void _dataDelivery_DataHistoryUpdateDelegate(ISourceDataDelivery dataDelivery, DataSessionInfo session, DataHistoryUpdate update)
{
if (session.Equals(_session) == false || update.DataTicksUnsafe.Count == 0)
{
return;
}
DataTickUpdateType?updateType = null;
if (_dataTicks.Count == 0)
{
updateType = DataTickUpdateType.HistoryUpdate;
}
lock (this)
{
_lastDataUpdate = DateTime.Now;
for (int i = 0; i < update.DataTicksUnsafe.Count; i++)
{
if (_dataTicks.Count == 0 || update.DataTicksUnsafe[i].DateTime > _dataTicks[_dataTicks.Count - 1].DateTime)
{
if (updateType.HasValue == false)
{
updateType = DataTickUpdateType.HistoryUpdate;
}
_dataTicks.Add(update.DataTicksUnsafe[i]);
_cachedDataTickIndexSearches.Add(update.DataTicksUnsafe[i].DateTime, i);
}
}
// Also check the last 5 units for any requotes that might have been sent,
// this happens when price changes and we get updates for the last unit.
for (int i = 0; i < 5 && update.DataTicksUnsafe.Count - 1 - i > 0 && _dataTicks.Count - 1 - i > 0; i++)
{
if (update.DataTicksUnsafe[update.DataTicksUnsafe.Count - 1 - i].DateTime == _dataTicks[_dataTicks.Count - 1 - i].DateTime &&
update.DataTicksUnsafe[update.DataTicksUnsafe.Count - 1 - i].Equals(_dataTicks[_dataTicks.Count - 1 - i]) == false)
{
// Since this update is only when the date times are the same, the helper cache dictionary needs not be updated.
_dataTicks[_dataTicks.Count - 1 - i] = update.DataTicksUnsafe[update.DataTicksUnsafe.Count - 1 - i];
if (updateType.HasValue == false)
{
updateType = DataTickUpdateType.HistoryUpdate;
}
}
}
}
if (updateType.HasValue && DataTickHistoryUpdateEvent != null)
{
DataTickHistoryUpdateEvent(this, updateType.Value);
}
}
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote?quote)
{
if (_sessionInfo.Equals(session) == false)
{
return;
}
lock (this)
{
_lastQuoteTime = DateTime.Now;
_currentQuote = quote;
}
if (QuoteUpdateEvent != null)
{
QuoteUpdateEvent(this);
}
}
/// <summary>
/// Follow quotes update.
/// </summary>
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote?quote)
{
if (_sessionInfo.Equals(session) == false || _period.HasValue == false ||
quote.HasValue == false)
{
return;
}
DataBar?lastBar = null;
if (_dataBars.Count > 0)
{
lastBar = _dataBars[_dataBars.Count - 1];
}
else
{// If there are no existing bars, we do not operate, to evade mixing up start / end period etc.
return;
}
TimeSpan?period = _period;
DataBarUpdateType?updateType = null;
// The time of a bar is its open time, so everything after a "period" closeVolume of time after it is part of that bar.
if (lastBar.Value.DateTime + period < quote.Value.Time)
{// We need to append a new bar.
DateTime newBarDateTime = lastBar.Value.DateTime;
int i = 0;
while (newBarDateTime.Add(period.Value) < quote.Value.Time)
{// Establish end time of new bar (max 1000 steps to evade potential lockups).
newBarDateTime = newBarDateTime.Add(period.Value);
i++;
if (i > 1000)
{// We have tried and failed to establish proper new period so just abort.
SystemMonitor.OperationError("We have tried and failed to establish proper new period so quote aborted.");
return;
}
}
DataBar?newBar = BarFromQuote(lastBar, newBarDateTime, quote.Value);
if (newBar.HasValue == false)
{// Failed to establish bar from quote.
return;
}
updateType = DataBarUpdateType.NewPeriod;
lock (this)
{// Add the new bar.
_lastDataUpdate = DateTime.Now;
_dataBars.Add(newBar.Value);
}
}
else
{
updateType = DataBarUpdateType.CurrentBarUpdate;
lock (this)
{// Just update the current last bar.
_lastDataUpdate = DateTime.Now;
_dataBars[_dataBars.Count - 1] = UpdateCurrentBar(lastBar.Value, quote.Value);
}
}
if (updateType.HasValue && DataBarHistoryUpdateEvent != null)
{
DataBarHistoryUpdateEvent(this, updateType.Value, 1);
}
}
