public void OnMessage(QuickFix.FIX44.QuoteRequest rfq, SessionID s)
{
try
{
Console.WriteLine("Received Quote Request Message: ");
QuickFix.FIX44.Quote quote = new QuickFix.FIX44.Quote();
quote.SetField(new QuoteID(new Guid().ToString()));
quote.SetField(new QuoteReqID(rfq.QuoteReqID.getValue()));
quote.SetField(new BidPx(0));
quote.SetField(new OfferPx(Convert.ToDecimal(1.18)));
quote.SetField(new OrderQty(Convert.ToDecimal(rfq.GetField(Tags.OrderQty))));
quote.SetField(new Side(Convert.ToChar(rfq.GetField(Tags.Side))));
quote.SetField(new SecurityType(rfq.GetField(Tags.SecurityType)));
quote.SetField(new CFICode(rfq.GetField(Tags.CFICode)));
quote.SetField(new TransactTime(DateTime.Now.Date));
quote.SetField(new SettlDate(rfq.GetField(Tags.SettlDate)));
quote.SetField(new Account(rfq.GetField(Tags.Account)));
quote.SetField(new Symbol(rfq.GetField(Tags.Symbol)));
quote.SetField(new Currency(rfq.GetField(Tags.Currency)));
Session.SendToTarget(quote, s);
Console.WriteLine(quote.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
public void OnMessage(QuickFix.FIX44.Quote quote, SessionID s)
{
try
{
Console.WriteLine("Received Quote Message.");
QuickFix.FIX44.ExecutionReport exec = new QuickFix.FIX44.ExecutionReport();
exec.SetField(new OrderID(quote.QuoteID.getValue()));
exec.SetField(new ClOrdID(quote.QuoteReqID.getValue()));
exec.SetField(new Side(quote.Side.getValue()));
exec.SetField(new Symbol(quote.Symbol.getValue()));
exec.SetField(new Currency(quote.Currency.getValue()));
exec.SetField(new SecurityType(quote.SecurityType.getValue()));
exec.SetField(new CFICode(quote.CFICode.getValue()));
if (quote.BidPx.getValue() > 0)
{
exec.SetField(new Price(quote.OfferPx.getValue()));
}
else
{
exec.SetField(new Price(quote.BidPx.getValue()));
}
exec.SetField(new OrderQty(quote.OrderQty.getValue()));
exec.SetField(new TransactTime(DateTime.Now.Date));
exec.SetField(new SettlDate(quote.SettlDate.getValue()));
exec.SetField(new Account(quote.Account.getValue()));
_session.Send(exec);
Console.WriteLine(exec.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
public void OnMessage(QuickFix.FIX44.Quote quote, SessionID sessionID)
{
//basic log
// YJYGlobal.LogLine(quote.ToString());
// //detail log
//YJYGlobal.LogLine(GetMessageString(quote));
//if (quote.SecurityID.getValue() == "20867")
// YJYGlobal.LogLine("20867 " + quote.BidPx.getValue() + " " + quote.OfferPx.getValue());
////count and add to list for saving
//MsgCount++;
//MsgTotalCount++;
//quotes.Add(new Quote()
//{
// Bid = quote.BidPx.getValue(),
// Id = Convert.ToInt32(quote.SecurityID.getValue()),
// Offer = quote.OfferPx.getValue(),
// Time = quote.Header.GetDateTime(Tags.SendingTime)
//});
////do save Every Second
//var now = DateTime.Now;
//if (now - BeginTimeForMsgCount > TimeSpan.FromMilliseconds(500))
//{
// var dtBeginSave = DateTime.Now;
// try
// {
// using (var redisClient = YJYGlobal.PooledRedisClientsManager.GetClient())
// {
// var redisQuoteClient = redisClient.As<Quote>();
// redisQuoteClient.StoreAll(quotes);
// }
// }
// catch (Exception e)
// {
// YJYGlobal.LogException(e);
// }
// YJYGlobal.LogLine("Count: " + MsgCount + "(" + quotes.Select(o => o.Id).Distinct().Count() + ")" + "/" + MsgTotalCount
// + " Time: " + quotes.Min(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND)
// + " ~ " + quotes.Max(o => o.Time).ToString(YJYGlobal.DATETIME_MASK_MILLI_SECOND)
// + ". Save to redis " + (DateTime.Now - dtBeginSave).TotalMilliseconds);
// //reset vars
// BeginTimeForMsgCount = now;
// MsgCount = 0;
// quotes = new List<Quote>();
//}
var secId = Convert.ToInt32(quote.SecurityID.getValue());
var bid = quote.BidPx.getValue();
var offer = quote.OfferPx.getValue();
var time = quote.Header.GetDateTime(Tags.SendingTime);
QueueQuotes.Enqueue(new Quote
{
Bid = bid,
Id = secId,
Ask = offer,
Time = time
});
QueueQuotesForRawTick.Enqueue(new Quote
{
Bid = bid,
Id = secId,
Ask = offer,
Time = time
});
QueueQuotesForTick.Enqueue(new Quote
{
Bid = bid,
Id = secId,
Ask = offer,
Time = time
});
QueueQuotesForKLine.Enqueue(new Quote
{
Bid = bid,
Id = secId,
Ask = offer,
Time = time
});
QueueQuotesForRedistribution.Enqueue(new Quote
{
Bid = bid,
Id = secId,
Ask = offer,
Time = time
});
}