public PricingRequest(IQuoteRequest request) : this(request.ClientRequestId, request.Symbol, string.Empty)
{
NearTenor = request.Tenor;
NearAmount = request.Amount;
Account = request.Account;
Side = request.Side.ToString();
NearSettlementDate = request.SettlementDate;
Currency = request.Currency;
if (request.GetType() != typeof(SwapQuoteRequest))
{
NearAllocations = request.GetType() == typeof(SpotQuoteRequest) ? ((SpotQuoteRequest)request).Allocations : ((ForwardQuoteRequest)request).Allocations;
return;
}
var swapRequest = (SwapQuoteRequest)request;
NearAllocations = swapRequest.Allocations;
FarTenor = swapRequest.FarTenor;
FarSettlementDate = swapRequest.FarSettleDate;
FarAmount = swapRequest.FarAmount;
FarAllocations = swapRequest.FarAllocations;
Prices = new EntitySet <PricingResponse>();
}
private void OnEntryRequesting(IQuoteRequest quoteRequest)
{
_rfqUpdateSubject.OnNext(new RfqUpdate(RfqState.Requesting, null, null));
_requestSubscription.Disposable = _rfqService.RequestQuoteStream(quoteRequest)
.Timeout(TimeSpan.FromSeconds(5))
.ObserveOn(_concurrencyService.Dispatcher)
.SubscribeOn(_concurrencyService.TaskPool)
.Subscribe(
// /!\ we are only allowed to transition the state machine here, no other code!
// This applies to all server callbacks
quote => _stateMachine.Fire(_rfqEventServerSendsQuote, quote),
ex => _stateMachine.Fire(_rfqEventServerQuoteError, ex),
() => _stateMachine.Fire(RfqEvent.ServerQuoteStreamComplete));
}
public bool RequestQuote(IQuoteRequest quoteRequest)
{
try {
var tags = new List <Tuple <int, string> > {
new Tuple <int, string>(35, "R"),
new Tuple <int, string>(34, SequenceId.ToString(CultureInfo.InvariantCulture)),
new Tuple <int, string>(49, SenderId),
new Tuple <int, string>(56, TargetId),
new Tuple <int, string>(52, DateTime.Now.ToString("yyyyMMdd-HH:mm:ss.fff")),
new Tuple <int, string>(131, quoteRequest.ClientRequestId),
new Tuple <int, string>(146, "1"),
new Tuple <int, string>(55, quoteRequest.Symbol),
new Tuple <int, string>(15, quoteRequest.Currency),
new Tuple <int, string>(167, "FOR"),
new Tuple <int, string>(54, ((int)quoteRequest.Side).ToString(CultureInfo.InvariantCulture)),
new Tuple <int, string>(38, quoteRequest.Amount.ToString(CultureInfo.InvariantCulture)),
new Tuple <int, string>(40, quoteRequest.GetType() == typeof(SwapQuoteRequest) ? "G" : "H"),
new Tuple <int, string>(64, quoteRequest.SettlementDate.ToString("yyyyMMdd")),
new Tuple <int, string>(6215, quoteRequest.Tenor),
new Tuple <int, string>(1, quoteRequest.Account)
};
if (quoteRequest.GetType() == typeof(SwapQuoteRequest))
{
var swapQuoteRequest = (SwapQuoteRequest)quoteRequest;
tags.AddRange(new [] {
new Tuple <int, string>(192, swapQuoteRequest.FarAmount.ToString(CultureInfo.InvariantCulture)),
new Tuple <int, string>(193, swapQuoteRequest.FarSettleDate.ToString("yyyyMMdd")),
new Tuple <int, string>(6216, swapQuoteRequest.FarTenor)
});
}
SendFixMessage(tags);
} catch (Exception ex) {
_logger.WriteLine("{0:yyyy-MM-dd HH:mm:ss.fff} - Failed to send Quote Request, {1}", DateTime.Now, ex.Message);
return(false);
}
return(true);
}
public bool RejectQuote(IQuoteRequest quoteRequest, string quoteId)
{
try {
var tags = new[] {
new Tuple <int, string>(35, "b"),
new Tuple <int, string>(34, SequenceId.ToString(CultureInfo.InvariantCulture)),
new Tuple <int, string>(49, SenderId),
new Tuple <int, string>(56, TargetId),
new Tuple <int, string>(52, DateTime.Now.ToString("yyyyMMdd-HH:mm:ss.fff")),
new Tuple <int, string>(131, quoteRequest.ClientRequestId),
new Tuple <int, string>(117, quoteId),
new Tuple <int, string>(297, "5") // quote ack status rejected
};
SendFixMessage(tags);
} catch (Exception ex) {
_logger.WriteLine("{0:yyyy-MM-dd HH:mm:ss.fff} - Quote Rejection failed, {1}", DateTime.Now, ex.Message);
return(false);
}
return(true);
}
/* ----------------------------------------
* PUBLIC API
*
* /!\ Only statemachine transitions allowed here /!\
*
* ---------------------------------------*/
public void RequestQuote(IQuoteRequest quoteRequest)
{
_stateMachine.Fire(_rfqEventUserRequests, quoteRequest);
}
public IObservable<IQuote> RequestQuoteStream(IQuoteRequest quoteRequest)
{
return RequestQuoteSubject;
}
/* ----------------------------------------
* PUBLIC API
*
* /!\ Only statemachine transitions allowed here /!\
*
* ---------------------------------------*/
public void RequestQuote(IQuoteRequest quoteRequest)
{
_stateMachine.Fire(_rfqEventUserRequests, quoteRequest);
}
private void OnEntryRequesting(IQuoteRequest quoteRequest)
{
_rfqUpdateSubject.OnNext(new RfqUpdate(RfqState.Requesting, null, null));
_requestSubscription.Disposable = _rfqService.RequestQuoteStream(quoteRequest)
.Timeout(TimeSpan.FromSeconds(5))
.ObserveOn(_concurrencyService.Dispatcher)
.SubscribeOn(_concurrencyService.TaskPool)
.Subscribe(
// /!\ we are only allowed to transition the state machine here, no other code!
// This applies to all server callbacks
quote => _stateMachine.Fire(_rfqEventServerSendsQuote, quote),
ex => _stateMachine.Fire(_rfqEventServerQuoteError, ex),
() => _stateMachine.Fire(RfqEvent.ServerQuoteStreamComplete));
}
public IObservable <IQuote> RequestQuoteStream(IQuoteRequest quoteRequest)
{
return(RequestQuoteSubject);
}