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());
}
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);
}
}
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);
}
}
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);
}
}
