Exemple #1
0
        public override void onMessage(QuickFix42.MarketDataSnapshotFullRefresh marketDataSnapshotFullRefresh, SessionID sessionID)
        {
            //AddText("marketDataSnapshotFullRefresh " + marketDataSnapshotFullRefresh + Environment.NewLine);

            string exchange = marketDataSnapshotFullRefresh.getSecurityExchange().ToString();
            string symbol = marketDataSnapshotFullRefresh.getSymbol().ToString();

            SpreadMatrixData smd = SpreadMatrixCollection.Get(exchange, symbol);

            if (smd == null) return;

            SpreadMatrixCollection.ProcessMessage(exchange, symbol, marketDataSnapshotFullRefresh);

            SecurityEntry entry = smd.Get(marketDataSnapshotFullRefresh.getSecurityID().getValue());

            //testing order
            //if (entry != null)
            //    ProccessOrder(entry);
        }