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.MarketDataIncrementalRefresh refresh, QuickFix.SessionID sessionID)
{
if (refresh.isSetNoMDEntries())
{
string reqID = refresh.getMDReqID().getValue();
Instrument instrument = (provider as GSFIX).GetInstrument(reqID);
if (instrument == null)
return;
QuickFix42.MarketDataIncrementalRefresh.NoMDEntries group = new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries();
int position;
double price;
int size;
SmartQuant.Data.MarketDepth depth;
SmartQuant.Data.Quote quote;
for (uint i = 1; i <= refresh.getNoMDEntries().getValue(); i++)
{
refresh.getGroup(i, group);
switch (group.getMDUpdateAction().getValue())
{
// new
case QuickFix.MDUpdateAction.NEW:
{
switch (group.getMDEntryType().getValue())
{
case QuickFix.MDEntryType.BID:
//Console.WriteLine("NEW BID");
price = group.getMDEntryPx().getValue();
size = (int)group.getMDEntrySize().getValue();
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", -1, MDOperation.Insert, MDSide.Bid, price, size);
provider.EmitMarketDepth(depth, instrument);
// quote, best bid
if (price > instrument.Quote.Bid)
{
quote = new Quote(instrument.Quote);
quote.DateTime = Clock.Now;
quote.Bid = price;
quote.BidSize = size;
provider.EmitQuote(quote, instrument);
}
break;
case QuickFix.MDEntryType.OFFER:
//Console.WriteLine("NEW ASK");
price = group.getMDEntryPx().getValue();
size = (int)group.getMDEntrySize().getValue();
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", -1, MDOperation.Insert, MDSide.Ask, price, size);
provider.EmitMarketDepth(depth, instrument);
// quote, best ask
if (price < instrument.Quote.Ask)
{
quote = new Quote(instrument.Quote);
quote.DateTime = Clock.Now;
quote.Ask = price;
quote.AskSize = size;
provider.EmitQuote(quote, instrument);
}
break;
case QuickFix.MDEntryType.TRADE:
provider.EmitTrade(new Trade(Clock.Now, group.getMDEntryPx().getValue(), (int)group.getMDEntrySize().getValue()), instrument);
break;
}
}
break;
// change
case QuickFix.MDUpdateAction.CHANGE:
{
switch (group.getMDEntryType().getValue())
{
case QuickFix.MDEntryType.BID:
//Console.WriteLine("CHANGE BID!");
position = group.getMDEntryPositionNo().getValue() - 1;
size = (int)group.getMDEntrySize().getValue();
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Update, MDSide.Bid, 0, size);
provider.EmitMarketDepth(depth, instrument);
// quote, best bid
if (position == 0)
{
quote = new Quote(instrument.Quote);
quote.DateTime = Clock.Now;
quote.BidSize = (int)group.getMDEntrySize().getValue();
provider.EmitQuote(quote, instrument);
}
break;
case QuickFix.MDEntryType.OFFER:
//Console.WriteLine("CHANGE ASK!");
position = group.getMDEntryPositionNo().getValue() - 1;
size = (int)group.getMDEntrySize().getValue();
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Update, MDSide.Ask, 0, size);
provider.EmitMarketDepth(depth, instrument);
// quote, best bid
if (position == 0)
{
quote = new Quote(instrument.Quote);
quote.DateTime = Clock.Now;
quote.AskSize = (int)group.getMDEntrySize().getValue();
provider.EmitQuote(quote, instrument);
}
break;
}
}
break;
// delete
case QuickFix.MDUpdateAction.DELETE:
{
switch (group.getMDEntryType().getValue())
{
case QuickFix.MDEntryType.BID:
//Console.WriteLine("DELETE BID");
position = group.getMDEntryPositionNo().getValue() - 1;
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Delete, MDSide.Bid, 0, 0);
provider.EmitMarketDepth(depth, instrument);
