/// <summary>
/// Decode price FIX message
/// </summary>
/// <param name="FIXMsg"></param>
/// <returns></returns>
public bool DecodeFIXMessage(IFIXMessage FIXMsg)
{
try
{
IFIXGroup fixCountGroup = FIXMsg.GetGroupByTag(FIXTagConstants.esFIXTagESNoSecurityPositions, null);
if (fixCountGroup != null)
{
for (int i = 0; i < fixCountGroup.get_NumberOfGroups(null); i++)
{
IFIXGroup fixRptGroup = fixCountGroup.GetGroupByIndex(i);
string strMnemonic = fixRptGroup.get_AsString(FIXTagConstants.esFIXTagESTickerMnemonic);
string strSecExchange = fixRptGroup.get_AsString(FIXTagConstants.esFIXTagSecurityExchange);
string strContractGroup = fixRptGroup.get_AsString(FIXTagConstants.esFIXTagESContractGroup);
string strContractGroupOffset = fixRptGroup.get_AsString(FIXTagConstants.esFIXTagESMarginGroupOffset);
Position thePosition;
if (m_Positions.ContainsKey(strMnemonic))
thePosition = m_Positions[strMnemonic];
else
{
thePosition = new Position(m_iAccountID);
thePosition.Symbol = strMnemonic;
m_Positions.Add(strMnemonic, thePosition);
}
thePosition.DecodeFIXGroup(fixRptGroup);
}
}
IFIXGroup group = FIXMsg.GetGroupByTag(FIXTagConstants.esFIXTagESNoSecurityExchanges, null);
if (group != null)
{
int nCount = group.get_NumberOfGroups(null);
for (int i = 0; i < nCount; i++)
{
IFIXGroup singleGroup = group.GetGroupByIndex(i);
string sExchange = singleGroup.get_AsString(FIXTagConstants.esFIXTagSecurityExchange);
AddTicker(sExchange, singleGroup);
}
}
return true;
}
catch (Exception ex)
{
return false;
}
}
/// <summary>
/// Decode price FIX message
/// </summary>
/// <param name="FIXMsg"></param>
/// <param name="bSnapFull"></param>
/// <returns></returns>
public bool DecodeFIX(IFIXMessage FIXMsg,bool bSnapFull)
{
bool bReturn = false;
m_sSymbol = FIXMsg.get_AsString(FIXTagConstants.esFIXTagESTickerMnemonic);
int nTotal = 0;
if (FIXMsg.GetNumber(out nTotal, FIXTagConstants.esFIXTagTotalVolumeTraded))
m_nTotalTradeVolume = nTotal;
IFIXGroup group = FIXMsg.GetGroupByTag(FIXTagConstants.esFIXTagNoMDEntries, null);
if (group != null)
{
int nCount = group.get_NumberOfGroups(null);
for (int i = 0; i < nCount; i++)
{
IFIXGroup singleGroup = group.GetGroupByIndex(i);
string sType = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryType);
int nImplied = singleGroup.get_AsNumber(FIXTagConstants.esFIXTagESMDEntryIsImplied);
string sTime = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryTime);
bReturn = true;
switch (sType)
{
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeBestAsk:
{
switch (nImplied)
{
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromActual:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromActualAndImplied:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromImplied:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestImpliedNoActual:
m_eAskOrderType = (Implied)nImplied;
SetPrice(out m_Ask, singleGroup);
break;
}
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeBestBid:
{
switch (nImplied)
{
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromActual:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromActualAndImplied:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestFromImplied:
case (int)MESSAGEFIX3Lib.FIXESIsImpliedConstants.esFIXESIsImpliedBestImpliedNoActual:
m_eBidOrderType = (Implied)nImplied;
SetPrice(out m_Bid, singleGroup);
break;
}
break;
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeSettlementPrice:
{
int nType = singleGroup.get_AsNumber(FIXTagConstants.esFIXTagOpenCloseSettlementFlag);
MESSAGEFIX3Lib.FIXSettlementFlagConstants type = (MESSAGEFIX3Lib.FIXSettlementFlagConstants)nType;
double dPrice = singleGroup.get_AsDouble(FIXTagConstants.esFIXTagMDEntryPx);
if (type == MESSAGEFIX3Lib.FIXSettlementFlagConstants.esFIXSettlementOpenCloseYesterday)
{
m_dSettlement = dPrice;
m_sSettlementTime = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryTime);
m_sSettlementDate = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryDate);
}
else
{
m_dPrevSettlement = dPrice;
m_sPrevSettlementTime = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryTime);
m_sPrevSettlementDate = singleGroup.get_AsString(FIXTagConstants.esFIXTagMDEntryDate);
}
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeClosingPrice:
{
m_dClose = singleGroup.get_AsDouble(FIXTagConstants.esFIXTagMDEntryPx);
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeTrade:
{
SetPrice(out m_Trade, singleGroup);
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeSessionHighPrice:
{
m_SessionHigh = singleGroup.get_AsDouble(FIXTagConstants.esFIXTagMDEntryPx);
break;
}
case MESSAGEFIX3Lib.FIXMarketDataTypeConstants.esFIXMarketDataTypeSessionLowPrice:
{
m_SessionLow = singleGroup.get_AsDouble(FIXTagConstants.esFIXTagMDEntryPx);
break;
}
}
}
}
m_bSnapshot = bSnapFull;
return bReturn;
}