private IEnumerable<NoMDEntriesGroup> GetAllNoMDEntries(QuickFix.FIX42.MarketDataSnapshotFullRefresh msg)
{
int count = message.NoMDEntries.getValue();
QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup repeatingMDItem = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
for (int i = 1; i <= count; i++)
{
message.GetGroup(i, repeatingMDItem);
yield return new NoMDEntriesGroup
{
Symbol = repeatingMDItem.GetField(55),
TickBandNoDecPlaces = int.Parse(repeatingMDItem.GetField(5071)
};
}
}
//Receive market data
public void OnMessage(QuickFix.FIX42.MarketDataSnapshotFullRefresh message, SessionID session)
{
decimal _bidPrice = 0.00M;
decimal _askPrice = 0.00M;
try
{
QuickFix.Group noMDEntriesGrp = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
for (int grpIndex = 1; grpIndex <= message.GetInt(QuickFix.Fields.Tags.NoMDEntries); grpIndex += 1)
{
noMDEntriesGrp = message.GetGroup(grpIndex, QuickFix.Fields.Tags.NoMDEntries);
if (noMDEntriesGrp.IsSetField(QuickFix.Fields.Tags.BidPx))
{
_bidPrice = QuickFix.Fields.Converters.DecimalConverter.Convert(noMDEntriesGrp.GetField(QuickFix.Fields.Tags.BidPx));
}
if (noMDEntriesGrp.IsSetField(QuickFix.Fields.Tags.OfferPx))
{
_askPrice = QuickFix.Fields.Converters.DecimalConverter.Convert(noMDEntriesGrp.GetField(QuickFix.Fields.Tags.OfferPx));
}
}
string SecEx = null;
string symbol = null;
string secID = null;
QuickFix.Fields.SecurityExchange se = new QuickFix.Fields.SecurityExchange();
if (message.IsSetField(se))
{ SecEx = message.GetField(se).ToString(); }
QuickFix.Fields.Symbol s = new QuickFix.Fields.Symbol();
if (message.IsSetField(s))
{ symbol = message.GetField(s).ToString(); }
QuickFix.Fields.SecurityID sid = new QuickFix.Fields.SecurityID();
if (message.IsSetField(sid))
{ secID = message.GetField(sid).ToString(); }
updatePrices(SecEx, symbol, secID, _bidPrice, _askPrice);
}
catch (Exception ex)
{
updateDisplay(string.Format("QuickFIX Error: {0}", System.Reflection.MethodBase.GetCurrentMethod().Name));
log.WriteLog(string.Format("{0} : {1}", System.Reflection.MethodBase.GetCurrentMethod().Name, ex.ToString()));
}
}
