private void Unsubscribe(Instrument instrument, SubscriptionFlags flags)
{
InstrumentSubscription subscription;
using (subscriptionsLock.Lock())
{
if (!subscriptionsByInstrument.TryGetValue(instrument, out subscription))
{
// Подписки и не было
return;
}
}
try
{
subscription.AcquireFlagsLock();
// Отписываемся от инструмента с учетом флагов подписки
if ((subscription.Flags & flags) == flags)
{
// Нужные флаги подписки проставлены, требуется отписаться
var level = MarketDataSubscription.Level.NONE;
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;
}
subscription.Flags &= ~flags;
RequestMarketDataSubscription(subscription, level);
if (subscription.Flags == SubscriptionFlags.None)
{
// Полностью выкидываем подписку
using (subscriptionsLock.Lock())
{
subscriptionsByInstrument.Remove(subscription.Instrument);
subscriptionsByContractId.Remove(subscription.ContractId);
}
}
}
}
finally
{
subscription.ReleaseFlagsLock();
}
}
void tl_newRegisterSymbols(string client, string symbols)
{
if (VerboseDebugging)
{
debug("client subscribe request received: " + symbols);
}
Basket rem = new BasketImpl();
// if we had something before, check if something was removed
if (org.Count > 0)
{
rem = BasketImpl.Subtract(org, tl.AllClientBasket);
}
SubscriptionFlags flags = SubscriptionFlags.Prints;
flags |= SubscriptionFlags.Quotes;
flags |= SubscriptionFlags.Best;
List <string> syms = new List <string>();
syms.AddRange(tl.AllClientBasket.ToSymArray());
List <string> orgs = new List <string>(org.ToSymArray());
// add current
foreach (string sym in tl.AllClientBasket.ToSymArray())
{
// subscribe what we don't have
if (!orgs.Contains(sym))
{
// get the security
Security sec = SecurityImpl.Parse(sym);
string ex = sec.hasDest ? sec.DestEx : "NYSE";
oEngine.subscribe(ex, sec.Symbol, flags, null);
}
}
// remove old
foreach (Security s in rem)
{
oEngine.unsubscribe(string.Empty, s.Symbol);
}
}
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();
}
}
}
}
