/// <summary>
/// Process <see cref="MarketDataMessage"/>.
/// </summary>
/// <param name="message">Market-data message (uses as a subscribe/unsubscribe in outgoing case, confirmation event in incoming case).</param>
/// <param name="newOutMessage">New message event.</param>
/// <returns>Market-data message (uses as a subscribe/unsubscribe in outgoing case, confirmation event in incoming case).</returns>
public MarketDataMessage ProcessMarketData(MarketDataMessage message, Action <Message> newOutMessage)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (newOutMessage is null)
{
throw new ArgumentNullException(nameof(newOutMessage));
}
if (message.From == null && Settings.DaysLoad == TimeSpan.Zero)
{
return(message);
}
if (message.IsSubscribe)
{
if (message.SecurityId.IsAllSecurity())
{
return(message);
}
var transactionId = message.TransactionId;
var lastTime = LoadMessages(message, message.From, message.To, transactionId, newOutMessage);
if (message.To != null && lastTime != null && message.To <= lastTime)
{
_fullyProcessedSubscriptions.Add(transactionId);
newOutMessage(new SubscriptionFinishedMessage {
OriginalTransactionId = transactionId
});
return(null);
}
if (lastTime != null)
{
if (!(message.DataType == MarketDataTypes.MarketDepth && message.From == null && message.To == null))
{
var clone = message.TypedClone();
clone.From = lastTime;
message = clone;
message.ValidateBounds();
}
}
}
else
{
if (_fullyProcessedSubscriptions.Remove(message.OriginalTransactionId))
{
newOutMessage(new SubscriptionResponseMessage
{
OriginalTransactionId = message.TransactionId,
});
return(null);
}
}
return(message);
}
