/// <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>
/// handle component status events
/// </summary>
/// <param name="FIXMsg"></param>
void UpdateComponentStatus(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
string sModule = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentModule);
int nModule = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentChannel);
string sCategory = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentCategory);
if (sModule != RouterModule && nModule != RouterChannel)
{
SecurityExchange exchange = m_InstrumentManager.GetSecurityExchange(sModule);
if (exchange != null)
{
string strExchangeDesc = exchange.ExchangeDesc;
if ((sCategory == MESSAGEFIX3Lib.FIXComponentCategoryConstants.esFIXComponentCategoryOrders) ||
(sCategory == MESSAGEFIX3Lib.FIXComponentCategoryConstants.esFIXComponentCategoryPricesDepth) ||
(sCategory == MESSAGEFIX3Lib.FIXComponentCategoryConstants.esFIXComponentCategoryPricesBest) ||
(sCategory == MESSAGEFIX3Lib.FIXComponentCategoryConstants.esFIXComponentCategoryStructure))
{
int nTotalActive = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentTotalActive);
int nTotalWaiting = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentTotalActive);
int nTotalInactive = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentTotalWaiting);
int nTotalStale = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentTotalStale);
ComponentStatusArgs args = new ComponentStatusArgs(sCategory,sModule,exchange.ExchangeDesc);
args.SetStatus(nTotalActive, nTotalWaiting, nTotalInactive);
if(RecvExchangeStatusMsgEvent!=null)
{
RecvExchangeStatusMsgEvent(this, args);
}
}
}
}
}
/// <summary>
/// handle structre data
/// </summary>
/// <param name="FIXMsg"></param>
void m_Router_RecvStructureMsg(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
string sType = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityResponseType);
if (sType == MESSAGEFIX3Lib.FIXSecurityResponseTypeConstants.esFIXSecurityResponseTypeReturnESExchanges)
{
ESExchange esexchange = m_InstrumentManager.HandleESExchangeUpdate(FIXMsg);
string sExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityExchange);
string sESExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESExchange);
System.Diagnostics.Debug.WriteLine("SEC DEF V EXCHANGE = " + sExchange + " ESEXCHANGE = " + sESExchange);
if (RecvStructuredMsgEvent != null && esexchange != null)
RecvStructuredMsgEvent(this, esexchange);
if (esexchange != null)
{
if (m_bEnableAutoSubcription)
{
if (esexchange.Subscribed == false)
{
RequestStructure(sExchange, sESExchange);
m_subscriptionMap.Add(sExchange + sESExchange, null);
esexchange.Subscribed = true;
}
}
}
}
else if (sType == MESSAGEFIX3Lib.FIXSecurityResponseTypeConstants.esFIXSecurityResponseTypeReturnSecurityExchanges)
{
//Security
SecurityExchange exchange = m_InstrumentManager.HandleSecurityUpdate(FIXMsg);
//string sExchange = FIXMsg.get_AsString(FIXTagConstants.esFIXTagSecurityExchange);
//string sExchangeDesc = FIXMsg.get_AsString(FIXTagConstants.esFIXTagESSecurityExchangeDesc);
//System.Diagnostics.Debug.WriteLine("SEC DEF U MESSAGE EXCHANGE = " + sExchange + " DESCRIPTION = " + sExchangeDesc);
if (RecvStructuredMsgEvent != null && exchange != null)
RecvStructuredMsgEvent(this, exchange);
return;
}
else if (sType == MESSAGEFIX3Lib.FIXSecurityResponseTypeConstants.esFIXSecurityResponseTypeEndOfSecurityResponses)
{
//Completion
m_InstrumentManager.HandleCompletionUpdate(FIXMsg);
if (RecvStructuredMsgEvent != null)
RecvStructuredMsgEvent(this, new StructureDataEventArg(StructureDataType.EndOfResponses));
//string sExchange = FIXMsg.get_AsString(FIXTagConstants.esFIXTagSecurityExchange);
//System.Diagnostics.Debug.WriteLine("SEC DEF X MESSAGE COMPLETION EXCHANGE = " + sExchange);
return;
}
else if (sType == MESSAGEFIX3Lib.FIXSecurityResponseTypeConstants.esFIXSecurityResponseTypeReturnSymbols)
{
CommoditySymbol commodity = m_InstrumentManager.HandleCommodityUpdate(FIXMsg);
//string sExchange = FIXMsg.get_AsString(FIXTagConstants.esFIXTagSecurityExchange);
//string sESExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESExchange);
//string sSymbol = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSymbol);
