/// <summary>
/// Create a copy of <see cref="SubscriptionMessageAdapter"/>.
/// </summary>
/// <returns>Copy.</returns>
public override IMessageChannel Clone()
{
return(new SubscriptionMessageAdapter(InnerAdapter.TypedClone())
{
IsRestoreSubscriptionOnErrorReconnect = IsRestoreSubscriptionOnErrorReconnect,
});
}
/// <summary>
/// Create a copy of <see cref="HeartbeatMessageAdapter"/>.
/// </summary>
/// <returns>Copy.</returns>
public override IMessageChannel Clone()
{
return(new HeartbeatMessageAdapter((IMessageAdapter)InnerAdapter.Clone())
{
SuppressReconnectingErrors = SuppressReconnectingErrors
});
}
private void ProcessRisk(Message message)
{
foreach (var rule in RiskManager.ProcessRules(message))
{
InnerAdapter.AddWarningLog(LocalizedStrings.Str855Params,
rule.GetType().GetDisplayName(), rule.Title, rule.Action);
switch (rule.Action)
{
case RiskActions.ClosePositions:
{
break;
}
case RiskActions.StopTrading:
InnerAdapter.SendInMessage(new DisconnectMessage());
break;
case RiskActions.CancelOrders:
InnerAdapter.SendInMessage(new OrderGroupCancelMessage {
TransactionId = InnerAdapter.TransactionIdGenerator.GetNextId()
});
break;
default:
throw new ArgumentOutOfRangeException();
}
}
}
/// <summary>
/// Create a copy of <see cref="StorageMetaInfoMessageAdapter"/>.
/// </summary>
/// <returns>Copy.</returns>
public override IMessageChannel Clone()
{
return(new StorageMetaInfoMessageAdapter(InnerAdapter.TypedClone(), _securityStorage, _positionStorage, _exchangeInfoProvider, _storageProcessor)
{
OverrideSecurityData = OverrideSecurityData,
});
}
/// <summary>
/// Create a copy of <see cref="StorageMetaInfoMessageAdapter"/>.
/// </summary>
/// <returns>Copy.</returns>
public override IMessageChannel Clone()
{
return(new StorageMetaInfoMessageAdapter((IMessageAdapter)InnerAdapter.Clone(), _securityStorage, _positionStorage, _exchangeInfoProvider, StorageRegistry, SnapshotRegistry, CandleBuilderProvider)
{
OverrideSecurityData = OverrideSecurityData,
});
}
/// <summary>
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
/// </summary>
public virtual void Dispose()
{
InnerAdapter.NewOutMessage -= OnInnerAdapterNewOutMessage;
if (OwnInnerAdaper)
{
InnerAdapter.Dispose();
}
}
/// <inheritdoc />
protected override bool OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
_depths.Clear();
break;
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.SecurityId == default)
{
break;
}
if (mdMsg.DataType2 == DataType.MarketDepth)
{
if (mdMsg.IsSubscribe)
{
if (mdMsg.PassThroughOrderBookInrement)
{
break;
}
if (mdMsg.MaxDepth != null)
{
var actualDepth = mdMsg.MaxDepth.Value;
var supportedDepth = InnerAdapter.NearestSupportedDepth(actualDepth);
if (supportedDepth != actualDepth)
{
mdMsg = mdMsg.TypedClone();
mdMsg.MaxDepth = supportedDepth;
_depths.Add(mdMsg.TransactionId, actualDepth);
this.AddInfoLog("MD truncate {0}/{1} ({2}->{3}).", mdMsg.SecurityId, mdMsg.TransactionId, actualDepth, supportedDepth);
}
}
}
else
{
RemoveSubscription(mdMsg.OriginalTransactionId);
}
}
break;
}
}
return(base.OnSendInMessage(message));
}
/// <summary>
/// Send message.
