public override void Serialize(Stream stream, IEnumerable <QuoteChangeMessage> data, IMarketDataMetaInfo metaInfo)
{
var list = data.SelectMany(d =>
{
var items = new List <NullableTimeQuoteChange>();
items.AddRange(d.Bids.OrderByDescending(q => q.Price).Select(q => ToNullQuote(Sides.Buy, q, d)));
if (items.Count == 0)
{
items.Add(new NullableTimeQuoteChange
{
Side = Sides.Buy,
ServerTime = d.ServerTime,
});
}
var bidsCount = items.Count;
items.AddRange(d.Asks.OrderBy(q => q.Price).Select(q => ToNullQuote(Sides.Sell, q, d)));
if (items.Count == bidsCount)
{
items.Add(new NullableTimeQuoteChange
{
Side = Sides.Sell,
ServerTime = d.ServerTime,
});
}
return(items);
});
_quoteSerializer.Serialize(stream, list, metaInfo);
}
public override void Serialize(Stream stream, IEnumerable <QuoteChangeMessage> data, IMarketDataMetaInfo metaInfo)
{
var csvInfo = (CsvMetaInfo)metaInfo;
var incOnly = csvInfo.IncrementalOnly;
var list = data.SelectMany(d =>
{
if (incOnly != null)
{
if (incOnly.Value)
{
if (d.State == null)
{
throw new InvalidOperationException(LocalizedStrings.StorageRequiredIncremental.Put(true));
}
}
else
{
if (d.State != null)
{
throw new InvalidOperationException(LocalizedStrings.StorageRequiredIncremental.Put(false));
}
}
}
var items = new List <NullableTimeQuoteChange>();
items.AddRange(d.Bids.OrderByDescending(q => q.Price).Select(q => ToNullQuote(Sides.Buy, q, d)));
if (items.Count == 0)
{
items.Add(new NullableTimeQuoteChange
{
Side = Sides.Buy,
ServerTime = d.ServerTime,
State = d.State,
BuildFrom = d.BuildFrom,
SeqNum = d.SeqNum.DefaultAsNull(),
});
}
var bidsCount = items.Count;
items.AddRange(d.Asks.OrderBy(q => q.Price).Select(q => ToNullQuote(Sides.Sell, q, d)));
if (items.Count == bidsCount)
{
items.Add(new NullableTimeQuoteChange
{
Side = Sides.Sell,
ServerTime = d.ServerTime,
State = d.State,
BuildFrom = d.BuildFrom,
SeqNum = d.SeqNum.DefaultAsNull(),
});
}
return(items);
});
_quoteSerializer.Serialize(stream, list, metaInfo);
}
