public Order(MDEntryGroup entryGroup, double quantity)
{
int propIndex = -1;
SecurityEntry ownerEntry = entryGroup.OwnerEntry;
propIndex = ownerEntry.GetGroupIndex(entryGroup);
weakCopy = entryGroup.OwnerEntry.WeakClone();
currentMDGroup = weakCopy.GetGroup((uint)propIndex);
OrderMessage = FixApplication.Current.NewOrder(entryGroup, quantity);
}
public Order(IProposal proposal, double quantity)
{
int propIndex = -1;
SecurityEntry ownerEntry = ((MDEntryGroup) proposal).OwnerEntry;
propIndex = ownerEntry.GetGroupIndex((MDEntryGroup)proposal);
weakCopy = ((Proposal) proposal).OwnerEntry.WeakClone();
currentMDGroup = weakCopy.GetGroup((uint) propIndex);
OrderMessage = FixApplication.Current.NewOrder(proposal, quantity);
}
public void UpdateGrid(SpreadMatrixData smd, SecurityEntry entry)
{
if (!smd.Values.Contains(entry))
return;
MDDatePair datePair = entry.GetDatePair();
int dMonth1 = GetDeltaMonth(smd.MinYearMonth, datePair.GetMinDate());
int dMonth2 = GetDeltaMonth(smd.MinYearMonth, datePair.GetMaxDate());
int r = dMonth1 - 1;
int c = dMonth2 - 1;
SpreadMatrixDataCell cell = (SpreadMatrixDataCell)cellPosDictionary.GetValue(r, c);
if(cell==null)
{
cell = new SpreadMatrixDataCell { Width = CellWidth, Height = CellHeight };
cell.MouseDown += cell_MouseDown;
Grid.SetRow(cell, r == c ? r + 1 : r);
Grid.SetColumn(cell, c);
cellPosDictionary.SetValue(r, c, cell);
grid.Children.Add(cell);
}
cell.FillData(entry);
}
public void FillGrid(SpreadMatrixData smd, SecurityEntry entry)
{
int dMonth = GetDeltaMonth(smd.MinYearMonth, smd.MaxYearMonth);
if (grid.ColumnDefinitions.Count != dMonth)
CreateGrid(smd);
else
UpdateGrid(smd, entry);
}
void AddEntryData(SecurityEntry entry)
{
if (entry.SubContractCount > 2)
return;
securityEntries.Add(entry.SecurityID, entry);
/*
SecurityEntry securityEntry = spreadMatrixEntries.GetValue(datePair.Date1, datePair.Date2);
if (securityEntry != null)
securityEntry.Dispose();
*/
if (entry.HasFutureContract())
{
MDDatePair datePair = entry.GetDatePair();
spreadMatrixEntries.SetValue(datePair.Date1, datePair.Date2, entry);
SetMinYearMonth(datePair);
SetMaxYearMonth(datePair);
}
}
public void Add(SecurityEntry entry)
{
lock (LockObject)
{
AddEntryData(entry);
RaizeChanged(entry);
}
}
void InsertSubContract(uint index, SecurityDefinition.NoRelatedSym group)
{
subcontracts[index] = new SecurityEntry(group, this);
}
public SecurityEntry WeakClone()
{
SecurityEntry weakClone = new SecurityEntry();
Utils.CopyPropertiesAndFields(this, weakClone);
weakClone.MDEntryGroups = new MDEntryGroup[weakClone.MDGroupCount];
for (uint i = 0; i < weakClone.MDGroupCount; i++)
weakClone.MDEntryGroups[i] = GetGroup(i).Clone(weakClone);
weakClone.subcontracts = new SecurityEntry[weakClone.SubContractCount];
for (uint i = 0; i < weakClone.SubContractCount; i++)
{
weakClone.subcontracts[i] = GetSubContract(i).WeakClone();
weakClone.subcontracts[i].OwnerEntry = weakClone;
}
return weakClone;
}
internal SecurityEntry(SecurityDefinition.NoRelatedSym noRelatedSym, SecurityEntry owner)
{
IsMDUpdated = false;
OwnerEntry = owner;
SecurityID = noRelatedSym.getUnderlyingSecurityID().getValue();
Symbol = noRelatedSym.getUnderlyingSymbol().getValue();
SecurityExchange = noRelatedSym.getUnderlyingSecurityExchange().getValue();
SecurityType = noRelatedSym.getUnderlyingSecurityType().getValue();
if (noRelatedSym.isSetUnderlyingMaturityMonthYear())
MaturityMonthYear = noRelatedSym.getUnderlyingMaturityMonthYear().getValue();
Side = noRelatedSym.getSide().getValue();
SubContractCount = 0;
subcontracts = new SecurityEntry[SubContractCount];
}
protected override void DoDispose()
{
OwnerEntry = null;
}
internal MDEntryGroup Clone(SecurityEntry newOwner)
{
MDEntryGroup newGroup = new MDEntryGroup(newOwner);
Utils.CopyPropertiesAndFields(this, newGroup);
return newGroup;
}
public MDEntryGroup(MarketDataSnapshotFullRefresh.NoMDEntries group, SecurityEntry owner)
{
OwnerEntry = owner;
MDEntryType = group.getMDEntryType().getValue();
MDEntryPx = group.getMDEntryPx().getValue();
MDEntrySize = group.getMDEntrySize().getValue();
}
public MDEntryGroup(SecurityEntry owner)
{
OwnerEntry = owner;
}
public void FillData(SecurityEntry entry)
{
Dictionary<string, string> dict = new Dictionary<string, string>
{
{"bPx", String.Empty},
{"bCount", String.Empty},
{"aPx", String.Empty},
{"aCount", String.Empty}
};
for (uint i = 0; i < entry.MDGroupCount; i++)
FillData(entry.GetGroup(i), ref dict);
MDDatePair datePair = entry.GetDatePair();
CellType = SpreadMatrixCellType.Future;
if (datePair.Date1 != datePair.Date2)
CellType = SpreadMatrixCellType.Spread;
AskPx = dict["aPx"];
AskCount = dict["aCount"];
BidPx = dict["bPx"];
BidCount = dict["bCount"];
InvalidateVisual();
}
private void ProccessOrder(SecurityEntry entry)
{
for (int i = 0; i < entry.MDGroupCount; i++)
{
MDEntryGroup group = entry.GetGroup((uint) i);
Message ord = NewOrder((IProposal)group, group.MDEntrySize);
Session.sendToTarget(ord, GetOrderSession());
}
}
public override void onMessage(QuickFix42.SecurityDefinition securityDefinition, SessionID sessionID)
{
AddText("securityDefinition " + securityDefinition + Environment.NewLine);
try
{
SecurityExchange securityExchange = new SecurityExchange();
securityDefinition.getField(securityExchange);
Symbol symbol = new Symbol();
securityDefinition.getField(symbol);
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
SpreadMatrixData smd = SpreadMatrixCollection.Get(securityExchange.getValue(), symbol.getValue());
if (smd != null)
{
SecurityEntry entry = new SecurityEntry(securityDefinition);
smd.Add(entry);
MarketDataRequest(securityDefinition);
}
}
catch (Exception exception)
{
AddText(exception.Message + Environment.NewLine);
throw;
}
}
