public void SecurityListclassTest()
{
var assetPairs = privateApi.Assets.GetAssetPairs().GetResponseObject().FindAll(a => a.IsDisabled == false);
var validAssets = privateApi.Assets.GetAssets(false).GetResponseObject().
FindAll(a => a.IsDisabled == false).FindAll(a => a.IsTradable == true);
assetPairs = assetPairs.FindAll(a =>
a.IsDisabled == false
).FindAll(a =>
validAssets.Any(va => va.Id == a.BaseAssetId)
).FindAll(a =>
validAssets.Any(va => va.Id == a.QuotingAssetId)
);
var m = new SecurityListRequest
{
SecurityReqID = new SecurityReqID("42"),
SecurityListRequestType = new SecurityListRequestType(SecurityListRequestType.SYMBOL)
};
fixClient.Send(m);
var response = fixClient.GetResponse <SecurityList>();
Assert.That(response, Is.Not.Null);
var sList = response.ToString();
Assert.Multiple(() =>
{
assetPairs.ForEach(a => Assert.That(sList, Does.Contain(a.Id), $"Security list does not contain asset pair {a.Id}"));
});
}
/**
* Envia a mensagem FIX de SecurityListRequest, solicitando a lista de
* todos os instrumentos do sinal de difusão BM&F.
*
*/
private void solicitaListaInstrumentos()
{
SecurityListRequest mensagemFIX = new SecurityListRequest();
mensagemFIX.setField(
new SecurityReqID(sessao.getSenderCompID()));
mensagemFIX.setField(
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES));
mensagemFIX.setField(
new SecurityListRequestType(SecurityListRequestType.ALL_SECURITIES));
mensagemFIX.getHeader().setField(
new SenderCompID(sessao.getSenderCompID()));
mensagemFIX.getHeader().setField(
new TargetCompID(sessao.getTargetCompID()));
try
{
logger.Info("Requisita lista de todos os instrumentos");
Session.sendToTarget(mensagemFIX, sessao);
}
catch (SessionNotFound e)
{
logger.Error("Sessao invalida: " + e.Message);
}
}
public void CancelarAssinaturaSecurityListConflated(string securityType, string product, string cfiCode, string securityReqID)
{
try
{
logger.InfoFormat("Cancelando SecurityList Product [{0}] Type [{1}] CFI[{2}] ReqID [{3}]",
product, securityType, cfiCode, securityReqID);
QuickFix.FIX44.SecurityListRequest secListReq = new SecurityListRequest();
if (!String.IsNullOrEmpty(product))
{
secListReq.Product = new QuickFix.Fields.Product(Convert.ToInt32(product));
}
if (!String.IsNullOrEmpty(securityType))
{
secListReq.SecurityType = new QuickFix.Fields.SecurityType(securityType);
}
if (!String.IsNullOrEmpty(cfiCode))
{
secListReq.CFICode = new QuickFix.Fields.CFICode(cfiCode);
}
secListReq.SecurityReqID = new QuickFix.Fields.SecurityReqID(securityReqID);
secListReq.SubscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType(QuickFix.Fields.SubscriptionRequestType.DISABLE_PREVIOUS); // unsubscribe
Session.SendToTarget(secListReq, _session);
}
catch (Exception ex)
{
logger.Error("CancelarAssinaturaSecurityListConflated: " + ex.Message, ex);
}
}
public void RequestSecurityList(object state)
{
try
{
// So pra teste, aguarda 5 segundo antes de enviar request
Thread.Sleep(15000);
if (_secListMarketRequested < _channelUmdfConfig.Markets.Count)
{
QuickFix.SessionID session = (QuickFix.SessionID)state;
ConflatedSecurityList secList = _channelUmdfConfig.Markets[_secListMarketRequested];
logger.Info("Requisitando SecurityList Market [" + secList.Product + "] Type [" + secList.SecurityType + "]");
QuickFix.FIX44.SecurityListRequest secListReq = new SecurityListRequest();
secListReq.Product = new QuickFix.Fields.Product(Convert.ToInt32(secList.Product)); //EQUITIES
secListReq.SubscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType('1'); // Subscribe + update
secListReq.SecurityReqID = new QuickFix.Fields.SecurityReqID(secList.SecurityReqIDPrefix + DateTime.Now.ToString("yyyyMMddHHmmssfff"));
secListReq.SecurityType = new QuickFix.Fields.SecurityType(secList.SecurityType);
Session.SendToTarget(secListReq, session);
_secListMarketRequested++;
}
}
catch (Exception ex)
{
logger.Error("RequestSecurityList: " + ex.Message, ex);
}
}
/// <summary>
/// Creates and returns a new <see cref="SecurityListRequest"/> FIX message for all symbols.
