/// <summary>
/// Parses each field of a MarketDataRequest update.
/// </summary>
public void Parse()
{
int tagLength = tag.Length;
if (tagLength == 2)
{
if (IsTag[tagLength](Tag.Trailer.CheckSum))
{
trailer.CheckSum = ParseIntField();
}
}
else if (tagLength == 3)
{
if (IsTag[tagLength](Tag.MarketDataRequest.MDReqID))
{
ParseCharArrayField(MDReqID);
}
}
else if (tagLength == 4)
{
if (IsTag[tagLength](Tag.MarketDataRequest.ApplID))
{
ParseCharArrayField(ApplID);
}
else if (IsTag[tagLength](Tag.MarketDataRequest.ApplBeginSeqNo))
{
ApplBeginSeqNo = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataRequest.ApplEndSeqNo))
{
ApplEndSeqNo = ParseIntField();
}
}
}
/// <summary>
/// Parses each field of a SecurityStatus update.
/// </summary>
public void Parse()
{
int tagLength = tag.Length;
if (tagLength == 2)
{
if (IsTag[tagLength](Tag.SecurityStatus.SecurityIDSource))
{
SecurityIDSource = ParseCharField();
}
else if (IsTag[tagLength](Tag.SecurityStatus.SecurityID))
{
ParseCharArrayField(SecurityID);
}
else if (IsTag[tagLength](Tag.SecurityStatus.Symbol))
{
ParseCharArrayField(Symbol);
}
else if (IsTag[tagLength](Tag.SecurityStatus.TradeDate))
{
TradeDate = ParseDateField();
}
else if (IsTag[tagLength](Tag.Trailer.CheckSum))
{
trailer.CheckSum = ParseIntField();
}
}
else if (tagLength == 3)
{
if (IsTag[tagLength](Tag.SecurityStatus.HighPx))
{
HighPx = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityStatus.LowPx))
{
LowPx = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityStatus.SecurityTradingStatus))
{
SecurityTradingStatus = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityStatus.HaltReason))
{
HaltReason = ParseIntField();
}
}
else if (tagLength == 4)
{
if (IsTag[tagLength](Tag.SecurityStatus.SecurityTradingEvent))
{
SecurityTradingEvent = ParseIntField();
}
}
}
/// <summary>
/// Parses each field of a QuoteRequest update.
/// </summary>
public void Parse()
{
int tagLength = tag.Length;
if (tagLength == 2)
{
if (IsTag[tagLength](Tag.Trailer.CheckSum))
{
trailer.CheckSum = ParseIntField();
}
else if (IsTag[tagLength](Tag.QuoteRequest.Symbol))
{
ParseCharArrayField(Symbol);
}
else if (IsTag[tagLength](Tag.QuoteRequest.OrderQty))
{
OrderQty = ParseIntField();
}
else if (IsTag[tagLength](Tag.QuoteRequest.Side))
{
Side = ParseCharField();
}
else if (IsTag[tagLength](Tag.QuoteRequest.SecurityID))
{
ParseCharArrayField(SecurityID);
}
else if (IsTag[tagLength](Tag.QuoteRequest.SecurityIDSource))
{
SecurityIDSource = ParseCharField();
}
}
else if (tagLength == 3)
{
if (IsTag[tagLength](Tag.QuoteRequest.QuoteReqID))
{
ParseCharArrayField(QuoteReqID);
}
else if (IsTag[tagLength](Tag.QuoteRequest.NoRelatedSym))
{
NoRelatedSym = ParseIntField();
}
else if (IsTag[tagLength](Tag.QuoteRequest.QuoteType))
{
QuoteType = ParseIntField();
}
}
throw new NotImplementedException("QuoteRequest_Parse method not yet implemented.");
}
private bool HasParsedTimestamp()
{
int tagLength = tag.Length;
if (tagLength == 1)
{
if (IsTag[tagLength](Tag.Header.BodyLength))
{
BodyLength = ParseIntField();
}
}
else if (tagLength == 2)
{
if (IsTag[tagLength](Tag.Header.MsgType))
{
MsgType = ParseCharField();
}
else if (IsTag[tagLength](Tag.Header.SenderCompID))
{
ParseCharArrayField(SenderCompID);
}
else if (IsTag[tagLength](Tag.Header.MsgSeqNum))
{
MsgSeqNum = ParseIntField();
}
else if (IsTag[tagLength](Tag.Header.SendingTime))
{
SendingTime = ParseDateTimeWithMsField();
return(true); // Timestamp means we've reached the end of the header.
