public virtual void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh message, SessionID session)
{
try
{
enqueueToSplit(message);
// Requisita a proxima lista de papeis
if (message.IsSetLastFragment() && message.LastFragment.ToString().ToUpper().Equals("Y"))
{
if (message.IsSetMDReqID())
{
logger.Info("Final do snapshot ID [" + message.MDReqID.ToString() + "]");
}
if (_marketDataRequested >= _channelUmdfConfig.Markets.Count)
{
logger.Info("Final das requisicoes de snapshot");
}
}
}
catch (Exception ex)
{
logger.Error("onMessage(MarketDataSnapshotFullRefresh): " + ex.Message, ex);
}
}
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);
}
}