//string sSecurityType = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityType);
//System.Diagnostics.Debug.WriteLine("SEC DEF W MESSAGE COMPLETION EXCHANGE = " + sExchange + " Es Exchange = " + sESExchange + " Symbol = " + sSymbol);
if (RecvStructuredMsgEvent != null && commodity != null)
RecvStructuredMsgEvent(this, commodity);
//hack for OPT
//if (commodity.CommodityObj.CommodityCode == "OPT")
if (m_bEnableAutoSubcription)
{
if (commodity != null)
{
string sKey = commodity.ToString();//sExchange + sESExchange + sSymbol + sSecurityType;
if (commodity.Subscribed != true)
{
//RequestStructure(sExchange, sESExchange, sSymbol, sSecurityType);
RequestStructure(commodity.Exchange, commodity.ESExchange, commodity.CommoditySymbolCode, commodity.CommodityObj.CommodityCode);
commodity.Subscribed = true;
}
}
}
}
else if (sType == MESSAGEFIX3Lib.FIXSecurityResponseTypeConstants.esFIXSecurityResponseTypeReturnSecurities)
{
TEInstrument instrument = m_InstrumentManager.HandleTEInstrumentUpdate(FIXMsg);
if (instrument != null)
{
if (RecvStructuredMsgEvent != null)
RecvStructuredMsgEvent(this, instrument);
//Get price
if (instrument.SubscribedAdditional == false)
instrument.RequestStructure(this);
//request price
if(m_bEnableAutoPriceSubcription == true)
m_Router.SendMarketDataRequest(instrument.SecurityExchange, instrument.ESTickerMnemonic, EFIXValueSubscriptionRequestType.eSubscriptionSubscribe, SubscribeAll);
}
}
string sTicker = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESTickerMnemonic);
if (sTicker != null)
{
if (sTicker.Length > 0)
{
System.Diagnostics.Debug.WriteLine("SEC DEF MESSAGE TE = " + sTicker);
string sSecurityType = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityResponseType);
if (sSecurityType != null)
{
if (sSecurityType == MESSAGEFIX3Lib.FIXSecurityResponseTypeConstants.esFIXSecurityResponseTypeRelationshipUpdate)
{
//update
System.Diagnostics.Debug.WriteLine("SEC DEF MESSAGE TE = " + sTicker);
string sESTickerMnemonic = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESTickerMnemonic);
TEInstrument instrument = m_InstrumentManager.GetDirectTE(sESTickerMnemonic);
if (instrument != null)
{
instrument.ReceiveStructureUpdate(FIXMsg);
}
}
}
}
}
}
/// <summary>
/// Recieves Account Message
/// </summary>
/// <param name="FIXMsg"></param>
void m_Router_RecvOrderMsg(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
EASYROUTERCOMCLIENTLib.FIXMsgConstants type = FIXMsg.MsgType;
switch (type)
{
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgESAccount:
//System.Diagnostics.Debug.WriteLine(EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgESAccount.ToString());
//m_ERUser.ProcessAccount(FIXMsg);
m_AccountManagement.DecodeFIX((MESSAGEFIX3Lib.IFIXMessage)FIXMsg);
break;
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgOrderCancelReject:
{
//System.Diagnostics.Debug.WriteLine(EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgOrderCancelReject.ToString());
OrderInfo order = m_OrderManagement.ProcessOrderCancelReject(FIXMsg);
if (order != null && RecvOrderMsgEvent != null)
RecvOrderMsgEvent(this, order);
break;
}
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgExecutionReport:
{
//System.Diagnostics.Debug.WriteLine(EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgExecutionReport.ToString());
OrderInfo order = m_OrderManagement.ProcessExecutionReport(FIXMsg);
if (order != null && RecvOrderMsgEvent != null)
RecvOrderMsgEvent(this, order);
break;
}
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgESRiskAccount:
{
//System.Diagnostics.Debug.WriteLine(EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgESRiskAccount.ToString());
m_AccountManagement.DecodeFIX((MESSAGEFIX3Lib.IFIXMessage)FIXMsg);
if (RecvRiskMsgEvent != null)
{
foreach (KeyValuePair<long, Account> kvp in m_AccountManagement)
{
Account theAccount = kvp.Value;
if (theAccount.IsDirty)
{
RecvRiskMsgEvent(this, theAccount);
theAccount.IsDirty = false;
}
foreach (KeyValuePair<string, Position> kvp2 in theAccount.Positions)
{
Position thePosition = kvp2.Value;
if (thePosition.IsDirty)
{
RecvRiskMsgEvent(this, thePosition);
theAccount.IsDirty = false;
}
}
}
}
break;
}
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgESPosition:
{
//System.Diagnostics.Debug.WriteLine(EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgESPosition.ToString());
