public override void onMessage(QuickFix44.TradingSessionStatus message, SessionID session)
{
// getting attributes
TradSesStatus tradSesStatus = message.getTradSesStatus();
// firing event
Console.WriteLine("QuickFix44.TradingSessionStatus: {0}", tradSesStatus);
}
/**
* 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();
}
}
