public void OnMessage(QuickFix.FIX44.MarketDataIncrementalRefresh msg, SessionID s)
{
var symbols = new HashSet <string>();
var entryType = new HashSet <string>();
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var item = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, item);
symbols.Add(item.Symbol.getValue());
if (MDEntryType.BID == item.MDEntryType.getValue())
{
entryType.Add("BID");
}
else if (MDEntryType.OFFER == item.MDEntryType.getValue())
{
entryType.Add("OFFER");
}
else if (MDEntryType.TRADE == item.MDEntryType.getValue())
{
entryType.Add("TRADE");
}
if (!_seen.Contains(item.Symbol.getValue()) && MDEntryType.TRADE != item.MDEntryType.getValue())
{
//throw new Exception("Incremential before snapshot");
}
}
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var item = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, item);
if (item.Symbol.getValue() == DebugSymbol)
{
Console.WriteLine($"Received MarketDataIncrementalRefresh {msg.NoMDEntries.getValue()} items for {string.Join(",", symbols)} with {string.Join(",", entryType)} (lag: {(DateTime.UtcNow - msg.Header.GetDateTime(52)).TotalMilliseconds} / {(DateTime.UtcNow - item.MDEntryDate.getValue().Add(item.MDEntryTime.getValue().TimeOfDay)).TotalMilliseconds}).");
}
return;
Console.WriteLine($"{item.MDEntryType} {item.MDUpdateAction} @ {item.Symbol}:");
if (item.IsSetMDEntryID())
{
Console.WriteLine($" ID: {item.MDEntryID}");
}
Console.WriteLine($" Date: {item.MDEntryDate}");
Console.WriteLine($" Time: {item.MDEntryTime}");
Console.WriteLine($" Px: {item.MDEntryPx}");
Console.WriteLine($" Size: {item.MDEntrySize}");
if (item.IsSetMDEntryOriginator())
{
Console.WriteLine($" TakerSide: {item.MDEntryOriginator}");
}
}
Console.WriteLine($"--------------------------------------------------");
}
public void OnMessage(QuickFix.FIX44.MarketDataIncrementalRefresh msg,
SessionID s)
{
for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
{
var item = new QuickFix.FIX44.MarketDataIncrementalRefresh.NoMDEntriesGroup();
msg.GetGroup(idx + 1, item);
Console.WriteLine($"{item.MDEntryType} {item.MDUpdateAction} @ {item.Symbol}:");
if (item.IsSetMDEntryID())
{
Console.WriteLine($" ID: {item.MDEntryID}");
}
Console.WriteLine($" Date: {item.MDEntryDate}");
Console.WriteLine($" Time: {item.MDEntryTime}");
Console.WriteLine($" Px: {item.MDEntryPx}");
Console.WriteLine($" Size: {item.MDEntrySize}");
if (item.IsSetMDEntryOriginator())
{
Console.WriteLine($" TakerSide: {item.MDEntryOriginator}");
}
}
Console.WriteLine($"--------------------------------------------------");
}