private static void DoFixRequest(IMarketDataProvider provider, Instrument instrument, MarketDataType type, char subCh, string suffix)
{
FIXMarketDataRequest request = new FIXMarketDataRequest();
request.MDReqID = DataManager.GetRequestId();
request.SubscriptionRequestType = subCh;
switch (type)
{
case MarketDataType.Trade:
request.AddGroup(new FIXMDEntryTypesGroup('2'));
break;
case MarketDataType.Quote:
request.AddGroup(new FIXMDEntryTypesGroup('0'));
request.AddGroup(new FIXMDEntryTypesGroup('1'));
request.MarketDepth = 1; // Top of Book
break;
case MarketDataType.MarketDepth:
request.AddGroup(new FIXMDEntryTypesGroup('0'));
request.AddGroup(new FIXMDEntryTypesGroup('1'));
request.MarketDepth = 0; // Full Book
break;
}
if (!instrument.ContainsField(15))
instrument.Currency = Framework.Configuration.DefaultCurrency;
FIXRelatedSymGroup symGrp = new FIXRelatedSymGroup();
request.AddGroup(symGrp);
symGrp.Symbol = instrument.Symbol;
symGrp.SecurityType = instrument.SecurityType;
symGrp.SecurityExchange = instrument.SecurityExchange;
symGrp.Currency = instrument.Currency;
symGrp.SecurityID = instrument.SecurityID;
symGrp.SecurityIDSource = instrument.SecurityIDSource;
symGrp.MaturityDate = instrument.MaturityDate;
symGrp.MaturityMonthYear = instrument.MaturityMonthYear;
symGrp.StrikePrice = instrument.StrikePrice;
symGrp.PutOrCall = ((FIXInstrument)instrument).PutOrCall;
foreach (FIXSecurityAltIDGroup group2 in instrument.SecurityAltIDGroup)
symGrp.AddGroup(group2);
symGrp.SetStringValue(10001, suffix);
if (provider == ProviderManager.MarketDataSimulator)
{
provider.SendMarketDataRequest(request);
}
else
{
switch (subCh)
{
case MARKET_DATA_SUBSCRIBE:
bool flag1 = false;
lock (DataManager.providers)
{
Hashtable local_4 = DataManager.providers[provider] as Hashtable;
if (local_4 == null)
{
local_4 = new Hashtable();
DataManager.providers.Add(provider, local_4);
}
Hashtable local_5 = local_4[instrument] as Hashtable;
if (local_5 == null)
{
local_5 = new Hashtable();
local_4.Add(instrument, local_5);
}
RequestItem local_6 = local_5[type] as RequestItem;
if (local_6 == null)
{
local_6 = new RequestItem(request);
local_5.Add(type, local_6);
flag1 = true;
}
RequestItem temp_91 = local_6;
int temp_94 = temp_91.GetRequestId() + 1;
temp_91.SetRequestId(temp_94);
}
if (!flag1)
break;
provider.SendMarketDataRequest(request);
break;
case MARKET_DATA_UNSUBSCRIBE:
bool canSend = false;
string msg = null;
lock (DataManager.providers)
{
Hashtable local_10 = DataManager.providers[provider] as Hashtable;
if (local_10 != null)
{
Hashtable local_11 = local_10[instrument] as Hashtable;
if (local_11 != null)
{
RequestItem local_12 = local_11[type] as RequestItem;
if (local_12 != null)
{
RequestItem temp_152 = local_12;
int temp_155 = temp_152.GetRequestId() - 1;
temp_152.SetRequestId(temp_155);
if (local_12.GetRequestId() == 0)
{
local_11.Remove(type);
if (local_11.Count == 0)
{
local_10.Remove(instrument);
if (local_10.Count == 0)
DataManager.providers.Remove(provider);
}
canSend = true;
}
}
else
msg = "No this RequestItem";
}
else
msg = "No Request for this instrument";
}
else
msg = "No Request for this provider";
}
if (msg != null)
