/// <summary>
/// Initial market data snapshot
/// </summary>
/// <param name="msg"></param>
/// <param name="sessionID"></param>
public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh msg, SessionID sessionID)
{
var numMDEntries = msg.GetInt(Tags.NoMDEntries);
for (int i = 1; i <= numMDEntries; i++)
{
var entry = msg.GetGroup(i, Tags.NoMDEntries);
var entryType = entry.GetChar(Tags.MDEntryType);
if (entryType.Equals(MDEntryType.BID) || entryType.Equals(MDEntryType.OFFER))
{
CurrentOrderBook.AddOrder((double)entry.GetDecimal(Tags.MDEntryPx), (double)entry.GetDecimal(Tags.MDEntrySize), entry.GetChar(Tags.MDEntryType));
}
else if (entryType.Equals(MDEntryType.TRADE))
{
LastTrade = new Trade()
{
Price = (double)entry.GetDecimal(Tags.MDEntryPx),
Volume = (double)entry.GetDecimal(Tags.MDEntrySize)
};
}
else
{
Log.Write($"Unknown entry type {entryType}", 0);
}
}
}
public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh msg, SessionID s)
{
_seen.Add(msg.Symbol.getValue());
if (msg.Symbol.getValue() == DebugSymbol)
{
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var item = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, item);
Console.WriteLine($"Received MarketDataSnapshotFullRefresh for {msg.Symbol.getValue()} with {msg.NoMDEntries.getValue()} items (lag: {(DateTime.UtcNow - msg.Header.GetDateTime(52)).TotalMilliseconds} / {(DateTime.UtcNow - item.MDEntryDate.getValue().Add(item.MDEntryTime.getValue().TimeOfDay)).TotalMilliseconds}).");
break;
}
}
return;
//for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
//{
// var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
// msg.GetGroup(idx + 1, level);
// Console.WriteLine($"{level.MDEntryType} @ {msg.Symbol}:");
// Console.WriteLine($" Date: {level.MDEntryDate}");
// Console.WriteLine($" Time: {level.MDEntryTime}");
// Console.WriteLine($" Px: {level.MDEntryPx}");
// Console.WriteLine($" Size: {level.MDEntrySize}");
//}
Console.WriteLine("BIDS:");
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, level);
if (level.MDEntryType.getValue() == MDEntryType.OFFER)
{
continue;
}
Console.WriteLine($"P {level.MDEntryPx} @ S {level.MDEntrySize}");
}
Console.WriteLine("ASKS:");
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, level);
if (level.MDEntryType.getValue() == MDEntryType.BID)
{
continue;
}
Console.WriteLine($"P {level.MDEntryPx} @ S {level.MDEntrySize}");
}
}
public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh msg,
SessionID s)
{
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, level);
Console.WriteLine($"Orderbook {level.MDEntryType} @ {msg.Symbol}:");
Console.WriteLine($" Date: {level.MDEntryDate}");
Console.WriteLine($" Time: {level.MDEntryTime}");
Console.WriteLine($" Px: {level.MDEntryPx}");
Console.WriteLine($" Size: {level.MDEntrySize}");
}
}
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 msg, SessionID s)
{
Console.WriteLine($"Received MarketDataSnapshotFullRefresh for {msg.Symbol.getValue()} with {msg.NoMDEntries.getValue()} items.");
//for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
//{
// var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
// msg.GetGroup(idx + 1, level);
// Console.WriteLine($"{level.MDEntryType} @ {msg.Symbol}:");
// Console.WriteLine($" Date: {level.MDEntryDate}");
// Console.WriteLine($" Time: {level.MDEntryTime}");
// Console.WriteLine($" Px: {level.MDEntryPx}");
// Console.WriteLine($" Size: {level.MDEntrySize}");
//}
Console.WriteLine("BIDS:");
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, level);
if (level.MDEntryType.getValue() == MDEntryType.OFFER)
{
continue;
}
Console.WriteLine($"P {level.MDEntryPx} @ S {level.MDEntrySize}");
}
Console.WriteLine("ASKS:");
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, level);
if (level.MDEntryType.getValue() == MDEntryType.BID)
{
continue;
}
Console.WriteLine($"P {level.MDEntryPx} @ S {level.MDEntrySize}");
}
}
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());
}
/// <summary>
///
/// </summary>
/// <param name="message">Market data snapshot full refresh message</param>
/// <param name="session">Session ID</param>
private void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh message, QuickFix.SessionID session)
{
try
{
int numberOfMarketDataEntries = message.NoMDEntries.getValue();
for (int i = 1; i <= numberOfMarketDataEntries; i++)
{
Tick tick = new Tick(new Security()
{
Symbol = message.Symbol.getValue()
}, _provider);
tick.DateTime = message.Header.GetDateTime(QuickFix.Fields.Tags.SendingTime);
QuickFix.Group group = message.GetGroup(i, QuickFix.Fields.Tags.NoMDEntries);
if (group.GetField(QuickFix.Fields.Tags.MDEntryType).Equals("0"))
{
tick.BidPrice = Convert.ToDecimal(group.GetField(QuickFix.Fields.Tags.MDEntryPx));
tick.BidSize = Convert.ToDecimal(group.GetField(QuickFix.Fields.Tags.MDEntrySize));
}
if (group.GetField(QuickFix.Fields.Tags.MDEntryType).Equals("1"))
{
tick.AskPrice = Convert.ToDecimal(group.GetField(QuickFix.Fields.Tags.MDEntryPx));
tick.AskSize = Convert.ToDecimal(group.GetField(QuickFix.Fields.Tags.MDEntrySize));
}
if (TickArrived != null)
{
TickArrived(tick);
}
}
}
catch (Exception exception)
{
Logger.Error(exception.ToString(), _type.FullName, "OnMessage");
}
}
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 OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh marketRefresh, SessionID sessionId)
{
Console.WriteLine("Full snapshot refresh");
}
private IEnumerable<NoMDEntriesGroup> GetAllNoMDEntries(QuickFix.FIX44.MarketDataSnapshotFullRefresh msg)
{
// Should be practically identical to the above version, with 4.4 subbed for 4.2
}
