IsEmpty())
{
_orderStringIds.TryAdd(execMsg.OrderStringId, transId);
}
}
if (execMsg.TransactionId == 0 && execMsg.HasTradeInfo && _orderStatusIds.Contains(execMsg.OriginalTransactionId))
{
// below the code will try find order's transaction
execMsg.OriginalTransactionId = 0;
}
if (/*execMsg.TransactionId == 0 && */ execMsg.OriginalTransactionId == 0)
{
if (!execMsg.HasTradeInfo)
{
this.AddWarningLog("Order doesn't have origin trans id: {0}", execMsg);
break;
}
if (execMsg.OrderId != null)
{
if (_orderIds.TryGetValue(execMsg.OrderId.Value, out var originId))
{
execMsg.OriginalTransactionId = originId;
}
else
{
this.AddWarningLog("Trade doesn't have origin trans id: {0}", execMsg);
break;
}
}
else if (!execMsg.OrderStringId.IsEmpty())
{
if (_orderStringIds.TryGetValue(execMsg.OrderStringId, out var originId))
{
execMsg.OriginalTransactionId = originId;
}
else
{
this.AddWarningLog("Trade doesn't have origin trans id: {0}", execMsg);
break;
}
}
}
if (_transactionLogSubscriptions.Count == 0)
{
break;
}
if (!_transactionLogSubscriptions.TryGetValue(execMsg.OriginalTransactionId, out var subscription))
{
if (!_orders.TryGetValue(execMsg.OriginalTransactionId, out var orderTransId))
{
break;
}
if (!_transactionLogSubscriptions.TryGetValue(orderTransId, out subscription))
{
break;
}
}
if (transId == 0)
{
if (execMsg.HasTradeInfo)
{
transId = execMsg.OriginalTransactionId;
}
if (transId == 0)
{
this.AddWarningLog("Message {0} do not contains transaction id.", execMsg);
break;
}
}
lock (subscription.Sync)
{
if (subscription.Transactions.TryGetValue(transId, out var tuple))
{
var snapshot = tuple.Item1;
if (execMsg.HasOrderInfo)
{
if (execMsg.Balance != null)
{
snapshot.Balance = snapshot.Balance.ApplyNewBalance(execMsg.Balance.Value, transId, this);
}
if (execMsg.OrderState != null)
{
snapshot.OrderState = snapshot.OrderState.ApplyNewState(execMsg.OrderState.Value, transId, this);
}
if (execMsg.OrderStatus != null)
{
snapshot.OrderStatus = execMsg.OrderStatus;
}
if (execMsg.OrderId != null)
{
snapshot.OrderId = execMsg.OrderId;
}
if (execMsg.OrderStringId != null)
{
snapshot.OrderStringId = execMsg.OrderStringId;
}
if (execMsg.OrderBoardId != null)
{
snapshot.OrderBoardId = execMsg.OrderBoardId;
}
if (execMsg.PnL != null)
{
snapshot.PnL = execMsg.PnL;
}
if (execMsg.Position != null)
{
snapshot.Position = execMsg.Position;
}
if (execMsg.Commission != null)
{
snapshot.Commission = execMsg.Commission;
}
if (execMsg.CommissionCurrency != null)
{
snapshot.CommissionCurrency = execMsg.CommissionCurrency;
}
if (execMsg.AveragePrice != null)
{
snapshot.AveragePrice = execMsg.AveragePrice;
}
if (execMsg.Latency != null)
{
snapshot.Latency = execMsg.Latency;
}
}
if (execMsg.HasTradeInfo)
{
var clone = execMsg.TypedClone();
// all order's info in snapshot
execMsg.HasTradeInfo = false;
clone.HasOrderInfo = false;
tuple.Item2.Add(clone);
}
}
else
{
_orders.Add(transId, execMsg.OriginalTransactionId);
subscription.Transactions.Add(transId, Tuple.Create(execMsg.TypedClone(), new List <ExecutionMessage>()));
}
}
return;
}
}
base.OnInnerAdapterNewOutMessage(message);
}
/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_subscriptions.Clear();
_strategyIdMap.Clear();
_strategySubscriptions.Clear();
lock (_sync)
_positionManager.ProcessMessage(message);
break;
}
case MessageTypes.PortfolioLookup:
{
var lookupMsg = (PortfolioLookupMessage)message;
if (lookupMsg.IsSubscribe)
{
if (!lookupMsg.StrategyId.IsEmpty())
{
this.AddDebugLog("Subscription (strategy='{1}') {0} added.", lookupMsg.TransactionId, lookupMsg.StrategyId);
