/**
* Monta e envia requisição para assinatura de um instrumento.
*
*/
private void requisitaInstrumento(
char tipoAssinatura,
string instrumento,
string codigo,
string identificacao)
{
try
{
string mdReqID;
MarketDataRequest mensagemFIX = new MarketDataRequest();
if (codigo != null && codigo.Length > 0)
{
mdReqID = codigo;
}
else
{
mdReqID = FIX_MDREQID_PADRAO;
}
mensagemFIX.setField(new MDReqID(mdReqID));
mensagemFIX.setField(new SubscriptionRequestType(tipoAssinatura));
mensagemFIX.setField(new MarketDepth(0));
mensagemFIX.setField(new MDUpdateType(MDUpdateType.INCREMENTAL_REFRESH));
MarketDataRequest.NoMDEntryTypes grupoTipo = new MarketDataRequest.NoMDEntryTypes();
grupoTipo.set(new QuickFix.MDEntryType(MDEntryType.BID));
mensagemFIX.addGroup(grupoTipo);
grupoTipo.set(new QuickFix.MDEntryType(MDEntryType.OFFER));
mensagemFIX.addGroup(grupoTipo);
grupoTipo.set(new QuickFix.MDEntryType(MDEntryType.TRADE));
mensagemFIX.addGroup(grupoTipo);
grupoTipo.set(new QuickFix.MDEntryType(MDEntryType.OPENING_PRICE));
mensagemFIX.addGroup(grupoTipo);
grupoTipo.set(new QuickFix.MDEntryType(MDEntryType.CLOSING_PRICE));
mensagemFIX.addGroup(grupoTipo);
grupoTipo.set(new QuickFix.MDEntryType(MDEntryType.TRADING_SESSION_HIGH_PRICE));
mensagemFIX.addGroup(grupoTipo);
grupoTipo.set(new QuickFix.MDEntryType(MDEntryType.TRADING_SESSION_LOW_PRICE));
mensagemFIX.addGroup(grupoTipo);
grupoTipo.set(new QuickFix.MDEntryType(MDEntryType.TRADING_SESSION_VWAP_PRICE));
mensagemFIX.addGroup(grupoTipo);
grupoTipo.set(new QuickFix.MDEntryType(MDEntryType.TRADE_VOLUME));
mensagemFIX.addGroup(grupoTipo);
grupoTipo.set(new QuickFix.MDEntryType('a'));
mensagemFIX.addGroup(grupoTipo);
grupoTipo.set(new QuickFix.MDEntryType('b'));
mensagemFIX.addGroup(grupoTipo);
grupoTipo.set(new QuickFix.MDEntryType('c'));
mensagemFIX.addGroup(grupoTipo);
MarketDataRequest.NoRelatedSym grupo = new MarketDataRequest.NoRelatedSym();
grupo.set(new Symbol(instrumento));
if (codigo != null && codigo.Length > 0)
{
grupo.set(new SecurityID(codigo));
}
if (identificacao != null && identificacao.Length > 0)
{
grupo.set(new SecurityIDSource(identificacao));
}
mensagemFIX.addGroup(grupo);
mensagemFIX.getHeader().setField(
new SenderCompID(sessao.getSenderCompID()));
mensagemFIX.getHeader().setField(
new TargetCompID(sessao.getTargetCompID()));
try
{
Session.sendToTarget(mensagemFIX, sessao);
}
catch (SessionNotFound e)
{
logger.Error("Sessao invalida: " + e.Message, e);
}
}
catch (Exception ex)
{
logger.Error("requisitaMensagem: " + ex.Message, ex);
}
}
public virtual void Send(FIXMarketDataRequest Request)
{
Console.WriteLine(BeAEwTZGlZaeOmY5cm.J00weU3cM6(992));
MarketDataRequest marketDataRequest = new MarketDataRequest(new MDReqID(Request.MDReqID), new SubscriptionRequestType(Request.SubscriptionRequestType), new MarketDepth(Request.MarketDepth));
if (Request.ContainsField(265))
marketDataRequest.set(new MDUpdateType(Request.MDUpdateType));
MarketDataRequest.NoMDEntryTypes noMdEntryTypes = new MarketDataRequest.NoMDEntryTypes();
for (int i = 0; i < Request.NoMDEntryTypes; ++i)
{
noMdEntryTypes.set(new MDEntryType(Request.GetMDEntryTypesGroup(i).MDEntryType));
marketDataRequest.addGroup((Group)noMdEntryTypes);
}
noMdEntryTypes.Dispose();
MarketDataRequest.NoRelatedSym noRelatedSym = new MarketDataRequest.NoRelatedSym();
for (int i = 0; i < Request.NoRelatedSym; ++i)
{
FIXRelatedSymGroup relatedSymGroup = Request.GetRelatedSymGroup(i);
noRelatedSym.set(new Symbol(relatedSymGroup.Symbol));
if (relatedSymGroup.ContainsField(65))
noRelatedSym.set(new SymbolSfx(relatedSymGroup.SymbolSfx));
if (relatedSymGroup.ContainsField(48))
noRelatedSym.set(new SecurityID(relatedSymGroup.SecurityID));
if (relatedSymGroup.ContainsField(22))
noRelatedSym.set(new IDSource(relatedSymGroup.SecurityIDSource));
if (relatedSymGroup.ContainsField(167))
noRelatedSym.set(new QuickFix.SecurityType(relatedSymGroup.SecurityType));
if (relatedSymGroup.ContainsField(200))
noRelatedSym.set(new MaturityMonthYear(relatedSymGroup.MaturityMonthYear));
if (relatedSymGroup.ContainsField(202))
noRelatedSym.set(new StrikePrice(relatedSymGroup.StrikePrice));
if (relatedSymGroup.ContainsField(206))
noRelatedSym.set(new OptAttribute(relatedSymGroup.OptAttribute));
if (relatedSymGroup.ContainsField(231))
noRelatedSym.set(new ContractMultiplier(relatedSymGroup.ContractMultiplier));
if (relatedSymGroup.ContainsField(223))
noRelatedSym.set(new CouponRate(relatedSymGroup.CouponRate));
if (relatedSymGroup.ContainsField(207))
noRelatedSym.set(new SecurityExchange(relatedSymGroup.SecurityExchange));
if (relatedSymGroup.ContainsField(106))
noRelatedSym.set(new Issuer(relatedSymGroup.Issuer));
if (relatedSymGroup.ContainsField(348))
noRelatedSym.set(new EncodedIssuerLen(relatedSymGroup.EncodedIssuerLen));
if (relatedSymGroup.ContainsField(349))
noRelatedSym.set(new EncodedIssuer(relatedSymGroup.EncodedIssuer));
if (relatedSymGroup.ContainsField(107))
noRelatedSym.set(new SecurityDesc(relatedSymGroup.SecurityDesc));
if (relatedSymGroup.ContainsField(350))
noRelatedSym.set(new EncodedSecurityDescLen(relatedSymGroup.EncodedSecurityDescLen));
if (relatedSymGroup.ContainsField(351))
noRelatedSym.set(new EncodedSecurityDesc(relatedSymGroup.EncodedSecurityDesc));
marketDataRequest.addGroup((Group)noRelatedSym);
}
noRelatedSym.Dispose();
try
{
Session.sendToTarget((QuickFix.Message)marketDataRequest, this.fSessionID);
}
catch (Exception ex)
{
Console.WriteLine(BeAEwTZGlZaeOmY5cm.J00weU3cM6(1096) + ex.Message);
}
}
