private static void ResolveMarketDataRequest(MarketDataRequest message, out Symbol symbol, out char bidAskObj, out string currencyCodeObj)
{
MDReqID mdReqId = new MDReqID();
message.Get(mdReqId);
SubscriptionRequestType subType = new SubscriptionRequestType();
message.Get(subType);
MarketDepth marketDepth = new MarketDepth();
message.Get(marketDepth);
var symbolGroup = new FixSpec.MarketDataRequest.NoRelatedSymGroup();
message.GetGroup(1, symbolGroup);
symbol = new Symbol();
symbolGroup.Get(symbol);
FixSpec.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new FixSpec.MarketDataRequest.NoMDEntryTypesGroup();
message.GetGroup(1, marketDataEntryGroup);
var mDEntryType = new MDEntryType();
marketDataEntryGroup.Get(mDEntryType);
bidAskObj = mDEntryType.Obj;
currencyCodeObj = symbol.Obj;
var marketDepthObj = marketDepth.Obj;
}
public static bool Compare(this MDEntryType[] array1, MDEntryType[] array2)
{
if (array1 == array2) return true;
if (array1 == null) return false;
if (array2 == null) return false;
if (array1.Length != array2.Length) return false;
foreach (MDEntryType t in array1)
if (!array2.Contains(t)) return false;
return true;
}
public static char GetBidOrAsk(MDEntryType MDEntryType)
{
if (MDEntryType == MDEntryType.Bid)
{
return(DepthOfBook._BID_ENTRY);
}
else if (MDEntryType == MDEntryType.Ask)
{
return(DepthOfBook._ASK_ENTRY);
}
else
{
throw new Exception(string.Format("Unknown MDEntryType {0}", MDEntryType));
}
}
public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh marketDataSnapshot, SessionID session)
{
MarketPrice marketPrice = new MarketPrice
{
Symbol = marketDataSnapshot.Symbol.getValue()
};
var nomdentries = marketDataSnapshot.NoMDEntries;
// message.GetGroup(1, noMdEntries);
var grp = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
for (int i = 1; i <= nomdentries.getValue(); i++)
{
grp = (QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup)marketDataSnapshot.GetGroup(i, grp);
// var grp = marketDataSnapshot.GetGroup(i, new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup()) as QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup;
MDEntryType priceType = grp.Get(new MDEntryType());
MDEntryPx mdEntryPx = grp.Get(new MDEntryPx());
if (priceType.getValue() == MDEntryType.BID)
{
marketPrice.Bid = mdEntryPx.getValue();
}
else if (priceType.getValue() == MDEntryType.OFFER)
{
marketPrice.Offer = mdEntryPx.getValue();
}
else if (priceType.getValue() == MDEntryType.TRADE)
{
marketPrice.TradedPrice = mdEntryPx.getValue();
}
else if (priceType.getValue() == MDEntryType.TRADING_SESSION_LOW_PRICE)
{
marketPrice.LowPx = mdEntryPx.getValue();
}
else if (priceType.getValue() == MDEntryType.TRADING_SESSION_HIGH_PRICE)
{
marketPrice.HighPx = mdEntryPx.getValue();
}
}
if (OnMarketPrice != null)
{
OnMarketPrice(marketPrice);
}
}
public void OnMessage(MarketDataIncrementalRefresh message, SessionID session)
{
var noMdEntries = message.NoMDEntries;
var listOfMdEntries = noMdEntries.getValue();
//message.GetGroup(1, noMdEntries);
var group = new MarketDataIncrementalRefresh.NoMDEntriesGroup();
Group gr = message.GetGroup(1, group);
string sym = message.MDReqID.getValue();
var price = new MarketPrice();
for (int i = 1; i <= listOfMdEntries; i++)
{
group = (MarketDataIncrementalRefresh.NoMDEntriesGroup)message.GetGroup(i, group);
price.Symbol = group.Symbol.getValue();
MDEntryType mdentrytype = group.MDEntryType;
if (mdentrytype.getValue() == '0') //bid
{
decimal px = group.MDEntryPx.getValue();
price.Bid = px;
}
else if (mdentrytype.getValue() == '1') //offer
{
decimal px = group.MDEntryPx.getValue();
price.Offer = px;
}
price.TimeStamp = group.MDEntryTime.ToString();
}
if (OnMarketDataIncrementalRefresh != null)
{
OnMarketDataIncrementalRefresh(price);
}
}
public override void onMessage(QuickFix44.MarketDataSnapshotFullRefresh message, SessionID session)
{
// getting attributes
Symbol symbol = message.getSymbol();
SendingTime sendingTime = new SendingTime(message.getHeader().getUtcTimeStamp(SendingTime.FIELD));
NoMDEntries noMDEntries = message.getNoMDEntries();
decimal ask = 0m;
decimal bid = 0m;
decimal askSize = 0m;
decimal bidSize = 0m;
for (int i = 0; i < noMDEntries.getValue(); i++)
{
QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries group = new QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries();
message.getGroup((uint)i + 1, group);
MDEntryType mdEntryType = group.getMDEntryType();
MDEntryPx mdEntryPx = group.getMDEntryPx();
MDEntrySize mdEntrySize = group.getMDEntrySize();
if (mdEntryType.getValue() == MDEntryType.BID)
{
bid = (decimal)mdEntryPx.getValue();
bidSize = (decimal)mdEntrySize.getValue();
}
else if (mdEntryType.getValue() == MDEntryType.OFFER)
{
ask = (decimal)mdEntryPx.getValue();
askSize = (decimal)mdEntrySize.getValue();
}
}
// firing event
Console.WriteLine("QuickFix44.MarketDataSnapshotFullRefresh: {0}, {1}/{2}, {3}/{4}, {5}", symbol, ask, bid, askSize, bidSize, sendingTime);
this.fixServices.NotifyQuote(Counterpart.Dukascopy, symbol.getValue(), ask, askSize, bid, bidSize, sendingTime.getValue());
}
public void Subscribe(string symbol, SessionID sessionId)
{
var marketDataRequest = new MarketDataRequest
{
MDReqID = new MDReqID(symbol),
SubscriptionRequestType = new SubscriptionRequestType('1'),
//incremental refresh
MarketDepth = new MarketDepth(1), //yes market depth need
MDUpdateType = new MDUpdateType(1) //
};
var relatedSymbol = new MarketDataRequest.NoRelatedSymGroup {
Symbol = new Symbol(symbol)
};
marketDataRequest.AddGroup(relatedSymbol);
var noMdEntryTypes = new MarketDataRequest.NoMDEntryTypesGroup();
var mdEntryTypeBid = new MDEntryType('0');
noMdEntryTypes.MDEntryType = mdEntryTypeBid;
marketDataRequest.AddGroup(noMdEntryTypes);
noMdEntryTypes = new MarketDataRequest.NoMDEntryTypesGroup();
var mdEntryTypeOffer = new MDEntryType('1');
noMdEntryTypes.MDEntryType = mdEntryTypeOffer;
marketDataRequest.AddGroup(noMdEntryTypes);
//Send message
Session.SendToTarget(marketDataRequest, sessionId);
}
public Task SendMarketDataRequest(string symbol, string exchange, Action <string> progressHandler)
{
return(Task.Run(() =>
{
//Create object of Security Definition
QuickFix.FIX42.MarketDataRequest securityDefinition = new QuickFix.FIX42.MarketDataRequest
{
MDReqID = new MDReqID(Guid.NewGuid().ToString()),
SubscriptionRequestType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
MarketDepth = new MarketDepth(1),
MDUpdateType = new MDUpdateType(0)
};
var noMDEntryTypes = new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
var mdEntryType_bid = new MDEntryType(MDEntryType.BID);
noMDEntryTypes.Set(mdEntryType_bid);
securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.OFFER)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.TRADE)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.OPENING_PRICE)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.SETTLEMENT_PRICE)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.TRADING_SESSION_HIGH_PRICE)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.TRADING_SESSION_LOW_PRICE)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.TRADE_VOLUME)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.OPEN_INTEREST)); securityDefinition.AddGroup(noMDEntryTypes);
securityDefinition.NoRelatedSym = new NoRelatedSym(1);
var relatedSymbol = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
relatedSymbol.Set(new Symbol(symbol));
relatedSymbol.Set(new SecurityExchange(exchange));
securityDefinition.AddGroup(relatedSymbol);
Session.SendToTarget(securityDefinition, _currentSessionId);
progressHandler("Sent MarketData Request");
}));
}
public static void ProcessMsgMarketDataIncrRefresh(Message msgOrig, FixMessage msg)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote incr: {0}", msg.ToString());
try
{
// информация по тикерам разбита на группы, каждому тикеру - по группе
var groupHeader = new NoMDEntries();
msgOrig.getField(groupHeader);
int numGroups = groupHeader.getValue();
var group = FixMessage.FixVersion == FixVersion.Fix42
? new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries()
: FixMessage.FixVersion == FixVersion.Fix43
? (Group) new QuickFix43.MarketDataIncrementalRefresh.NoMDEntries()
: new QuickFix44.MarketDataIncrementalRefresh.NoMDEntries();
var lastQuotes = new System.Collections.Generic.Dictionary <string, QuoteData>();
for (var i = 1; i <= numGroups; i++)
{
var groupTicker = msgOrig.getGroup((uint)i, group);
var symbol = groupTicker.getField(new Symbol()).getValue();