/// </summary>
/// <param name="message">Message.</param>
public override void SendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Connect:
{
if (_isFirstTimeConnect)
{
_isFirstTimeConnect = false;
}
else
{
InnerAdapter.SendInMessage(new ResetMessage());
}
// lock (_timeSync)
// {
// _currState = ConnectionStates.Connecting;
// }
// if (_prevState == _none)
// {
// _connectionTimeOut = _reConnectionSettings.TimeOutInterval;
// _connectingAttemptCount = _reConnectionSettings.AttemptCount;
// }
// else
// _connectionTimeOut = _reConnectionSettings.Interval;
break;
}
case MessageTypes.Disconnect:
{
//lock (_timeSync)
// _currState = ConnectionStates.Disconnecting;
//_connectionTimeOut = _reConnectionSettings.TimeOutInterval;
lock (_timeSync)
{
_canSendTime = false;
if (_heartBeatTimer != null)
{
_heartBeatTimer.Dispose();
_heartBeatTimer = null;
}
}
break;
}
}
InnerAdapter.SendInMessage(message);
}
private MarketDataMessage ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (!InnerAdapter.IsMarketDataTypeSupported(DataType.OrderLog))
{
return(message);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == DataType.OrderLog;
if (message.DataType2 == DataType.MarketDepth)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.ToDataType()))
{
var secId = GetSecurityId(message.SecurityId);
IOrderLogMarketDepthBuilder builder = null;
if (InnerAdapter.IsSecurityRequired(DataType.OrderLog))
{
builder = message.DepthBuilder ?? InnerAdapter.CreateOrderLogMarketDepthBuilder(secId);
}
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(true, builder, new SyncObject()));
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->MD subscribed {0}/{1}.", secId, message.TransactionId);
}
}
else if (message.DataType2 == DataType.Ticks)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.ToDataType()))
{
var secId = GetSecurityId(message.SecurityId);
_subscriptionIds.Add(message.TransactionId, RefTuple.Create(false, (IOrderLogMarketDepthBuilder)null, new SyncObject()));
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->TICK subscribed {0}/{1}.", secId, message.TransactionId);
}
}
}
else
{
RemoveSubscription(message.OriginalTransactionId);
}
return(message);
}
private MarketDataMessage ProcessMarketDataRequest(MarketDataMessage message)
{
if (message.IsSubscribe)
{
if (message.SecurityId == default || !InnerAdapter.IsMarketDataTypeSupported(DataType.OrderLog))
{
return(message);
}
var isBuild = message.BuildMode == MarketDataBuildModes.Build && message.BuildFrom == DataType.OrderLog;
if (message.DataType2 == DataType.MarketDepth)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType2))
{
var builder = message.DepthBuilder ?? InnerAdapter.CreateOrderLogMarketDepthBuilder(message.SecurityId);
_subscriptionIds.Add(message.TransactionId, new SubscriptionInfo(message.TypedClone())
{
Builder = builder
});
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->MD subscribed {0}/{1}.", message.SecurityId, message.TransactionId);
}
}
else if (message.DataType2 == DataType.Ticks)
{
if (isBuild || !InnerAdapter.IsMarketDataTypeSupported(message.DataType2))
{
_subscriptionIds.Add(message.TransactionId, new SubscriptionInfo(message.TypedClone()));
message = message.TypedClone();
message.DataType2 = DataType.OrderLog;
this.AddInfoLog("OL->TICK subscribed {0}/{1}.", message.SecurityId, message.TransactionId);
}
}
}
else
{
TryRemoveSubscription(message.OriginalTransactionId, out _);
}
return(message);
}
/// <inheritdoc />
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
_depths.Clear();
break;
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.DataType == MarketDataTypes.MarketDepth)
{
if (mdMsg.IsSubscribe)
{
if (mdMsg.MaxDepth != null)
{
var actualDepth = mdMsg.MaxDepth.Value;
var supportedDepth = InnerAdapter.NearestSupportedDepth(actualDepth);
if (supportedDepth != actualDepth)
{
mdMsg = (MarketDataMessage)mdMsg.Clone();
mdMsg.MaxDepth = supportedDepth;
_depths.Add(mdMsg.TransactionId, actualDepth);
}
}
}
else
{
_depths.Remove(mdMsg.OriginalTransactionId);
}
}
break;
}
}
base.OnSendInMessage(message);
}
/// <inheritdoc />
public override void SendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
_depths.Clear();
break;
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.DataType == MarketDataTypes.MarketDepth)
{
if (mdMsg.IsSubscribe)
{
if (mdMsg.MaxDepth != null)
{
var actualDepth = mdMsg.MaxDepth.Value;
