StockSharp

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namespace SampleHistoryTesting
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{
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	using System;
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	using System.Collections.Generic;
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	using Ecng.Common;
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	using StockSharp.Algo;
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	using StockSharp.Messages;
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	class OwnMessageAdapter : MessageAdapter
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	{
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		public OwnMessageAdapter(IdGenerator transactionIdGenerator)
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			: base(transactionIdGenerator)
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		{
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			this.AddMarketDataSupport();
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			this.AddSupportedMarketDataType(DataType.CandleTimeFrame);
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			this.AddSupportedResultMessage(MessageTypes.SecurityLookup);
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		}
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		/// <inheritdoc />
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		public override bool IsAllDownloadingSupported(DataType dataType)
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			=> dataType == DataType.Securities || base.IsAllDownloadingSupported(dataType);
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		private readonly TimeSpan[] _timeFrames = new[]
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		{
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			TimeSpan.FromMinutes(1),
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			TimeSpan.FromMinutes(5),
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		};
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		/// <inheritdoc />
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		protected override IEnumerable<TimeSpan> TimeFrames => _timeFrames;
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		protected override bool OnSendInMessage(Message message)
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		{
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			switch (message.Type)
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			{
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				case MessageTypes.Reset:
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					SendOutMessage(new ResetMessage());
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					break;
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				case MessageTypes.Connect:
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					SendOutMessage(new ConnectMessage());
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					break;
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				case MessageTypes.Disconnect:
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					SendOutMessage(new DisconnectMessage());
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					break;
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				case MessageTypes.SecurityLookup:
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				{
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					var lookupMsg = (SecurityLookupMessage)message;
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					foreach (var id in new[] { "SBER@TQBR" })
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					{
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						SendOutMessage(new SecurityMessage
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						{
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							SecurityId = id.ToSecurityId(),
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							OriginalTransactionId = lookupMsg.TransactionId,
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						});	
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					}
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					SendSubscriptionResult(lookupMsg);
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					break;
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				}
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				case MessageTypes.MarketData:
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				{
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					var mdMsg = (MarketDataMessage)message;
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					switch (mdMsg.DataType)
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					{
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						case MarketDataTypes.CandleTimeFrame:
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						{
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							if (mdMsg.IsSubscribe)
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							{
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								var start = mdMsg.From.Value;
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								var stop = mdMsg.To.Value;
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								var tf = mdMsg.GetTimeFrame();
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								// sends subscribed successfully
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								SendSubscriptionReply(mdMsg.TransactionId);
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								const decimal step = 0.01m;
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								for (var curr = start; curr < stop; curr += tf)
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								{
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									var price = RandomGen.GetInt(100, 110);
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									var open = price + RandomGen.GetInt(10) * step;
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									var high = open + RandomGen.GetInt(10) * step;
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									var low = high - RandomGen.GetInt(10) * step;
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									var close = low + RandomGen.GetInt(10) * step;
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									if (high < low)
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									{
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										var d = high;
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										high = low;
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										low = d;
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									}
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									SendOutMessage(new TimeFrameCandleMessage
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									{
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										OriginalTransactionId = mdMsg.TransactionId,
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										OpenPrice = open,
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										HighPrice = high,
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										LowPrice = low,
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										ClosePrice = close,
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										OpenTime = curr,
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										State = CandleStates.Finished,
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									});
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								}
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								SendSubscriptionResult(mdMsg);
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							}
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							else
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							{
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								// sends unsubscribed successfully
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								SendSubscriptionReply(mdMsg.TransactionId);
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							}
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							break;
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						}
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						default:
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							// not supported other data types
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							SendSubscriptionNotSupported(mdMsg.TransactionId);
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							break;
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					}
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					break;
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				}
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				default:
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					return false;
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			}
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			return true;
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		}
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	}
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}