public void MarketDataRequest(QuickFix42.SecurityDefinition securityDefinition)
{
QuickFix42.MarketDataRequest marketDataRequest =
new QuickFix42.MarketDataRequest(new MDReqID(DateTime.Now.ToString()),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
new MarketDepth(1));
marketDataRequest.setField(new MDUpdateType(MDUpdateType.FULL_REFRESH));
marketDataRequest.setField(new AggregatedBook(true));
QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupBid = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
marketDataEntyGroupBid.set(new MDEntryType(MDEntryType.BID));
marketDataRequest.addGroup(marketDataEntyGroupBid);
QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupOffer = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
marketDataEntyGroupOffer.set(new MDEntryType(MDEntryType.OFFER));
marketDataRequest.addGroup(marketDataEntyGroupOffer);
/** Create Component Block NoRelatedSym */
QuickFix42.MarketDataRequest.NoRelatedSym noRelatedSym = new QuickFix42.MarketDataRequest.NoRelatedSym();
SecurityExchange securityExchange = new SecurityExchange();
securityDefinition.getField(securityExchange);
noRelatedSym.setField(securityExchange);
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
noRelatedSym.setField(securityType);
Symbol symbol = new Symbol();
securityDefinition.getField(symbol);
noRelatedSym.setField(symbol);
//MaturityMonthYear maturityMonthYear = new MaturityMonthYear();
//securityDefinition.getField(maturityMonthYear);
//noRelatedSym.setField(maturityMonthYear);
SecurityID securityId = new SecurityID();
securityDefinition.getField(securityId);
noRelatedSym.setField(securityId);
marketDataRequest.addGroup(noRelatedSym);
Session.sendToTarget(marketDataRequest, GetPriceSession());
}
public override void onMessage(QuickFix42.OrderCancelReject message, SessionID session)
{
OrderCancelReject reject = new OrderCancelReject();
// required fields
reject.TransactTime = Clock.Now;
reject.OrderID = message.getOrderID().getValue();
reject.ClOrdID = message.getClOrdID().getValue();
reject.OrigClOrdID = message.getOrigClOrdID().getValue();
(reject as FIXOrderCancelReject).OrdStatus = message.getOrdStatus().getValue();
(reject as FIXOrderCancelReject).CxlRejResponseTo = message.getCxlRejResponseTo().getValue();
(reject as FIXOrderCancelReject).CxlRejReason = message.getCxlRejReason().getValue();
// optional fields
if (message.isSetSecondaryOrderID())
reject.SecondaryOrderID = message.getSecondaryOrderID().getValue();
if (message.isSetAccount())
reject.Account = message.getAccount().getValue();
if (message.isSetText())
reject.Text = message.getText().getValue();
// event
provider.EmitOrderCancelReject(reject);
}
public void Send(QuickFix42.Message message)
{
Session.sendToTarget(message, _ssnid);
}
public void Send(QuickFix42.OrderStatusRequest message)
{
Session.sendToTarget(message, _ssnid);
}
public void Send(QuickFix42.NewOrderSingle message)
{
Session.sendToTarget(message, _ssnid);
}
public override void onMessage(QuickFix42.ExecutionReport report, SessionID sessionID)
{
if (ExecutionReport != null)
{
ExecutionReport(sessionID, new ExecutionReportEventArgs(report));
}
}
// Methods
public OrderCancelRejectEventArgs(QuickFix42.OrderCancelReject reject)
{
this.reject = reject;
}
public override void onMessage(QuickFix42.NewOrderSingle message, SessionID sessionID)
{
process(message, sessionID);
}
public override sealed void onMessage(QuickFix42.SettlementInstructions message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public override sealed void onMessage(QuickFix42.SecurityDefinitionRequest message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public override sealed void onMessage(QuickFix42.Reject message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
MsgReject(message, session);
}
public override sealed void onMessage(QuickFix42.QuoteCancel message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public override sealed void onMessage(QuickFix42.MarketDataSnapshotFullRefresh message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public override sealed void onMessage(QuickFix42.IndicationofInterest message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public override void onMessage(QuickFix42.ExecutionReport report, QuickFix.SessionID sessionID)
{
if (report.getExecType().getValue() == QuickFix.ExecType.PENDING_CANCEL ||
report.getExecType().getValue() == QuickFix.ExecType.CANCELED ||
report.getExecType().getValue() == QuickFix.ExecType.PENDING_REPLACE ||
report.getExecType().getValue() == QuickFix.ExecType.REPLACE)