m_AccountManagement.DecodeFIX((MESSAGEFIX3Lib.IFIXMessage)FIXMsg);
if (RecvRiskMsgEvent != null)
{
foreach (KeyValuePair<long, Account> kvp in m_AccountManagement)
{
Account theAccount = kvp.Value;
if (theAccount.IsDirty)
{
RecvRiskMsgEvent(this, theAccount);
theAccount.IsDirty = false;
}
foreach (KeyValuePair<string, Position> kvp2 in theAccount.Positions)
{
Position thePosition = kvp2.Value;
if (thePosition.IsDirty)
{
RecvRiskMsgEvent(this, thePosition);
theAccount.IsDirty = false;
}
}
}
}
break;
}
default:
System.Diagnostics.Debug.WriteLine(EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgESAccount.ToString());
break;
}
}
/// <summary>
/// recieve market update
/// </summary>
/// <param name="FIXMsg"></param>
void m_Router_RecvMarketDataMsg(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
EASYROUTERCOMCLIENTLib.FIXMsgConstants type = FIXMsg.MsgType;
switch(type)
{
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgMarketDataSnapFull:
{
TradeData data = m_PriceManagement.ProcessPrice(FIXMsg, true);
if (RecvPriceMsgEvent != null)
RecvPriceMsgEvent(this, data);
data = null;
break;
}
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgMarketDataSnapInc:
{
TradeData data = m_PriceManagement.ProcessPrice(FIXMsg, true);
if (RecvPriceMsgEvent != null)
RecvPriceMsgEvent(this, data);
data = null;
break;
}
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgSecuritySts:
{
SecurityStatus data = new SecurityStatus();
if (data.DecodeFIX(FIXMsg))
{
TEInstrument instrument = m_InstrumentManager.GetDirectTE(data.Symbol);
if(instrument != null)
{
instrument.SecurityStatus = null;
instrument.SecurityStatus = data;
}
if (RecvPriceMsgEvent != null)
{
RecvPriceMsgEvent(this, data);
}
}
data = null;
}
break;
default:
break;
}
}
/// <summary>
/// Recieve account and logon message
/// </summary>
/// <param name="FIXMsg"></param>
void m_Router_RecvGeneralMsg(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
EASYROUTERCOMCLIENTLib.FIXMsgConstants type = FIXMsg.MsgType;
switch (type)
{
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgESAccount:
System.Diagnostics.Debug.WriteLine(type.ToString());
break;
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgLogon:
{
Logon logon = new Logon();
if(FIXMsg.HasGroup(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagText))
{
string sMessage = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagText);
string[] split = sMessage.Split('|');
if (split.Length > 0)
logon.Error = split[0];
else
logon.Error = "Logon Error Undefined";
logon.ErrorCode = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESLogonFailureCode);
logon.LoggedOn = false;
}
else
{
System.Diagnostics.Trace.WriteLine(type.ToString());
RequestStructure("0");
logon.LoggedOn = true;
LoadSystemSettings();
}
logon.ConnectionType = (Logon.ConnectionTypes)FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESEasyRouterType);
logon.ConnectionDescription = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESEasyRouterDesc);
if (RecvGeneralMsgEvent != null)
RecvGeneralMsgEvent(this, logon);
break;
}
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgEHControl:
break;
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgESComponentStatus:
UpdateComponentStatus(FIXMsg);
break;
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgLogout:
{
Logon logoff = new Logon();
logoff.Error = "Successfully Logged Out";
logoff.LoggedOn = false;
logoff.LoggedOff = true;
if (RecvGeneralMsgEvent != null)
RecvGeneralMsgEvent(this, logoff);
break;
}
default:
System.Diagnostics.Debug.WriteLine(type.ToString());
break;
}
}
//TODO: [15/04/07] YKC - Renable when decide what to do with completions
//int m_nSecurityCompletion = 0;
//int m_nESExchangeCompletion = 0;
//int m_nTEInstrumentCompletion = 0;
//int m_nCommodityCompletion = 0;
/// <summary>
///
/// </summary>
/// <returns></returns>
public bool HandleCompletionUpdate(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
//TODO: [15/04/07] YKC - Renable when decide what to do with completions
//m_nSecurityCompletion = 0;
//m_nESExchangeCompletion = 0;
//m_nTEInstrumentCompletion = 0;
//m_nCommodityCompletion = 0;
string sExchange = string.Empty;
