/// <summary>
/// genera un mensaje especifico para Dukascopy
/// </summary>
/// <param name="ticker"></param>
/// <param name="subscriptionRequestType"></param>
public static void UpdateFeedSubscription(string ticker, SubscriptionRequestType subscriptionRequestType)
{
int topOfBook = 1;
QuickFix44.MarketDataRequest message =
new QuickFix44.MarketDataRequest(
new MDReqID("1"),
subscriptionRequestType,
new MarketDepth(topOfBook));
QuickFix44.MarketDataRequest.NoRelatedSym tickersGroup = new QuickFix44.MarketDataRequest.NoRelatedSym();
tickersGroup.set(new QuickFix.Symbol(ticker));
message.addGroup(tickersGroup);
QuickFix44.MarketDataRequest.NoMDEntryTypes sidesGroup = new QuickFix44.MarketDataRequest.NoMDEntryTypes();
sidesGroup.set(new QuickFix.MDEntryType(MDEntryType.BID));
message.addGroup(sidesGroup);
sidesGroup.set(new QuickFix.MDEntryType(MDEntryType.OFFER));
message.addGroup(sidesGroup);
message.set(new MDUpdateType(MDUpdateType.FULL_REFRESH));
message.set(new NoRelatedSym(1));
Credential dukascopyCredential = CredentialFactory.GetCredential(Counterpart.Dukascopy);
Session.sendToTarget(message, dukascopyCredential.FeedSenderCompID, dukascopyCredential.FeedTargetCompID);
}
/**
* Capture and process the trading session status updates, part of the login process
*/
public override void onMessage(QuickFix44.TradingSessionStatus status, QuickFix.SessionID session)
{
// send notification
Console.WriteLine("TradingSessionStatus received");
sessionStatus = status;
// subscribe to CollateralReports
QuickFix44.CollateralInquiry collateralInq = new QuickFix44.CollateralInquiry();
collateralInq.set(new QuickFix.CollInquiryID(nextID().ToString()));
collateralInq.set(subscriptionType);
send(collateralInq, session);
// create a MarketDataRequest to subscribe
QuickFix44.MarketDataRequest dataRequest = new QuickFix44.MarketDataRequest();
dataRequest.set(new QuickFix.MDReqID(nextID().ToString()));
dataRequest.set(new QuickFix.MarketDepth(1)); // top of book is only choice for retail
dataRequest.set(new QuickFix.MDUpdateType(QuickFix.MDUpdateType.FULL_REFRESH));
dataRequest.set(subscriptionType);
// add the type of entries desired in the refresh
// bid
QuickFix44.MarketDataRequest.NoMDEntryTypes entryTypes;
entryTypes = new QuickFix44.MarketDataRequest.NoMDEntryTypes();
entryTypes.set(new QuickFix.MDEntryType(QuickFix.MDEntryType.BID));
dataRequest.addGroup(entryTypes);
// ask
entryTypes = new QuickFix44.MarketDataRequest.NoMDEntryTypes();
entryTypes.set(new QuickFix.MDEntryType(QuickFix.MDEntryType.OFFER));
dataRequest.addGroup(entryTypes);
// go through the sessionStatus in order to name each instrument to subscribe to
for (uint g = 1; g <= sessionStatus.getField(new QuickFix.IntField(QuickFix.NoRelatedSym.FIELD)).getValue(); g++)
{
QuickFix44.SecurityList.NoRelatedSym relatedSymbols = new QuickFix44.SecurityList.NoRelatedSym();
QuickFix44.SecurityList.NoRelatedSym symbolGroup = (QuickFix44.SecurityList.NoRelatedSym)sessionStatus.getGroup(g, relatedSymbols);
QuickFix44.MarketDataRequest.NoRelatedSym instrument = new QuickFix44.MarketDataRequest.NoRelatedSym();
instrument.set(symbolGroup.getSymbol());
dataRequest.addGroup(instrument);
}
// send notification
Console.WriteLine("MarketDataRequest sent");
// send message to the API
send(dataRequest, sessionID_md);
// fire an event that the login is complete
if (this.loginComplete != null)
{
this.loginComplete();
}
}
private static bool AddBidAskQueryClause(Message msg, string ticker)
{
var simGroup = new QuickFix44.MarketDataRequest.NoRelatedSym(); // 146=1
// подписаться на символ по его коду?
if (subscribeBySecurityId)
{
int tickerCode;
if (!TickerCodeDictionary.Instance.tickerCode.TryGetValue(ticker, out tickerCode))
{
Logger.ErrorFormat("Запрос котировки {0} - нет кода", ticker);
return(false);
}
simGroup.setField(new SecurityID(tickerCode.ToString())); // 48=4006 symbol
simGroup.setField(new SecurityIDSource("8")); // 22=8 symbol
}
else
// подписаться по названию
{
simGroup.setField(new Symbol(TickerCodeDictionary.Instance.GetTickerNameFormatted(ticker)));
}
// два отдельных запроса на bid-ask?
if (distinctQueriesForBidAsk)
{
var group = new QuickFix44.MarketDataRequest.NoMDEntryTypes(); // 267=2
group.setField(new MDEntryType('0')); // 269=0 (bid)
simGroup.addGroup(group);
group = new QuickFix44.MarketDataRequest.NoMDEntryTypes();
group.setField(new MDEntryType('1')); // 269=1 (offer)
simGroup.addGroup(group);
}
else
// один запрос
{
var group = new QuickFix44.MarketDataRequest.NoMDEntryTypes(); // 267=2
group.setField(new MDEntryType('2')); // 269=0 (bid + offer)
simGroup.addGroup(group);
}
msg.addGroup(simGroup);
msg.setField(new NoRelatedSym(1)); // 1 subscription
msg.setField(new Symbol(ticker));
return(true);
}
private static bool AddBidAskQueryClause(Message msg, string ticker)
{
var simGroup = new QuickFix44.MarketDataRequest.NoRelatedSym(); // 146=1
// подписаться на символ по его коду?
if (subscribeBySecurityId)
{
int tickerCode;
if (!TickerCodeDictionary.Instance.tickerCode.TryGetValue(ticker, out tickerCode))
{
Logger.ErrorFormat("Запрос котировки {0} - нет кода", ticker);
return false;
}
simGroup.setField(new SecurityID(tickerCode.ToString())); // 48=4006 symbol
simGroup.setField(new SecurityIDSource("8")); // 22=8 symbol
}
else
// подписаться по названию
{
simGroup.setField(new Symbol(TickerCodeDictionary.Instance.GetTickerNameFormatted(ticker)));
}
// два отдельных запроса на bid-ask?
if (distinctQueriesForBidAsk)
{
var group = new QuickFix44.MarketDataRequest.NoMDEntryTypes(); // 267=2
group.setField(new MDEntryType('0')); // 269=0 (bid)
simGroup.addGroup(group);
group = new QuickFix44.MarketDataRequest.NoMDEntryTypes();
group.setField(new MDEntryType('1')); // 269=1 (offer)
simGroup.addGroup(group);
}
else
// один запрос
{
var group = new QuickFix44.MarketDataRequest.NoMDEntryTypes(); // 267=2
group.setField(new MDEntryType('2')); // 269=0 (bid + offer)
simGroup.addGroup(group);
}
msg.addGroup(simGroup);
msg.setField(new NoRelatedSym(1)); // 1 subscription
msg.setField(new Symbol(ticker));
return true;
}