public static void ProcessMsgMarketDataIncrRefresh(Message msgOrig, FixMessage msg) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote incr: {0}", msg.ToString()); try { // информация по тикерам разбита на группы, каждому тикеру - по группе var groupHeader = new NoMDEntries(); msgOrig.getField(groupHeader); int numGroups = groupHeader.getValue(); var group = FixMessage.FixVersion == FixVersion.Fix42 ? new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries() : FixMessage.FixVersion == FixVersion.Fix43 ? (Group) new QuickFix43.MarketDataIncrementalRefresh.NoMDEntries() : new QuickFix44.MarketDataIncrementalRefresh.NoMDEntries(); var lastQuotes = new System.Collections.Generic.Dictionary <string, QuoteData>(); for (var i = 1; i <= numGroups; i++) { var groupTicker = msgOrig.getGroup((uint)i, group); var symbol = groupTicker.getField(new Symbol()).getValue(); if (!ConvertFromProviderSymbolNaming(ref symbol)) { return; } var entType = new MDEntryType(); var entTypeChar = groupTicker.getField(entType).getValue(); var priceType = entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_BID[0] ? Contract.Entity.QuoteType.Bid : entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_OFFER[0] ? Contract.Entity.QuoteType.Ask : Contract.Entity.QuoteType.NonSpecified; if (priceType == Contract.Entity.QuoteType.NonSpecified) { continue; } var price = msg.GetValueFloat(FixMessage.TAG_MD_ENTRY_PX) ?? 0; if (price == 0) { continue; } if (lastQuotes.ContainsKey(symbol)) { var quote = lastQuotes[symbol]; if (priceType == Contract.Entity.QuoteType.Bid) { quote.bid = price; } else { quote.ask = price; } } else { lastQuotes.Add(symbol, new QuoteData( priceType == Contract.Entity.QuoteType.Bid ? price : 0, priceType == Contract.Entity.QuoteType.Ask ? price : 0, DateTime.Now)); } } foreach (var quote in lastQuotes) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicQuote, 1000 * 60 * 15, "Котировка {0}: {1} - {2}", quote.Key, quote.Value.bid, quote.Value.ask); QuoteDistributor.Instance.UpdateQuote(quote.Key, quote.Value.bid == 0 ? (float?)null : quote.Value.bid, quote.Value.ask == 0 ? (float?)null : quote.Value.ask); } loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicParseMarketDataSuccess, 1000 * 60 * 10, "Обработан пакет MarketDataIncrRefresh"); } catch (Exception ex) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicParseMarketDataError, 1000 * 60 * 10, "Ошибка разбора MarketDataIncrRefresh: {0}", ex); } }
/// <summary> /// сообщение содержит котировку: одну цену либо бид и аск сразу /// </summary> public static void ProcessMsgQuote(FixMessage msg) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote: {0}", msg.ToString()); string symbol = msg.GetValueString(FixMessage.TAG_SYMBOL); if (string.IsNullOrEmpty(symbol)) { Logger.Debug("Quote msg: no symbol tag"); return; } if (!ConvertFromProviderSymbolNaming(ref symbol)) { return; } var bid = msg.GetValueFloat(FixMessage.TAG_BID_PRICE); var ask = msg.GetValueFloat(FixMessage.TAG_OFFER_PRICE); if (!bid.HasValue && ask.HasValue == false) { Logger.Debug("Quote msg: no bid - ask"); return; } QuoteDistributor.Instance.UpdateQuote(symbol, bid, ask); }
public static void ProcessMsgMarketDataFullRefresh(Message msgOrig, FixMessage msg) { loggerNoFlood.LogMessageFormatCheckFlood( LogEntryType.Info, LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote full: {0}", msg.ToString()); // 8=FIX.4.4#9=128#35=W#34=2#49=XTB#52=20141125-16:12:33.269#56=PARTNER1#55=USDJPY..