/// <summary>
/// Creates a FIX4.3 MarketDataRequest message.
/// </summary>
/// <param name="id"></param>
/// <param name="security"></param>
/// <param name="subscriptionType"></param>
/// <param name="depth"></param>
/// <returns></returns>
public QuickFix.FIX43.MarketDataRequest MarketDataRequest(string id, Security security, char subscriptionType, int depth)
{
QuickFix.FIX43.MarketDataRequest marketDataRequest = new QuickFix.FIX43.MarketDataRequest();
QuickFix.Fields.SenderSubID senderSubId = new QuickFix.Fields.SenderSubID(this._senderSubId);
marketDataRequest.SetField(senderSubId);
QuickFix.Fields.DeliverToCompID deliverToCompId = new QuickFix.Fields.DeliverToCompID(this._deliverToCompId);
marketDataRequest.SetField(deliverToCompId);
QuickFix.Fields.NoRelatedSym noRelatedSym = new QuickFix.Fields.NoRelatedSym(1);
marketDataRequest.SetField(noRelatedSym);
QuickFix.Fields.MDReqID mdReqId = new QuickFix.Fields.MDReqID(id);
marketDataRequest.SetField(mdReqId);
QuickFix.Fields.SubscriptionRequestType subscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType(subscriptionType);
marketDataRequest.SetField(subscriptionRequestType);
QuickFix.Fields.MarketDepth marketDepth = new QuickFix.Fields.MarketDepth(depth);
marketDataRequest.SetField(marketDepth);
QuickFix.Fields.MDUpdateType mdUpdateType = new QuickFix.Fields.MDUpdateType(MarketDataUpdateType.FullRefresh);
marketDataRequest.SetField(mdUpdateType);
// Indicates '2' requested fields i.e. OFFER/ASK and BID
QuickFix.Fields.NoMDEntryTypes noMdEntryType = new QuickFix.Fields.NoMDEntryTypes(2);
marketDataRequest.SetField(noMdEntryType);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(security.Symbol);
QuickFix.Fields.Product product = new QuickFix.Fields.Product(Product.Currency);
QuickFix.FIX43.MarketDataRequest.NoRelatedSymGroup relatedSymbols = new QuickFix.FIX43.MarketDataRequest.NoRelatedSymGroup();
relatedSymbols.SetField(symbol);
relatedSymbols.SetField(product);
marketDataRequest.AddGroup(relatedSymbols);
QuickFix.FIX43.MarketDataRequest.NoMDEntryTypesGroup mdEntryTypes = new QuickFix.FIX43.MarketDataRequest.NoMDEntryTypesGroup();
{
mdEntryTypes.SetField(new QuickFix.Fields.MDEntryType(MarketDataEntryType.Bid));
marketDataRequest.AddGroup(mdEntryTypes);
mdEntryTypes.SetField(new QuickFix.Fields.MDEntryType(MarketDataEntryType.Offer));
marketDataRequest.AddGroup(mdEntryTypes);
}
return(marketDataRequest);
}
/// <summary>
/// Creates a FIX4.2 MarketDataRequest message.
/// </summary>
/// <param name="id"></param>
/// <param name="security"></param>
/// <param name="subscriptionType"></param>
/// <param name="depth"></param>
/// <returns></returns>
public QuickFix.FIX42.MarketDataRequest MarketDataRequest(string id, Security security, char subscriptionType, int depth)
{
QuickFix.FIX42.MarketDataRequest marketDataRequest = new QuickFix.FIX42.MarketDataRequest();
QuickFix.Fields.SenderSubID senderSubId = new QuickFix.Fields.SenderSubID(this._senderSubId);
marketDataRequest.SetField(senderSubId);
QuickFix.Fields.DeliverToCompID deliverToCompId = new QuickFix.Fields.DeliverToCompID(this._deliverToCompId);
marketDataRequest.SetField(deliverToCompId);
QuickFix.Fields.NoRelatedSym noRelatedSym = new QuickFix.Fields.NoRelatedSym(1);
marketDataRequest.SetField(noRelatedSym);
QuickFix.Fields.MDReqID mdReqId = new QuickFix.Fields.MDReqID(id);
marketDataRequest.SetField(mdReqId);
QuickFix.Fields.SubscriptionRequestType subscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType(subscriptionType);
marketDataRequest.SetField(subscriptionRequestType);
QuickFix.Fields.MarketDepth marketDepth = new QuickFix.Fields.MarketDepth(depth);
marketDataRequest.SetField(marketDepth);
QuickFix.Fields.MDUpdateType mdUpdateType = new QuickFix.Fields.MDUpdateType(MarketDataUpdateType.FullRefresh);
marketDataRequest.SetField(mdUpdateType);
QuickFix.Fields.NoMDEntryTypes noMdEntryType = new QuickFix.Fields.NoMDEntryTypes(2);
marketDataRequest.SetField(noMdEntryType);
QuickFix.Fields.AggregatedBook aggregatedBook = new QuickFix.Fields.AggregatedBook(true);
marketDataRequest.SetField(aggregatedBook);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(security.Symbol);
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup relatedSymbols = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
relatedSymbols.SetField(symbol);
marketDataRequest.AddGroup(relatedSymbols);
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup mdEntryTypes = new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
{
mdEntryTypes.SetField(new QuickFix.Fields.MDEntryType(MarketDataEntryType.Bid));
marketDataRequest.AddGroup(mdEntryTypes);
mdEntryTypes.SetField(new QuickFix.Fields.MDEntryType(MarketDataEntryType.Offer));
marketDataRequest.AddGroup(mdEntryTypes);
}
return(marketDataRequest);
