/// <summary>
/// Decode price FIX message
/// </summary>
/// <param name="FIXMsg"></param>
/// <returns></returns>
public bool DecodeFIXMessage(IFIXMessage FIXMsg)
{
try
{
IFIXGroup fixCountGroup = FIXMsg.GetGroupByTag(FIXTagConstants.esFIXTagESNoSecurityPositions, null);
if (fixCountGroup != null)
{
for (int i = 0; i < fixCountGroup.get_NumberOfGroups(null); i++)
{
IFIXGroup fixRptGroup = fixCountGroup.GetGroupByIndex(i);
string strMnemonic = fixRptGroup.get_AsString(FIXTagConstants.esFIXTagESTickerMnemonic);
string strSecExchange = fixRptGroup.get_AsString(FIXTagConstants.esFIXTagSecurityExchange);
string strContractGroup = fixRptGroup.get_AsString(FIXTagConstants.esFIXTagESContractGroup);
string strContractGroupOffset = fixRptGroup.get_AsString(FIXTagConstants.esFIXTagESMarginGroupOffset);
Position thePosition;
if (m_Positions.ContainsKey(strMnemonic))
thePosition = m_Positions[strMnemonic];
else
{
thePosition = new Position(m_iAccountID);
thePosition.Symbol = strMnemonic;
m_Positions.Add(strMnemonic, thePosition);
}
thePosition.DecodeFIXGroup(fixRptGroup);
}
}
IFIXGroup group = FIXMsg.GetGroupByTag(FIXTagConstants.esFIXTagESNoSecurityExchanges, null);
if (group != null)
{
int nCount = group.get_NumberOfGroups(null);
for (int i = 0; i < nCount; i++)
{
IFIXGroup singleGroup = group.GetGroupByIndex(i);
string sExchange = singleGroup.get_AsString(FIXTagConstants.esFIXTagSecurityExchange);
AddTicker(sExchange, singleGroup);
}
}
return true;
}
catch (Exception ex)
{
return false;
}
}
public bool DecodeRiskAccountFIXMessage(IFIXMessage FIXMsg)
{
m_strAccountName = FIXMsg.get_AsString(FIXTagConstants.esFIXTagESAccountName);
m_strAccountCode = FIXMsg.get_AsString(FIXTagConstants.esFIXTagESAccountCode);
m_strDescription = FIXMsg.get_AsString(FIXTagConstants.esFIXTagESAccountDesc);
m_strCurrency = FIXMsg.get_AsString(FIXTagConstants.esFIXTagESAccountCurrency);
/* If .GetDouble(dblValue, esFIXTagESAllowableMarginCredit) Then m_udtAccountCache(aCOL_ALLOWABLE_MARGIN_CREDIT, lngRow).vntValue = dblValue
If .GetDouble(dblValue, esFIXTagESGrossLiquidity) Then m_udtAccountCache(aCOL_GROSS_LIQUIDITY, lngRow).vntValue = dblValue
If .GetDouble(dblValue, esFIXTagESMarginFactor) Then m_udtAccountCache(aCOL_MARGIN_FACTOR, lngRow).vntValue = dblValue
If .GetNumber(lngValue, esFIXTagESAccountStatus) Then m_udtAccountCache(aCOL_ACCOUNT_ACTIVE, lngRow).vntValue = GetRiskAccountStatusDesc(lngValue)
If .GetNumber(lngValue, esFIXTagESRiskPermissioningLevel) Then m_udtAccountCache(aCOL_RISK_PERMISSIONING_LEVEL, lngRow).vntValue = GetRiskPermissioningLevelDesc(lngValue)
m_udtAccountCache(aCOL_ACCOUNT_ACTIVE, lngRow).lngValidityStatus = esESStatusSeverityInfo
m_udtAccountCache(aCOL_RISK_PERMISSIONING_LEVEL, lngRow).lngValidityStatus = esESStatusSeverityInfo
*/
return true;
}
/// <summary>
/// Process Tradable Entity Instrument FIX Update message
/// </summary>
/// <param name="FIXMsg"></param>
/// <returns></returns>
public TEInstrument HandleTEInstrumentUpdate(IFIXMessage FIXMsg)
{
TEInstrument instrument = null;
string sType = FIXMsg.get_AsString(FIXTagConstants.esFIXTagSecurityResponseType);
if (sType == MESSAGEFIX3Lib.FIXSecurityResponseTypeConstants.esFIXSecurityResponseTypeReturnSecurities)
{
//BeginString=FIX.4.2|BodyLength=118|
//MsgType=SecurityDef<d>|SecurityResponseType=SecurityResponseTypeReturnSecurities<4>
//|SecurityExchange=3|ESExchange=F|Symbol=USD|SecurityType=FOR|ESTickerDesc=USD-CAD|
//ESTickerSymbol=USD-CAD|ESTimeType=TimeTypeImmediateAndCancel<0x00000002>
//|ESOrderType=OrderTypeLimit<0x00000006>|ESSupportEdit=0|
//ESPriceFormatCode=0|ESTickerMnemonic=3FX:USD-CAD|CheckSum=056|
string sExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityExchange);
string sESExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESExchange);
string sSecurityType = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityType);
