private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(pDepthMarketData.InstrumentID, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", pDepthMarketData.InstrumentID);
return;
}
Instrument instrument = record.Instrument;
CThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket);
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
try
{
// 只有使用交易所行情时才需要处理跨天的问题
ChangeTradingDay(pDepthMarketData.TradingDay);
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
catch (Exception)
{
_dateTime = Clock.Now;
}
}
if (record.TradeRequested)
{
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
EmitNewTradeEvent(instrument, trade);
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
EmitNewQuoteEvent(instrument, quote);
}
}
if (record.MarketDepthRequested)
{
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pDepthMarketData.AskPrice1, pDepthMarketData.AskVolume1);
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pDepthMarketData.BidPrice1, pDepthMarketData.BidVolume1);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Ask, pDepthMarketData.AskPrice2, pDepthMarketData.AskVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Bid, pDepthMarketData.BidPrice2, pDepthMarketData.BidVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Ask, pDepthMarketData.AskPrice3, pDepthMarketData.AskVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Bid, pDepthMarketData.BidPrice3, pDepthMarketData.BidVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Ask, pDepthMarketData.AskPrice4, pDepthMarketData.AskVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Bid, pDepthMarketData.BidPrice4, pDepthMarketData.BidVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Ask, pDepthMarketData.AskPrice5, pDepthMarketData.AskVolume5);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Bid, pDepthMarketData.BidPrice5, pDepthMarketData.BidVolume5);
}
// 价差生成功能
do
{
if (null == CTPAPI.GetInstance().SpreadMarketData)
break;
ISpreadMarketData SpreadMarketData = CTPAPI.GetInstance().SpreadMarketData;
var ticks = SpreadMarketData.CalculateSpread(pDepthMarketData);
if (null == ticks)
break;
foreach (var tick in ticks)
{
Instrument inst = InstrumentManager.Instruments[tick.Symbol];
if (null == inst)
continue;
if (!double.IsNaN(tick.Price))
{
Trade trade = new Trade(_dateTime, tick.Price, tick.Size);
trade.ProviderId = tick.ProviderId;
EmitNewTradeEvent(inst, trade);
}
if (!double.IsNaN(tick.Ask) && !double.IsNaN(tick.Bid))
{
Quote quote = new Quote(_dateTime,
tick.Bid, tick.BidSize,
tick.Ask, tick.AskSize);
quote.ProviderId = tick.ProviderId;
EmitNewQuoteEvent(inst, quote);
}
}
} while (false);
// 直接回报CTP的行情信息
if (EmitOnRtnDepthMarketData)
{
CTPAPI.GetInstance().FireOnRtnDepthMarketData(pDepthMarketData);
}
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
CThostFtdcDepthMarketDataField DepthMarket;
if (_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket))
{
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
Instrument instrument = _dictAltSymbol2Instrument[pDepthMarketData.InstrumentID];
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行将设置为0
volume = 0;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
if (null != marketDataFilter)
{
/* Trade t = marketDataFilter.FilterTrade(trade, instrument.Symbol);
if (null != t)
{
EmitNewTradeEvent(instrument, t);
}
*/ }
else
{
EmitNewTradeEvent(instrument, trade);
}
}
if (
DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
)
{ }
else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
if (null != marketDataFilter)
{
/* Quote q = marketDataFilter.FilterQuote(quote, instrument.Symbol);
if (null != q)
{
EmitNewQuoteEvent(instrument, q);
}
*/ }
else
{
EmitNewQuoteEvent(instrument, quote);
}
}
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
}
}
private void Dispatcher_HistoricalData(object sender, HistoricalDataEventArgs args)
{
HistoricalData data = args.Data;
ImportTaskViewItem importTaskViewItem;
if (!this.taskItems.TryGetValue(data.RequestId, out importTaskViewItem))
return;
foreach (SmartQuant.DataObject dataObject in data.Objects)
{
if (dataObject is Quote)
{
Quote quote1 = (Quote) dataObject;
Quote quote2;
lock (this.lastQuotes)