_strategyIdMap.Add(lookupMsg.TransactionId, lookupMsg.StrategyId);
_strategySubscriptions.SafeAdd(lookupMsg.StrategyId).Add(lookupMsg.TransactionId);
RaiseNewOutMessage(lookupMsg.CreateResult());
return(true);
}
if (lookupMsg.To == null)
{
this.AddDebugLog("Subscription {0} added.", lookupMsg.TransactionId);
_subscriptions.Add(lookupMsg.TransactionId);
lock (_sync)
_positionManager.ProcessMessage(message);
}
if (IsEmulate)
{
RaiseNewOutMessage(lookupMsg.CreateResult());
return(true);
}
}
else
{
if (_subscriptions.Remove(lookupMsg.OriginalTransactionId))
{
this.AddDebugLog("Subscription {0} removed.", lookupMsg.OriginalTransactionId);
lock (_sync)
_positionManager.ProcessMessage(message);
}
else if (_strategyIdMap.TryGetAndRemove(lookupMsg.OriginalTransactionId, out var strategyId))
{
_strategySubscriptions.TryGetValue(strategyId)?.Remove(lookupMsg.OriginalTransactionId);
this.AddDebugLog("Subscription (strategy='{1}') {0} removed.", lookupMsg.OriginalTransactionId, strategyId);
return(true);
}
if (IsEmulate)
{
//RaiseNewOutMessage(lookupMsg.CreateResponse());
return(true);
}
}
break;
}
default:
{
lock (_sync)
_positionManager.ProcessMessage(message);
break;
}
}
return(base.OnSendInMessage(message));
}
/// <inheritdoc />
protected override void OnInnerAdapterNewOutMessage(Message message)
{
base.OnInnerAdapterNewOutMessage(message);
switch (message.Type)
{
case MessageTypes.SubscriptionResponse:
{
var response = (SubscriptionResponseMessage)message;
if (!response.IsOk())
{
lock (_sync)
_pending.Remove(response.OriginalTransactionId);
}
break;
}
case MessageTypes.SubscriptionFinished:
{
var finished = (SubscriptionFinishedMessage)message;
lock (_sync)
_pending.Remove(finished.OriginalTransactionId);
break;
}
case MessageTypes.SubscriptionOnline:
{
var online = (SubscriptionOnlineMessage)message;
ISubscriptionMessage subscrMsg;
lock (_sync)
{
if (!_pending.TryGetAndRemove(online.OriginalTransactionId, out subscrMsg))
{
break;
}
}
foreach (var snapshot in _holder.GetSnapshot(subscrMsg))
{
if (snapshot is ISubscriptionIdMessage subscrIdMsg)
{
subscrIdMsg.OriginalTransactionId = online.OriginalTransactionId;
subscrIdMsg.SetSubscriptionIds(subscriptionId: online.OriginalTransactionId);
}
base.OnInnerAdapterNewOutMessage(snapshot);
}
break;
}
default:
{
lock (_sync)
{
if (_pending.Count > 0 && message is ISubscriptionIdMessage subscrMsg)
{
foreach (var id in subscrMsg.GetSubscriptionIds())
{
_pending.Remove(id);
}
}
}
break;
}
}
}
/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_infos.Clear();
_infosBySecId.Clear();
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.IsSubscribe)
{
if (!(mdMsg is FilteredMarketDepthMessage filteredMsg))
{
break;
}
if (mdMsg.SecurityId == default)
{
break;
}
var transId = mdMsg.TransactionId;
var data = mdMsg.GetArg <Tuple <QuoteChangeMessage, ExecutionMessage[]> >();
var info = new FilteredMarketDepthInfo(filteredMsg.TypedClone(), data.Item2);
_infos.Add(transId, info);
_infosBySecId.SafeAdd(mdMsg.SecurityId).Add(transId);
mdMsg = new MarketDataMessage();
filteredMsg.CopyTo(mdMsg);
mdMsg.DataType2 = DataType.MarketDepth;
message = mdMsg;
RaiseNewOutMessage(info.Process(data.Item1));
}
else
{
if (_infos.TryGetAndRemove(mdMsg.OriginalTransactionId, out var info))
{
info.State = SubscriptionStates.Stopped;
_infosBySecId.TryGetValue(info.Origin.SecurityId)?.Remove(mdMsg.OriginalTransactionId);
var clone = new MarketDataMessage();
mdMsg.CopyTo(clone);
message = clone;
}
}
break;
}
}
return(base.OnSendInMessage(message));
}
