internal SecurityEntry(SecurityDefinition securityDefinition)
{
IsMDUpdated = false;
SecurityID = securityDefinition.getSecurityID().getValue();
Symbol = securityDefinition.getSymbol().getValue();
SecurityExchange = securityDefinition.getSecurityExchange().getValue();
SecurityType = securityDefinition.getSecurityType().getValue();
if (securityDefinition.isSetMaturityMonthYear())
MaturityMonthYear = securityDefinition.getMaturityMonthYear().getValue();
NoRelatedSym noRelatedSym = securityDefinition.getNoRelatedSym();
SubContractCount = noRelatedSym.getValue();
subcontracts = new SecurityEntry[SubContractCount];
SecurityDefinition.NoRelatedSym group = new SecurityDefinition.NoRelatedSym();
for (uint i = 0; i < SubContractCount; i++)
{
securityDefinition.getGroup(i + 1, group);
InsertSubContract(i, group);
}
// whether reverse contract
if (HasFutureContract() && SubContractCount == 2)
{
IsInverted = GetSubContract((uint) GetNearSubContractIndex()).Side == QuickFix.Side.SELL;
}
}
public override void onMessage(QuickFix42.SecurityDefinition securityDefinition, SessionID sessionID)
{
//Console.WriteLine("securityDefinition " + securityDefinition);
try
{
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
SecurityID securityID = new SecurityID();
securityDefinition.getField(securityID);
//Create the object in the spreadmatrix;
if(securityType.getValue() == SecurityType.MULTILEGINSTRUMENT)
{
string longUnderlyingMaturityMonthYear=null;
string shortUnderlyingMaturityMonthYear=null;
NoRelatedSym noRelatedSym = securityDefinition.getNoRelatedSym();
uint SubContractCount = (uint)noRelatedSym.getValue();
if (SubContractCount != 2)
{
//Console.WriteLine("I don't know how to handle an MLEG with " + SubContractCount + " legs.");
return;
}
SecurityDefinition.NoRelatedSym group = new SecurityDefinition.NoRelatedSym();
for (uint i = 0; i < SubContractCount; i++)
{
securityDefinition.getGroup(i + 1, group);
UnderlyingMaturityMonthYear underlyingMaturityMonthYear = new UnderlyingMaturityMonthYear();
group.getField(underlyingMaturityMonthYear);
Side side = new Side();
group.getField(side);
if (side.getValue() == QuickFix.Side.SELL)
{
shortUnderlyingMaturityMonthYear = underlyingMaturityMonthYear.getValue();
}
else if (side.getValue() == QuickFix.Side.BUY)
{
longUnderlyingMaturityMonthYear = underlyingMaturityMonthYear.getValue();
}
else
{
Console.WriteLine("Unsupport MLEG side: " + side.getValue());
return;
}
}
spreadMatrix.CreateSpread(securityID.getValue(), longUnderlyingMaturityMonthYear, shortUnderlyingMaturityMonthYear);
}
else if (securityType.getValue() == SecurityType.FUTURE)
{
MaturityMonthYear maturityMonthYear = new MaturityMonthYear();
securityDefinition.getField(maturityMonthYear);
spreadMatrix.CreateOutright(securityID.ToString(), maturityMonthYear.ToString());
}
else
{
Console.WriteLine("Unsupport security type: " + securityType.getField());
return;
}
MarketDataRequest(securityDefinition, sessionID);
}
catch (Exception exception)
{
Console.WriteLine(exception.Message);
}
}
