/// <summary>
/// Initializes a new instance of the <see cref="SubscriptionFilterEnumerator"/> class
/// </summary>
/// <param name="enumerator">The source enumerator to be wrapped</param>
/// <param name="security">The security containing an exchange and data filter</param>
/// <param name="endTime">The end time of the subscription</param>
/// <param name="extendedMarketHours">True if extended market hours are enabled</param>
/// <param name="liveMode">True if live mode</param>
public SubscriptionFilterEnumerator(IEnumerator <BaseData> enumerator, Security security, DateTime endTime, bool extendedMarketHours, bool liveMode)
{
_liveMode = liveMode;
_enumerator = enumerator;
_security = security;
_endTime = endTime;
_exchange = _security.Exchange;
_dataFilter = _security.DataFilter;
_extendedMarketHours = extendedMarketHours;
}
public void MarketDataRequest(QuickFix42.SecurityDefinition securityDefinition)
{
QuickFix42.MarketDataRequest marketDataRequest =
new QuickFix42.MarketDataRequest(new MDReqID(DateTime.Now.ToString()),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
new MarketDepth(1));
marketDataRequest.setField(new MDUpdateType(MDUpdateType.FULL_REFRESH));
marketDataRequest.setField(new AggregatedBook(true));
QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupBid = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
marketDataEntyGroupBid.set(new MDEntryType(MDEntryType.BID));
marketDataRequest.addGroup(marketDataEntyGroupBid);
QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupOffer = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
marketDataEntyGroupOffer.set(new MDEntryType(MDEntryType.OFFER));
marketDataRequest.addGroup(marketDataEntyGroupOffer);
/** Create Component Block NoRelatedSym */
QuickFix42.MarketDataRequest.NoRelatedSym noRelatedSym = new QuickFix42.MarketDataRequest.NoRelatedSym();
SecurityExchange securityExchange = new SecurityExchange();
securityDefinition.getField(securityExchange);
noRelatedSym.setField(securityExchange);
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
noRelatedSym.setField(securityType);
Symbol symbol = new Symbol();
securityDefinition.getField(symbol);
noRelatedSym.setField(symbol);
//MaturityMonthYear maturityMonthYear = new MaturityMonthYear();
//securityDefinition.getField(maturityMonthYear);
//noRelatedSym.setField(maturityMonthYear);
SecurityID securityId = new SecurityID();
securityDefinition.getField(securityId);
noRelatedSym.setField(securityId);
marketDataRequest.addGroup(noRelatedSym);
Session.sendToTarget(marketDataRequest, GetPriceSession());
}
/// <summary>
/// Gets the security price.
/// </summary>
/// <returns>The security price.</returns>
/// <param name = "asOfDate">the as of date</param>
/// <param name="securityExchange">security exchange</param>
public SecurityPrice GetSecurityPrice(DateTime asOfDate, SecurityExchange securityExchange)
{
const int maxPrice = 780;
var security = securityExchange.Security;
var exchange = securityExchange.Exchange;
var ticker = security.Ticker;
if (!_priceMap.ContainsKey(ticker))
{
_priceMap.Add(ticker, _random.Next(1, maxValue: maxPrice));
}
else
{
// up a random amount; down a random amount.
_priceMap[ticker] += _random.NextDouble();
_priceMap[ticker] -= _random.NextDouble();
}
return(new SecurityPrice(securityExchange.Security, Convert.ToDecimal(_priceMap[ticker]), exchange));
}
public Message NewOrder(MDEntryGroup entryGroup, double quantity)
{
bool isInvertedSecurity = entryGroup.OwnerEntry.IsInverted;
Message message = null;
Account account = new Account(GetOrderSession().getSenderCompID().ToLower());
ClOrdID clOrdId = new ClOrdID("ClOrd_" + Guid.NewGuid());
HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
OrdType ordType = new OrdType(OrdType.LIMIT);
TimeInForce timeInForce = new TimeInForce(TimeInForce.FILL_OR_KILL);
TransactTime transactTime = new TransactTime();
Price price = new Price(entryGroup.MDEntryPx);
SecurityExchange securityExchange = new SecurityExchange(entryGroup.OwnerEntry.SecurityExchange);
SecurityType securityType = new SecurityType(entryGroup.OwnerEntry.SecurityType);
Symbol symbol = new Symbol(entryGroup.OwnerEntry.Symbol);
SecurityID securityId = new SecurityID(entryGroup.OwnerEntry.SecurityID);
OrderQty orderQty = new OrderQty(quantity);
Side side = null;
switch (entryGroup.MDEntryType)
{
case MDEntryType.BID:
side = new Side(Side.SELL);
break;
case MDEntryType.OFFER:
side = new Side(Side.BUY);
break;
default:
throw new Exception("Undefined entry type.");
}
//if (isInvertedSecurity && side.getValue() == Side.BUY)
// price = new Price(-price.getValue());
message = new QuickFix42.NewOrderSingle();
((QuickFix42.NewOrderSingle) message).set(account);
((QuickFix42.NewOrderSingle) message).set(clOrdId);
((QuickFix42.NewOrderSingle) message).set(side);
((QuickFix42.NewOrderSingle) message).set(transactTime);
((QuickFix42.NewOrderSingle) message).set(ordType);
((QuickFix42.NewOrderSingle) message).set(price);
((QuickFix42.NewOrderSingle) message).set(orderQty);
((QuickFix42.NewOrderSingle) message).set(securityId);
((QuickFix42.NewOrderSingle) message).set(securityExchange);
((QuickFix42.NewOrderSingle) message).set(timeInForce);
((QuickFix42.NewOrderSingle) message).set(securityType);
return message;
}
public override void onMessage(QuickFix42.SecurityDefinition securityDefinition, SessionID sessionID)
{
AddText("securityDefinition " + securityDefinition + Environment.NewLine);
try
{
SecurityExchange securityExchange = new SecurityExchange();
securityDefinition.getField(securityExchange);
Symbol symbol = new Symbol();
securityDefinition.getField(symbol);
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
SpreadMatrixData smd = SpreadMatrixCollection.Get(securityExchange.getValue(), symbol.getValue());
if (smd != null)
{
SecurityEntry entry = new SecurityEntry(securityDefinition);
smd.Add(entry);
MarketDataRequest(securityDefinition);
}
}
catch (Exception exception)
{
AddText(exception.Message + Environment.NewLine);
throw;
}
}
/// <summary>
/// Equals
/// </summary>
/// <param name="other">the other</param>
/// <returns>true if equals</returns>
public bool Equals(SecurityExchange other)
{
return(string.Equals(_exchange, other._exchange) && Equals(_security, other._security));
}