/// </summary>
/// <param name="timeNow">The time now.</param>
/// <param name="subscribe">The flag indicating whether updates should be subscribed to.</param>
/// <returns>The FIX message.</returns>
public static SecurityListRequest Create(ZonedDateTime timeNow, bool subscribe = true)
{
Debug.NotDefault(timeNow, nameof(timeNow));
var message = new SecurityListRequest();
message.SetField(new SecurityReqID($"SLR_{timeNow.TickOfDay.ToString()}"));
message.SetField(new SecurityListRequestType(SecurityListRequestType.ALL_SECURITIES));
message.SetField(subscribe is true
? new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES)
: new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT));
return(message);
}
private void PublishSecurityListRequest()
{
using (IConnection connection = queueConnectionFactory.CreateConnection())
{
using (IModel channel = connection.CreateModel())
{
channel.CreateQueueIfNotExists(Queues.SecurityListRequestQueue);
var message = new SecurityListRequest()
{
RequestDate = DateTime.Today, MessageId = Guid.NewGuid().ToString()
};
channel.PublishMessageOnQueue(message, Queues.SecurityListRequestQueue);
logger.Log(LogLevel.Info, $"SecurityListRequest has been sent: RequestDate {message.RequestDate.Date}, MessageId {message.MessageId}");
}
}
}
public string EnviarAssinaturaSecurityListConflated(string securityType, string product, string cfiCode)
{
string seqlistReqID = "SECLST";
try
{
logger.InfoFormat("Requisitando SecurityList Product [{0}] Type [{1}] CFI[{2}]",
product, securityType, cfiCode);
QuickFix.FIX44.SecurityListRequest secListReq = new SecurityListRequest();
if (!String.IsNullOrEmpty(product) && !product.Equals("0"))
{
secListReq.Product = new QuickFix.Fields.Product(Convert.ToInt32(product));
seqlistReqID += "-" + product;
}
if (!String.IsNullOrEmpty(securityType))
{
secListReq.SecurityType = new QuickFix.Fields.SecurityType(securityType);
seqlistReqID += "-" + securityType;
}
if (!String.IsNullOrEmpty(cfiCode))
{
secListReq.CFICode = new QuickFix.Fields.CFICode(cfiCode);
seqlistReqID += "-" + cfiCode;
}
seqlistReqID += "-" + DateTime.Now.ToString("yyyyMMddHHmmssfff");
secListReq.SecurityReqID = new QuickFix.Fields.SecurityReqID(seqlistReqID);
secListReq.SubscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType('1'); // Subscribe + update
Session.SendToTarget(secListReq, _session);
}
catch (Exception ex)
{
logger.Error("EnviarAssinaturaSecurityListConflated: " + ex.Message, ex);
}
return(seqlistReqID);
}
public virtual void onMessage(SecurityListRequest message, QuickFix.SessionID session)
{
throw new QuickFix.UnsupportedMessageType();
}
static void Main(string[] args)
{
TestFixApp testFixApp = new TestFixApp(args.FirstOrDefault());
testFixApp.Start();
Account account = new Account("54b97c9e-202b-11b2-be90-529049f1f1bb");
ClOrdID clOrdId = new ClOrdID(Guid.NewGuid().ToString());
Symbol symbol = new Symbol("BTC/USD");
Side side = new Side(Side.BUY);
#region SecurityListRequest
SecurityListRequest securityListRequest = new SecurityListRequest(
new SecurityReqID(Guid.NewGuid().ToString()),
new SecurityListRequestType(SecurityListRequestType.SYMBOL)
)
{
Symbol = symbol
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(securityListRequest);
testFixApp.WaitResponces(1);
#endregion SecurityListRequest
#region MarketDataRequest
MarketDataRequest marketDataRequest = new MarketDataRequest(
new MDReqID(Guid.NewGuid().ToString()),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT),
new MarketDepth(5))
{
MDUpdateType = new MDUpdateType(MDUpdateType.FULL_REFRESH),
};
var bid = new MarketDataRequest.NoMDEntryTypesGroup()
{
MDEntryType = new MDEntryType(MDEntryType.BID)
};
var ask = new MarketDataRequest.NoMDEntryTypesGroup()
{
MDEntryType = new MDEntryType(MDEntryType.OFFER)
};
var symGroup = new MarketDataRequest.NoRelatedSymGroup
{
Symbol = symbol
};
marketDataRequest.AddGroup(bid);
marketDataRequest.AddGroup(ask);
marketDataRequest.AddGroup(symGroup);
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(marketDataRequest);
testFixApp.WaitResponces(1);
#endregion MarketDataRequest
#region NewOrderSingle
NewOrderSingle newOrderSingle = new NewOrderSingle(
clOrdId,
symbol,
side,
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT))
{
OrderQty = new OrderQty(0.1m),
Price = new Price(1m),
Account = account,
AcctIDSource = new AcctIDSource(AcctIDSource.OTHER)
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(newOrderSingle);
testFixApp.WaitResponces(2);
#endregion NewOrderSingle
#region OrderCancelReplaceRequest
OrderCancelReplaceRequest orderCancelReplaceRequest = new OrderCancelReplaceRequest(
new OrigClOrdID(clOrdId.ToString()),
clOrdId = new ClOrdID(Guid.NewGuid().ToString()),
symbol,
side,
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT))
{
Price = new Price(2m),
OrderQty = new OrderQty(0.2m)
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderCancelReplaceRequest);
testFixApp.WaitResponces(2);
#endregion OrderCancelReplaceRequest
#region OrderStatusRequest
OrderStatusRequest orderStatusRequest = new OrderStatusRequest(
clOrdId,
symbol,
side
);
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderStatusRequest);
testFixApp.WaitResponces(1);
#endregion OrderStatusRequest
#region OrderCancelRequest
OrderCancelRequest orderCancelRequest = new OrderCancelRequest(
new OrigClOrdID(clOrdId.ToString()),
new ClOrdID(Guid.NewGuid().ToString()),
symbol,
side,
new TransactTime(DateTime.Now)
)
{
OrderQty = new OrderQty(0.1m)
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderCancelRequest);
testFixApp.WaitResponces(3);
#endregion region OrderCancelRequest
#region OrderMassStatusRequest
OrderMassStatusRequest orderMassStatusRequest = new OrderMassStatusRequest(
new MassStatusReqID(Guid.NewGuid().ToString()),
new MassStatusReqType(MassStatusReqType.STATUS_FOR_ALL_ORDERS))
{
Side = side,
Symbol = symbol
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderMassStatusRequest);
#endregion OrderMassStatusRequest
Console.WriteLine("Press enter to exit");
Console.ReadLine();
testFixApp.Stop();
}
