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.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();
}
}
