void ICandleSource <Candle> .Start(CandleSeries series, DateTimeOffset from, DateTimeOffset to)
{
var transactionId = _connector.TransactionIdGenerator.GetNextId();
var mdMsg = series.ToMarketDataMessage(true, from, to);
mdMsg.TransactionId = transactionId;
mdMsg.FillSecurityInfo(_connector, series.Security);
_seriesInfos.Add(transactionId, new SeriesInfo(series, mdMsg));
((Connector)_connector).SendInMessage(mdMsg); // TODO remove cast
}
void ICandleSource <Candle> .Stop(CandleSeries series)
{
var pair = _seriesInfos.FirstOrDefault(p => p.Value.Series == series);
if (pair.Value == null)
{
return;
}
var transactionId = pair.Key;
var mdMsg = series.ToMarketDataMessage(false);
mdMsg.TransactionId = _connector.TransactionIdGenerator.GetNextId();
mdMsg.OriginalTransactionId = transactionId;
mdMsg.FillSecurityInfo(_connector, series.Security);
_seriesInfos.Remove(transactionId);
_connector.MarketDataAdapter.SendInMessage(mdMsg);
}
/// <summary>
/// To create candles from the order books collection.
/// </summary>
/// <param name="depths">Market depths.</param>
/// <param name="series">Candles series.</param>
/// <param name="type">Type of candle depth based data.</param>
/// <param name="onlyFormed">Process only formed candles.</param>
/// <returns>Candles.</returns>
public static IEnumerable <CandleMessage> ToCandles(this IEnumerable <QuoteChangeMessage> depths, CandleSeries series, Level1Fields type = Level1Fields.SpreadMiddle, bool onlyFormed = true)
{
return(new CandleMessageEnumerable(series.ToMarketDataMessage(true), onlyFormed, depths, type));
}
/// <summary>
/// To create candles from the tick trades collection.
/// </summary>
/// <param name="trades">Tick trades.</param>
/// <param name="series">Candles series.</param>
/// <param name="onlyFormed">Process only formed candles.</param>
/// <returns>Candles.</returns>
public static IEnumerable <CandleMessage> ToCandles(this IEnumerable <ExecutionMessage> trades, CandleSeries series, bool onlyFormed = true)
{
return(new CandleMessageEnumerable(series.ToMarketDataMessage(true), onlyFormed, trades));
}
/// <summary>
/// To create candles from the order books collection.
/// </summary>
/// <param name="depths">Market depths.</param>
/// <param name="series">Candles series.</param>
/// <param name="type">Type of candle depth based data.</param>
/// <param name="onlyFormed">Process only formed candles.</param>
/// <returns>Candles.</returns>
public static IEnumerable <CandleMessage> ToCandles(this IEnumerable <QuoteChangeMessage> depths, CandleSeries series, DepthCandleSourceTypes type = DepthCandleSourceTypes.Middle, bool onlyFormed = true)
{
return(new CandleMessageEnumerable(series.ToMarketDataMessage(true), onlyFormed, depths, type));
}
