public void OnMessage(QuickFix.FIX44.MarketDataIncrementalRefresh msg, SessionID s)
{
var symbols = new HashSet <string>();
var entryType = new HashSet <string>();
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var item = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, item);
symbols.Add(item.Symbol.getValue());
if (MDEntryType.BID == item.MDEntryType.getValue())
{
entryType.Add("BID");
}
else if (MDEntryType.OFFER == item.MDEntryType.getValue())
{
entryType.Add("OFFER");
}
else if (MDEntryType.TRADE == item.MDEntryType.getValue())
{
entryType.Add("TRADE");
}
if (!_seen.Contains(item.Symbol.getValue()) && MDEntryType.TRADE != item.MDEntryType.getValue())
{
//throw new Exception("Incremential before snapshot");
}
}
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var item = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, item);
if (item.Symbol.getValue() == DebugSymbol)
{
Console.WriteLine($"Received MarketDataIncrementalRefresh {msg.NoMDEntries.getValue()} items for {string.Join(",", symbols)} with {string.Join(",", entryType)} (lag: {(DateTime.UtcNow - msg.Header.GetDateTime(52)).TotalMilliseconds} / {(DateTime.UtcNow - item.MDEntryDate.getValue().Add(item.MDEntryTime.getValue().TimeOfDay)).TotalMilliseconds}).");
}
return;
Console.WriteLine($"{item.MDEntryType} {item.MDUpdateAction} @ {item.Symbol}:");
if (item.IsSetMDEntryID())
{
Console.WriteLine($" ID: {item.MDEntryID}");
}
Console.WriteLine($" Date: {item.MDEntryDate}");
Console.WriteLine($" Time: {item.MDEntryTime}");
Console.WriteLine($" Px: {item.MDEntryPx}");
Console.WriteLine($" Size: {item.MDEntrySize}");
if (item.IsSetMDEntryOriginator())
{
Console.WriteLine($" TakerSide: {item.MDEntryOriginator}");
}
}
Console.WriteLine($"--------------------------------------------------");
}
public void OnMessage(QuickFix.FIX44.MarketDataIncrementalRefresh m, SessionID s)
{
QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup group = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
m.GetGroup(1, group);
var quote = new
{
Side = (group.MDEntryType.getValue() == MDEntryType.BID ? "Bid" : "Offer"),
LP = group.MDEntryOriginator.getValue(),
Security = group.MDEntryOriginator.getValue(),
Price = group.MDEntryPx.getValue(),
Quantity = group.MDEntrySize.getValue(),
UpdateAction = group.MDUpdateAction.getValue()
};
var trace = JsonConvert.SerializeObject(quote);
Console.WriteLine(trace);
System.IO.File.AppendAllText("trace.log", trace + "\r\n");
}
public void OnMessage(QuickFix.FIX44.MarketDataIncrementalRefresh msg,
SessionID s)
{
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var trade = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, trade);
Console.WriteLine($"Trade {trade.MDUpdateAction} @ {trade.Symbol}:");
Console.WriteLine($" ID: {trade.MDEntryID}");
Console.WriteLine($" Date: {trade.MDEntryDate}");
Console.WriteLine($" Time: {trade.MDEntryTime}");
Console.WriteLine($" Px: {trade.MDEntryPx}");
Console.WriteLine($" Size: {trade.MDEntrySize}");
Console.WriteLine($" TakerSide: {trade.MDEntryOriginator}");
}
Console.WriteLine($"--------------------------------------------------");
}
public void SendDateOnlyTimeOnlyConvertProblem()
{
// issue 135
QuickFix.FIX44.MarketDataSnapshotFullRefresh msg = new QuickFix.FIX44.MarketDataSnapshotFullRefresh();
msg.MDReqID = new MDReqID("1b145288-9c9a-4911-a084-7341c69d3e6b");
msg.Symbol = new Symbol("[N/A]");
msg.SecurityIDSource = new SecurityIDSource(SecurityIDSource.ISIN_NUMBER);
msg.SecurityID = new SecurityID("BE0932900518");
msg.SecuritySubType = new SecuritySubType("EURO_EUR");
msg.NoMDEntries = new NoMDEntries(2);
QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup grp =