}
/// <summary>
/// Helper Method to process data from message for updating positions
/// </summary>
/// <param name="message"></param>
/// <param name="session"></param>
private void posTableUpdate(QuickFix.FIX42.Message message, SessionID session)
{
string MGT = null;
string acct = null;
string SecEx = null;
string symbol = null;
string secID = null;
string gateway = null;
int tradesize = 0;
char side = char.MinValue;
decimal price = 0.00M;
bool OK2Update = true;
try
{
QuickFix.Fields.SenderSubID subID = new QuickFix.Fields.SenderSubID();
if (message.Header.IsSetField(subID))
{
MGT = message.Header.GetField(subID).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.Account a = new QuickFix.Fields.Account();
if (message.IsSetField(a))
{
acct = message.GetField(a).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.SecurityExchange se = new QuickFix.Fields.SecurityExchange();
if (message.IsSetField(se))
{
SecEx = message.GetField(se).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.Symbol s = new QuickFix.Fields.Symbol();
if (message.IsSetField(s))
{
symbol = message.GetField(s).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.SecurityID sid = new QuickFix.Fields.SecurityID();
if (message.IsSetField(sid))
{
secID = message.GetField(sid).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.ExchangeGateway eg = new Fields.ExchangeGateway();
if (message.IsSetField(eg))
{
gateway = message.GetField(eg).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.LastShares q = new QuickFix.Fields.LastShares();
if (message.IsSetField(q))
{
tradesize = (int)message.GetField(q).getValue();
}
QuickFix.Fields.Side bs = new QuickFix.Fields.Side();
if (message.IsSetField(bs))
{
side = message.GetField(bs).getValue();
}
else
{
if (tradesize < 0)
{
tradesize = Math.Abs(tradesize);
side = QuickFix.Fields.Side.SELL;
}
else
{ side = QuickFix.Fields.Side.BUY; }
}
QuickFix.Fields.LastPx fill = new QuickFix.Fields.LastPx();
if (message.IsSetField(fill))
{
price = message.GetField(fill).getValue();
}
if (OK2Update)
{
//MGT, acct, SecEx, symbol, secID, tradesize, side, price, gateway
updatePosition(MGT, acct, SecEx, symbol, secID, tradesize, side, price, gateway);
}
else
{
updateDisplay("Position not updated by following message");
ProcessMessage(message, session);
}
}
catch (Exception ex)
{
updateDisplay("QuickFIX Error");
log.WriteLog("MGT: " + MGT);
log.WriteLog("acct: " + acct);
log.WriteLog("SecEx: " + SecEx);
log.WriteLog("symbol: " + symbol);
log.WriteLog("secID: " + secID);
log.WriteLog("tradesize: " + tradesize.ToString());
log.WriteLog("side: " + side.ToString());
log.WriteLog("price: " + price.ToString());
log.WriteLog("gateway: " + gateway);
log.WriteLog("Start Exception--------------------");
log.WriteLog("Source: " + ex.Source);
log.WriteLog("Message: " + ex.Message);
log.WriteLog("TargetSite: " + ex.TargetSite);
log.WriteLog("InnerException: " + ex.InnerException);
log.WriteLog("HelpLink: " + ex.HelpLink);
log.WriteLog("Data: " + ex.Data);
log.WriteLog("StackTrace: " + ex.StackTrace);
log.WriteLog("Stop Exception details-------------");
}
}
//receive fills, working orders, order rejects
public void OnMessage(QuickFix.FIX42.ExecutionReport message, QuickFix.SessionID session)
{
//parseMessage(message, session);
try
{
QuickFix.Fields.ExecType et = new QuickFix.Fields.ExecType();
QuickFix.Fields.ExecTransType ett = new QuickFix.Fields.ExecTransType();
QuickFix.Fields.ClOrdID coid = new QuickFix.Fields.ClOrdID();
//Friday, December 11, 2009 10:29:27 AM Added parentheses to encapsulate OR
//remove hold on orders if order was rejected
if (message.IsSetField(coid) &&
(message.GetField(et).getValue() == QuickFix.Fields.ExecType.FILL ||
message.GetField(et).getValue() == QuickFix.Fields.ExecType.REJECTED))
{
updateOrderMgmt(message.GetField(coid).getValue().ToString());
}
//end modified code
if (message.IsSetField(et))
{
//capture fill to update position
if ((message.GetField(et).getValue() == QuickFix.Fields.ExecType.FILL ||
message.GetField(et).getValue() == QuickFix.Fields.ExecType.PARTIAL_FILL) &&
message.MultiLegReportingType.getValue() != QuickFix.Fields.MultiLegReportingType.MULTI_LEG_SECURITY)
{
updateDisplay("execution received");
posTableUpdate(message, session);
}
//capture working orders and cancel for flatten
if (message.GetField(et).getValue() == QuickFix.Fields.ExecType.RESTATED &&
message.GetField(ett).getValue() == QuickFix.Fields.ExecTransType.STATUS)
{
string MGT = null;
QuickFix.Fields.SenderSubID subID = new QuickFix.Fields.SenderSubID();
if (message.Header.IsSetField(subID))
{
MGT = message.Header.GetField(subID).ToString();
orderCancel(MGT, message.OrderID.ToString());
}
}
}
}
catch (Exception ex)
{
updateDisplay("QuickFIX Error");
log.WriteLog(ex.ToString());
}
}
