public void SendMarketDataRequest(FIXMarketDataRequest request)
{
SubscriptionDataType subscriptionDataType = (SubscriptionDataType)0;
for (int i = 0; i < request.NoMDEntryTypes; i++)
{
FIXMDEntryTypesGroup mDEntryTypesGroup = request.GetMDEntryTypesGroup(i);
switch (mDEntryTypesGroup.MDEntryType)
{
case '0':
case '1':
if (request.MarketDepth == 1)
{
subscriptionDataType |= SubscriptionDataType.Quotes;
}
else
{
subscriptionDataType |= SubscriptionDataType.OrderBook;
}
break;
case '2':
subscriptionDataType |= SubscriptionDataType.Trades;
break;
}
}
for (int j = 0; j < request.NoRelatedSym; j++)
{
FIXRelatedSymGroup relatedSymGroup = request.GetRelatedSymGroup(j);
SmartQuant.Instruments.Instrument key = SmartQuant.Instruments.InstrumentManager.Instruments[relatedSymGroup.Symbol];
global::OpenQuant.API.Instrument instrument = Map.SQ_OQ_Instrument[key] as global::OpenQuant.API.Instrument;
switch (request.SubscriptionRequestType)
{
case '1':
this.provider.CallSubscribe(instrument, subscriptionDataType);
break;
case '2':
this.provider.CallUnsubscribe(instrument, subscriptionDataType);
break;
default:
throw new Exception("Unknown subscription request type " + request.SubscriptionRequestType);
}
}
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
// need to request as iqfeed's native symbol type, but return as a generic symbol
FIXRelatedSymGroup symgrp;
IQFeedDataRequestRecord rr;
bool tradeRequest = false;
bool quoteRequest = false;
bool marketDepthRequest = false;
if (request.NoMDEntryTypes > 0)
{
FIXMDEntryTypesGroup mdEntryTypesGroup = request.GetMDEntryTypesGroup(0);
switch (mdEntryTypesGroup.MDEntryType)
{
case FIXMDEntryType.Trade: {
tradeRequest = true;
}
break;
case FIXMDEntryType.Bid:
case FIXMDEntryType.Offer: {
if (request.MarketDepth == 1)
{
quoteRequest = true;
}
else
{
marketDepthRequest = true;
}
}
break;
}
}
switch (request.SubscriptionRequestType)
{
case DataManager.MARKET_DATA_SUBSCRIBE:
for (int i = 0; i < request.NoRelatedSym; i++)
{
symgrp = request.GetRelatedSymGroup(i);
string sWatchedSymbol = symgrp.Symbol;
Instrument instrument = InstrumentManager.Instruments[symgrp.Symbol];
foreach (FIXSecurityAltIDGroup grp in symgrp.SecurityAltIDGroup)
{
if (Name == grp.SecurityAltIDSource)
{
sWatchedSymbol = grp.SecurityAltID;
}
}
if (tradeRequest || quoteRequest)
{
if (htL1WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt++;
rr = null;
}
else
{
rr = new IQFeedDataRequestRecord();
rr.request = request;
rr.instrument = instrument;
// Symbol = instrument.GetSymbol(Name); <== hint for other code
rr.sCurrency = symgrp.Currency;
rr.sSecurityType = symgrp.SecurityType;
rr.sSecurityExchange = symgrp.SecurityExchange;
htL1WatchedSymbols.Add(sWatchedSymbol, rr);
Console.WriteLine("MARKET_DATA_SUBSCRIBE {0}", sWatchedSymbol);
if (1 == htL1WatchedSymbols.Count)
{
iqf.HandleFundamentalMessage += new FundamentalMessageHandler(EmitFundamental);
iqf.HandleSummaryMessage += new SummaryMessageHandler(EmitTradeSummary);
iqf.HandleUpdateMessage += new UpdateMessageHandler(EmitQuoteTrade);
}
iqf.startWatch(sWatchedSymbol);
rr = null;
}
}
if (marketDepthRequest)
{
if (htL2WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt++;
rr = null;
}
else
{
instrument.OrderBook.Clear();
rr = new IQFeedDataRequestRecord();
rr.request = request;
rr.instrument = instrument;
// Symbol = instrument.GetSymbol(Name); <== hint for other code
rr.sCurrency = symgrp.Currency;
rr.sSecurityType = symgrp.SecurityType;
rr.sSecurityExchange = symgrp.SecurityExchange;
htL2WatchedSymbols.Add(sWatchedSymbol, rr);
Console.WriteLine("MARKETDEPTH_DATA_SUBSCRIBE {0}", sWatchedSymbol);
iqfl2.StartWatch(sWatchedSymbol, new LevelIIUpdateMessageHandler(EmitMarketDepth));
rr = null;
}
}
}
break;
case DataManager.MARKET_DATA_UNSUBSCRIBE:
for (int i = 0; i < request.NoRelatedSym; i++)
{
symgrp = request.GetRelatedSymGroup(i);
string sWatchedSymbol = symgrp.Symbol;
Instrument instrument = InstrumentManager.Instruments[symgrp.Symbol];
foreach (FIXSecurityAltIDGroup grp in symgrp.SecurityAltIDGroup)
{
if (Name == grp.SecurityAltIDSource)
{
sWatchedSymbol = grp.SecurityAltID;
}
}
if (tradeRequest || quoteRequest)
{
if (htL1WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL1WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt--;
if (0 == rr.cnt)
{
Console.WriteLine("MARKET_DATA_UNSUBSCRIBE {0}", sWatchedSymbol);
iqf.stopWatch(sWatchedSymbol);
if (0 == htL1WatchedSymbols.Count)
{
iqf.HandleFundamentalMessage -= new FundamentalMessageHandler(EmitFundamental);
iqf.HandleSummaryMessage -= new SummaryMessageHandler(EmitTradeSummary);
iqf.HandleUpdateMessage -= new UpdateMessageHandler(EmitQuoteTrade);
}
rr.request = null;
rr.instrument = null;
}
rr = null;
}
else
{
throw new ArgumentException("No to stop l1 for symbol " + symgrp.Symbol + "/" + sWatchedSymbol);
}
}
if (marketDepthRequest)
{
if (htL2WatchedSymbols.ContainsKey(sWatchedSymbol))
{
rr = htL2WatchedSymbols[sWatchedSymbol] as IQFeedDataRequestRecord;
rr.cnt--;
if (0 == rr.cnt)
{
Console.WriteLine("MARKETDEPTH_DATA_UNSUBSCRIBE {0}", sWatchedSymbol);
iqfl2.StopWatch(sWatchedSymbol, new LevelIIUpdateMessageHandler(EmitMarketDepth));
rr.request = null;
rr.instrument = null;
}
rr = null;
}
else
{
throw new ArgumentException("No to stop l2 for symbol " + symgrp.Symbol + "/" + sWatchedSymbol);
}
}
}
break;
default:
throw new ArgumentException("Unknown subscription type: " + request.SubscriptionRequestType.ToString());
}
}
