/**
* Process market data snapshots, taking from each message the instrument update and adding to the
* internal map
*/
public override void onMessage(QuickFix44.MarketDataSnapshotFullRefresh snapshot, QuickFix.SessionID session)
{
// fire an event that an instrument has updated
if (this.messageRecieved != null && !exampleRunning)
{
this.messageRecieved(snapshot);
}
}
private DateTime getClose(QuickFix44.MarketDataSnapshotFullRefresh mds)
{
DateTime close = new DateTime(0L);
try
{
DateTime last = new DateTime(0L);
QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries group = new QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries();
for (uint i = 1; i < mds.getNoMDEntries().getValue(); i++)
{
group = (QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries)mds.getGroup(i, group);
if (group.getMDEntryTime().getValue() != null)
{
last = new DateTime(group.getMDEntryDate().getValue().Ticks + group.getMDEntryTime().getValue().Ticks);
close = ((close.Ticks > last.Ticks) ? close : last);
}
}
}
catch (Exception e) { }
return(TimeZoneInfo.ConvertTime(close, TimeZoneInfo.Utc, TimeZoneInfo.Local));
}
public override void onMessage(QuickFix44.MarketDataSnapshotFullRefresh message, SessionID session)
{
// getting attributes
Symbol symbol = message.getSymbol();
SendingTime sendingTime = new SendingTime(message.getHeader().getUtcTimeStamp(SendingTime.FIELD));
NoMDEntries noMDEntries = message.getNoMDEntries();
decimal ask = 0m;
decimal bid = 0m;
decimal askSize = 0m;
decimal bidSize = 0m;
for (int i = 0; i < noMDEntries.getValue(); i++)
{
QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries group = new QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries();
message.getGroup((uint)i + 1, group);
MDEntryType mdEntryType = group.getMDEntryType();
MDEntryPx mdEntryPx = group.getMDEntryPx();
MDEntrySize mdEntrySize = group.getMDEntrySize();
if (mdEntryType.getValue() == MDEntryType.BID)
{
bid = (decimal)mdEntryPx.getValue();
bidSize = (decimal)mdEntrySize.getValue();
}
else if (mdEntryType.getValue() == MDEntryType.OFFER)
{
ask = (decimal)mdEntryPx.getValue();
askSize = (decimal)mdEntrySize.getValue();
}
}
// firing event
Console.WriteLine("QuickFix44.MarketDataSnapshotFullRefresh: {0}, {1}/{2}, {3}/{4}, {5}", symbol, ask, bid, askSize, bidSize, sendingTime);
this.fixServices.NotifyQuote(Counterpart.Dukascopy, symbol.getValue(), ask, askSize, bid, bidSize, sendingTime.getValue());
}
private double getPrice(QuickFix44.MarketDataSnapshotFullRefresh mds, String p, double previous)
{
double price = previous;
try
{
// grab the market data entries from the snapshot
QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries group = new QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries();
// go through the entries
for (uint i = 1; i <= mds.getNoMDEntries().getValue(); i++)
{
group = (QuickFix44.MarketDataSnapshotFullRefresh.NoMDEntries)mds.getGroup(i, group);
//if the entry type is the price requested, set the price to the value of the entry price
if (group.getMDEntryType().getValue().Equals(p[0]))
{
price = group.getMDEntryPx().getValue();
}
}
}
catch (Exception e) { } // ignore errors
return(price); // if not found, return the previous rate
}
public void update(QuickFix44.MarketDataSnapshotFullRefresh snapshot)
{
if (grdRates.InvokeRequired)
{
updateCallback d = new updateCallback(update);
this.Invoke(d, new object[] { snapshot });
}
else
{
QuickFix.Symbol instrument = snapshot.getSymbol();
double minQty = 0D;
// if the currency is already in the DataGridView
if (map.ContainsKey(instrument))
{
// update only the cells of the row that have changed
DataGridViewRow row = grdRates.Rows[map[instrument]];
row.Cells["Updated"].Value = getClose(snapshot);
row.Cells["Bid"].Value = getPrice(snapshot, "0", Convert.ToDouble(row.Cells["Bid"].Value));
row.Cells["Ask"].Value = getPrice(snapshot, "1", Convert.ToDouble(row.Cells["Ask"].Value));
row.Cells["MinQuantity"].Value = minQty;
}
else // otherwise add it to the DataGridView
{
map.Add(instrument, map.Count);
grdRates.Rows.Add(
instrument,
getClose(snapshot),
getPrice(snapshot, "0", 0D),
getPrice(snapshot, "1", 0D),
minQty
);
}
// force the interface to refresh
//Application.DoEvents();
}
}