}
else if (IsTag[tagLength](Tag.Trailer.CheckSum))
{
trailer.CheckSum = ParseIntField();
}
}
else if (tagLength == 4)
{
if (IsTag[tagLength](Tag.Header.ApplVerID))
{
ApplVerID = ParseCharField();
}
}
return(false);
}
/// <summary>
/// Parses each field of a MarketDataSnapshotFullRefresh update.
/// </summary>
public void Parse()
{
int tagLength = tag.Length;
if (tagLength == 2)
{
if (IsTag[tagLength](Tag.Trailer.CheckSum))
{
trailer.CheckSum = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataSnapshotFullRefresh.RptSeq))
{
RptSeq = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataSnapshotFullRefresh.SecurityID))
{
ParseCharArrayField(SecurityID);
}
else if (IsTag[tagLength](Tag.MarketDataSnapshotFullRefresh.SecurityIDSource))
{
SecurityIDSource = ParseCharField();
}
}
else if (tagLength == 3)
{
if (IsTag[tagLength](Tag.MarketDataSnapshotFullRefresh.TotNumReports))
{
TotNumReports = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataSnapshotFullRefresh.NoMDEntries))
{
NoMDEntries = ParseIntField();
}
}
else if (tagLength == 4)
{
if (IsTag[tagLength](Tag.MarketDataSnapshotFullRefresh.MDBookType))
{
MDBookType = ParseIntField();
}
}
throw new NotImplementedException("MarketDataSnapshotFullRefresh_Parse method not yet implemented.");
}
/// <summary>
/// Parses each field of a Logon update.
/// </summary>
public void Parse()
{
int tagLength = tag.Length;
if (tagLength == 2)
{
if (IsTag[tagLength](Tag.Logon.EncryptMethod))
{
EncryptMethod = ParseIntField();
}
else if (IsTag[tagLength](Tag.Trailer.CheckSum))
{
trailer.CheckSum = ParseIntField();
}
}
else if (tagLength == 3)
{
if (IsTag[tagLength](Tag.Logon.HeartBtInt))
{
HeartBtInt = ParseIntField();
}
else if (IsTag[tagLength](Tag.Logon.Username))
{
ParseCharArrayField(Username);
}
else if (IsTag[tagLength](Tag.Logon.Password))
{
ParseCharArrayField(Password);
}
}
else if (tagLength == 4)
{
if (IsTag[tagLength](Tag.Logon.DefaultApplVerID))
{
DefaultApplVerID = ParseCharField();
}
else if (IsTag[tagLength](Tag.Logon.ApplID))
{
ParseCharArrayField(ApplID);
}
}
}
/// <summary>
/// Parses each field of a Logout update.
/// </summary>
public void Parse()
{
int tagLength = tag.Length;
if (tagLength == 2)
{
if (IsTag[tagLength](Tag.Logout.Text))
{
ParseCharArrayField(Text);
}
else if (IsTag[tagLength](Tag.Trailer.CheckSum))
{
trailer.CheckSum = ParseIntField();
}
}
else if (tagLength == 4)
{
if (IsTag[tagLength](Tag.Logout.ApplID))
{
ParseCharArrayField(ApplID);
}
}
}
/// <summary>
/// Parses each field of a SecurityDefinition update.