{
if (!this.lastQuotes.TryGetValue(data.RequestId, out quote2))
{
quote2 = new Quote(new Bid(), new Ask());
this.lastQuotes.Add(data.RequestId, quote2);
}
}
if (quote1.Bid.Price != quote2.Bid.Price || quote1.Bid.Size != quote2.Bid.Size)
this.framework.DataManager.Save(importTaskViewItem.Task.Instrument, (SmartQuant.DataObject) new Bid(quote1.Bid), SaveMode.Add);
if (quote1.Ask.Price != quote2.Ask.Price || quote1.Ask.Size != quote2.Ask.Size)
this.framework.DataManager.Save(importTaskViewItem.Task.Instrument, (SmartQuant.DataObject) new Ask(quote1.Ask), SaveMode.Add);
quote2.Bid.Price = quote1.Bid.Price;
quote2.Bid.Size = quote1.Bid.Size;
quote2.Ask.Price = quote1.Ask.Price;
quote2.Ask.Size = quote1.Ask.Size;
}
else
this.framework.DataManager.Save(importTaskViewItem.Task.Instrument, dataObject, SaveMode.Add);
}
importTaskViewItem.Task.TotalNum = data.TotalNum;
importTaskViewItem.Task.Count += data.Objects.Length;
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(pDepthMarketData.InstrumentID, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", pDepthMarketData.InstrumentID);
return;
}
Instrument instrument = record.Instrument;
CThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket);
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
if (record.TradeRequested)
{
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
if (null != MarketDataFilter)
{
Trade t = MarketDataFilter.FilterTrade(trade, instrument.Symbol);
if (null != t)
{
EmitNewTradeEvent(instrument, t);
}
}
else
{
EmitNewTradeEvent(instrument, trade);
}
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
if (null != MarketDataFilter)
{
Quote q = MarketDataFilter.FilterQuote(quote, instrument.Symbol);
if (null != q)
{
EmitNewQuoteEvent(instrument, q);
}
}
else
{
EmitNewQuoteEvent(instrument, quote);
}
}
}
if (record.MarketDepthRequested)
{
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pDepthMarketData.AskPrice1, pDepthMarketData.AskVolume1);
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pDepthMarketData.BidPrice1, pDepthMarketData.BidVolume1);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Ask, pDepthMarketData.AskPrice2, pDepthMarketData.AskVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Bid, pDepthMarketData.BidPrice2, pDepthMarketData.BidVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Ask, pDepthMarketData.AskPrice3, pDepthMarketData.AskVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Bid, pDepthMarketData.BidPrice3, pDepthMarketData.BidVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Ask, pDepthMarketData.AskPrice4, pDepthMarketData.AskVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Bid, pDepthMarketData.BidPrice4, pDepthMarketData.BidVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Ask, pDepthMarketData.AskPrice5, pDepthMarketData.AskVolume5);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Bid, pDepthMarketData.BidPrice5, pDepthMarketData.BidVolume5);
}
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CZQThostFtdcDepthMarketDataField pDepthMarketData)
{
CZQThostFtdcDepthMarketDataField DepthMarket;
if (_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket))
{
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
Instrument instrument = _dictAltSymbol2Instrument[pDepthMarketData.InstrumentID];
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume<0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
if (null != marketDataFilter)
{
//comment by fouvy, for openquant 2.9
//Trade t = marketDataFilter.FilterTrade(trade, instrument.Symbol);
//if (null != t)
//{
// EmitNewTradeEvent(instrument, t);
//}
}
else
{
EmitNewTradeEvent(instrument, trade);
}
}
if (
DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
)
{ }
else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
if (null != marketDataFilter)
{
//comment by fouvy change for openquant 2.9
//Quote q = marketDataFilter.FilterQuote(quote, instrument.Symbol);
//if (null != q)
//{
// EmitNewQuoteEvent(instrument, q);
//}
}
else
{
EmitNewQuoteEvent(instrument, quote);
}
}
}
}
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 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);
}
}
