private void InitializeQuote(string symbolName, string marketDataRequestId)
{
m_Quote = new QuickFix.FIX42.MarketDataSnapshotFullRefresh();
m_Quote.SetField(new MDReqID(marketDataRequestId));
m_Quote.SetField(new SecurityExchange("*"));
m_Quote.SetField(new TotalVolumeTraded(10000));
m_Quote.SetField(new Symbol(symbolName));
m_Quote.SetField(new NoMDEntries(3));
QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup group1 = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
group1.SetField(new MDEntryType(MDEntryType.BID));
group1.SetField(new MDEntryPx(50m));
group1.SetField(new MDEntrySize(100));
m_Quote.AddGroup(group1);
QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup group2 = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
group2.SetField(new MDEntryType(MDEntryType.OFFER));
group2.SetField(new MDEntryPx(50.01m));
group2.SetField(new MDEntrySize(100));
m_Quote.AddGroup(group2);
QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup trade = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
trade.SetField(new MDEntryType(MDEntryType.TRADE));
trade.SetField(new MDEntryPx(50.01m));
trade.SetField(new MDEntrySize(100));
m_Quote.AddGroup(trade);
}
private IEnumerable<NoMDEntriesGroup> GetAllNoMDEntries(QuickFix.FIX42.MarketDataSnapshotFullRefresh msg)
{
int count = message.NoMDEntries.getValue();
QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup repeatingMDItem = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
for (int i = 1; i <= count; i++)
{
message.GetGroup(i, repeatingMDItem);
yield return new NoMDEntriesGroup
{
Symbol = repeatingMDItem.GetField(55),
TickBandNoDecPlaces = int.Parse(repeatingMDItem.GetField(5071)
};
}
}
public void OnMessage(QuickFix.FIX42.MarketDataSnapshotFullRefresh marketDataSnapshot, SessionID session)
{
MarketPrice marketPrice = new MarketPrice();
marketPrice.Symbol = marketDataSnapshot.Symbol.getValue();
var nomdentries = marketDataSnapshot.NoMDEntries;
// message.GetGroup(1, noMdEntries);
var grp = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
for (int i = 1; i <= nomdentries.getValue(); i++)
{
grp = (QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup)marketDataSnapshot.GetGroup(i, grp);
// var grp = marketDataSnapshot.GetGroup(i, new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup()) as QuickFix.FIX42.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);
}
}
//Receive market data
public void OnMessage(QuickFix.FIX42.MarketDataSnapshotFullRefresh message, SessionID session)
{
decimal _bidPrice = 0.00M;
decimal _askPrice = 0.00M;
try
{
QuickFix.Group noMDEntriesGrp = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
for (int grpIndex = 1; grpIndex <= message.GetInt(QuickFix.Fields.Tags.NoMDEntries); grpIndex += 1)
{
noMDEntriesGrp = message.GetGroup(grpIndex, QuickFix.Fields.Tags.NoMDEntries);
if (noMDEntriesGrp.IsSetField(QuickFix.Fields.Tags.BidPx))
{
_bidPrice = QuickFix.Fields.Converters.DecimalConverter.Convert(noMDEntriesGrp.GetField(QuickFix.Fields.Tags.BidPx));
}
if (noMDEntriesGrp.IsSetField(QuickFix.Fields.Tags.OfferPx))
{
_askPrice = QuickFix.Fields.Converters.DecimalConverter.Convert(noMDEntriesGrp.GetField(QuickFix.Fields.Tags.OfferPx));
}
}
string SecEx = null;
string symbol = null;
string secID = null;
QuickFix.Fields.SecurityExchange se = new QuickFix.Fields.SecurityExchange();
if (message.IsSetField(se))
{ SecEx = message.GetField(se).ToString(); }
QuickFix.Fields.Symbol s = new QuickFix.Fields.Symbol();
if (message.IsSetField(s))
{ symbol = message.GetField(s).ToString(); }
QuickFix.Fields.SecurityID sid = new QuickFix.Fields.SecurityID();
if (message.IsSetField(sid))
{ secID = message.GetField(sid).ToString(); }
updatePrices(SecEx, symbol, secID, _bidPrice, _askPrice);
}
catch (Exception ex)
{
updateDisplay(string.Format("QuickFIX Error: {0}", System.Reflection.MethodBase.GetCurrentMethod().Name));
log.WriteLog(string.Format("{0} : {1}", System.Reflection.MethodBase.GetCurrentMethod().Name, ex.ToString()));
}
}
private void InitializeQuote(string symbolName, string marketDataRequestId)
{
m_Quote = new QuickFix.FIX42.MarketDataSnapshotFullRefresh();
m_Quote.SetField(new MDReqID(marketDataRequestId));
m_Quote.SetField(new SecurityExchange("*"));
m_Quote.SetField(new TotalVolumeTraded(10000));
m_Quote.SetField(new Symbol(symbolName));
m_Quote.SetField(new NoMDEntries(3));
QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup group1 = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
group1.SetField(new MDEntryType(MDEntryType.BID));
group1.SetField(new MDEntryPx(50m));
group1.SetField(new MDEntrySize(100));
m_Quote.AddGroup(group1);
QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup group2 = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
group2.SetField(new MDEntryType(MDEntryType.OFFER));
group2.SetField(new MDEntryPx(50.01m));
group2.SetField(new MDEntrySize(100));
m_Quote.AddGroup(group2);
QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup trade = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
trade.SetField(new MDEntryType(MDEntryType.TRADE));
trade.SetField(new MDEntryPx(50.01m));
trade.SetField(new MDEntrySize(100));
m_Quote.AddGroup(trade);
}
internal void marketDataReturned(QuickFix.FIX42.MarketDataSnapshotFullRefresh m)
{
String id = m.MDReqID.ToString();
QuickFix.FIX42.NewOrderSingle order = orderHashSet[id];
//get price from market snapshot
var bid = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
bool setBid = false;
//m.GetGroup(1, bid);
var offer = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
bool setOffer = false;
//m.GetGroup(2, offer);
for (int grpIndex = 1; grpIndex <= m.GetInt(Tags.NoMDEntries); grpIndex += 1)
{
if (grpIndex == 1)
{
m.GetGroup(grpIndex, bid);
setBid = true;
}
else
{
m.GetGroup(grpIndex, offer);
setOffer = true;
}
}
decimal price = 0;
//if (order.Side.Obj == Side.BUY)
switch (order.Side.Obj)
{
case QuickFix.Fields.Side.BUY:
Console.Write("buy");
if (setBid)
{
price = bid.GetDecimal(Tags.MDEntryPx);
}
break;
case QuickFix.Fields.Side.SELL:
Console.Write("sell");
if (setOffer)
{
price = offer.GetDecimal(Tags.MDEntryPx);
}
break;
}
if (!setBid && !setOffer)
{
price = orderPriceHashSet[id];
}
order.Price = new Price(price);
if (OrderEvent != null)
{
OrderEvent(order);
}
if (_fixConnectionSystem.InitiatorRunning && _connectionViewModel.IsOrderConnected)
{
Thread sendToTargetThreading = new Thread(new ParameterizedThreadStart(sendToOrderToTarget));
sendToTargetThreading.IsBackground = true;
sendToTargetThreading.Start(order);
//QuickFix.Session.SendToTarget(order, _fixConnectionSystem.orderSession.SessionID);
}
}