// quote
if (position == 0)
{
Quote newQuote = instrument.OrderBook.GetQuote(0);
newQuote.DateTime = Clock.Now;
provider.EmitQuote(newQuote, instrument);
}
break;
case QuickFix.MDEntryType.OFFER:
//Console.WriteLine("DELETE ASK");
position = group.getMDEntryPositionNo().getValue() - 1;
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Delete, MDSide.Ask, 0, 0);
provider.EmitMarketDepth(depth, instrument);
// quote
if (position == 0)
{
Quote newQuote = instrument.OrderBook.GetQuote(0);
newQuote.DateTime = Clock.Now;
provider.EmitQuote(newQuote, instrument);
}
break;
}
}
break;
}
}
group.Dispose();
}
}
public override void onMessage(QuickFix42.MarketDataSnapshotFullRefresh marketDataSnapshotFullRefresh, SessionID sessionID)
{
//Console.WriteLine("marketDataSnapshotFullRefresh " + marketDataSnapshotFullRefresh);
uint numberOfEntries = (uint)marketDataSnapshotFullRefresh.getNoMDEntries().getValue();
if (numberOfEntries > 2)
{
Console.WriteLine("I don't know what to do with more than two price entries. I got " + numberOfEntries + ".");
return;
}
string securityID = marketDataSnapshotFullRefresh.getSecurityID().getValue();
double bidPrice = 0;
double bidSize = 0;
double askPrice = 0;
double askSize = 0;
MarketDataSnapshotFullRefresh.NoMDEntries group = new MarketDataSnapshotFullRefresh.NoMDEntries();
for (uint i = 0; i < numberOfEntries; i++)
{
marketDataSnapshotFullRefresh.getGroup(i + 1, group);
if (group.getMDEntryType().getValue() == MDEntryType.BID)
{
bidPrice = group.getMDEntryPx().getValue();
bidSize = group.getMDEntrySize().getValue();
}
if (group.getMDEntryType().getValue() == MDEntryType.OFFER)
{
askPrice = group.getMDEntryPx().getValue();
askSize = group.getMDEntrySize().getValue();
}
}
spreadMatrix.Update(securityID, bidPrice, bidSize, askPrice, askSize);
}
public override void onMessage(QuickFix42.MarketDataSnapshotFullRefresh snapshot, QuickFix.SessionID sessionID)
{
if (snapshot.isSetNoMDEntries())
{
string reqID = snapshot.getMDReqID().getValue();
Instrument instrument = (provider as GSFIX).GetInstrument(reqID);
instrument.OrderBook.Clear();
QuickFix42.MarketDataSnapshotFullRefresh.NoMDEntries group = new QuickFix42.MarketDataSnapshotFullRefresh.NoMDEntries();
Quote quote = new Quote();
quote.DateTime = Clock.Now;
for (uint i = 1; i <= snapshot.getNoMDEntries().getValue(); i++)
{
snapshot.getGroup(i, group);
SmartQuant.Data.MarketDepth depth;
int position = 0;
if (group.isSetMDEntryPositionNo())
position = group.getMDEntryPositionNo().getValue() - 1;
double price = group.getMDEntryPx().getValue();
int size = (int)group.getMDEntrySize().getValue();
// Console.WriteLine("Snapshot Level : " + position + " " + price + " " + size);
switch (group.getMDEntryType().getValue())
{
case QuickFix.MDEntryType.TRADE:
provider.EmitTrade(new Trade(Clock.Now, price, size), instrument);
break;
case QuickFix.MDEntryType.BID:
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Insert, MDSide.Bid, price, size);
provider.EmitMarketDepth(depth, instrument);
// quote
if (position == 0)
{
quote.Bid = price;
quote.BidSize = size;
}
break;
case QuickFix.MDEntryType.OFFER:
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Insert, MDSide.Ask, price, size);
provider.EmitMarketDepth(depth, instrument);
// quote
if (position == 0)
{
quote.Ask = price;
quote.AskSize = size;
}
break;
}
}
group.Dispose();
provider.EmitQuote(quote, instrument);
}
}
