public void fromApp(QuickFix.Message message, SessionID sessionID)
{
// receiving messages
Symbol sym = new Symbol();
message.getField(sym);
Tick k = new TickImpl(sym.getValue());
{
// bid
BidPx bp = new BidPx();
BidSize bs = new BidSize();
k.bid = (decimal)bp.getValue();
k.bs = (int)message.getField(bs).getValue();
}
{
// ask
OfferPx op = new OfferPx();
OfferSize os = new OfferSize();
k.ask = (decimal)op.getValue();
k.os = (int)message.getField(os).getValue();
}
{
// last
Price price = new Price();
message.getField(price);
k.trade = (decimal)price.getValue();
}
tl.newTick(k);
//ClOrdID clOrdID = new ClOrdID();
//message.getField(clOrdID);
}
public void fromApp(QuickFix.Message message, SessionID sessionID)
{
// receiving messages
Symbol sym = new Symbol();
message.getField(sym);
Tick k = new TickImpl(sym.getValue());
{
// bid
BidPx bp = new BidPx();
BidSize bs = new BidSize();
k.bid = (decimal)bp.getValue();
k.bs = (int)message.getField(bs).getValue();
}
{
// ask
OfferPx op = new OfferPx();
OfferSize os = new OfferSize();
k.ask = (decimal)op.getValue();
k.os = (int)message.getField(os).getValue();
}
{
// last
Price price = new Price();
message.getField(price);
k.trade = (decimal)price.getValue();
}
tl.newTick(k);
//ClOrdID clOrdID = new ClOrdID();
//message.getField(clOrdID);
}
private void calculateTotalBidAskSizes()
{
totalBidSize = new OfferSize();
totalAskSize = new OfferSize();
bestBid = Price.Zero;
bestAsk = new Price("9999999");
foreach (var data in dataByExchanges.Values)
{
if (data.RegionalBid != null)
{
if (data.RegionalBid.HasValue && data.RegionalBid > bestBid)
{
bestBid = data.RegionalBid.Value;
}
if (!totalBidSize.ContainsKey(data.RegionalBid))
{
totalBidSize[data.RegionalBid] = 0;
}
totalBidSize[data.RegionalBid] += data.RegionalBidsize;
}
if (data.RegionalAsk != null)
{
if (data.RegionalAsk.HasValue && data.RegionalAsk < bestAsk)
{
bestAsk = data.RegionalAsk.Value;
}
if (!totalAskSize.ContainsKey(data.RegionalAsk))
{
totalAskSize[data.RegionalAsk] = 0;
}
totalAskSize[data.RegionalAsk] += data.RegionalAsksize;
}
}
market = getMarketFromSpread(bestAsk, bestBid);
WriteLog("Market for bestAsk {0}, bestBid {1} is {2} : ", bestAsk, bestBid, market);
}