new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
grp.MDEntryType = new MDEntryType(MDEntryType.BID);
grp.MDEntryPx = new MDEntryPx((decimal)97.625);
grp.Currency = new Currency("EUR");
grp.MDEntrySize = new MDEntrySize(1246000);
grp.MDEntryDate = new MDEntryDate(new DateTime(2012, 10, 24));
grp.MDEntryTime = new MDEntryTime(new DateTime(1, 1, 1, 7, 30, 47), false);
grp.QuoteCondition = new QuoteCondition(QuoteCondition.NON_FIRM);
grp.MDEntryOriginator = new MDEntryOriginator("BEARGB21XXX");
grp.QuoteEntryID = new QuoteEntryID("15478575");
msg.AddGroup(grp);
grp = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
grp.MDEntryType = new MDEntryType(MDEntryType.OFFER);
grp.MDEntryPx = new MDEntryPx((decimal)108.08);
grp.Currency = new Currency("EUR");
grp.MDEntrySize = new MDEntrySize(884000);
grp.MDEntryDate = new MDEntryDate(new DateTime(2012, 10, 24));
grp.MDEntryTime = new MDEntryTime(new DateTime(1, 1, 1, 7, 30, 47), false);
grp.QuoteCondition = new QuoteCondition(QuoteCondition.NON_FIRM);
grp.MDEntryOriginator = new MDEntryOriginator("BEARGB21XXX");
grp.QuoteEntryID = new QuoteEntryID("15467902");
msg.AddGroup(grp);
string msgString = msg.ToString();
string expected = String.Join(Message.SOH, new string[] { "35=W", "22=4", "48=BE0932900518", "55=[N/A]", "262=1b145288-9c9a-4911-a084-7341c69d3e6b", "762=EURO_EUR", "268=2",
"269=0", "270=97.625", "15=EUR", "271=1246000", "272=20121024", "273=07:30:47", "276=I", "282=BEARGB21XXX", "299=15478575",
"269=1", "270=108.08", "15=EUR", "271=884000", "272=20121024", "273=07:30:47", "276=I", "282=BEARGB21XXX", "299=15467902" });
StringAssert.Contains(expected, msgString);
}
public void DateOnlyTimeOnlyConvertProblem()
{
// issue 135
var dd = new QuickFix.DataDictionary.DataDictionary();
dd.Load("../../../spec/fix/FIX44.xml");
string[] msgFields = { "8=FIX.4.4", "9=332", "35=W", "34=2", "49=MA", "52=20121024-12:21:42.170", "56=xxxx",
"22=4", "48=BE0932900518", "55=[N/A]", "262=1b145288-9c9a-4911-a084-7341c69d3e6b", "762=EURO_EUR", "268=2",
"269=0", "270=97.625", "15=EUR", "271=1246000", "272=20121024", "273=07:30:47", "276=I", "282=BEARGB21XXX", "299=15478575",
"269=1", "270=108.08", "15=EUR", "271=884000", "272=20121024", "273=07:30:47", "276=I", "282=BEARGB21XXX", "299=15467902", "10=77" };
string msgStr = String.Join(Message.SOH, msgFields) + Message.SOH;
QuickFix.FIX44.MarketDataSnapshotFullRefresh msg = new QuickFix.FIX44.MarketDataSnapshotFullRefresh();
msg.FromString(msgStr, true, dd, dd, _defaultMsgFactory);
QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup gentry1 = (QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup)msg.GetGroup(1, new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup());
Assert.AreEqual(new DateTime(2012, 10, 24), gentry1.MDEntryDate.getValue());
Assert.AreEqual(new DateTime(2012, 10, 24, 7, 30, 47).TimeOfDay, gentry1.MDEntryTime.getValue().TimeOfDay);
Assert.AreEqual(new DateTime(2012, 10, 24, 7, 30, 47), gentry1.MDEntryDate.getValue() + gentry1.MDEntryTime.getValue().TimeOfDay);
}
public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh m, SessionID s)
{
string symbol = m.GetString(Tags.Symbol).ToString();
double bid_price = 0;
double ask_price = 0;
int entry_count = int.Parse(m.GetString(Tags.NoMDEntries));
for (int i = 1; i <= entry_count; i++)
{
QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup group = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
m.GetGroup(i, group);
string entry_type = group.GetString(Tags.MDEntryType);
if (entry_type == "0")
{
bid_price = double.Parse(group.GetString(Tags.MDEntryPx));
}
else if (entry_type == "1")
{
ask_price = double.Parse(group.GetString(Tags.MDEntryPx));
