/// <summary>
/// Retrieve ticker information from FIX message
/// </summary>
/// <param name="group"></param>
public void AddDefaults(EASYROUTERCOMCLIENTLib.IFIXGroup group)
{
EASYROUTERCOMCLIENTLib.IFIXGroup defaultGroup = group.GetGroupByTag(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESNoDefaultFields, null);
int nDefaultCount = defaultGroup.get_NumberOfGroups(null);
for (int j = 0; j < nDefaultCount; j++)
{
EASYROUTERCOMCLIENTLib.IFIXGroup singleDefaultGroup = defaultGroup.GetGroupByIndex(j);
//get the defaults
//ESDefaultFieldFIXTag=1
//ESDefaultFieldName=Account
//ESDefaultFieldValue=xxx
//ESDefaultFieldEdit=Y
//ESDefaultFieldDisplay=Account Code
//ESDefaultFieldInputStyle=String
string sTag = singleDefaultGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESDefaultFieldFIXTag);
int nTag = int.Parse(sTag);
string sValue = singleDefaultGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESDefaultFieldValue);
Add(nTag, sValue);
System.Diagnostics.Debug.Print("TICKER DEFAULTS [{0}] = [{1}] [{2}]", m_sExchange, nTag, sValue);
}
}
/// <summary>
/// Get Market mode from FIX Message
/// </summary>
/// <param name="FIXMsg"></param>
/// <returns></returns>
public bool DecodeFIX(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
bool bRetVal = false;
m_sSymbol = FIXMsg.get_AsString(VDMFIXTagConstants.esFIXTagESTickerMnemonic);
EASYROUTERCOMCLIENTLib.IFIXGroup group = FIXMsg.GetGroupByTag(VDMFIXTagConstants.esFIXTagESNoTradingStatus, null);
if (group != null)
{
int nCount = group.get_NumberOfGroups(null);
for (int i = 0; i < nCount; i++)
{
EASYROUTERCOMCLIENTLib.IFIXGroup singleGroup = group.GetGroupByIndex(i);
int nStatus = singleGroup.get_AsNumber(VDMFIXTagConstants.esFIXTagSecurityTradingStatus);
VDMFIXSecurityTradingStatusConstants constant = (VDMFIXSecurityTradingStatusConstants)nStatus;
m_status.Add(constant);
}
if(m_status.Count > 0)
bRetVal = true;
}
return bRetVal;
}
/// <summary>
/// Additional instrument data
/// </summary>
/// <param name="FIXMsg"></param>
public void AdditonalUpdates(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
EASYROUTERCOMCLIENTLib.IFIXGroup defaultGroup = FIXMsg.GetGroupByTag(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagNoRelatedSym, null);
string sSecurityID = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityID);
if (sSecurityID != string.Empty)
m_sSecurityID = sSecurityID;
string sIDSource = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagIDSource);
if (sSecurityID != string.Empty)
m_sSecurityID = sSecurityID;
string sMDExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESMarketDataSecurityExchange);
if (sMDExchange != string.Empty)
m_sMDExchange = sMDExchange;
if (defaultGroup != null)
{
int nDefaultCount = defaultGroup.get_NumberOfGroups(null);
int nEarliestYearMonth = 0;
string sUnderlyingMnemonic = string.Empty;
string sUnderlyingCFICode = string.Empty;
string sUnderlyingSymbol = string.Empty;
string sUnderlyingCurrency = string.Empty;
string sUnderlyingOppCurrency = string.Empty;
double dUnderlyingUnitTickValue = 0.0;
int nYearMonth = 0;
int nOptionType = -1;
for (int j = 0; j < nDefaultCount; j++)
{
EASYROUTERCOMCLIENTLib.IFIXGroup singleDefaultGroup = defaultGroup.GetGroupByIndex(j);
if (singleDefaultGroup.HasGroup(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnderlyingExpiryYearMonth))
{
string sYearMonth = singleDefaultGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnderlyingExpiryYearMonth);
nYearMonth = int.Parse(sYearMonth);
if ((nEarliestYearMonth == 0) || (nYearMonth < nEarliestYearMonth))
{
nEarliestYearMonth = nYearMonth;
sUnderlyingMnemonic = singleDefaultGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnderlyingLegTickerMnemonic);
sUnderlyingCFICode = singleDefaultGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagCFICode);
sUnderlyingSymbol = singleDefaultGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagUnderlyingSymbol);
sUnderlyingCurrency = singleDefaultGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagUnderlyingCurrency);
sUnderlyingOppCurrency = singleDefaultGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnderlyingOppCurrency);
dUnderlyingUnitTickValue = singleDefaultGroup.get_AsDouble(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnitTickValue);
nOptionType = singleDefaultGroup.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagUnderlyingPutOrCall);
//Get Month
m_nMonth = int.Parse(sYearMonth.Substring(4,2));
//Get Year
m_nYear = int.Parse(sYearMonth.Substring(0,4));
}
}
}
//if(sUnderlyingMnemonic != string.Empty)
if (sUnderlyingCFICode != string.Empty)
m_sCFICode = sUnderlyingCFICode;
//if(sUnderlyingSymbol != string.Empty)
if (sUnderlyingCurrency != string.Empty)
m_sCurrency = sUnderlyingCurrency;
//if(sUnderlyingOppCurrency != string.Empty)
if (dUnderlyingUnitTickValue != 0.0)
m_dUnitTickValue = dUnderlyingUnitTickValue;
if (nOptionType != -1)
m_nOptionType = nOptionType;
}
}
/// <summary>
/// handle structure update
/// </summary>
/// <param name="FIXMsg"></param>
public void ReceiveStructureUpdate(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
m_bSubscribedAdditionalInfo = true;
int nNumber = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESDecimalPlaces);
int nPrefRiskValue = 0;
if (FIXMsg.GetNumber(out nPrefRiskValue, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESPreferredRiskArrayType))
m_nFIXTagESPreferredRiskArrayType = nPrefRiskValue;
if(nNumber != 0)
m_nESDecimalPlaces = nNumber;
double dPriceMovement = 0.0;
if (FIXMsg.GetDouble(out dPriceMovement, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESPriceMovement ))
m_nFIXTagESPreferredRiskArrayType = nPrefRiskValue;
if (dPriceMovement != 0)
m_dPriceMovement = dPriceMovement;
string sStrategyCode = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESStrategyCode);
if (sStrategyCode != string.Empty)
m_sStrategyCode = sStrategyCode;
string sSecurityID = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityID);
if (sSecurityID != string.Empty)
m_sSecurityID = sSecurityID;
string sIDSource = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagIDSource);
if (sIDSource != string.Empty)
m_sIDSource = sIDSource;
string sCombinedCommodityCode = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESCombinedCommodityCode);
if (sCombinedCommodityCode != string.Empty)
m_sCombinedCommodityCode = sCombinedCommodityCode;
string sClearingHouse = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESClearingHouse);
if (sClearingHouse != string.Empty)
{
m_sClearingHouse = sClearingHouse;
System.Diagnostics.Debug.WriteLine(this.ESTickerMnemonic + " " + m_sClearingHouse);
}
int nOptionType = 0;
if (FIXMsg.GetNumber(out nOptionType, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagPutOrCall))
{
//defaults to 1 - call if never here
m_nOptionType = nOptionType;
}
//RISK ARRAYS
string sRiskArray = string.Empty;
int nRiskArrayType = 0;
if (FIXMsg.HasGroup(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESNoRiskArrays))
{
EASYROUTERCOMCLIENTLib.IFIXGroup defaultGroup = FIXMsg.GetGroupByTag(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESNoRiskArrays, null);
if (defaultGroup != null)
{
int nDefaultCount = defaultGroup.get_NumberOfGroups(null);
for (int j = 0; j < nDefaultCount; j++)
{
EASYROUTERCOMCLIENTLib.IFIXGroup singleDefaultGroup = defaultGroup.GetGroupByIndex(j);
int nValue = singleDefaultGroup.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESRiskArrayType);
if (nValue != nRiskArrayType)
{
CreateRiskArray(nValue, sRiskArray);
nRiskArrayType = nValue;
}
string sValue = singleDefaultGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESRiskArrayValue);
if (sValue != null)
{
sRiskArray = sRiskArray + sValue + "\\";
}
}
}
}
CreateRiskArray(nRiskArrayType, sRiskArray);
}
/// <summary>
/// Get Process Account Details from FIX message
/// </summary>
/// <param name="FIXMsg"></param>
public void ProcessAccount(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
//repeats ESNoSecurityExchanges=2
m_nAccountID = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESAccountID);
m_sAccountName = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESAccountName);
bool bHasGroup = FIXMsg.HasGroup(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESNoSecurityExchanges);
//note pass null
EASYROUTERCOMCLIENTLib.IFIXGroup group = FIXMsg.GetGroupByTag(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESNoSecurityExchanges, null);
if (group != null)
{
int nCount = group.get_NumberOfGroups(null);
for(int i = 0; i < nCount; i++)
{
EASYROUTERCOMCLIENTLib.IFIXGroup singleGroup = group.GetGroupByIndex(i);
string sExchange = singleGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityExchange);
AddTicker(sExchange, singleGroup);
}
}
}
