private void OnMessage(QuickFix.FIX42.MarketDataRequest m, SessionID s)
{
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
m.GetGroup(1, symbolGroup);
string symbolName = symbolGroup.Get(new Symbol()).getValue();
string mdRequestId = m.MDReqID.ToString();
if (!m_ProductSubscription.ContainsKey(symbolName)) {
bool fullSpeed = symbolName.StartsWith("B");
Console.WriteLine("Subscribe : " + symbolName + ". Full Speed: " + fullSpeed);
QuotePublisher publisher = new QuotePublisher(symbolName, mdRequestId, fullSpeed, s);
m_ProductSubscription.Add(symbolName, publisher);
}
}
//receive responses from position request messages
//public void onPositionReportMessage(QuickFix.FIX42.Message message, SessionID session)
//{
// TT.PosReqId req = new TT.PosReqId();
// string r = message.GetField(req).getValue(); //SOD, DSOD, MANUAL_FILL, TRADES
// log.WriteLog(r);
// TT.TotalNumPosReports num = new TT.TotalNumPosReports();
// int numReports = message.GetField(num).getValue() ;
// log.WriteLog(numReports.ToString());
// TT.PosMaintRptId uniqueID = new TT.PosMaintRptId();
// if (posReports.Contains(message.GetField(uniqueID).getValue()))
// { updateDisplay("Duplicate position report recieved and discarded: " + uniqueID.ToString()); }
// else
// {
// posReports.Add(message.GetField(uniqueID).getValue());
// if (message.IsSetField(num) && numReports != 0)
// {
// updateDisplay(string.Format("{0} updates in this {1} report",num, r));
// posTableUpdate(message, session);
// }
// else
// { updateDisplay(string.Format("No Updates in this {0} position report", r)); }
// switch (r)
// {
// case "SOD":
// ctrSOD += 1;
// if (numReports == 0 || ctrSOD == numReports) { SODLoaded = true; }
// break;
// case "DSOD":
// ctrSOD += 1;
// if (numReports == 0 || ctrSOD == numReports) { SODLoaded = true; }
// break;
// case "MANUAL_FILL":
// ctrMAN += 1;
// if (numReports == 0 || ctrMAN == numReports) { ManualFillsLoaded = true; }
// break;
// case "TRADES":
// ctrTRD += 1;
// if (numReports == 0 || ctrTRD == numReports) { previousTradesLoaded = true; }
// break;
// default:
// break;
// }
// log.WriteLog("SOD Loaded: " + SODLoaded.ToString());
// log.WriteLog("MAN Loaded: " + ManualFillsLoaded.ToString());
// log.WriteLog("TRD Loaded: " + previousTradesLoaded.ToString());
// if (SODLoaded && ManualFillsLoaded && previousTradesLoaded && !PositionLoadedReported)
// {
// updateOnOff();
// updateDisplay("RISK MANUAL FILLS AND TRADES LOADED");
// PositionLoadedReported = true;
// }
// }
//}
public void OnMessage(QuickFix.FIX42.GatewayStatus message, SessionID session)
{
QuickFix.Group g = new QuickFix.FIX42.GatewayStatus.NoGatewayStatusGroup();
for (int i = 1; i <= message.GroupCount(message.NoGatewayStatus.getValue()); i++)
{
message.GetGroup(i, g);
string exch = g.GetField(new QuickFix.Fields.ExchangeGateway()).getValue();
int server = g.GetField(new QuickFix.Fields.SubExchangeGateway()).getValue();
int status = g.GetField(new QuickFix.Fields.GatewayStatus()).getValue();
string text = null;
try
{
text = g.GetField(new QuickFix.Fields.Text()).ToString();
updateDisplay(string.Format("Text: {0}", text));
}
catch (Exception ex)
{ updateDisplay(string.Format("NO TEXT:{0}", ex.ToString())); }
updateGateway(exch,
new QuickFix.Fields.SubExchangeGateway(server).toStringField().ToString(),
new QuickFix.Fields.GatewayStatus(status).toStringField().ToString(),
text);
}
}
//Receive market data
public void OnMessage(QuickFix.FIX42.MarketDataSnapshotFullRefresh message, SessionID session)
{
decimal _bidPrice = 0.00M;
decimal _askPrice = 0.00M;
try
{
QuickFix.Group noMDEntriesGrp = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
for (int grpIndex = 1; grpIndex <= message.GetInt(QuickFix.Fields.Tags.NoMDEntries); grpIndex += 1)
{
noMDEntriesGrp = message.GetGroup(grpIndex, QuickFix.Fields.Tags.NoMDEntries);
if (noMDEntriesGrp.IsSetField(QuickFix.Fields.Tags.BidPx))
{
_bidPrice = QuickFix.Fields.Converters.DecimalConverter.Convert(noMDEntriesGrp.GetField(QuickFix.Fields.Tags.BidPx));
}
if (noMDEntriesGrp.IsSetField(QuickFix.Fields.Tags.OfferPx))
{
_askPrice = QuickFix.Fields.Converters.DecimalConverter.Convert(noMDEntriesGrp.GetField(QuickFix.Fields.Tags.OfferPx));
}
}
string SecEx = null;
string symbol = null;
string secID = null;
QuickFix.Fields.SecurityExchange se = new QuickFix.Fields.SecurityExchange();
if (message.IsSetField(se))
{ SecEx = message.GetField(se).ToString(); }
QuickFix.Fields.Symbol s = new QuickFix.Fields.Symbol();
if (message.IsSetField(s))
{ symbol = message.GetField(s).ToString(); }
QuickFix.Fields.SecurityID sid = new QuickFix.Fields.SecurityID();
if (message.IsSetField(sid))
{ secID = message.GetField(sid).ToString(); }
updatePrices(SecEx, symbol, secID, _bidPrice, _askPrice);
}
catch (Exception ex)
{
updateDisplay(string.Format("QuickFIX Error: {0}", System.Reflection.MethodBase.GetCurrentMethod().Name));
log.WriteLog(string.Format("{0} : {1}", System.Reflection.MethodBase.GetCurrentMethod().Name, ex.ToString()));
}
}