/// <summary>
/// Initializes a new instance of the <see cref="FxcmFixMessageHandler"/> class.
/// </summary>
/// <param name="container">The componentry container.</param>
/// <param name="accountId">The account identifier for the handler.</param>
/// <param name="accountCurrency">The account currency.</param>
/// <param name="useBrokerTimestampForTicks">The flag to use the brokers timestamp for ticks.</param>
public FxcmFixMessageHandler(
IComponentryContainer container,
AccountId accountId,
Currency accountCurrency,
bool useBrokerTimestampForTicks = false)
: base(container)
{
this.accountId = accountId;
this.accountCurrency = accountCurrency;
this.symbolCache = new ObjectCache <string, Symbol>(Symbol.FromString);
this.orderIdIndex = new Dictionary <string, OrderId>();
// Improved performance by reusing MarketDataIncrementalRefresh classes
this.mdBidGroup = new MarketDataIncrementalRefresh.NoMDEntriesGroup();
this.mdAskGroup = new MarketDataIncrementalRefresh.NoMDEntriesGroup();
if (useBrokerTimestampForTicks)
{
// FXCM market data timestamp has a lower resolution than .TimeNow()
this.tickTimestampProvider = this.GetMarketDataTimestamp;
}
else
{
this.tickTimestampProvider = this.TimeNow;
}
}
public void OnMessage(MarketDataIncrementalRefresh msg, SessionID sessionID)
{
FIX44XMLParser parser = new FIX44XMLParser();
Console.WriteLine("==========Header::==========");
Console.WriteLine(parser.getFieldName(Tags.BeginString.ToString()) + ":: " + msg.Header.GetString(Tags.BeginString));
Console.WriteLine(parser.getFieldName(Tags.BodyLength.ToString()) + ":: " + msg.Header.GetString(Tags.BodyLength));
Console.WriteLine(parser.getFieldName(Tags.MsgType.ToString()) + ":: MarketDataIncrementalRefresh (" + msg.Header.GetString(Tags.MsgType) + ")");
Console.WriteLine(parser.getFieldName(Tags.MsgSeqNum.ToString()) + ":: " + msg.Header.GetString(Tags.MsgSeqNum));
Console.WriteLine(parser.getFieldName(Tags.SenderCompID.ToString()) + ":: " + msg.Header.GetString(Tags.SenderCompID));
Console.WriteLine(parser.getFieldName(Tags.SendingTime.ToString()) + ":: " + msg.Header.GetString(Tags.SendingTime));
Console.WriteLine(parser.getFieldName(Tags.TargetCompID.ToString()) + ":: " + msg.Header.GetString(Tags.TargetCompID));
Console.WriteLine("==========Body:: ==========");
Console.WriteLine(parser.getFieldName(Tags.NoMDEntries.ToString()) + ":: " + msg.GetString(Tags.NoMDEntries));
MarketDataIncrementalRefresh.NoMDEntriesGroup g0 = new MarketDataIncrementalRefresh.NoMDEntriesGroup();
for (int grpIndex = 1; grpIndex <= msg.GetInt(Tags.NoMDEntries); grpIndex += 1)
{
Console.WriteLine("---------- ----------");
msg.GetGroup(grpIndex, g0);
// Console.WriteLine(parser.getFieldName(Tags.MDUpdateAction.ToString())+":: "+g0.GetString(Tags.MDUpdateAction));
Console.WriteLine(parser.getFieldName(Tags.MDUpdateAction.ToString()) + ":: " +
parser.getFieldName(Tags.MDUpdateAction.ToString(), g0.GetString(Tags.MDUpdateAction).ToString()) +
"(" + g0.GetString(Tags.MDUpdateAction) + ")"
);
Console.WriteLine(parser.getFieldName(Tags.MDEntryType.ToString()) + ":: " +
parser.getFieldName(Tags.MDEntryType.ToString(), g0.GetString(Tags.MDEntryType).ToString()) +
"(" + g0.GetString(Tags.MDEntryType) + ")"
);
try
{
Console.WriteLine(parser.getFieldName(Tags.MDEntryPx.ToString()) + ":: " + g0.GetString(Tags.MDEntryPx));
}
catch (Exception ex)
{
Console.WriteLine(parser.getFieldName(Tags.MDEntrySize.ToString()) + ":: " + g0.GetString(Tags.MDEntrySize));
}
Console.WriteLine(parser.getFieldName(Tags.MDEntryDate.ToString()) + ":: " + g0.GetString(Tags.MDEntryDate));
Console.WriteLine(parser.getFieldName(Tags.MDEntryTime.ToString()) + ":: " + g0.GetString(Tags.MDEntryTime));
}
Console.WriteLine("==========Trailer:: ==========");
Console.WriteLine(parser.getFieldName(Tags.CheckSum.ToString()) + ":: " + msg.Trailer.GetString(Tags.CheckSum));
}
public void OnMessage(MarketDataIncrementalRefresh msg, SessionID sessionID)
{
FIX44XMLParser parser = new FIX44XMLParser();
Console.WriteLine("==========Header::==========");
Console.WriteLine(parser.getFieldName(Tags.BeginString.ToString()) + ":: " + msg.Header.GetString(Tags.BeginString));
