public void OnMessage(QuickFix.FIX44.MarketDataIncrementalRefresh msg, SessionID s)
{
var symbols = new HashSet <string>();
var entryType = new HashSet <string>();
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var item = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, item);
symbols.Add(item.Symbol.getValue());
if (MDEntryType.BID == item.MDEntryType.getValue())
{
entryType.Add("BID");
}
else if (MDEntryType.OFFER == item.MDEntryType.getValue())
{
entryType.Add("OFFER");
}
else if (MDEntryType.TRADE == item.MDEntryType.getValue())
{
entryType.Add("TRADE");
}
if (!_seen.Contains(item.Symbol.getValue()) && MDEntryType.TRADE != item.MDEntryType.getValue())
{
//throw new Exception("Incremential before snapshot");
}
}
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var item = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, item);
if (item.Symbol.getValue() == DebugSymbol)
{
Console.WriteLine($"Received MarketDataIncrementalRefresh {msg.NoMDEntries.getValue()} items for {string.Join(",", symbols)} with {string.Join(",", entryType)} (lag: {(DateTime.UtcNow - msg.Header.GetDateTime(52)).TotalMilliseconds} / {(DateTime.UtcNow - item.MDEntryDate.getValue().Add(item.MDEntryTime.getValue().TimeOfDay)).TotalMilliseconds}).");
}
return;
Console.WriteLine($"{item.MDEntryType} {item.MDUpdateAction} @ {item.Symbol}:");
if (item.IsSetMDEntryID())
{
Console.WriteLine($" ID: {item.MDEntryID}");
}
Console.WriteLine($" Date: {item.MDEntryDate}");
Console.WriteLine($" Time: {item.MDEntryTime}");
Console.WriteLine($" Px: {item.MDEntryPx}");
Console.WriteLine($" Size: {item.MDEntrySize}");
if (item.IsSetMDEntryOriginator())
{
Console.WriteLine($" TakerSide: {item.MDEntryOriginator}");
}
}
Console.WriteLine($"--------------------------------------------------");
}
public void OnMessage(QuickFix.FIX44.MarketDataIncrementalRefresh m, SessionID s)
{
QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup group = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
m.GetGroup(1, group);
var quote = new
{
Side = (group.MDEntryType.getValue() == MDEntryType.BID ? "Bid" : "Offer"),
LP = group.MDEntryOriginator.getValue(),
Security = group.MDEntryOriginator.getValue(),
Price = group.MDEntryPx.getValue(),
Quantity = group.MDEntrySize.getValue(),
UpdateAction = group.MDUpdateAction.getValue()
};
var trace = JsonConvert.SerializeObject(quote);
Console.WriteLine(trace);
System.IO.File.AppendAllText("trace.log", trace + "\r\n");
}
public void OnMessage(QuickFix.FIX44.MarketDataIncrementalRefresh msg,
SessionID s)
{
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var trade = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, trade);
Console.WriteLine($"Trade {trade.MDUpdateAction} @ {trade.Symbol}:");
Console.WriteLine($" ID: {trade.MDEntryID}");
Console.WriteLine($" Date: {trade.MDEntryDate}");
Console.WriteLine($" Time: {trade.MDEntryTime}");
Console.WriteLine($" Px: {trade.MDEntryPx}");
Console.WriteLine($" Size: {trade.MDEntrySize}");
Console.WriteLine($" TakerSide: {trade.MDEntryOriginator}");
}
Console.WriteLine($"--------------------------------------------------");
}
/// <summary>
/// Incremental market data refresh
/// </summary>
/// <param name="msg"></param>
/// <param name="sessionID"></param>
public void OnMessage(QuickFix.FIX44.MarketDataIncrementalRefresh msg, SessionID sessionID)
{
var numMDEntries = msg.GetInt(Tags.NoMDEntries);
for (int i = 1; i <= numMDEntries; i++)
{
var entry = msg.GetGroup(i, Tags.NoMDEntries);
var entryType = entry.GetChar(Tags.MDEntryType);
if (entryType.Equals(MDEntryType.BID) || entryType.Equals(MDEntryType.OFFER))
{
var action = entry.GetChar(Tags.MDUpdateAction);
switch (action)
{
case MDUpdateAction.CHANGE:
CurrentOrderBook.ChangeOrder((double)entry.GetDecimal(Tags.MDEntryPx), (double)entry.GetDecimal(Tags.MDEntrySize), entry.GetChar(Tags.MDEntryType));
break;
case MDUpdateAction.DELETE:
CurrentOrderBook.RemoveOrder((double)entry.GetDecimal(Tags.MDEntryPx), entry.GetChar(Tags.MDEntryType));
break;
default:
Log.Write($"Unknown market data update action {action}", 0);
break;
}
}
else if (entryType.Equals(MDEntryType.TRADE))
{
LastTrade = new Trade()
{
Price = (double)entry.GetDecimal(Tags.MDEntryPx),
Volume = (double)entry.GetDecimal(Tags.MDEntrySize)
};
}
}
}
public void OnMessage(QuickFix.FIX44.MarketDataIncrementalRefresh marketRefresh, SessionID sessionId)
{
Console.WriteLine("Incremental refresh");
}
