Fix OrderBookIncrementManagerState dropping ALL@ALL QuoteChange messages

TryApply only looked in _byId dictionary, missing subscriptions registered
via AddAllSecSubscription (_allSecSubscriptions). Added dynamic BookInfo
creation for ALL@ALL subscriptions keyed by SecurityId.

Added reproduction test TryApply_AllSecSubscription_OnlyBuildsBookDynamically.

Author: mikasoukhov

Algo/OrderBookIncrementManagerState.cs

@@ -17,12 +17,15 @@ private class BookInfo(SecurityId securityId, ILogReceiver parent)
 	private readonly HashSet<long> _passThrough = [];
 	private readonly CachedSynchronizedSet<long> _allSecSubscriptions = [];
 	private readonly CachedSynchronizedSet<long> _allSecSubscriptionsPassThrough = [];
+	private ILogReceiver _builderParent;
 
 	/// <inheritdoc />
 	public void AddSubscription(long transactionId, SecurityId securityId, ILogReceiver builderParent)
 	{
 		using (_sync.EnterScope())
 		{
+			_builderParent ??= builderParent;
+
 			var info = new BookInfo(securityId, builderParent);
 			info.SubscriptionIds.Add(transactionId);
 			_byId.Add(transactionId, info);
@@ -79,7 +82,24 @@ public QuoteChangeMessage TryApply(long subscriptionId, QuoteChangeMessage quote
 		using (_sync.EnterScope())
 		{
 			if (!_byId.TryGetValue(subscriptionId, out var info))
-				return null;
+			{
+				// For ALL@ALL subscriptions: dynamically create per-security builder
+				if (_allSecSubscriptions.Count > 0 && _allSecSubscriptions.Contains(subscriptionId))
+				{
+					var secId = quoteMsg.SecurityId;
+
+					if (!_online.TryGetValue(secId, out info))
+					{
+						info = new(secId, _builderParent);
+						info.SubscriptionIds.Add(subscriptionId);
+						_online.Add(secId, info);
+					}
+
+					_byId.Add(subscriptionId, info);
+				}
+				else
+					return null;
+			}
 
 			newQuoteMsg = info.Builder.TryApply(quoteMsg, subscriptionId);
 

Tests/OrderBookIncrementManagerStateTests.cs

@@ -148,6 +148,31 @@ public void RemoveSubscription_ContainsSubscription_ReturnsFalse()
 		state.ContainsSubscription(1).AssertFalse();
 	}
 
+	[TestMethod]
+	public void TryApply_AllSecSubscription_OnlyBuildsBookDynamically()
+	{
+		// Reproduces the bug: ALL@ALL subscription for MarketDepth
+		// registers in _allSecSubscriptions but TryApply only looks in _byId,
+		// so QuoteChange messages are dropped (TryApply returns null).
+		var state = new OrderBookIncrementManagerState();
+
+		// Subscribe ALL@ALL (no per-security subscription)
+		state.AddAllSecSubscription(42);
+
+		state.HasAnySubscriptions.AssertTrue();
+
+		var snapshot = CreateSnapshot(_secId, [42]);
+		var result = state.TryApply(42, snapshot, out var subscriptionIds);
+
+		// BUG: result is null because _byId doesn't contain subscription 42
+		// FIX: should dynamically create BookInfo for the security
+		result.AssertNotNull();
+		result.Bids.Length.AssertEqual(1);
+		result.Asks.Length.AssertEqual(1);
+		subscriptionIds.AssertNotNull();
+		subscriptionIds.Any(id => id == 42L).AssertTrue();
+	}
+
 	[TestMethod]
 	public void Clear_RemovesAll()
 	{