private static void DoFixRequest(IMarketDataProvider provider, Instrument instrument, MarketDataType type, char subCh, string suffix)
{
FIXMarketDataRequest request = new FIXMarketDataRequest();
request.MDReqID = DataManager.GetRequestId();
request.SubscriptionRequestType = subCh;
switch (type)
{
case MarketDataType.Trade:
request.AddGroup(new FIXMDEntryTypesGroup('2'));
break;
case MarketDataType.Quote:
request.AddGroup(new FIXMDEntryTypesGroup('0'));
request.AddGroup(new FIXMDEntryTypesGroup('1'));
request.MarketDepth = 1; // Top of Book
break;
case MarketDataType.MarketDepth:
request.AddGroup(new FIXMDEntryTypesGroup('0'));
request.AddGroup(new FIXMDEntryTypesGroup('1'));
request.MarketDepth = 0; // Full Book
break;
}
if (!instrument.ContainsField(15))
{
instrument.Currency = Framework.Configuration.DefaultCurrency;
}
FIXRelatedSymGroup symGrp = new FIXRelatedSymGroup();
request.AddGroup(symGrp);
symGrp.Symbol = instrument.Symbol;
symGrp.SecurityType = instrument.SecurityType;
symGrp.SecurityExchange = instrument.SecurityExchange;
symGrp.Currency = instrument.Currency;
symGrp.SecurityID = instrument.SecurityID;
symGrp.SecurityIDSource = instrument.SecurityIDSource;
symGrp.MaturityDate = instrument.MaturityDate;
symGrp.MaturityMonthYear = instrument.MaturityMonthYear;
symGrp.StrikePrice = instrument.StrikePrice;
symGrp.PutOrCall = ((FIXInstrument)instrument).PutOrCall;
foreach (FIXSecurityAltIDGroup group2 in instrument.SecurityAltIDGroup)
{
symGrp.AddGroup(group2);
}
symGrp.SetStringValue(10001, suffix);
if (provider == ProviderManager.MarketDataSimulator)
{
provider.SendMarketDataRequest(request);
}
else
{
switch (subCh)
{
case MARKET_DATA_SUBSCRIBE:
bool flag1 = false;
lock (DataManager.providers)
{
Hashtable local_4 = DataManager.providers[provider] as Hashtable;
if (local_4 == null)
{
local_4 = new Hashtable();
DataManager.providers.Add(provider, local_4);
}
Hashtable local_5 = local_4[instrument] as Hashtable;
if (local_5 == null)
{
local_5 = new Hashtable();
local_4.Add(instrument, local_5);
}
RequestItem local_6 = local_5[type] as RequestItem;
if (local_6 == null)
{
local_6 = new RequestItem(request);
local_5.Add(type, local_6);
flag1 = true;
}
RequestItem temp_91 = local_6;
int temp_94 = temp_91.GetRequestId() + 1;
temp_91.SetRequestId(temp_94);
}
if (!flag1)
{
break;
}
provider.SendMarketDataRequest(request);
break;
case MARKET_DATA_UNSUBSCRIBE:
bool canSend = false;
string msg = null;
lock (DataManager.providers)
{
Hashtable local_10 = DataManager.providers[provider] as Hashtable;
if (local_10 != null)
{
Hashtable local_11 = local_10[instrument] as Hashtable;
if (local_11 != null)
{
RequestItem local_12 = local_11[type] as RequestItem;
if (local_12 != null)
{
RequestItem temp_152 = local_12;
int temp_155 = temp_152.GetRequestId() - 1;
temp_152.SetRequestId(temp_155);
if (local_12.GetRequestId() == 0)
{
local_11.Remove(type);
if (local_11.Count == 0)
{
local_10.Remove(instrument);
if (local_10.Count == 0)
{
DataManager.providers.Remove(provider);
}
}
canSend = true;
}
}
else
{
msg = "No this RequestItem";
}
}
else
{
msg = "No Request for this instrument";
}
}
else
{
msg = "No Request for this provider";
}
}
if (msg != null)
{
DataManager.LogRequestMessage(provider, instrument, type, msg);
}
if (!canSend)
{
break;
}
provider.SendMarketDataRequest(request);
break;
}
}
}
