/// <summary>
/// сообщение содержит котировку: одну цену либо бид и аск сразу
/// </summary>
public static void ProcessMsgQuote(FixMessage msg)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote: {0}", msg.ToString());
string symbol = msg.GetValueString(FixMessage.TAG_SYMBOL);
if (string.IsNullOrEmpty(symbol))
{
Logger.Debug("Quote msg: no symbol tag");
return;
}
if (!ConvertFromProviderSymbolNaming(ref symbol))
{
return;
}
var bid = msg.GetValueFloat(FixMessage.TAG_BID_PRICE);
var ask = msg.GetValueFloat(FixMessage.TAG_OFFER_PRICE);
if (!bid.HasValue && ask.HasValue == false)
{
Logger.Debug("Quote msg: no bid - ask");
return;
}
QuoteDistributor.Instance.UpdateQuote(symbol, bid, ask);
}
public static void ProcessMsgMarketDataIncrRefresh(Message msgOrig, FixMessage msg)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote incr: {0}", msg.ToString());
try
{
// информация по тикерам разбита на группы, каждому тикеру - по группе
var groupHeader = new NoMDEntries();
msgOrig.getField(groupHeader);
int numGroups = groupHeader.getValue();
var group = FixMessage.FixVersion == FixVersion.Fix42
? new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries()
: FixMessage.FixVersion == FixVersion.Fix43
? (Group) new QuickFix43.MarketDataIncrementalRefresh.NoMDEntries()
: new QuickFix44.MarketDataIncrementalRefresh.NoMDEntries();
var lastQuotes = new System.Collections.Generic.Dictionary <string, QuoteData>();
for (var i = 1; i <= numGroups; i++)
{
var groupTicker = msgOrig.getGroup((uint)i, group);
var symbol = groupTicker.getField(new Symbol()).getValue();
if (!ConvertFromProviderSymbolNaming(ref symbol))
{
return;
}
var entType = new MDEntryType();
var entTypeChar = groupTicker.getField(entType).getValue();
var priceType = entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_BID[0]
? Contract.Entity.QuoteType.Bid
: entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_OFFER[0]
? Contract.Entity.QuoteType.Ask
: Contract.Entity.QuoteType.NonSpecified;
if (priceType == Contract.Entity.QuoteType.NonSpecified)
{
continue;
}
var price = msg.GetValueFloat(FixMessage.TAG_MD_ENTRY_PX) ?? 0;
if (price == 0)
{
continue;
}
if (lastQuotes.ContainsKey(symbol))
{
var quote = lastQuotes[symbol];
if (priceType == Contract.Entity.QuoteType.Bid)
{
quote.bid = price;
}
else
{
quote.ask = price;
}
}
else
{
lastQuotes.Add(symbol, new QuoteData(
priceType == Contract.Entity.QuoteType.Bid ? price : 0,
priceType == Contract.Entity.QuoteType.Ask ? price : 0, DateTime.Now));
}
}
foreach (var quote in lastQuotes)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicQuote, 1000 * 60 * 15,
"Котировка {0}: {1} - {2}",
quote.Key, quote.Value.bid, quote.Value.ask);
QuoteDistributor.Instance.UpdateQuote(quote.Key,
quote.Value.bid == 0 ? (float?)null : quote.Value.bid,
quote.Value.ask == 0 ? (float?)null : quote.Value.ask);
}
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicParseMarketDataSuccess,
1000 * 60 * 10, "Обработан пакет MarketDataIncrRefresh");
}
catch (Exception ex)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicParseMarketDataError,
1000 * 60 * 10, "Ошибка разбора MarketDataIncrRefresh: {0}", ex);
}
}
/// <summary>
/// сообщение содержит котировку: одну цену либо бид и аск сразу
/// </summary>
public static void ProcessMsgQuote(FixMessage msg)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote: {0}", msg.ToString());
string symbol = msg.GetValueString(FixMessage.TAG_SYMBOL);
if (string.IsNullOrEmpty(symbol))
{
Logger.Debug("Quote msg: no symbol tag");
return;
}
if (!ConvertFromProviderSymbolNaming(ref symbol)) return;
var bid = msg.GetValueFloat(FixMessage.TAG_BID_PRICE);
var ask = msg.GetValueFloat(FixMessage.TAG_OFFER_PRICE);
if (!bid.HasValue && ask.HasValue == false)
{
Logger.Debug("Quote msg: no bid - ask");
return;
}
QuoteDistributor.Instance.UpdateQuote(symbol, bid, ask);
}
public static void ProcessMsgMarketDataIncrRefresh(Message msgOrig, FixMessage msg)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicMarketData, 1000 * 60 * 60 * 2, "Quote incr: {0}", msg.ToString());
try
{
// информация по тикерам разбита на группы, каждому тикеру - по группе
var groupHeader = new NoMDEntries();
msgOrig.getField(groupHeader);
int numGroups = groupHeader.getValue();
var group = FixMessage.FixVersion == FixVersion.Fix42
? new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries()
: FixMessage.FixVersion == FixVersion.Fix43
? (Group)new QuickFix43.MarketDataIncrementalRefresh.NoMDEntries()
: new QuickFix44.MarketDataIncrementalRefresh.NoMDEntries();
var lastQuotes = new System.Collections.Generic.Dictionary<string, QuoteData>();
for (var i = 1; i <= numGroups; i++)
{
var groupTicker = msgOrig.getGroup((uint)i, group);
var symbol = groupTicker.getField(new Symbol()).getValue();
if (!ConvertFromProviderSymbolNaming(ref symbol)) return;
var entType = new MDEntryType();
var entTypeChar = groupTicker.getField(entType).getValue();
var priceType = entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_BID[0]
? Contract.Entity.QuoteType.Bid
: entTypeChar == FixMessage.VALUE_MD_ENTRY_TYPE_OFFER[0]
? Contract.Entity.QuoteType.Ask
: Contract.Entity.QuoteType.NonSpecified;
if (priceType == Contract.Entity.QuoteType.NonSpecified) continue;
var price = msg.GetValueFloat(FixMessage.TAG_MD_ENTRY_PX) ?? 0;
if (price == 0) continue;
if (lastQuotes.ContainsKey(symbol))
{
var quote = lastQuotes[symbol];
if (priceType == Contract.Entity.QuoteType.Bid)
quote.bid = price;
else
quote.ask = price;
}
else
{
lastQuotes.Add(symbol, new QuoteData(
priceType == Contract.Entity.QuoteType.Bid ? price : 0,
priceType == Contract.Entity.QuoteType.Ask ? price : 0, DateTime.Now));
}
}
foreach (var quote in lastQuotes)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicQuote, 1000 * 60 * 15,
"Котировка {0}: {1} - {2}",
quote.Key, quote.Value.bid, quote.Value.ask);
QuoteDistributor.Instance.UpdateQuote(quote.Key,
quote.Value.bid == 0 ? (float?)null : quote.Value.bid,
quote.Value.ask == 0 ? (float?)null : quote.Value.ask);
}
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicParseMarketDataSuccess,
1000 * 60 * 10, "Обработан пакет MarketDataIncrRefresh");
}
catch (Exception ex)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Info,
LogMagicParseMarketDataError,
1000 * 60 * 10, "Ошибка разбора MarketDataIncrRefresh: {0}", ex);
}
}