string sSymbol = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSymbol);
string sESTickerMnemonic = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESTickerMnemonic);
SecurityExchange exchange = GetExchange(sExchange);
//have the top level exchange SECURITY EXCHAANGE eg EUREX VALUES V
if (exchange != null)
{
//have the esxchange ESEXCHANGE eg V
ESExchange esexchange = exchange.GetESExchange(sESExchange);
if (esexchange == null)
esexchange = exchange.AddESExchange(sESExchange, "Unknown");
//find the security type eg OPT
Commodity commodity = esexchange.GetCommodity(sSecurityType);
CommoditySymbol commoditysymbol = null;
//test if we have commodity else create the commodity + commodity symbol objects
if (commodity == null)
{
commoditysymbol = esexchange.AddCommodity(sSecurityType, sSymbol, "Unknown");
}
else
{
//find commodity if exists ESCONTRACT eg SIE
commoditysymbol = commodity.AddCommoditySymbol(sSymbol, "Unknown");
}
//see if we have this TE already VVO:SIE Mar 07 7000c O
instrument = commoditysymbol.AddTEInstrument(sESTickerMnemonic, FIXMsg);
//add to direct map
if (instrument != null)
{
AddDirectTE(instrument);
if (instrument.m_sMDExchange.Length > 0 & instrument.m_sSecurityID.Length > 0)
{
string sTempSymbol = instrument.m_sSecurityID + instrument.m_sMDExchange;
if (!m_directISINMap.ContainsKey(sTempSymbol))
m_directISINMap[sTempSymbol] = instrument;
}
}
}
}
return instrument;
}
/// <summary>
/// Process Security FIX Update message
/// </summary>
/// <param name="FIXMsg"></param>
/// <returns></returns>
public SecurityExchange HandleSecurityUpdate(IFIXMessage FIXMsg)
{
SecurityExchange exchange = null;
string sType = FIXMsg.get_AsString(FIXTagConstants.esFIXTagSecurityResponseType);
if (sType == MESSAGEFIX3Lib.FIXSecurityResponseTypeConstants.esFIXSecurityResponseTypeReturnSecurityExchanges) //Exchange
{
//BeginString=FIX.4.2|BodyLength=29|MsgType=SecurityDef<d>|
//SecurityResponseType=SecurityResponseTypeReturnSecurityExchanges<U>|
//SecurityExchange=3|ESSecurityExchangeDesc=FOREX|CheckSum=220|10=250:<end>
string sExchange = FIXMsg.get_AsString(FIXTagConstants.esFIXTagSecurityExchange);
string sExchangeDesc = FIXMsg.get_AsString(FIXTagConstants.esFIXTagESSecurityExchangeDesc);
//Add exchange if does not exist
exchange = AddExchange(sExchange, sExchangeDesc);
}
return exchange;
}
/// <summary>
/// Process ESExchange FIX Update message
/// </summary>
/// <param name="FIXMsg"></param>
/// <returns></returns>
public ESExchange HandleESExchangeUpdate(IFIXMessage FIXMsg)
{
ESExchange esExchange = null;
string sType = FIXMsg.get_AsString(FIXTagConstants.esFIXTagSecurityResponseType);
if (sType == MESSAGEFIX3Lib.FIXSecurityResponseTypeConstants.esFIXSecurityResponseTypeReturnESExchanges)
{
string sExchange = FIXMsg.get_AsString(FIXTagConstants.esFIXTagSecurityExchange);
string sESExchange = FIXMsg.get_AsString(FIXTagConstants.esFIXTagESExchange);
string sExchangeDesc = FIXMsg.get_AsString(FIXTagConstants.esFIXTagESExchangeDesc);
#if DEBUG
System.Diagnostics.Debug.WriteLine("SEC DEF V EXCHANGE = " + sExchange + " ESEXCHANGE = " + sESExchange);
#endif
SecurityExchange exchange = GetExchange(sExchange);
esExchange = exchange.AddESExchange(sESExchange, sExchangeDesc);
}
return esExchange;
}
/// <summary>
/// Process Commodity FIX Update message
/// </summary>
/// <param name="FIXMsg"></param>
/// <returns></returns>
public CommoditySymbol HandleCommodityUpdate(IFIXMessage FIXMsg)
{
CommoditySymbol commoditysymbol = null;
string sType = FIXMsg.get_AsString(FIXTagConstants.esFIXTagSecurityResponseType);
if (sType == MESSAGEFIX3Lib.FIXSecurityResponseTypeConstants.esFIXSecurityResponseTypeReturnSymbols)
{
//BeginString=FIX.4.2|BodyLength=48|MsgType=SecurityDef<d>|
//SecurityResponseType=SecurityResponseTypeReturnSymbols<W>|
//SecurityExchange=3|ESExchange=F|Symbol=EUR|SecurityDesc=EUR|
//SecurityType=FOR|CheckSum=038||10=038|'
string sExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityExchange);
string sESExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESExchange);
string sSymbol = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSymbol);
string sSecurityType = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityType);
string sSecurityDesc = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityDesc);
SecurityExchange exchange = GetExchange(sExchange);
if (exchange != null)
{
ESExchange esexchange = exchange.GetESExchange(sESExchange);
if (esexchange != null)
{
commoditysymbol = esexchange.AddCommodity(sSecurityType, sSymbol, sSecurityDesc);
}
}
}
return commoditysymbol;
}
/// <summary>
/// Decode price FIX message
/// </summary>
/// <param name="FIXMsg"></param>
/// <param name="bSnapFull"></param>
/// <returns></returns>
public bool DecodeFIX(IFIXMessage FIXMsg,bool bSnapFull)
{
bool bReturn = false;
m_sSymbol = FIXMsg.get_AsString(FIXTagConstants.esFIXTagESTickerMnemonic);
int nTotal = 0;
if (FIXMsg.GetNumber(out nTotal, FIXTagConstants.esFIXTagTotalVolumeTraded))
m_nTotalTradeVolume = nTotal;
IFIXGroup group = FIXMsg.GetGroupByTag(FIXTagConstants.esFIXTagNoMDEntries, null);
if (group != null)
{
int nCount = group.get_NumberOfGroups(null);
for (int i = 0; i < nCount; i++)
{
IFIXGroup singleGroup = group.GetGroupByIndex(i);
string sType = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryType);
int nImplied = singleGroup.get_AsNumber(FIXTagConstants.esFIXTagESMDEntryIsImplied);
string sTime = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryTime);
bReturn = true;
switch (sType)
{
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeBestAsk:
{
switch (nImplied)
{
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromActual:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromActualAndImplied:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromImplied:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestImpliedNoActual:
m_eAskOrderType = (Implied)nImplied;
SetPrice(out m_Ask, singleGroup);
break;
}
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeBestBid:
{
switch (nImplied)
{
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromActual:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromActualAndImplied:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromImplied:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestImpliedNoActual:
m_eBidOrderType = (Implied)nImplied;
SetPrice(out m_Bid, singleGroup);
break;
}
break;
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeSettlementPrice:
{
int nType = singleGroup.get_AsNumber(FIXTagConstants.esFIXTagOpenCloseSettlementFlag);
MESSAGEFIX3Lib.FIXSettlementFlagConstants type = (MESSAGEFIX3Lib.FIXSettlementFlagConstants)nType;
double dPrice = singleGroup.get_AsDouble(FIXTagConstants.esFIXTagMDEntryPx);
if (type == MESSAGEFIX3Lib.FIXSettlementFlagConstants.esFIXSettlementOpenCloseYesterday)
{
m_dSettlement = dPrice;
m_sSettlementTime = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryTime);
m_sSettlementDate = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryDate);
}
else
{
m_dPrevSettlement = dPrice;
m_sPrevSettlementTime = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryTime);
m_sPrevSettlementDate = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryDate);
}
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeClosingPrice:
{
m_dClose = singleGroup.get_AsDouble(FIXTagConstants.esFIXTagMDEntryPx);
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeTrade:
{
SetPrice(out m_Trade, singleGroup);
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeSessionHighPrice:
{
m_SessionHigh = singleGroup.get_AsDouble(FIXTagConstants.esFIXTagMDEntryPx);
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeSessionLowPrice:
{
m_SessionLow = singleGroup.get_AsDouble(FIXTagConstants.esFIXTagMDEntryPx);
break;
}
}
}
}
m_bSnapshot = bSnapFull;
return bReturn;
}
