//shows example of parsing a standard QuickFix group
public override void onMessage(QuickFix42.MarketDataSnapshotFullRefresh message, SessionID session)
{
parseMessage(message, session);
if (message.hasGroup(new QuickFix42.MarketDataSnapshotFullRefresh.NoMDEntries()))
{
QuickFix42.MarketDataSnapshotFullRefresh.NoMDEntries g = new QuickFix42.MarketDataSnapshotFullRefresh.NoMDEntries();
updateDisplay(string.Format("Found {0} NoMDEntries groups", message.groupCount(QuickFix.NoMDEntries.FIELD)));
QuickFix.NoMDEntries nEntries = new QuickFix.NoMDEntries();
message.getField(nEntries);
for (uint i = 1; i <= message.groupCount(QuickFix.NoMDEntries.FIELD); i++)
{
message.getGroup(i, g);
updateDisplay(string.Format("mdEntryType: {0}", g.get(new QuickFix.MDEntryType())));
updateDisplay(string.Format("mdEntryPx: {0}", g.get(new QuickFix.MDEntryPx())));
updateDisplay(string.Format("mdEntrySize: {0}", g.get(new QuickFix.MDEntrySize())));
if (g.get(new QuickFix.MDEntryType()).getValue() == QuickFix.MDEntryType.BID)
{
//string s = g.get(new QuickFix.MDEntryPx()).ToString();
_bidPrice = Convert.ToDouble(g.get(new QuickFix.MDEntryPx()).getValue());
}
if (g.get(new QuickFix.MDEntryType()).getValue() == QuickFix.MDEntryType.OFFER)
{
string s = g.get(new QuickFix.MDEntryPx()).ToString();
_askPrice = Convert.ToDouble(s);
}
}
}
updateFormData();
}
public override void onMessage(QuickFix42.MarketDataSnapshotFullRefresh snapshot, QuickFix.SessionID sessionID)
{
if (snapshot.isSetNoMDEntries())
{
string reqID = snapshot.getMDReqID().getValue();
Instrument instrument = (provider as GSFIX).GetInstrument(reqID);
instrument.OrderBook.Clear();
QuickFix42.MarketDataSnapshotFullRefresh.NoMDEntries group = new QuickFix42.MarketDataSnapshotFullRefresh.NoMDEntries();
Quote quote = new Quote();
quote.DateTime = Clock.Now;
for (uint i = 1; i <= snapshot.getNoMDEntries().getValue(); i++)
{
snapshot.getGroup(i, group);
SmartQuant.Data.MarketDepth depth;
int position = 0;
if (group.isSetMDEntryPositionNo())
{
position = group.getMDEntryPositionNo().getValue() - 1;
}
double price = group.getMDEntryPx().getValue();
int size = (int)group.getMDEntrySize().getValue();
// Console.WriteLine("Snapshot Level : " + position + " " + price + " " + size);
switch (group.getMDEntryType().getValue())
{
case QuickFix.MDEntryType.TRADE:
provider.EmitTrade(new Trade(Clock.Now, price, size), instrument);
break;
case QuickFix.MDEntryType.BID:
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Insert, MDSide.Bid, price, size);
provider.EmitMarketDepth(depth, instrument);
// quote
if (position == 0)
{
quote.Bid = price;
quote.BidSize = size;
}
break;
case QuickFix.MDEntryType.OFFER:
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Insert, MDSide.Ask, price, size);
provider.EmitMarketDepth(depth, instrument);
// quote
if (position == 0)
{
quote.Ask = price;
quote.AskSize = size;
}
break;
}
}
group.Dispose();
provider.EmitQuote(quote, instrument);
}
}