var supportedDepth = InnerAdapter.NearestSupportedDepth(actualDepth);
if (supportedDepth != actualDepth)
{
mdMsg = (MarketDataMessage)mdMsg.Clone();
mdMsg.MaxDepth = supportedDepth;
_depths[mdMsg.SecurityId] = actualDepth;
}
}
}
else
{
_depths.Remove(mdMsg.SecurityId);
}
}
break;
}
}
base.SendInMessage(message);
}
private void OnHeartbeatTimer()
{
lock (_timeSync)
{
if (_currState != ConnectionStates.Connected)
{
return;
}
if (!_canSendTime)
{
return;
}
_canSendTime = false;
}
_timeMessage.IsBack = true;
InnerAdapter.SendInMessage(_timeMessage);
}
/// <inheritdoc />
public override void SendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
_biggerTimeFrameCandleCompressors.Clear();
break;
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (mdMsg.DataType != MarketDataTypes.CandleTimeFrame)
{
break;
}
var originalTf = (TimeSpan)mdMsg.Arg;
var timeFrames = InnerAdapter.GetTimeFrames(mdMsg.SecurityId).ToArray();
if (timeFrames.Contains(originalTf))
{
break;
}
var smaller = timeFrames
.FilterSmallerTimeFrames(originalTf)
.OrderByDescending()
.First();
_biggerTimeFrameCandleCompressors.Add(mdMsg.TransactionId, new BiggerTimeFrameCandleCompressor((MarketDataMessage)mdMsg.Clone()));
var clone = (MarketDataMessage)mdMsg.Clone();
clone.Arg = smaller;
base.SendInMessage(clone);
return;
}
}
base.SendInMessage(message);
}
private void OnHeartbeatTimer()
{
lock (_timeSync)
{
if (_currState != ConnectionStates.Connected)
{
return;
}
if (!_canSendTime)
{
return;
}
_canSendTime = false;
}
_timeMessage.IsBack = true;
_timeMessage.TransactionId = InnerAdapter.TransactionIdGenerator.GetNextId();
InnerAdapter.SendInMessage(_timeMessage);
}
/// <summary>
/// Send message.
/// </summary>
/// <param name="message">Message.</param>
public override void SendInMessage(Message message)
{
if (message.LocalTime.IsDefault())
{
message.LocalTime = InnerAdapter.CurrentTime.LocalDateTime;
}
if (message.Type == MessageTypes.Connect)
{
LatencyManager.Reset();
CommissionManager.Reset();
RiskManager.Reset();
}
else
{
LatencyManager.ProcessMessage(message);
ProcessRisk(message);
}
InnerAdapter.SendInMessage(message);
}
/// <summary>
/// Create a copy of <see cref="SubscriptionSecurityAllMessageAdapter"/>.
/// </summary>
/// <returns>Copy.</returns>
public override IMessageChannel Clone()
{
return(new SubscriptionSecurityAllMessageAdapter(InnerAdapter.TypedClone()));
}
public override IMessageChannel Clone()
{
return new TimeAdapter(_parent, (IMessageAdapter)InnerAdapter.Clone());
}
/// <summary>
/// Create a copy of <see cref="OrderBookInrementMessageAdapter"/>.
/// </summary>
/// <returns>Copy.</returns>
public override IMessageChannel Clone()
{
return(new OrderBookInrementMessageAdapter(InnerAdapter.TypedClone()));
}
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);
}
/// <summary> /// Create a copy of <see cref="EmulationMessageAdapter"/>. /// </summary> /// <returns>Copy.</returns> public override IMessageChannel Clone() => new EmulationMessageAdapter(InnerAdapter.TypedClone(), InChannel, _isEmulationOnly, Emulator.SecurityProvider, Emulator.PortfolioProvider, Emulator.ExchangeInfoProvider);
/// <summary>
/// Create a copy of <see cref="CandleHolderMessageAdapter"/>.
/// </summary>
/// <returns>Copy.</returns>
public override IMessageChannel Clone()
{
return(new CandleHolderMessageAdapter((IMessageAdapter)InnerAdapter.Clone()));
}
private SecurityId GetSecurityId(SecurityId securityId)
{
return(InnerAdapter.IsSecurityRequired(DataType.OrderLog)
? securityId
: default);
IOrderLogMarketDepthBuilder IMessageAdapter.CreateOrderLogMarketDepthBuilder(SecurityId securityId)
{
return(InnerAdapter.CreateOrderLogMarketDepthBuilder(securityId));
}
bool IMessageAdapter.IsConnectionAlive()
{
return(InnerAdapter.IsConnectionAlive());
}
OrderCondition IMessageAdapter.CreateOrderCondition()
{
return(InnerAdapter.CreateOrderCondition());
}
void ILogReceiver.AddLog(LogMessage message)
{
InnerAdapter.AddLog(message);
}
void IPersistable.Save(SettingsStorage storage)
{
InnerAdapter.Save(storage);
}
/// <summary>
/// Create a copy of <see cref="SecurityMappingMessageAdapter"/>.
/// </summary>
/// <returns>Copy.</returns>
public override IMessageChannel Clone()
{
return(new SecurityMappingMessageAdapter(InnerAdapter.TypedClone(), Storage));
}
void IPersistable.Load(SettingsStorage storage)
{
InnerAdapter.Load(storage);
}
