public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh msg, SessionID s)
{
_seen.Add(msg.Symbol.getValue());
if (msg.Symbol.getValue() == DebugSymbol)
{
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var item = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, item);
Console.WriteLine($"Received MarketDataSnapshotFullRefresh for {msg.Symbol.getValue()} with {msg.NoMDEntries.getValue()} items (lag: {(DateTime.UtcNow - msg.Header.GetDateTime(52)).TotalMilliseconds} / {(DateTime.UtcNow - item.MDEntryDate.getValue().Add(item.MDEntryTime.getValue().TimeOfDay)).TotalMilliseconds}).");
break;
}
}
return;
//for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
//{
// var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
// msg.GetGroup(idx + 1, level);
// Console.WriteLine($"{level.MDEntryType} @ {msg.Symbol}:");
// Console.WriteLine($" Date: {level.MDEntryDate}");
// Console.WriteLine($" Time: {level.MDEntryTime}");
// Console.WriteLine($" Px: {level.MDEntryPx}");
// Console.WriteLine($" Size: {level.MDEntrySize}");
//}
Console.WriteLine("BIDS:");
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, level);
if (level.MDEntryType.getValue() == MDEntryType.OFFER)
{
continue;
}
Console.WriteLine($"P {level.MDEntryPx} @ S {level.MDEntrySize}");
}
Console.WriteLine("ASKS:");
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, level);
if (level.MDEntryType.getValue() == MDEntryType.BID)
{
continue;
}
Console.WriteLine($"P {level.MDEntryPx} @ S {level.MDEntrySize}");
}
}
public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh msg,
SessionID s)
{
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, level);
Console.WriteLine($"Orderbook {level.MDEntryType} @ {msg.Symbol}:");
Console.WriteLine($" Date: {level.MDEntryDate}");
Console.WriteLine($" Time: {level.MDEntryTime}");
Console.WriteLine($" Px: {level.MDEntryPx}");
Console.WriteLine($" Size: {level.MDEntrySize}");
}
}
public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh marketDataSnapshot, SessionID session)
{
MarketPrice marketPrice = new MarketPrice
{
Symbol = marketDataSnapshot.Symbol.getValue()
};
var nomdentries = marketDataSnapshot.NoMDEntries;
// message.GetGroup(1, noMdEntries);
var grp = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
for (int i = 1; i <= nomdentries.getValue(); i++)
{
grp = (QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup)marketDataSnapshot.GetGroup(i, grp);
// var grp = marketDataSnapshot.GetGroup(i, new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup()) as QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup;
MDEntryType priceType = grp.Get(new MDEntryType());
MDEntryPx mdEntryPx = grp.Get(new MDEntryPx());
if (priceType.getValue() == MDEntryType.BID)
{
marketPrice.Bid = mdEntryPx.getValue();
}
else if (priceType.getValue() == MDEntryType.OFFER)
{
marketPrice.Offer = mdEntryPx.getValue();
}
else if (priceType.getValue() == MDEntryType.TRADE)
{
marketPrice.TradedPrice = mdEntryPx.getValue();
}
else if (priceType.getValue() == MDEntryType.TRADING_SESSION_LOW_PRICE)
{
marketPrice.LowPx = mdEntryPx.getValue();
}
else if (priceType.getValue() == MDEntryType.TRADING_SESSION_HIGH_PRICE)
{
marketPrice.HighPx = mdEntryPx.getValue();
}
}
if (OnMarketPrice != null)
{
OnMarketPrice(marketPrice);
}
}
public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh msg, SessionID s)
{
Console.WriteLine($"Received MarketDataSnapshotFullRefresh for {msg.Symbol.getValue()} with {msg.NoMDEntries.getValue()} items.");
//for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
//{
// var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
// msg.GetGroup(idx + 1, level);
// Console.WriteLine($"{level.MDEntryType} @ {msg.Symbol}:");
// Console.WriteLine($" Date: {level.MDEntryDate}");
// Console.WriteLine($" Time: {level.MDEntryTime}");
// Console.WriteLine($" Px: {level.MDEntryPx}");
// Console.WriteLine($" Size: {level.MDEntrySize}");
//}
Console.WriteLine("BIDS:");
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, level);
if (level.MDEntryType.getValue() == MDEntryType.OFFER)
{
continue;
}
Console.WriteLine($"P {level.MDEntryPx} @ S {level.MDEntrySize}");
}
Console.WriteLine("ASKS:");
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, level);
if (level.MDEntryType.getValue() == MDEntryType.BID)
{
continue;
}
Console.WriteLine($"P {level.MDEntryPx} @ S {level.MDEntrySize}");
}
}