DataManager.LogRequestMessage(provider, instrument, type, msg);
if (!canSend)
break;
provider.SendMarketDataRequest(request);
break;
}
}
}
public virtual void Send(FIXMarketDataRequest request)
{
}
public override void SendMarketDataRequest(FIXMarketDataRequest request)
{
if (this.IsConnected)
this.application.Send(request);
else
this.EmitError(nvcneRd3YWS84l4984.Ey6KSwFglw(804));
}
public FIXMarketDataRequestEventArgs(FIXMarketDataRequest marketDataRequest)
{
this.MarketDataRequest = marketDataRequest;
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
bool flag = (int)request.SubscriptionRequestType == 49;
for (int i = 0; i < request.NoRelatedSym; ++i)
this.V6Aetvk5jr(InstrumentManager.Instruments[request.GetRelatedSymGroup(i).Symbol], request.GetRelatedSymGroup(i).GetStringValue(10001), flag);
}
public virtual void SendMarketDataRequest(FIXMarketDataRequest request)
{
if (this.IsConnected)
{
switch (request.SubscriptionRequestType)
{
case '1':
string str1 = this.agD49enOqk(request.GetRelatedSymGroup(0));
RequestRecord requestRecord1;
if (str1 == null)
{
++this.mdReqCount;
string str2 = string.Format(BeAEwTZGlZaeOmY5cm.J00weU3cM6(3836), (object)Clock.Now, (object)this.mdReqCount);
request.MDReqID = str2;
requestRecord1 = new RequestRecord(request.GetRelatedSymGroup(0).Symbol, request);
this.mdRequests.Add((object)str2, (object)requestRecord1);
this.application.Send(request);
}
else
requestRecord1 = this.mdRequests[(object)str1] as RequestRecord;
++requestRecord1.RequestCount;
break;
case '2':
string str3 = this.agD49enOqk(request.GetRelatedSymGroup(0));
if (str3 == null)
break;
RequestRecord requestRecord2 = this.mdRequests[(object)str3] as RequestRecord;
--requestRecord2.RequestCount;
if (requestRecord2.RequestCount != 0)
break;
request.MDReqID = str3;
this.application.Send(request);
this.mdRequests.Remove((object)str3);
break;
}
}
else
{
if (this.j4t4Wyi2Ea == null)
return;
this.j4t4Wyi2Ea(new ProviderErrorEventArgs((IProvider)this, -1, -1, BeAEwTZGlZaeOmY5cm.J00weU3cM6(3894)));
}
}
internal RequestItem(FIXMarketDataRequest request)
{
this.request = request;
this.id = 0;
}
public virtual void Send(FIXMarketDataRequest Request)
{
Console.WriteLine(BeAEwTZGlZaeOmY5cm.J00weU3cM6(992));
MarketDataRequest marketDataRequest = new MarketDataRequest(new MDReqID(Request.MDReqID), new SubscriptionRequestType(Request.SubscriptionRequestType), new MarketDepth(Request.MarketDepth));
if (Request.ContainsField(265))
marketDataRequest.set(new MDUpdateType(Request.MDUpdateType));
MarketDataRequest.NoMDEntryTypes noMdEntryTypes = new MarketDataRequest.NoMDEntryTypes();
for (int i = 0; i < Request.NoMDEntryTypes; ++i)
{
noMdEntryTypes.set(new MDEntryType(Request.GetMDEntryTypesGroup(i).MDEntryType));
marketDataRequest.addGroup((Group)noMdEntryTypes);
}
noMdEntryTypes.Dispose();
MarketDataRequest.NoRelatedSym noRelatedSym = new MarketDataRequest.NoRelatedSym();
for (int i = 0; i < Request.NoRelatedSym; ++i)
{
FIXRelatedSymGroup relatedSymGroup = Request.GetRelatedSymGroup(i);
noRelatedSym.set(new Symbol(relatedSymGroup.Symbol));
if (relatedSymGroup.ContainsField(65))
noRelatedSym.set(new SymbolSfx(relatedSymGroup.SymbolSfx));
if (relatedSymGroup.ContainsField(48))