if (FIXMsg.GetString(out sExchange,FIXTagConstants.esFIXTagSecurityExchange))
{
//has security
string sESExchange = string.Empty;
if (FIXMsg.GetString(out sESExchange,FIXTagConstants.esFIXTagESExchange))
{
//has esexchange
string sSecurityType = string.Empty;
if(FIXMsg.GetString(out sSecurityType,FIXTagConstants.esFIXTagSecurityType))
{
string sSymbol = string.Empty;
if (FIXMsg.GetString(out sSymbol, FIXTagConstants.esFIXTagSymbol))
{
string sESTickerMnemonic = string.Empty;
if (FIXMsg.GetString(out sESTickerMnemonic, FIXTagConstants.esFIXTagESTickerMnemonic))
{
System.Diagnostics.Debug.WriteLine(string.Format("COMPLETION [{0}][{1}][{2}][{3}][{4}]", sExchange, sESExchange, sSecurityType, sSymbol, sESTickerMnemonic));
}
else
{
System.Diagnostics.Debug.WriteLine(string.Format("COMPLETION [{0}][{1}][{2}][{3}]", sExchange, sESExchange, sSecurityType,sSymbol ));
}
}
else
{
System.Diagnostics.Debug.WriteLine(string.Format("COMPLETION [{0}][{1}][{2}]", sExchange, sESExchange, sSecurityType));
}
}
else
{
System.Diagnostics.Debug.WriteLine(string.Format("COMPLETION [{0}][{1}]",sExchange,sESExchange));
}
}
else
{
System.Diagnostics.Debug.WriteLine(string.Format("COMPLETION [{0}]",sExchange));
}
}
else
{
//Completion
System.Diagnostics.Debug.WriteLine("COMPLETION [Unknown]");
}
return true;
}
/// <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>
/// Parse msg for instrument data
/// </summary>
/// <param name="FIXMsg"></param>
/// <returns></returns>
public bool ParseFIX(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
try
{
//exchaange
string sExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityExchange);
//Esexchange
string sESExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESExchange);
//type of instrument
string sSecurityType = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityType);
//commodity symbol
string sSymbol = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSymbol);
//easyscreen TE symbol
string sESTickerMnemonic = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESTickerMnemonic);
string sESTickerDesc = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESTickerDesc);
//exchange code
string sTickerSymbol = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESTickerSymbol);
int nESOrderType = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESSupportPriceType);
int nESTimeType = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESSupportTimeType);
bool bESSupportEdit = FIXMsg.get_AsBoolean(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESSupportEdit);
int lESPriceFormatCode = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESPriceFormatCode);
m_sSymbol = sSymbol;
m_sESTickerMnemonic = sESTickerMnemonic;
m_sESTickerDesc = sESTickerDesc;
m_sESTickerSymbol = sTickerSymbol;
m_eOrderType = (OrderType)nESOrderType;
m_eTimeType = (TimeInForce)nESTimeType;
m_bESSupportEdit = bESSupportEdit;
m_lESPriceFormatCode = lESPriceFormatCode;
int nOptionType = 0;
if(FIXMsg.GetNumber(out nOptionType,EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagPutOrCall))
{
//defaults to 1 - call if never here
m_nOptionType = nOptionType;
}
m_sCFICode = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagCFICode);
m_sCurrency = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagCurrency);
m_dUnitTickValue = FIXMsg.get_AsDouble(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnitTickValue);
m_dCompositeDelta = FIXMsg.get_AsDouble(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESCompositeDelta);
m_dESShortOptAdjust = FIXMsg.get_AsDouble(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESShortOptAdjust);
m_nESDecimalPlaces = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESDecimalPlaces);
AdditonalUpdates(FIXMsg);
}
catch(Exception)
{
return false;
}
return true;
}
/// <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>
/// 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);
}
}
}
/// <summary>
/// Add Ticker defaults for this account
/// </summary>
/// <param name="sExchange"></param>
/// <param name="group"></param>
public void AddTicker(string sExchange, EASYROUTERCOMCLIENTLib.IFIXGroup group)
{
if(!m_TickerMap.ContainsKey(sExchange))
{
TickerDefaults temp = new TickerDefaults(sExchange);
temp.AddDefaults(group);
m_TickerMap.Add(sExchange,temp);
}
}
