public void ProcessRequest(Security security, MarketDataMessage message, bool tryAdd)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (message.TransactionId == 0)
{
message.TransactionId = _connector.TransactionIdGenerator.GetNextId();
}
message.FillSecurityInfo(_connector, security);
var value = Tuple.Create((MarketDataMessage)message.Clone(), security);
if (tryAdd)
{
// if the message was looped back via IsBack=true
_pendingSubscriptions.TryAdd(message.TransactionId, value);
}
else
{
_pendingSubscriptions.Add(message.TransactionId, value);
}
_connector.SendInMessage(message);
}
private void ProcessSecurityMarketData(Security security, MarketDataTypes dataType, Security subscriber)
{
var message = new MarketDataMessage
{
DataType = dataType,
IsSubscribe = true,
//SecurityId = _connector.GetSecurityId(subscriber),
TransactionId = _connector.TransactionIdGenerator.GetNextId()
};
switch (dataType)
{
case MarketDataTypes.Trades:
message.Arg = ExecutionTypes.Tick;
break;
case MarketDataTypes.OrderLog:
message.Arg = ExecutionTypes.OrderLog;
break;
}
message.FillSecurityInfo(_connector, subscriber);
if (security == null)
{
message.Error = new ArgumentException(LocalizedStrings.Str692Params.Put(message.SecurityId, _connector.Name));
_connector.SendOutMessage(message);
}
else
{
_connector.SendInMessage(message);
}
}
/// <summary>
/// To unsubscribe from getting market data by the instrument.
/// </summary>
/// <param name="security">The instrument by which new information getting should be started.</param>
/// <param name="message">The message that contain unsubscribe info.</param>
public virtual void UnSubscribeMarketData(Security security, MarketDataMessage message)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (message.TransactionId == 0)
{
message.TransactionId = TransactionIdGenerator.GetNextId();
}
message.FillSecurityInfo(this, security);
_subscriptionManager.UnSubscribe(security, message);
}
/// <summary>
/// Initializes a new instance of the <see cref="Subscription"/>.
/// </summary>
/// <param name="dataType">Data type info.</param>
/// <param name="security">Security.</param>
public Subscription(DataType dataType, Security security)
{
DataType = dataType ?? throw new ArgumentNullException(nameof(dataType));
Security = security;
if (dataType.IsMarketData)
{
MarketDataMessage = new MarketDataMessage
{
DataType = dataType.ToMarketDataType().Value,
Arg = dataType.Arg,
IsSubscribe = true
};
if (Security != null)
{
MarketDataMessage.FillSecurityInfo(Security);
}
}
else if (dataType == DataType.Transactions)
{
OrderStatusMessage = new OrderStatusMessage {
IsSubscribe = true
}
}
;
else if (dataType == DataType.PositionChanges)
{
PortfolioLookupMessage = new PortfolioLookupMessage {
IsSubscribe = true
}
}
;
else
{
throw new ArgumentOutOfRangeException(nameof(dataType), dataType, LocalizedStrings.Str1219);
}
}
private void SendUnSubscribeMessage(Security subscriber, MarketDataTypes type)
{
var msg = new MarketDataMessage
{
DataType = type,
IsSubscribe = false,
TransactionId = _connector.TransactionIdGenerator.GetNextId()
};
switch (type)
{
case MarketDataTypes.Trades:
msg.Arg = ExecutionTypes.Tick;
break;
case MarketDataTypes.OrderLog:
msg.Arg = ExecutionTypes.OrderLog;
break;
}
msg.FillSecurityInfo(_connector, subscriber);
_connector.SendInMessage(msg);
}
public void ProcessRequest(Security security, MarketDataMessage message, bool tryAdd)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (!tryAdd)
{
var msg = (message.IsSubscribe ? LocalizedStrings.SubscriptionSent : LocalizedStrings.UnSubscriptionSent)
.Put(security?.Id, message.ToDataTypeString());
if (message.From != null && message.To != null)
{
msg += LocalizedStrings.Str691Params.Put(message.From.Value, message.To.Value);
}
_connector.AddDebugLog(msg + ".");
}
if (security == null)
{
if (!message.IsSubscribe)
{
if (message.OriginalTransactionId != 0)
{
security = TryGetSecurity(message.OriginalTransactionId);
}
}
}
if (security == null)
{
if (message.DataType != MarketDataTypes.News)
{
if (message.SecurityId.IsDefault())
{
throw new ArgumentNullException(nameof(security));
}
security = _connector.LookupById(message.SecurityId);
if (security == null)
{
throw new ArgumentException(LocalizedStrings.Str704Params.Put(message.SecurityId));
}
}
}
if (message.TransactionId == 0)
{
message.TransactionId = _connector.TransactionIdGenerator.GetNextId();
}
if (security != null)
{
message.FillSecurityInfo(_connector, security);
}
var value = Tuple.Create((MarketDataMessage)message.Clone(), security);
if (tryAdd)
{
// if the message was looped back via IsBack=true
_requests.TryAdd(message.TransactionId, value);
}
else
{
_requests.Add(message.TransactionId, value);
}
_connector.SendInMessage(message);
}