/// </summary>
public void Parse()
{
int tagLength = tag.Length;
if (tagLength == 2)
{
if (IsTag[tagLength](Tag.Trailer.CheckSum))
{
trailer.CheckSum = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.Symbol))
{
ParseCharArrayField(Symbol);
}
else if (IsTag[tagLength](Tag.SecurityDefinition.SecurityID))
{
ParseCharArrayField(SecurityID);
}
else if (IsTag[tagLength](Tag.SecurityDefinition.SecurityIDSource))
{
SecurityIDSource = ParseCharField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.Currency))
{
ParseCharArrayField(Currency);
}
}
else if (tagLength == 3)
{
if (IsTag[tagLength](Tag.SecurityDefinition.TotNumReports))
{
TotNumReports = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.NoEvents))
{
NoEvents = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.SettlPriceType))
{
SettlPriceType = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.SecurityDesc))
{
ParseCharArrayField(SecurityDesc);
}
else if (IsTag[tagLength](Tag.SecurityDefinition.CFICode))
{
ParseCharArrayField(CFICode);
}
else if (IsTag[tagLength](Tag.SecurityDefinition.UnderlyingProduct))
{
UnderlyingProduct = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.SecurityExchange))
{
ParseCharArrayField(SecurityExchange);
}
else if (IsTag[tagLength](Tag.SecurityDefinition.ExpirationCycle))
{
ExpirationCycle = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.StrikePrice))
{
StrikePrice = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.StrikeCurrency))
{
ParseCharArrayField(StrikeCurrency);
}
else if (IsTag[tagLength](Tag.SecurityDefinition.MinTradeVol))
{
MinTradeVol = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.SettlCurrency))
{
ParseCharArrayField(SettlCurrency);
}
}
else if (tagLength == 4)
{
if (IsTag[tagLength](Tag.SecurityDefinition.TradingReferencePrice))
{
TradingReferencePrice = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.HighLimitPrice))
{
HighLimitPrice = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.LowLimitPrice))
{
LowLimitPrice = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.SecurityGroup))
{
ParseCharArrayField(SecurityGroup);
}
else if (IsTag[tagLength](Tag.SecurityDefinition.PricingModel))
{
PricingModel = ParseCharField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.MinCabPrice))
{
MinCabPrice = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.UnitOfMeasureQty))
{
UnitOfMeasureQty = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.MaxTradeVol))
{
MaxTradeVol = ParseIntField();
}
else if (IsTag[tagLength](Tag.SecurityDefinition.NoMDFeedTypes))
{
NoMDFeedTypes = ParseIntField();
}
}
throw new NotImplementedException("SecurityDefinition_Parse method not yet implemented.");
}
/// <summary>
/// Parses each field of a MarketDataIncrementalRefresh update.
/// </summary>
public void Parse()
{
int tagLength = tag.Length;
if (tagLength == 2)
{
if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.SecurityIDSource))
{
DataBlock[DataBlockCount].SecurityIDSource = ParseCharField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.SecurityID))
{
ParseCharArrayField(DataBlock[DataBlockCount].SecurityID);
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.RptSeq))
{
DataBlock[DataBlockCount].RptSeq = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.SettleDate))
{
DataBlock[DataBlockCount].SettlDate = ParseDateField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.TradeDate))
{
TradeDate = ParseDateField();
}
else if (IsTag[tagLength](Tag.Trailer.CheckSum))
{
if (DataBlock[DataBlockCount].MDEntryType == Value.MDEntryType.Trade)
{
decoder.OnTradeParsed(DataBlock[DataBlockCount]);
}
else
{
decoder.OnQuoteParsed(DataBlock[DataBlockCount]);
}
trailer.CheckSum = ParseIntField();
}
}
else if (tagLength == 3)
{
if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.MDEntryType))
{
DataBlock[DataBlockCount].MDEntryType = ParseCharField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.MDEntryPx))
{
DataBlock[DataBlockCount].MDEntryPx = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.MDEntrySize))
{
DataBlock[DataBlockCount].MDEntrySize = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.QuoteCondition))
{
DataBlock[DataBlockCount].QuoteCondition = ParseCharField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.SecurityDesc))
{
ParseCharArrayField(DataBlock[DataBlockCount].SecurityDesc);
