// NOTE: In the context of the CME's data platform, a CHANGE OrderAction means a change to the aggregate size
// of a pre-existing level. It DOES NOT mean a change to the price of a resting order.
// A change to the price of a resting order would be communicated via a DELETE OrderAction
// at the old price, followed immediately by a NEW OrderAction at the new price.
/// <summary>
/// Modifies a price level which is already displayed in the limit order book.
/// </summary>
/// <param name="header"></param>
/// <param name="update"></param>
private void Change(Header header, MarketDataIncrementalRefresh.RepeatingGroup update)
{
int level = update.MDPriceLevel;
if (update.MDEntryType == MDEntryType.Bid)
{
if (Bid[level].Price == null)
{
New(header, update);
return;
}
Bid[level].Size = update.MDEntrySize;
Bid[level].UpdateTime = header.SendingTime;
Bid[level].NumberOfOrders = update.NumberOfOrders;
}
else if (update.MDEntryType == MDEntryType.Offer)
{
if (Ask[level].Price == null)
{
New(header, update);
return;
}
Ask[level].Size = update.MDEntrySize;
Ask[level].UpdateTime = header.SendingTime;
Ask[level].NumberOfOrders = update.NumberOfOrders;
}
}
private void BuildOrderBook(MarketDataIncrementalRefresh.RepeatingGroup update)
{
if (update.QuoteCondition != QuoteCondition.Implied)
{
OrderBooks[orderBookNumber].Build(header, update);
}
else if (update.QuoteCondition == QuoteCondition.Implied)
{
ImpliedOrderBooks[orderBookNumber].Build(header, update);
}
}
/// <summary>
/// Applies the current update to the limit order book.
/// </summary>
/// <param name="header"></param>
/// <param name="update"></param>
public void Build(Header header, MarketDataIncrementalRefresh.RepeatingGroup update)
{
if (update.MDUpdateAction == MDUpdateAction.New)
{
New(header, update);
}
else if (update.MDUpdateAction == MDUpdateAction.Change)
{
Change(header, update);
}
else if (update.MDUpdateAction == MDUpdateAction.Delete)
{
Delete(header, update);
}
UpdateTime = header.SendingTime;
}
/// <summary>
/// Called when a trade has been decoded from a market data incremental refresh FIX message.
/// </summary>
/// <param name="update"></param>
protected virtual void OnTradeParsed(MarketDataIncrementalRefresh.RepeatingGroup update)
{
if (!IsValidTrade(update))
{
return;
}
int contractIndex = GetContractIndex(update);
if (contractIndex == NOT_FOUND)
{
return;
}
messageContainsValidTrade = true;
OrderBooks[contractIndex].CommitTrade(update.MDEntryPx, currentTime, update.TradeVolume);
}
/// <summary>
/// Called when a quote has been decoded from a market data incremental refresh FIX message.
/// </summary>
/// <param name="update"></param>
protected virtual void OnQuoteParsed(MarketDataIncrementalRefresh.RepeatingGroup update)
{
if (!IsValidQuote(update))
{
return;
}
int contractIndex = GetContractIndex(update);
if (contractIndex == NOT_FOUND)
{
return;
}
orderBookNumber = contractIndex;
messageContainsValidQuote = true;
BuildOrderBook(update);
}
// NOTE: In the context of the CME's data platform, a DELETE OrderAction means the deletion of an entire price level
// from the book, not simply the deletion of a single order. Deletions of single
// orders (while the price level remains intact) will be communicated via the
// CHANGE OrderAction.
/// <summary>
/// Removes a price level from the limit order book.
/// </summary>
/// <param name="header"></param>
/// <param name="update"></param>
private void Delete(Header header, MarketDataIncrementalRefresh.RepeatingGroup update)
{
int level = update.MDPriceLevel;
if (update.MDEntryType == MDEntryType.Bid)
{
// TO DO: Find a better way to implement below.
//if (Bid[level].Price != update.MDEntryPx)
//{
// throw new InvalidOperationException("Rebuild operation is attempting to delete a price level (" + update.MDEntryPx + ") that does not exist in the order book!");
//}
ShiftDepthLevelsUp(Bid, header.SendingTime, from: level, to: Depth);
if (level != Depth)
{
return;
}
Bid[level].Delete(header.SendingTime);
}
else if (update.MDEntryType == MDEntryType.Offer)
{
// TO DO: Find a better way to implement below.
//if (Ask[level].Price != update.MDEntryPx)
//{
// throw new InvalidOperationException("Rebuild operation is attempting to delete a price level (" + update.MDEntryPx + ") that does not exist in the order book!");
//}
ShiftDepthLevelsUp(Ask, header.SendingTime, from: level, to: Depth);
if (level != Depth)
{
return;
}
Ask[level].Delete(header.SendingTime);
}
}
// NOTE: In the context of the CME's data platform, a NEW OrderAction means the addition of an entire price level
// to the book, not simply the addition of a single order. Additions of single
// orders (to a pre-existing price level) will be communicated via the
// CHANGE OrderAction.
/// <summary>
/// Inserts a new price level into the limit order book.
/// </summary>
/// <param name="header"></param>
/// <param name="update"></param>
private void New(Header header, MarketDataIncrementalRefresh.RepeatingGroup update)
{
int level = update.MDPriceLevel;
if (update.MDEntryType == MDEntryType.Bid)
{
ShiftDepthLevelsDown(Bid, from: Depth, to: level);
Bid[level].Price = update.MDEntryPx;
Bid[level].Size = update.MDEntrySize;
Bid[level].UpdateTime = header.SendingTime;
Bid[level].NumberOfOrders = update.NumberOfOrders;
}
else if (update.MDEntryType == MDEntryType.Offer)
{
ShiftDepthLevelsDown(Ask, from: Depth, to: level);
Ask[level].Price = update.MDEntryPx;
Ask[level].Size = update.MDEntrySize;
Ask[level].UpdateTime = header.SendingTime;
Ask[level].NumberOfOrders = update.NumberOfOrders;
}
}
private int GetContractIndex(MarketDataIncrementalRefresh.RepeatingGroup update)
{
int contractHash = update.SecurityDesc.GetId();
return(instrumentCollection[0].PertinentContracts(currentTime).IndexOf(contractHash));
}
/// <summary>
/// Uses various elements of a given message to determine whether or not a quote is valid.
/// </summary>
/// <param name="update"></param>
/// <returns></returns>
protected virtual bool IsValidQuote(MarketDataIncrementalRefresh.RepeatingGroup update)
{
return(update.QuoteCondition != QuoteCondition.ExchangeBest);
}
/// <summary>
/// Uses various elements of a given message to determine whether or not a trade is valid.
/// </summary>
/// <param name="update"></param>
/// <returns></returns>
protected virtual bool IsValidTrade(MarketDataIncrementalRefresh.RepeatingGroup update)
{
return(update.QuoteCondition != QuoteCondition.ExchangeBest &&
update.TradeCondition != TradeCondition.PriceCalculatedByGlobex);
}