}
}
Console.WriteLine("Symbol: " + symbol + " Bid: " + bid_price.ToString() + " Ask: " + ask_price.ToString());
}
public void SendDateOnlyTimeOnlyConvertProblem()
{
// issue 135
QuickFix.FIX44.MarketDataSnapshotFullRefresh msg = new QuickFix.FIX44.MarketDataSnapshotFullRefresh();
msg.MDReqID = new MDReqID("1b145288-9c9a-4911-a084-7341c69d3e6b");
msg.Symbol = new Symbol("[N/A]");
msg.SecurityIDSource = new SecurityIDSource(SecurityIDSource.ISIN_NUMBER);
msg.SecurityID = new SecurityID("BE0932900518");
msg.SecuritySubType = new SecuritySubType("EURO_EUR");
msg.NoMDEntries = new NoMDEntries(2);
QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup grp =
new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
grp.MDEntryType = new MDEntryType(MDEntryType.BID);
grp.MDEntryPx = new MDEntryPx((decimal)97.625);
grp.Currency = new Currency("EUR");
grp.MDEntrySize = new MDEntrySize(1246000);
grp.MDEntryDate = new MDEntryDate(new DateTime(2012, 10, 24));
grp.MDEntryTime = new MDEntryTime(new DateTime(1, 1, 1, 7, 30, 47), false);
grp.QuoteCondition = new QuoteCondition(QuoteCondition.NON_FIRM);
grp.MDEntryOriginator = new MDEntryOriginator("BEARGB21XXX");
grp.QuoteEntryID = new QuoteEntryID("15478575");
msg.AddGroup(grp);
grp = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
grp.MDEntryType = new MDEntryType(MDEntryType.OFFER);
grp.MDEntryPx = new MDEntryPx((decimal)108.08);
grp.Currency = new Currency("EUR");
grp.MDEntrySize = new MDEntrySize(884000);
grp.MDEntryDate = new MDEntryDate(new DateTime(2012, 10, 24));
grp.MDEntryTime = new MDEntryTime(new DateTime(1, 1, 1, 7, 30, 47), false);
grp.QuoteCondition = new QuoteCondition(QuoteCondition.NON_FIRM);
grp.MDEntryOriginator = new MDEntryOriginator("BEARGB21XXX");
grp.QuoteEntryID = new QuoteEntryID("15467902");
msg.AddGroup(grp);
string msgString = msg.ToString();
string expected = String.Join(Message.SOH, new string[] { "35=W", "22=4", "48=BE0932900518", "55=[N/A]", "262=1b145288-9c9a-4911-a084-7341c69d3e6b", "762=EURO_EUR", "268=2",
"269=0", "270=97.625", "15=EUR", "271=1246000", "272=20121024", "273=07:30:47", "276=I", "282=BEARGB21XXX", "299=15478575",
"269=1", "270=108.08", "15=EUR", "271=884000", "272=20121024", "273=07:30:47", "276=I", "282=BEARGB21XXX", "299=15467902"
});
StringAssert.Contains(expected, msgString);
}
public void DateOnlyTimeOnlyConvertProblem()
{
// issue 135
var dd = new QuickFix.DataDictionary.DataDictionary();
dd.Load("../../../spec/fix/FIX44.xml");
string[] msgFields = { "8=FIX.4.4", "9=332", "35=W", "34=2", "49=MA", "52=20121024-12:21:42.170", "56=xxxx",
"22=4", "48=BE0932900518", "55=[N/A]", "262=1b145288-9c9a-4911-a084-7341c69d3e6b", "762=EURO_EUR", "268=2",
"269=0", "270=97.625", "15=EUR", "271=1246000", "272=20121024", "273=07:30:47", "276=I", "282=BEARGB21XXX", "299=15478575",
"269=1", "270=108.08", "15=EUR", "271=884000", "272=20121024", "273=07:30:47", "276=I", "282=BEARGB21XXX", "299=15467902", "10=77"
};
string msgStr = String.Join(Message.SOH, msgFields) + Message.SOH;
QuickFix.FIX44.MarketDataSnapshotFullRefresh msg = new QuickFix.FIX44.MarketDataSnapshotFullRefresh();
msg.FromString(msgStr, true, dd, dd, _defaultMsgFactory);
QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup gentry1 = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
msg.GetGroup(1, gentry1);
Assert.AreEqual(new DateTime(2012, 10, 24), gentry1.MDEntryDate.getValue());
Assert.AreEqual(new DateTime(2012, 10, 24, 7, 30, 47).TimeOfDay, gentry1.MDEntryTime.getValue().TimeOfDay);
Assert.AreEqual(new DateTime(2012, 10, 24, 7, 30, 47), gentry1.MDEntryDate.getValue() + gentry1.MDEntryTime.getValue().TimeOfDay);
}
