CandleManager. Priority source switch in runtime.

Algo/Candles/CandleManager.cs

@@ -345,7 +345,11 @@ public virtual void Start(CandleSeries series, DateTimeOffset from, DateTimeOffs
 
 				enumerator = new CandleSourceEnumerator<ICandleManagerSource, Candle>(series, from, to,
 					series.Security is IndexSecurity ? (IEnumerable<ICandleManagerSource>)new[] { new IndexSecurityCandleManagerSource(this, from, to) } : Sources,
-					c => Processing.SafeInvoke(series, c),
+					c =>
+					{
+						Processing.SafeInvoke(series, c);
+						return c.OpenTime;
+					},
 					() =>
 					{
 						//Stop(series);

Algo/Candles/CandleSourceEnumerator.cs

@@ -35,12 +35,13 @@ public void ExtendRange(Range<DateTimeOffset> additionalRange)
 		}
 
 		private readonly CandleSeries _series;
-		private readonly Action<TValue> _processing;
+		private readonly Func<TValue, DateTimeOffset> _processing;
 		private readonly Action _stopped;
 		private readonly SynchronizedQueue<SourceInfo> _sources = new SynchronizedQueue<SourceInfo>();
 		private bool _manualStopped;
+		private DateTimeOffset? _nextSourceBegin;
 
-		public CandleSourceEnumerator(CandleSeries series, DateTimeOffset from, DateTimeOffset to, IEnumerable<TSource> sources, Action<TValue> processing, Action stopped)
+		public CandleSourceEnumerator(CandleSeries series, DateTimeOffset from, DateTimeOffset to, IEnumerable<TSource> sources, Func<TValue, DateTimeOffset> processing, Action stopped)
 		{
 			if (series == null)
 				throw new ArgumentNullException("series");
@@ -136,6 +137,9 @@ public void Start()
 			CurrentSource.Processing += OnProcessing;
 			CurrentSource.Stopped += OnStopped;
 
+			var next = _sources.Count > 0 ? _sources.Peek() : null;
+			_nextSourceBegin = next == null ? (DateTimeOffset?)null : next.Range.Min;
+
 			CurrentSource.Start(_series, info.Range.Min, info.Range.Max);
 		}
 
@@ -149,7 +153,10 @@ private void OnProcessing(CandleSeries series, TValue value)
 			if (series != _series)
 				return;
 
-			_processing(value);
+			var date = _processing(value);
+
+			if (_nextSourceBegin != null && date > _nextSourceBegin)
+				CurrentSource.Stop(series);
 		}
 
 		private void OnStopped(CandleSeries series)
@@ -164,6 +171,7 @@ private void OnStopped(CandleSeries series)
 				CurrentSource.Processing -= OnProcessing;
 				CurrentSource.Stopped -= OnStopped;
 				CurrentSource = null;
+				_nextSourceBegin = null;
 
 				if (_manualStopped || _sources.IsEmpty())
 					raiseStop = true;

Algo/Candles/Compression/CandleBuilder.cs

@@ -46,7 +46,11 @@ public CandleSeriesInfo(CandleSeries series, DateTimeOffset from, DateTimeOffset
 					throw new ArgumentNullException("stopped");
 
 				_enumerator = new CandleSourceEnumerator<ICandleBuilderSource, IEnumerable<ICandleBuilderSourceValue>>(series, from, to,
-					sources, v => handler(series, v), () => stopped(series));
+					sources, v =>
+					{
+						handler(series, v);
+						return v.Last().Time;
+					}, () => stopped(series));
 			}
 
 			public Candle CurrentCandle { get; set; }