/// <summary>
/// To get the underlying asset by the derivative.
/// </summary>
/// <param name="derivative">The derivative.</param>
/// <param name="provider">The provider of information about instruments.</param>
/// <returns>Underlying asset.</returns>
public static Security GetUnderlyingAsset(this Security derivative, ISecurityProvider provider)
{
if (derivative == null)
throw new ArgumentNullException("derivative");
if (provider == null)
throw new ArgumentNullException("provider");
if (derivative.Type == SecurityTypes.Option)
{
derivative.CheckOption();
return _underlyingSecurities.SafeAdd(derivative, key =>
{
var underlyingSecurity = provider.LookupById(key.UnderlyingSecurityId);
if (underlyingSecurity == null)
throw new InvalidOperationException(LocalizedStrings.Str704Params.Put(key.UnderlyingSecurityId));
return underlyingSecurity;
});
}
else
{
return provider.LookupById(derivative.UnderlyingSecurityId);
}
}
/// <summary>
/// To get the underlying asset.
/// </summary>
/// <param name="derivative">The derivative.</param>
/// <param name="provider">The provider of information about instruments.</param>
/// <returns>Underlying asset.</returns>
public static Security GetAsset(this Security derivative, ISecurityProvider provider)
{
var asset = provider.LookupById(derivative.UnderlyingSecurityId);
if (asset == null)
throw new ArgumentException(LocalizedStrings.Str705Params.Put(derivative));
return asset;
}
/// <inheritdoc />
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_subscriptions.Clear();
_subscriptionsById.Clear();
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.SecurityId.IsDefault())
{
break;
}
var security = _securityProvider.LookupById(mdMsg.SecurityId);
if (security == null)
{
if (!mdMsg.IsBasket())
{
break;
}
security = mdMsg.ToSecurity(_exchangeInfoProvider).ToBasket(_processorProvider);
}
else if (!security.IsBasket())
{
break;
}
if (mdMsg.IsSubscribe)
{
var processor = _processorProvider.CreateProcessor(security);
var info = new SubscriptionInfo(processor, mdMsg.TransactionId);
var dict = _subscriptions.SafeAdd(mdMsg.DataType);
_subscriptionsById.Add(mdMsg.TransactionId, info);
var inners = new MarketDataMessage[processor.BasketLegs.Length];
for (var i = 0; i < inners.Length; i++)
{
var inner = (MarketDataMessage)mdMsg.Clone();
inner.TransactionId = TransactionIdGenerator.GetNextId();
inner.SecurityId = processor.BasketLegs[i];
inners[i] = inner;
info.LegsSubscriptions.Add(inner.TransactionId);
dict.Add(inner.TransactionId, info);
}
foreach (var inner in inners)
{
base.OnSendInMessage(inner);
}
}
else
{
if (!_subscriptionsById.TryGetValue(mdMsg.OriginalTransactionId, out var info))
{
break;
}
_subscriptionsById.Remove(mdMsg.OriginalTransactionId);
foreach (var id in info.LegsSubscriptions)
{
base.OnSendInMessage(new MarketDataMessage
{
TransactionId = TransactionIdGenerator.GetNextId(),
IsSubscribe = false,
OriginalTransactionId = id
});
}
}
RaiseNewOutMessage(new MarketDataMessage
{
OriginalTransactionId = mdMsg.TransactionId
});
return;
}
}
base.OnSendInMessage(message);
}
public override Security CreateSecurity(string id)
{
return(_securityProvider.LookupById(id) ?? base.CreateSecurity(id));
}
/// <inheritdoc />
public Security LookupById(SecurityId id)
{
return(_inner.TryGetValue(id) ?? _underlying.LookupById(id));
}