noRelatedSym.set(new SecurityID(relatedSymGroup.SecurityID));
if (relatedSymGroup.ContainsField(22))
noRelatedSym.set(new IDSource(relatedSymGroup.SecurityIDSource));
if (relatedSymGroup.ContainsField(167))
noRelatedSym.set(new QuickFix.SecurityType(relatedSymGroup.SecurityType));
if (relatedSymGroup.ContainsField(200))
noRelatedSym.set(new MaturityMonthYear(relatedSymGroup.MaturityMonthYear));
if (relatedSymGroup.ContainsField(202))
noRelatedSym.set(new StrikePrice(relatedSymGroup.StrikePrice));
if (relatedSymGroup.ContainsField(206))
noRelatedSym.set(new OptAttribute(relatedSymGroup.OptAttribute));
if (relatedSymGroup.ContainsField(231))
noRelatedSym.set(new ContractMultiplier(relatedSymGroup.ContractMultiplier));
if (relatedSymGroup.ContainsField(223))
noRelatedSym.set(new CouponRate(relatedSymGroup.CouponRate));
if (relatedSymGroup.ContainsField(207))
noRelatedSym.set(new SecurityExchange(relatedSymGroup.SecurityExchange));
if (relatedSymGroup.ContainsField(106))
noRelatedSym.set(new Issuer(relatedSymGroup.Issuer));
if (relatedSymGroup.ContainsField(348))
noRelatedSym.set(new EncodedIssuerLen(relatedSymGroup.EncodedIssuerLen));
if (relatedSymGroup.ContainsField(349))
noRelatedSym.set(new EncodedIssuer(relatedSymGroup.EncodedIssuer));
if (relatedSymGroup.ContainsField(107))
noRelatedSym.set(new SecurityDesc(relatedSymGroup.SecurityDesc));
if (relatedSymGroup.ContainsField(350))
noRelatedSym.set(new EncodedSecurityDescLen(relatedSymGroup.EncodedSecurityDescLen));
if (relatedSymGroup.ContainsField(351))
noRelatedSym.set(new EncodedSecurityDesc(relatedSymGroup.EncodedSecurityDesc));
marketDataRequest.addGroup((Group)noRelatedSym);
}
noRelatedSym.Dispose();
try
{
Session.sendToTarget((QuickFix.Message)marketDataRequest, this.fSessionID);
}
catch (Exception ex)
{
Console.WriteLine(BeAEwTZGlZaeOmY5cm.J00weU3cM6(1096) + ex.Message);
}
}
public RequestRecord(string symbol, FIXMarketDataRequest request)
{
this.Symbol = symbol;
this.Request = request;
this.RequestCount = 0;
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
SubscriptionDataType subscriptionDataType = (SubscriptionDataType) 0;
for (int i = 0; i < request.NoMDEntryTypes; ++i)
{
switch (request.GetMDEntryTypesGroup(i).MDEntryType)
{
case '0':
case '1':
if (request.MarketDepth == 1)
{
subscriptionDataType |= SubscriptionDataType.Quotes;
break;
}
else
{
subscriptionDataType |= SubscriptionDataType.OrderBook;
break;
}
case '2':
subscriptionDataType |= SubscriptionDataType.Trades;
break;
}
}
for (int i = 0; i < request.NoRelatedSym; ++i)
{
FreeQuant.Instruments.Instrument instrument1 = FreeQuant.Instruments.InstrumentManager.Instruments[request.GetRelatedSymGroup(i).Symbol];
Instrument instrument2 = Map.FQ_OQ_Instrument[(object) instrument1] as Instrument;
switch (request.SubscriptionRequestType)
{
case '1':
this.provider.CallSubscribe(instrument2, subscriptionDataType);
break;
case '2':
this.provider.CallUnsubscribe(instrument2, subscriptionDataType);
break;
default:
throw new Exception("Unknown subscription request type " + (object) request.SubscriptionRequestType);
}
}
}
public FIXMarketDataRequestEventArgs(FIXMarketDataRequest marketDataRequest)
{
this.MarketDataRequest = marketDataRequest;
}
