public void MarketDataRequest(QuickFix42.SecurityDefinition securityDefinition)
{
QuickFix42.MarketDataRequest marketDataRequest =
new QuickFix42.MarketDataRequest(new MDReqID(DateTime.Now.ToString()),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
new MarketDepth(1));
marketDataRequest.setField(new MDUpdateType(MDUpdateType.FULL_REFRESH));
marketDataRequest.setField(new AggregatedBook(true));
QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupBid = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
marketDataEntyGroupBid.set(new MDEntryType(MDEntryType.BID));
marketDataRequest.addGroup(marketDataEntyGroupBid);
QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupOffer = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
marketDataEntyGroupOffer.set(new MDEntryType(MDEntryType.OFFER));
marketDataRequest.addGroup(marketDataEntyGroupOffer);
/** Create Component Block NoRelatedSym */
QuickFix42.MarketDataRequest.NoRelatedSym noRelatedSym = new QuickFix42.MarketDataRequest.NoRelatedSym();
SecurityExchange securityExchange = new SecurityExchange();
securityDefinition.getField(securityExchange);
noRelatedSym.setField(securityExchange);
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
noRelatedSym.setField(securityType);
Symbol symbol = new Symbol();
securityDefinition.getField(symbol);
noRelatedSym.setField(symbol);
//MaturityMonthYear maturityMonthYear = new MaturityMonthYear();
//securityDefinition.getField(maturityMonthYear);
//noRelatedSym.setField(maturityMonthYear);
SecurityID securityId = new SecurityID();
securityDefinition.getField(securityId);
noRelatedSym.setField(securityId);
marketDataRequest.addGroup(noRelatedSym);
Session.sendToTarget(marketDataRequest, GetPriceSession());
}
public override void onMessage(QuickFix42.SecurityDefinition securityDefinition, SessionID sessionID)
{
//Console.WriteLine("securityDefinition " + securityDefinition);
try
{
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
SecurityID securityID = new SecurityID();
securityDefinition.getField(securityID);
//Create the object in the spreadmatrix;
if(securityType.getValue() == SecurityType.MULTILEGINSTRUMENT)
{
string longUnderlyingMaturityMonthYear=null;
string shortUnderlyingMaturityMonthYear=null;
NoRelatedSym noRelatedSym = securityDefinition.getNoRelatedSym();
uint SubContractCount = (uint)noRelatedSym.getValue();
if (SubContractCount != 2)
{
//Console.WriteLine("I don't know how to handle an MLEG with " + SubContractCount + " legs.");
return;
}
SecurityDefinition.NoRelatedSym group = new SecurityDefinition.NoRelatedSym();
for (uint i = 0; i < SubContractCount; i++)
{
securityDefinition.getGroup(i + 1, group);
UnderlyingMaturityMonthYear underlyingMaturityMonthYear = new UnderlyingMaturityMonthYear();
group.getField(underlyingMaturityMonthYear);
Side side = new Side();
group.getField(side);
if (side.getValue() == QuickFix.Side.SELL)
{
shortUnderlyingMaturityMonthYear = underlyingMaturityMonthYear.getValue();
}
else if (side.getValue() == QuickFix.Side.BUY)
{
longUnderlyingMaturityMonthYear = underlyingMaturityMonthYear.getValue();
}
else
{
Console.WriteLine("Unsupport MLEG side: " + side.getValue());
return;
}
}
spreadMatrix.CreateSpread(securityID.getValue(), longUnderlyingMaturityMonthYear, shortUnderlyingMaturityMonthYear);
}
else if (securityType.getValue() == SecurityType.FUTURE)
{
MaturityMonthYear maturityMonthYear = new MaturityMonthYear();
securityDefinition.getField(maturityMonthYear);
spreadMatrix.CreateOutright(securityID.ToString(), maturityMonthYear.ToString());
}
else
{
Console.WriteLine("Unsupport security type: " + securityType.getField());
return;
}
MarketDataRequest(securityDefinition, sessionID);
}
catch (Exception exception)
{
Console.WriteLine(exception.Message);
}
}
public override void onMessage(QuickFix42.SecurityDefinition securityDefinition, SessionID sessionID)
{
AddText("securityDefinition " + securityDefinition + Environment.NewLine);
try
{
SecurityExchange securityExchange = new SecurityExchange();
securityDefinition.getField(securityExchange);
Symbol symbol = new Symbol();
securityDefinition.getField(symbol);
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
SpreadMatrixData smd = SpreadMatrixCollection.Get(securityExchange.getValue(), symbol.getValue());
if (smd != null)
{
SecurityEntry entry = new SecurityEntry(securityDefinition);
smd.Add(entry);
MarketDataRequest(securityDefinition);
}
}
catch (Exception exception)
{
AddText(exception.Message + Environment.NewLine);
throw;
}
}