#262=USDJPY-25-16-12#268=2#269=0#270=117.906#10=097# try { var reqIdField = msgOrig.getField(new MDReqID()); if (reqIdField == null) { throw new Exception("Поле MDReqID не прочитано"); } // инструмент указан в самом запросе var requestedSymbol = msg.GetValueString(FixMessage.TAG_SYMBOL); //requestedSymbol = TickerCodeDictionary.Instance.GetClearTickerName(requestedSymbol); // котировка будет исправлена в дальнейшем var groupHeader = new NoMDEntries(); msgOrig.getField(groupHeader); var numGroups = groupHeader.getValue(); if (numGroups == 0) { throw new Exception("Поле NoMDEntries не прочитано"); } var group = FixMessage.FixVersion == FixVersion.Fix42 ? new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries() : FixMessage.FixVersion == FixVersion.Fix43 ? (Group) new QuickFix43.MarketDataIncrementalRefresh.NoMDEntries() : new QuickFix44.MarketDataIncrementalRefresh.NoMDEntries(); float bid = 0, ask = 0; for (var i = 1; i <= numGroups; i++) { var groupTicker = msgOrig.getGroup((uint)i, group); // тип (бид или аск) var isBid = true; var typeField = groupTicker.getField(new MDEntryType()); if (typeField == null) { throw new Exception("Поле MDEntryType не прочитано"); } isBid = typeField.getValue() == '0'; // цена var priceField = group.getField(new MDEntryPx()); if (priceField == null) { throw new Exception("Поле MDEntryPx не прочитано"); } var price = priceField.getValue(); if (isBid) { bid = (float)price; } else { ask = (float)price; } } // цены прочитаны? if (bid == 0 || ask == 0) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicLackPrice, 1000 * 60 * 10, "MarketDataFullRefresh - нет цены (" + bid.ToStringUniformPriceFormat() + ", " + ask.ToStringUniformPriceFormat() + ")"); return; } // обновить котировку QuoteDistributor.Instance.UpdateQuote(requestedSymbol, bid, ask); loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicParseMarketDataSuccess, 1000 * 60 * 10, "Обработан пакет MarketDataFullRefresh - {0}: {1}/{2}", requestedSymbol, bid, ask); } catch (Exception ex) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicParseMarketDataError, 1000 * 60 * 10, "Ошибка разбора MarketDataFullRefresh: {0}", ex); } }
public static void ProcessMsgMarketDataFullRefresh(Message msgOrig, FixMessage msg) { loggerNoFlood.LogMessageFormatCheckFlood( LogEntryType.Info, LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote full: {0}", msg.ToString()); // 8=FIX.4.4#9=128#35=W#34=2#49=XTB#52=20141125-16:12:33.269#56=PARTNER1#55=USDJPY..#262=USDJPY-25-16-12#268=2#269=0#270=117.906#10=097# try { var reqIdField = msgOrig.getField(new MDReqID()); if (reqIdField == null) throw new Exception("Поле MDReqID не прочитано"); // инструмент указан в самом запросе var requestedSymbol = msg.GetValueString(FixMessage.TAG_SYMBOL); //requestedSymbol = TickerCodeDictionary.Instance.GetClearTickerName(requestedSymbol); // котировка будет исправлена в дальнейшем var groupHeader = new NoMDEntries(); msgOrig.getField(groupHeader); var numGroups = groupHeader.getValue(); if (numGroups == 0) throw new Exception("Поле NoMDEntries не прочитано"); var group = FixMessage.FixVersion == FixVersion.Fix42 ? new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries() : FixMessage.FixVersion == FixVersion.Fix43 ? (Group)new QuickFix43.MarketDataIncrementalRefresh.NoMDEntries() : new QuickFix44.MarketDataIncrementalRefresh.NoMDEntries(); float bid = 0, ask = 0; for (var i = 1; i <= numGroups; i++) { var groupTicker = msgOrig.getGroup((uint)i, group); // тип (бид или аск) var isBid = true; var typeField = groupTicker.getField(new MDEntryType()); if (typeField == null) throw new Exception("Поле MDEntryType не прочитано"); isBid = typeField.getValue() == '0'; // цена var priceField = group.getField(new MDEntryPx()); if (priceField == null) throw new Exception("Поле MDEntryPx не прочитано"); var price = priceField.getValue(); if (isBid) bid = (float)price; else ask = (float)price; } // цены прочитаны? if (bid == 0 || ask == 0) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicLackPrice, 