private void ProcessMarketDataMessage(MarketDataMessage mdMsg)
{
if (!mdMsg.IsSubscribe)
{
return;
}
if (mdMsg.SecurityId.Native == null)
{
throw new InvalidOperationException(LocalizedStrings.Str3392Params.Put(mdMsg.SecurityId.SecurityCode));
}
var lmaxId = (long)mdMsg.SecurityId.Native;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
case MarketDataTypes.Trades:
{
_session.Subscribe(new OrderBookStatusSubscriptionRequest(lmaxId), () => { }, CreateErrorHandler("OrderBookStatusSubscriptionRequest"));
break;
}
case MarketDataTypes.MarketDepth:
{
_session.Subscribe(new OrderBookSubscriptionRequest(lmaxId), () => { }, CreateErrorHandler("OrderBookSubscriptionRequest"));
break;
}
case MarketDataTypes.CandleTimeFrame:
{
IHistoricMarketDataRequest request;
var tf = (TimeSpan)mdMsg.Arg;
var from = (mdMsg.From ?? DateTimeOffset.MinValue).UtcDateTime;
var to = (mdMsg.To ?? DateTimeOffset.MaxValue).UtcDateTime;
if (tf.Ticks == 1)
{
request = new TopOfBookHistoricMarketDataRequest(mdMsg.TransactionId, lmaxId, from, to, Format.Csv);
}
else
{
Resolution resolution;
if (tf == TimeSpan.FromMinutes(1))
{
resolution = Resolution.Minute;
}
else if (tf == TimeSpan.FromDays(1))
{
resolution = Resolution.Day;
}
else
{
throw new InvalidOperationException(LocalizedStrings.Str3393Params.Put(tf));
}
request = new AggregateHistoricMarketDataRequest(mdMsg.TransactionId, lmaxId, from, to, resolution, Format.Csv, Option.Bid, Option.Ask);
}
if (!_isHistoricalSubscribed)
{
_session.Subscribe(new HistoricMarketDataSubscriptionRequest(), () => { }, CreateErrorHandler("HistoricMarketDataSubscriptionRequest"));
_isHistoricalSubscribed = true;
}
_session.RequestHistoricMarketData(request, () => { }, CreateErrorHandler("RequestHistoricMarketData"));
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var result = (MarketDataMessage)mdMsg.Clone();
result.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(result);
}
private void ProcessMarketDataMessage(MarketDataMessage mdMsg)
{
if (!mdMsg.IsSubscribe)
return;
if (mdMsg.SecurityId.Native == null)
throw new InvalidOperationException(LocalizedStrings.Str3392Params.Put(mdMsg.SecurityId.SecurityCode));
var lmaxId = (long)mdMsg.SecurityId.Native;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
case MarketDataTypes.Trades:
{
_session.Subscribe(new OrderBookStatusSubscriptionRequest(lmaxId), () => { }, CreateErrorHandler("OrderBookStatusSubscriptionRequest"));
break;
}
case MarketDataTypes.MarketDepth:
{
_session.Subscribe(new OrderBookSubscriptionRequest(lmaxId), () => { }, CreateErrorHandler("OrderBookSubscriptionRequest"));
break;
}
case MarketDataTypes.CandleTimeFrame:
{
IHistoricMarketDataRequest request;
var tf = (TimeSpan)mdMsg.Arg;
var from = (mdMsg.From ?? DateTimeOffset.MinValue).UtcDateTime;
var to = (mdMsg.To ?? DateTimeOffset.MaxValue).UtcDateTime;
if (tf.Ticks == 1)
request = new TopOfBookHistoricMarketDataRequest(mdMsg.TransactionId, lmaxId, from, to, Format.Csv);
else
{
Resolution resolution;
if (tf == TimeSpan.FromMinutes(1))
resolution = Resolution.Minute;
else if (tf == TimeSpan.FromDays(1))
resolution = Resolution.Day;
else
throw new InvalidOperationException(LocalizedStrings.Str3393Params.Put(tf));
request = new AggregateHistoricMarketDataRequest(mdMsg.TransactionId, lmaxId, from, to, resolution, Format.Csv, Option.Bid, Option.Ask);
}
if (!_isHistoricalSubscribed)
{
_session.Subscribe(new HistoricMarketDataSubscriptionRequest(), () => { }, CreateErrorHandler("HistoricMarketDataSubscriptionRequest"));
_isHistoricalSubscribed = true;
}
_session.RequestHistoricMarketData(request, () => { }, CreateErrorHandler("RequestHistoricMarketData"));
break;
}
default:
{
SendOutMarketDataNotSupported(mdMsg.TransactionId);
return;
}
}
var result = (MarketDataMessage)mdMsg.Clone();
result.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(result);
}
private void ProcessMarketDataMessage(MarketDataMessage mdMsg)
{
if (!mdMsg.IsSubscribe)
{
return;
}
if (mdMsg.SecurityId.Native == null)
{
throw new InvalidOperationException(LocalizedStrings.Str3392Params.Put(mdMsg.SecurityId.SecurityCode));
}
var lmaxId = (long)mdMsg.SecurityId.Native;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
Session.Subscribe(new OrderBookStatusSubscriptionRequest(lmaxId), () => { }, CreateErrorHandler("OrderBookStatusSubscriptionRequest"));
break;
}
case MarketDataTypes.MarketDepth:
{
Session.Subscribe(new OrderBookSubscriptionRequest(lmaxId), () => { }, CreateErrorHandler("OrderBookSubscriptionRequest"));
break;
}
case MarketDataTypes.CandleTimeFrame:
{
IHistoricMarketDataRequest request;
var tf = (TimeSpan)mdMsg.Arg;
if (tf.Ticks == 1)
{
request = new TopOfBookHistoricMarketDataRequest(mdMsg.TransactionId, lmaxId, mdMsg.From.UtcDateTime, mdMsg.To.UtcDateTime, Format.Csv);
}
else
{
Resolution resolution;
if (tf == TimeSpan.FromMinutes(1))
{
resolution = Resolution.Minute;
}
else if (tf == TimeSpan.FromDays(1))
{
resolution = Resolution.Day;
}
else
{
throw new InvalidOperationException(LocalizedStrings.Str3393Params.Put(tf));
}
request = new AggregateHistoricMarketDataRequest(mdMsg.TransactionId, lmaxId, mdMsg.From.UtcDateTime, mdMsg.To.UtcDateTime, resolution, Format.Csv, Option.Bid, Option.Ask);
}
Session.RequestHistoricMarketData(request, () => { }, CreateErrorHandler("RequestHistoricMarketData"));
break;
}
case MarketDataTypes.Trades:
break;
default:
throw new ArgumentOutOfRangeException("mdMsg", mdMsg.DataType, LocalizedStrings.Str1618);
}
var result = (MarketDataMessage)mdMsg.Clone();
result.OriginalTransactionId = mdMsg.TransactionId;
SendOutMessage(result);
}
