Level1Change в API 4.2.1

        readonly HashSet<Level1Fields> _level1Fields = new HashSet<Level1Fields>(new[]
            {
                Level1Fields.AsksCount,
                Level1Fields.AsksVolume,
                Level1Fields.BidsCount,
                Level1Fields.BidsVolume,
                Level1Fields.HistoricalVolatility,
                Level1Fields.ImpliedVolatility,
                Level1Fields.MarginBuy,
                Level1Fields.MarginSell,
                Level1Fields.StepPrice,
                Level1Fields.PriceStep,
                Level1Fields.OpenInterest,
            });

        private void OnSecuritiesChanged(IEnumerable<Security> securities)
        {
            foreach (var security in securities)
            {
                var changeMessage = security.GetNewChanges(_level1Fields);
                _saveManager.Level1ChangeMessages.Enqueue(changeMessage);
            }
        }

                var level1ChangeMessagesBySecurity =
                    from c in level1ChangeMessagesFromQueue
                    group c by c.SecurityId
                        into g
                        select g;

                foreach (var level1ChangeMessageBySecurity in level1ChangeMessagesBySecurity)
                {
                    var level1ChangeStorage = _storageRegistry.GetLevel1ChangeStorage(new Security() { Id = level1ChangeMessageBySecurity.Key.Native.ToString()}, _defaultDrive);
                    try
                    {
                        level1ChangeStorage.Save(level1ChangeMessageBySecurity);
                    }
                    catch (Exception e)
                    {
                        Log.Error("Ошибка при сохранении изменений инструментов", e);
                    }
                }

{"Unable to cast object of type 'Grouping[StockSharp.Messages.SecurityId,StockSharp.Messages.Level1ChangeMessage]' to type 'System.Collections.Generic.IEnumerable`1[StockSharp.Algo.Storages.SecurityChange]'."}

                var messagesBySecurity =
                    from c in messagesFromQueue
                    group c by c.SecurityId
                        into g
                        select g;

                foreach (var messageBySecurity in messagesBySecurity)
                {
                    var security = new Security() {Id = messageBySecurity.Key.Native.ToString()};
                    var securityChangeStorage = _storageRegistry.GetSecurityChangeStorage(security, _defaultDrive);

                    try
                    {
                        var securityChanges = new List<SecurityChange>();

                        foreach (var message in messageBySecurity)
                            foreach (var change in message.Changes)
                                securityChanges.Add(new SecurityChange(security, message.LocalTimeStamp, change.Type, change.Value));

                        securityChangeStorage.Save(securityChanges);
                    }
                    catch (Exception e)
                    {
                        Log.Error("Ошибка при сохранении изменений инструментов", e);
                    }
                }

!changeMessage.Changes.Any()

        readonly HashSet<Level1Fields> _level1Fields = new HashSet<Level1Fields>(new[]
            {
                Level1Fields.AsksCount,
                Level1Fields.AsksVolume,
                Level1Fields.BidsCount,
                Level1Fields.BidsVolume,
                Level1Fields.HistoricalVolatility,
                Level1Fields.ImpliedVolatility,
                Level1Fields.MarginBuy,
                Level1Fields.MarginSell,
                Level1Fields.StepPrice,
                Level1Fields.PriceStep,
                Level1Fields.OpenInterest,
            });

        private void OnSecuritiesChanged(IEnumerable<Security> securities)
        {
            foreach (var security in securities)
            {
                var changeMessage = security.GetNewChanges(_level1Fields);

                if (!changeMessage.Changes.Any())
                    continue;
            }
        }