1000 * 60 * 10, "MarketDataFullRefresh - нет цены (" + bid.ToStringUniformPriceFormat() + ", " + ask.ToStringUniformPriceFormat() + ")"); return; } // обновить котировку QuoteDistributor.Instance.UpdateQuote(requestedSymbol, bid, ask); loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicParseMarketDataSuccess, 1000 * 60 * 10, "Обработан пакет MarketDataFullRefresh - {0}: {1}/{2}", requestedSymbol, bid, ask); } catch (Exception ex) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicParseMarketDataError, 1000 * 60 * 10, "Ошибка разбора MarketDataFullRefresh: {0}", ex); } }
/// <summary> /// сообщение содержит котировку: одну цену либо бид и аск сразу /// </summary> public static void ProcessMsgQuote(FixMessage msg) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote: {0}", msg.ToString()); string symbol = msg.GetValueString(FixMessage.TAG_SYMBOL); if (string.IsNullOrEmpty(symbol)) { Logger.Debug("Quote msg: no symbol tag"); return; } if (!ConvertFromProviderSymbolNaming(ref symbol)) return; var bid = msg.GetValueFloat(FixMessage.TAG_BID_PRICE); var ask = msg.GetValueFloat(FixMessage.TAG_OFFER_PRICE); if (!bid.HasValue && ask.HasValue == false) { Logger.Debug("Quote msg: no bid - ask"); return; } QuoteDistributor.Instance.UpdateQuote(symbol, bid, ask); }
public static void ProcessMsgMarketDataIncrRefresh(Message msgOrig, FixMessage msg) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote incr: {0}", msg.ToString()); try { // информация по тикерам разбита на группы, каждому тикеру - по группе var groupHeader = new NoMDEntries(); msgOrig.getField(groupHeader); int numGroups = groupHeader.getValue(); var group = FixMessage.FixVersion == FixVersion.Fix42 ? new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries() : FixMessage.FixVersion == FixVersion.Fix43 ? (Group)new QuickFix43.MarketDataIncrementalRefresh.NoMDEntries() : new QuickFix44.MarketDataIncrementalRefresh.NoMDEntries(); var lastQuotes = new System.Collections.Generic.Dictionary<string, QuoteData>(); for (var i = 1; i <= numGroups; i++) { var groupTicker = msgOrig.getGroup((uint)i, group); var symbol = groupTicker.getField(new Symbol()).getValue(); if (!ConvertFromProviderSymbolNaming(ref symbol)) return; var entType = new MDEntryType(); var entTypeChar = groupTicker.getField(entType).getValue(); var priceType = entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_BID[0] ? Contract.Entity.QuoteType.Bid : entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_OFFER[0] ? Contract.Entity.QuoteType.Ask : Contract.Entity.QuoteType.NonSpecified; if (priceType == Contract.Entity.QuoteType.NonSpecified) continue; var price = msg.GetValueFloat(FixMessage.TAG_MD_ENTRY_PX) ?? 0; if (price == 0) continue; if (lastQuotes.ContainsKey(symbol)) { var quote = lastQuotes[symbol]; if (priceType == Contract.Entity.QuoteType.Bid) quote.bid = price; else quote.ask = price; } else { lastQuotes.Add(symbol, new QuoteData( priceType == Contract.Entity.QuoteType.Bid ? price : 0, priceType == Contract.Entity.QuoteType.Ask ? price : 0, DateTime.Now)); } } foreach (var quote in lastQuotes) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicQuote, 1000 * 60 * 15, "Котировка {0}: {1} - {2}", quote.Key, quote.Value.bid, quote.Value.ask); QuoteDistributor.Instance.UpdateQuote(quote.Key, quote.Value.bid == 0 ? (float?)null : quote.Value.bid, quote.Value.ask == 0 ? (float?)null : quote.Value.ask); } loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicParseMarketDataSuccess, 1000 * 60 * 10, "Обработан пакет MarketDataIncrRefresh"); } catch (Exception ex) { loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info, LogMagicParseMarketDataError, 1000 * 60 * 10, "Ошибка разбора MarketDataIncrRefresh: {0}", ex); } }