if (!ConvertFromProviderSymbolNaming(ref symbol))
{
return;
}
var entType = new MDEntryType();
var entTypeChar = groupTicker.getField(entType).getValue();
var priceType = entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_BID[0]
? Contract.Entity.QuoteType.Bid
: entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_OFFER[0]
? Contract.Entity.QuoteType.Ask
: Contract.Entity.QuoteType.NonSpecified;
if (priceType == Contract.Entity.QuoteType.NonSpecified)
{
continue;
}
var price = msg.GetValueFloat(FixMessage.TAG_MD_ENTRY_PX) ?? 0;
if (price == 0)
{
continue;
}
if (lastQuotes.ContainsKey(symbol))
{
var quote = lastQuotes[symbol];
if (priceType == Contract.Entity.QuoteType.Bid)
{
quote.bid = price;
}
else
{
quote.ask = price;
}
}
else
{
lastQuotes.Add(symbol, new QuoteData(
priceType == Contract.Entity.QuoteType.Bid ? price : 0,
priceType == Contract.Entity.QuoteType.Ask ? price : 0, DateTime.Now));
}
}
foreach (var quote in lastQuotes)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicQuote, 1000 * 60 * 15,
"Котировка {0}: {1} - {2}",
quote.Key, quote.Value.bid, quote.Value.ask);
QuoteDistributor.Instance.UpdateQuote(quote.Key,
quote.Value.bid == 0 ? (float?)null : quote.Value.bid,
quote.Value.ask == 0 ? (float?)null : quote.Value.ask);
}
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicParseMarketDataSuccess,
1000 * 60 * 10, "Обработан пакет MarketDataIncrRefresh");
}
catch (Exception ex)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicParseMarketDataError,
1000 * 60 * 10, "Ошибка разбора MarketDataIncrRefresh: {0}", ex);
}
}
public static bool In(this MDEntryType type, MDEntryType[] array)
{
return array.Contains(type);
}
public static bool In(this MDEntryType type, MDEntryType[] array)
{
return(array.Contains(type));
}
public static void ProcessMsgMarketDataIncrRefresh(Message msgOrig, FixMessage msg)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote incr: {0}", msg.ToString());
try
{
// информация по тикерам разбита на группы, каждому тикеру - по группе
var groupHeader = new NoMDEntries();
msgOrig.getField(groupHeader);
int numGroups = groupHeader.getValue();
var group = FixMessage.FixVersion == FixVersion.Fix42
? new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries()
: FixMessage.FixVersion == FixVersion.Fix43
? (Group)new QuickFix43.MarketDataIncrementalRefresh.NoMDEntries()
: new QuickFix44.MarketDataIncrementalRefresh.NoMDEntries();
var lastQuotes = new System.Collections.Generic.Dictionary<string, QuoteData>();
for (var i = 1; i <= numGroups; i++)
{
var groupTicker = msgOrig.getGroup((uint)i, group);
var symbol = groupTicker.getField(new Symbol()).getValue();
if (!ConvertFromProviderSymbolNaming(ref symbol)) return;
var entType = new MDEntryType();
var entTypeChar = groupTicker.getField(entType).getValue();
var priceType = entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_BID[0]
? Contract.Entity.QuoteType.Bid
: entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_OFFER[0]
? Contract.Entity.QuoteType.Ask
: Contract.Entity.QuoteType.NonSpecified;
if (priceType == Contract.Entity.QuoteType.NonSpecified) continue;
var price = msg.GetValueFloat(FixMessage.TAG_MD_ENTRY_PX) ?? 0;
if (price == 0) continue;
if (lastQuotes.ContainsKey(symbol))
{
var quote = lastQuotes[symbol];
if (priceType == Contract.Entity.QuoteType.Bid)
quote.bid = price;
else
quote.ask = price;
}
else
{
lastQuotes.Add(symbol, new QuoteData(
priceType == Contract.Entity.QuoteType.Bid ? price : 0,
priceType == Contract.Entity.QuoteType.Ask ? price : 0, DateTime.Now));
}
}
foreach (var quote in lastQuotes)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicQuote, 1000 * 60 * 15,
"Котировка {0}: {1} - {2}",
quote.Key, quote.Value.bid, quote.Value.ask);
QuoteDistributor.Instance.UpdateQuote(quote.Key,
quote.Value.bid == 0 ? (float?)null : quote.Value.bid,
quote.Value.ask == 0 ? (float?)null : quote.Value.ask);
}
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicParseMarketDataSuccess,
1000 * 60 * 10, "Обработан пакет MarketDataIncrRefresh");
}
catch (Exception ex)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicParseMarketDataError,
1000 * 60 * 10, "Ошибка разбора MarketDataIncrRefresh: {0}", ex);
}
}