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.MDUpdateAction))
{
if (DataBlockCount > 0)
{
if (DataBlock[DataBlockCount].MDEntryType == Value.MDEntryType.Trade)
{
decoder.OnTradeParsed(DataBlock[DataBlockCount]);
}
else
{
decoder.OnQuoteParsed(DataBlock[DataBlockCount]);
}
}
DataBlockCount++;
// Set all values which don't always get read in to "null" here
DataBlock[DataBlockCount].MDEntrySize = Value.NullEnumerations.IntEnum;
DataBlock[DataBlockCount].TradingSessionID = Value.NullEnumerations.IntEnum;
DataBlock[DataBlockCount].MDPriceLevel = Value.NullEnumerations.IntEnum;
DataBlock[DataBlockCount].QuoteCondition = Value.NullEnumerations.Char;
DataBlock[DataBlockCount].NumberOfOrders = Value.NullEnumerations.IntEnum;
DataBlock[DataBlockCount].NetChgPrevDay = Value.NullEnumerations.IntValue;
DataBlock[DataBlockCount].TickDirection = Value.NullEnumerations.IntEnum;
DataBlock[DataBlockCount].OpenCloseSettleFlag = Value.NullEnumerations.IntEnum;
DataBlock[DataBlockCount].SettlDate = Value.NullEnumerations.DateTime;
DataBlock[DataBlockCount].TradeCondition = Value.NullEnumerations.Char;
DataBlock[DataBlockCount].TradeVolume = Value.NullEnumerations.IntEnum;
DataBlock[DataBlockCount].MDQuoteType = Value.NullEnumerations.IntEnum;
DataBlock[DataBlockCount].FixingBracket.Contents[0] = Value.NullEnumerations.Char;
DataBlock[DataBlockCount].AggressorSide = Value.NullEnumerations.IntEnum;
DataBlock[DataBlockCount].MatchEventIndicator = Value.NullEnumerations.IntEnum;
DataBlock[DataBlockCount].MDUpdateAction = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.MDEntryTime))
{
DataBlock[DataBlockCount].MDEntryTime = ParseTimeWithMsField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.NumberOfOrders))
{
DataBlock[DataBlockCount].NumberOfOrders = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.TradingSessionID))
{
DataBlock[DataBlockCount].TradingSessionID = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.NoMDEntries))
{
NoMDEntries = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.OpenCloseSettleFlag))
{
DataBlock[DataBlockCount].OpenCloseSettleFlag = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.TradeCondition))
{
DataBlock[DataBlockCount].TradeCondition = ParseCharField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.TickDirection))
{
DataBlock[DataBlockCount].TickDirection = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.NetChgPrevDay))
{
DataBlock[DataBlockCount].NetChgPrevDay = ParseNegativeIntField();
}
}
else if (tagLength == 4)
{
if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.MDPriceLevel))
{
DataBlock[DataBlockCount].MDPriceLevel = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.MDQuoteType))
{
DataBlock[DataBlockCount].MDQuoteType = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.TradeVolume))
{
DataBlock[DataBlockCount].TradeVolume = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.FixingBracket))
{
// The documentation doesn't show what format the FixingBracket value comes in, so
// I'm not sure what to do here. Below this Exception is what I *think* may be correct,
// but I'm not sure.
throw new NotImplementedException("Tag 'Fixing Bracket' not yet implemented.");
ParseCharArrayField(DataBlock[DataBlockCount].FixingBracket);
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.AggressorSide))
{
DataBlock[DataBlockCount].AggressorSide = ParseIntField();
}
else if (IsTag[tagLength](Tag.MarketDataIncrementalRefresh.MatchEventIndicator))
{
DataBlock[DataBlockCount].MatchEventIndicator = ParseIntField();
}
}
}
private bool HasParsedHeader()
{
int tagLength = tag.Length;
if (tagLength == 2)
{
if (IsTag[tagLength](Tag.Header.PossDupFlag))
{
PossDupFlag = ParseCharField();
return(true);
}
else if (IsTag[tagLength](Tag.Trailer.CheckSum))
{
trailer.CheckSum = ParseIntField();
return(false);
}
else
{
decoder.ProcessUpdate(value);
return(true);
}
}
else if (tagLength == 3)
{
if (IsTag[tagLength](Tag.Header.LastMsgSeqNumProcessed))
{
LastMsgSeqNumProcessed = ParseIntField();
return(true);
}
else
{
decoder.ProcessUpdate(value);
return(true);
}
}
else if (tagLength == 4)
{
if (IsTag[tagLength](Tag.Header.MDSecurityTradingStatus))
{
MDSecurityTradingStatus = ParseIntField();
return(true);
}
else
{
decoder.ProcessUpdate(value);
return(true);
}
}
else
{
decoder.ProcessUpdate(value);
return(true);
}
}
