public void OnMessage(FixSpec.MarketDataRequest message, SessionID sessionId)
{
ResolveMarketDataRequest(message, out Symbol symbol, out char bidAskObj, out string currencyCodeObj);
//prepare MassQuote response
CalculateNewPrice(currencyCodeObj, out decimal bidPrice, out decimal askPrice);
FixSpec.MassQuote massQuote = new FixSpec.MassQuote(new QuoteID(Guid.NewGuid().ToString("N")));
FixSpec.MassQuote.NoQuoteSetsGroup quoteSetsGroup = new FixSpec.MassQuote.NoQuoteSetsGroup();
NoQuoteEntries noQuoteEntries = new NoQuoteEntries(1);
quoteSetsGroup.Set(noQuoteEntries);
QuoteSetID quoteSetId = new QuoteSetID(symbol.Obj);
quoteSetsGroup.Set(quoteSetId);
FixSpec.MassQuote.NoQuoteSetsGroup.NoQuoteEntriesGroup quoteEntriesGroup =
new FixSpec.MassQuote.NoQuoteSetsGroup.NoQuoteEntriesGroup();
quoteEntriesGroup.QuoteEntryID = new QuoteEntryID(currencyCodeObj);
if (bidAskObj == MDEntryType.BID)
{
quoteEntriesGroup.SetField(new BidSpotRate(bidPrice));
}
if (bidAskObj == MDEntryType.OFFER)
{
quoteEntriesGroup.SetField(new OfferSpotRate(askPrice));
}
quoteSetsGroup.AddGroup(quoteEntriesGroup);
massQuote.AddGroup(quoteSetsGroup);
Session.LookupSession(sessionId).Send(massQuote);
Console.WriteLine($"{currencyCodeObj} : bid -> {bidPrice} | ask -> {askPrice} ");
}
private FixSpec.MarketDataRequest QueryMarketDataRequest()
{
MDReqID mdReqId = new MDReqID("CLIAPP");
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT);
MarketDepth marketDepth = new MarketDepth(0);
FixSpec.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new FixSpec.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID));
var symbolGroup = new FixSpec.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol("EURUSD"));
var message = new FixSpec.MarketDataRequest(mdReqId, subType, marketDepth);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
return(message);
}