Console.WriteLine(parser.getFieldName(Tags.BodyLength.ToString()) + ":: " + msg.Header.GetString(Tags.BodyLength));
Console.WriteLine(parser.getFieldName(Tags.MsgType.ToString()) + ":: MarketDataIncrementalRefresh (" + msg.Header.GetString(Tags.MsgType) + ")");
Console.WriteLine(parser.getFieldName(Tags.MsgSeqNum.ToString()) + ":: " + msg.Header.GetString(Tags.MsgSeqNum));
Console.WriteLine(parser.getFieldName(Tags.SenderCompID.ToString()) + ":: " + msg.Header.GetString(Tags.SenderCompID));
Console.WriteLine(parser.getFieldName(Tags.SendingTime.ToString()) + ":: " + msg.Header.GetString(Tags.SendingTime));
Console.WriteLine(parser.getFieldName(Tags.TargetCompID.ToString()) + ":: " + msg.Header.GetString(Tags.TargetCompID));
Console.WriteLine("==========Body:: ==========");
Console.WriteLine(parser.getFieldName(Tags.NoMDEntries.ToString()) + ":: " + msg.GetString(Tags.NoMDEntries));
MarketDataIncrementalRefresh.NoMDEntriesGroup g0 = new MarketDataIncrementalRefresh.NoMDEntriesGroup();
for (int grpIndex = 1; grpIndex <= msg.GetInt(Tags.NoMDEntries); grpIndex += 1)
{
Console.WriteLine("---------- ----------");
msg.GetGroup(grpIndex, g0);
// Console.WriteLine(parser.getFieldName(Tags.MDUpdateAction.ToString())+":: "+g0.GetString(Tags.MDUpdateAction));
Console.WriteLine(parser.getFieldName(Tags.MDUpdateAction.ToString()) + ":: " +
parser.getFieldName(Tags.MDUpdateAction.ToString(), g0.GetString(Tags.MDUpdateAction).ToString()) +
"(" + g0.GetString(Tags.MDUpdateAction) + ")"
);
Console.WriteLine(parser.getFieldName(Tags.MDEntryType.ToString()) + ":: " +
parser.getFieldName(Tags.MDEntryType.ToString(), g0.GetString(Tags.MDEntryType).ToString()) +
"(" + g0.GetString(Tags.MDEntryType) + ")"
);
try
{
Console.WriteLine(parser.getFieldName(Tags.MDEntryPx.ToString()) + ":: " + g0.GetString(Tags.MDEntryPx));
}
catch (Exception ex)
{
Console.WriteLine(parser.getFieldName(Tags.MDEntrySize.ToString()) + ":: " + g0.GetString(Tags.MDEntrySize));
}
Console.WriteLine(parser.getFieldName(Tags.MDEntryDate.ToString()) + ":: " + g0.GetString(Tags.MDEntryDate));
Console.WriteLine(parser.getFieldName(Tags.MDEntryTime.ToString()) + ":: " + g0.GetString(Tags.MDEntryTime));
}
Console.WriteLine("==========Trailer:: ==========");
Console.WriteLine(parser.getFieldName(Tags.CheckSum.ToString()) + ":: " + msg.Trailer.GetString(Tags.CheckSum));
}
public void OnMessage(MarketDataIncrementalRefresh message, SessionID session)
{
var noMdEntries = message.NoMDEntries;
var listOfMdEntries = noMdEntries.getValue();
//message.GetGroup(1, noMdEntries);
var group = new MarketDataIncrementalRefresh.NoMDEntriesGroup();
Group gr = message.GetGroup(1, group);
string sym = message.MDReqID.getValue();
var price = new MarketPrice();
for (int i = 1; i <= listOfMdEntries; i++)
{
group = (MarketDataIncrementalRefresh.NoMDEntriesGroup)message.GetGroup(i, group);
price.Symbol = group.Symbol.getValue();
MDEntryType mdentrytype = group.MDEntryType;
if (mdentrytype.getValue() == '0') //bid
{
decimal px = group.MDEntryPx.getValue();
price.Bid = px;
}
else if (mdentrytype.getValue() == '1') //offer
{
decimal px = group.MDEntryPx.getValue();
price.Offer = px;
}
price.TimeStamp = group.MDEntryTime.ToString();
}
if (OnMarketDataIncrementalRefresh != null)
{
OnMarketDataIncrementalRefresh(price);
}
}
public void OnMessage(MarketDataIncrementalRefresh message, SessionID session)
{
var noMdEntries = message.NoMDEntries;
var listOfMdEntries = noMdEntries.getValue();
//message.GetGroup(1, noMdEntries);
var group = new MarketDataIncrementalRefresh.NoMDEntriesGroup();
Group gr = message.GetGroup(1, group);
string sym = message.MDReqID.getValue();
var price = new MarketPrice();
for (int i = 1; i <= listOfMdEntries; i++)
{
group = (MarketDataIncrementalRefresh.NoMDEntriesGroup)message.GetGroup(i, group);
price.Symbol = group.Symbol.getValue();
MDEntryType mdentrytype = group.MDEntryType;
if (mdentrytype.getValue() == '0') //bid
{
decimal px = group.MDEntryPx.getValue();
price.Bid = px;
}
else if (mdentrytype.getValue() == '1') //offer
{
decimal px = group.MDEntryPx.getValue();
price.Offer = px;
}
price.TimeStamp = group.MDEntryTime.ToString();
}
if (OnMarketDataIncrementalRefresh != null)
{
OnMarketDataIncrementalRefresh(price);
}
}
