public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh marketDataSnapshot, SessionID session)
{
MarketPrice marketPrice = new MarketPrice
{
Symbol = marketDataSnapshot.Symbol.getValue()
};
var nomdentries = marketDataSnapshot.NoMDEntries;
// message.GetGroup(1, noMdEntries);
var grp = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
for (int i = 1; i <= nomdentries.getValue(); i++)
{
grp = (QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup)marketDataSnapshot.GetGroup(i, grp);
// var grp = marketDataSnapshot.GetGroup(i, new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup()) as QuickFix.FIX44.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);
}
}
public override void onMessage(QuickFix44.MarketDataSnapshotFullRefresh message, SessionID session)
{
// getting attributes
Symbol symbol = message.getSymbol();
SendingTime sendingTime = new SendingTime(message.getHeader().getUtcTimeStamp(SendingTime.FIELD));
NoMDEntries noMDEntries = message.getNoMDEntries();
decimal ask = 0m;
decimal bid = 0m;
decimal askSize = 0m;
decimal bidSize = 0m;
for (int i = 0; i < noMDEntries.getValue(); i++)
{
QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries group = new QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries();
message.getGroup((uint)i + 1, group);
MDEntryType mdEntryType = group.getMDEntryType();
MDEntryPx mdEntryPx = group.getMDEntryPx();
MDEntrySize mdEntrySize = group.getMDEntrySize();
if (mdEntryType.getValue() == MDEntryType.BID)
{
bid = (decimal)mdEntryPx.getValue();
bidSize = (decimal)mdEntrySize.getValue();
}
else if (mdEntryType.getValue() == MDEntryType.OFFER)
{
ask = (decimal)mdEntryPx.getValue();
askSize = (decimal)mdEntrySize.getValue();
}
}
// firing event
Console.WriteLine("QuickFix44.MarketDataSnapshotFullRefresh: {0}, {1}/{2}, {3}/{4}, {5}", symbol, ask, bid, askSize, bidSize, sendingTime);
this.fixServices.NotifyQuote(Counterpart.Dukascopy, symbol.getValue(), ask, askSize, bid, bidSize, sendingTime.getValue());
}
