/// <summary>
/// When one of the data sources receives new real time data, it raises an event which is handled by this method,
/// which then forwards the data over the PUB socket after serializing it.
/// </summary>
public void RealTimeData(object sender, RealTimeDataEventArgs e)
{
RaiseEvent(RealTimeDataArrived, this, e);
//continuous futures aliases
lock (_aliasLock)
{
int instrumentID = e.InstrumentID;
if (_aliases.ContainsKey(instrumentID))
{
for (int i = 0; i < _aliases[instrumentID].Count; i++)
{
e.InstrumentID = _aliases[instrumentID][i];
RaiseEvent(RealTimeDataArrived, this, e);
}
}
}
//save to local storage
//perhaps just add it to a queue and then process in a different thread
lock (_requestsLock)
{
if (_requests[e.RequestID].SaveToLocalStorage)
{
_localStorage.AddDataAsync(
new OHLCBar {
Open = e.Open, High = e.High, Low = e.Low, Close = e.Close, Volume = e.Volume, DT = MyUtils.TimestampToDateTime(e.Time)
},
_requests[e.RequestID].Instrument,
_requests[e.RequestID].Frequency,
overwrite: false);
}
}
#if DEBUG
Log(LogLevel.Trace,
string.Format("RTD Received Instrument ID: {0} O:{1} H:{2} L:{3} C:{4} V:{5} T:{6}",
e.InstrumentID,
e.Open,
e.High,
e.Low,
e.Close,
e.Volume,
e.Time));
#endif
}
