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;
}
}
