// NOTE: In the context of the CME's data platform, a DELETE OrderAction means the deletion of an entire price level
// from the book, not simply the deletion of a single order. Deletions of single
// orders (while the price level remains intact) will be communicated via the
// CHANGE OrderAction.
/// <summary>
/// Removes a price level from the limit order book.
/// </summary>
/// <param name="header"></param>
/// <param name="update"></param>
private void Delete(Header header, MarketDataIncrementalRefresh.RepeatingGroup update)
{
int level = update.MDPriceLevel;
if (update.MDEntryType == MDEntryType.Bid)
{
// TO DO: Find a better way to implement below.
//if (Bid[level].Price != update.MDEntryPx)
//{
// throw new InvalidOperationException("Rebuild operation is attempting to delete a price level (" + update.MDEntryPx + ") that does not exist in the order book!");
//}
ShiftDepthLevelsUp(Bid, header.SendingTime, from: level, to: Depth);
if (level != Depth) return;
Bid[level].Delete(header.SendingTime);
}
else if (update.MDEntryType == MDEntryType.Offer)
{
// TO DO: Find a better way to implement below.
//if (Ask[level].Price != update.MDEntryPx)
//{
// throw new InvalidOperationException("Rebuild operation is attempting to delete a price level (" + update.MDEntryPx + ") that does not exist in the order book!");
//}
ShiftDepthLevelsUp(Ask, header.SendingTime, from: level, to: Depth);
if (level != Depth) return;
Ask[level].Delete(header.SendingTime);
}
}
/// <summary>
/// Applies the current update to the limit order book.
/// </summary>
/// <param name="header"></param>
/// <param name="update"></param>
public void Build(Header header, MarketDataIncrementalRefresh.RepeatingGroup update)
{
if (update.MDUpdateAction == MDUpdateAction.New)
{
New(header, update);
}
else if (update.MDUpdateAction == MDUpdateAction.Change)
{
Change(header, update);
}
else if (update.MDUpdateAction == MDUpdateAction.Delete)
{
Delete(header, update);
}
UpdateTime = header.SendingTime;
}
// NOTE: In the context of the CME's data platform, a CHANGE OrderAction means a change to the aggregate size
// of a pre-existing level. It DOES NOT mean a change to the price of a resting order.
// A change to the price of a resting order would be communicated via a DELETE OrderAction
// at the old price, followed immediately by a NEW OrderAction at the new price.
/// <summary>
/// Modifies a price level which is already displayed in the limit order book.
/// </summary>
/// <param name="header"></param>
/// <param name="update"></param>
private void Change(Header header, MarketDataIncrementalRefresh.RepeatingGroup update)
{
int level = update.MDPriceLevel;
if (update.MDEntryType == MDEntryType.Bid)
{
if (Bid[level].Price == null)
{
New(header, update);
return;
}
Bid[level].Size = update.MDEntrySize;
Bid[level].UpdateTime = header.SendingTime;
Bid[level].NumberOfOrders = update.NumberOfOrders;
}
else if (update.MDEntryType == MDEntryType.Offer)
{
if (Ask[level].Price == null)
{
New(header, update);
return;
}
Ask[level].Size = update.MDEntrySize;
Ask[level].UpdateTime = header.SendingTime;
Ask[level].NumberOfOrders = update.NumberOfOrders;
}
}
// NOTE: In the context of the CME's data platform, a NEW OrderAction means the addition of an entire price level
// to the book, not simply the addition of a single order. Additions of single
// orders (to a pre-existing price level) will be communicated via the
// CHANGE OrderAction.
/// <summary>
/// Inserts a new price level into the limit order book.
/// </summary>
/// <param name="header"></param>
/// <param name="update"></param>
private void New(Header header, MarketDataIncrementalRefresh.RepeatingGroup update)
{
int level = update.MDPriceLevel;
if (update.MDEntryType == MDEntryType.Bid)
{
ShiftDepthLevelsDown(Bid, from: Depth, to: level);
Bid[level].Price = update.MDEntryPx;
Bid[level].Size = update.MDEntrySize;
Bid[level].UpdateTime = header.SendingTime;
Bid[level].NumberOfOrders = update.NumberOfOrders;
}
else if (update.MDEntryType == MDEntryType.Offer)
{
ShiftDepthLevelsDown(Ask, from: Depth, to: level);
Ask[level].Price = update.MDEntryPx;
Ask[level].Size = update.MDEntrySize;
Ask[level].UpdateTime = header.SendingTime;
Ask[level].NumberOfOrders = update.NumberOfOrders;
}
}
public event HeaderEventHandler HeaderParsed = delegate { }; // Initializing to the empty anonymous method will ensure that the event is never null, even if no methods are subscribed to it.
/// <summary>
/// Wrapper around the 'HeaderParsed' event, called when the header of a message has been parsed.
/// </summary>
internal void OnHeaderParsed(Header header)
{
HeaderEventHandler invoker = HeaderParsed;
invoker(header);
}
public event DecodeStatusEventHandler DecodeStarted = delegate { }; // Initializing to the empty anonymous method will ensure that the event is never null, even if no methods are subscribed to it.
/// <summary>
/// Provides methods and properties for decoding FIX messages.
/// </summary>
public Decoder()
{
trailer = new Trailer();
header = new Header(tag, value, trailer, this);
xupdate = new MarketDataIncrementalRefresh(tag, value, trailer, this);
logout = new Logout(tag, value, trailer);
logon = new Logon(tag, value, trailer);
vupdate = new MarketDataRequest(tag, value, trailer);
fupdate = new SecurityStatus(tag, value, trailer);
dupdate = new SecurityDefinition(tag, value, trailer);
rupdate = new QuoteRequest(tag, value, trailer);
wupdate = new MarketDataSnapshotFullRefresh(tag, value, trailer);
message = new Message();
}
/// <summary>
/// Called when the header of a FIX message has been decoded.
/// </summary>
/// <param name="header"></param>
protected virtual void OnHeaderParsed(Header header)
{
this.header = header;
currentTime = header.SendingTime;
RollOrderBooks(currentTime);
messageContainsValidTrade = false;
messageContainsValidQuote = false;
}
