public void OnMessage(FixSpec.MassQuote message, SessionID sessionId)
{
decimal?bid = null, ask = null;
FixSpec.MassQuote.NoQuoteSetsGroup quoteSetsGroup = new FixSpec.MassQuote.NoQuoteSetsGroup();
message.GetGroup(1, quoteSetsGroup);
NoQuoteEntries noQuoteEntries = new NoQuoteEntries();
QuoteSetID quoteSetId = new QuoteSetID();
quoteSetsGroup.Get(noQuoteEntries);
quoteSetsGroup.Get(quoteSetId);
FixSpec.MassQuote.NoQuoteSetsGroup.NoQuoteEntriesGroup quoteEntriesGroup =
new FixSpec.MassQuote.NoQuoteSetsGroup.NoQuoteEntriesGroup();
quoteSetsGroup.GetGroup(1, quoteEntriesGroup);
if (quoteEntriesGroup.IsSetField(new BidSpotRate()))
{
bid = quoteEntriesGroup.GetField(new BidSpotRate()).getValue();
}
if (quoteEntriesGroup.IsSetField(new OfferSpotRate()))
{
ask = quoteEntriesGroup.GetField(new OfferSpotRate()).getValue();
}
var currencyCode = quoteSetId.Obj;
Console.WriteLine($"{currencyCode} : bid -> {bid} | ask -> {ask} ");
}
public void OnMessage(FixSpec.MarketDataRequest message, SessionID sessionId)
{
ResolveMarketDataRequest(message, out Symbol symbol, out char bidAskObj, out string currencyCodeObj);
//prepare MassQuote response
CalculateNewPrice(currencyCodeObj, out decimal bidPrice, out decimal askPrice);
FixSpec.MassQuote massQuote = new FixSpec.MassQuote(new QuoteID(Guid.NewGuid().ToString("N")));
FixSpec.MassQuote.NoQuoteSetsGroup quoteSetsGroup = new FixSpec.MassQuote.NoQuoteSetsGroup();
NoQuoteEntries noQuoteEntries = new NoQuoteEntries(1);
quoteSetsGroup.Set(noQuoteEntries);
QuoteSetID quoteSetId = new QuoteSetID(symbol.Obj);
quoteSetsGroup.Set(quoteSetId);
FixSpec.MassQuote.NoQuoteSetsGroup.NoQuoteEntriesGroup quoteEntriesGroup =
new FixSpec.MassQuote.NoQuoteSetsGroup.NoQuoteEntriesGroup();
quoteEntriesGroup.QuoteEntryID = new QuoteEntryID(currencyCodeObj);
if (bidAskObj == MDEntryType.BID)
{
quoteEntriesGroup.SetField(new BidSpotRate(bidPrice));
}
if (bidAskObj == MDEntryType.OFFER)
{
quoteEntriesGroup.SetField(new OfferSpotRate(askPrice));
}
quoteSetsGroup.AddGroup(quoteEntriesGroup);
massQuote.AddGroup(quoteSetsGroup);
Session.LookupSession(sessionId).Send(massQuote);
Console.WriteLine($"{currencyCodeObj} : bid -> {bidPrice} | ask -> {askPrice} ");
}