{
object request = cancelRequests[report.getClOrdID().getValue()];
if (request == null)
report.set(new OrigClOrdID(report.getClOrdID().getValue()));
else
{
if (request is FIXOrderCancelRequest)
report.set(new OrigClOrdID((request as FIXOrderCancelRequest).OrigClOrdID));
if (request is FIXOrderCancelReplaceRequest)
report.set(new OrigClOrdID((request as FIXOrderCancelReplaceRequest).OrigClOrdID));
}
}
ExecutionReport Report = new ExecutionReport();
if (report.isSetOrderID()) Report.OrderID = report.getOrderID().getValue();
////if (report.isSetSecondaryOrderID()) Report.SecondaryOrderID = report.getSecondaryOrderID().getValue();
if (report.isSetClOrdID()) Report.ClOrdID = report.getClOrdID().getValue();
if (report.isSetOrigClOrdID()) Report.OrigClOrdID = report.getOrigClOrdID().getValue();
////if (report.isSetListID()) Report.ListID = report.getListID().getValue();
if (report.isSetExecID()) Report.ExecID = report.getExecID().getValue();
////if (report.isSetExecRefID()) Report.ExecRefID = report.getExecRefID().getValue();
if (report.isSetExecType()) (Report as FIXExecutionReport).ExecType = report.getExecType().getValue();
if (report.isSetOrdStatus()) (Report as FIXExecutionReport).OrdStatus = report.getOrdStatus().getValue();
if (report.isSetOrdRejReason()) Report.OrdRejReason = report.getOrdRejReason().getValue();
////if (report.isSetExecRestatementReason()) Report.ExecRestatementReason = report.getExecRestatementReason().getValue();
////if (report.isSetAccount()) Report.Account = report.getAccount().getValue();
////if (report.isSetSettlmntTyp()) Report.SettlType = report.getSettlmntTyp().getValue();
//if (report.isSetFutSettDate ()) Report.FutSettDate = report.getFutSettDate ().getValue();
if (report.isSetSymbol()) Report.Symbol = report.getSymbol().getValue();
////if (report.isSetSymbolSfx()) Report.SymbolSfx = report.getSymbolSfx().getValue();
////if (report.isSetSecurityID()) Report.SecurityID = report.getSecurityID().getValue();
//if (report.isSetIDSource ()) Report.IDSource = report.getIDSource ().getValue();
////if (report.isSetSecurityType()) Report.SecurityType = report.getSecurityType().getValue();
////if (report.isSetMaturityMonthYear()) Report.MaturityMonthYear = report.getMaturityMonthYear().getValue();
//if (report.isSetMaturityDay ()) Report.MaturityDate = DateTime.Parse(report.getMaturityDay ().getValue());
//if (report.isSetPutOrCall ()) Report.PutOrCall = report.getPutOrCall ().getValue();
////if (report.isSetStrikePrice()) Report.StrikePrice = report.getStrikePrice().getValue();
////if (report.isSetOptAttribute()) Report.OptAttribute = report.getOptAttribute().getValue();
////if (report.isSetContractMultiplier()) Report.ContractMultiplier = report.getContractMultiplier().getValue();
////if (report.isSetCouponRate()) Report.CouponRate = report.getCouponRate().getValue();
////if (report.isSetSecurityExchange()) Report.SecurityExchange = report.getSecurityExchange().getValue();
////if (report.isSetIssuer()) Report.Issuer = report.getIssuer().getValue();
////if (report.isSetEncodedIssuerLen()) Report.EncodedIssuerLen = report.getEncodedIssuerLen().getValue();
////if (report.isSetEncodedIssuer()) Report.EncodedIssuer = report.getEncodedIssuer().getValue();
////if (report.isSetSecurityDesc()) Report.SecurityDesc = report.getSecurityDesc().getValue();
////if (report.isSetEncodedSecurityDescLen()) Report.EncodedSecurityDescLen = report.getEncodedSecurityDescLen().getValue();
////if (report.isSetEncodedSecurityDesc()) Report.EncodedSecurityDesc = report.getEncodedSecurityDesc().getValue();
if (report.isSetSide()) (Report as FIXExecutionReport).Side = report.getSide().getValue();
if (report.isSetOrderQty()) Report.OrderQty = report.getOrderQty().getValue();
////if (report.isSetCashOrderQty()) Report.CashOrderQty = report.getCashOrderQty().getValue();
if (report.isSetOrdType()) (Report as FIXExecutionReport).OrdType = report.getOrdType().getValue();
if (report.isSetPrice()) Report.Price = report.getPrice().getValue();
////if (report.isSetStopPx()) Report.StopPx = report.getStopPx().getValue();
//if (report.isSetPegDifference ()) Report.PegDifference = report.getPegDifference ().getValue();
////if (report.isSetDiscretionInst()) Report.DiscretionInst = report.getDiscretionInst().getValue();
////if (report.isSetDiscretionOffset()) Report.DiscretionOffsetValue = report.getDiscretionOffset().getValue();
////if (report.isSetCurrency()) Report.Currency = report.getCurrency().getValue();
////if (report.isSetComplianceID()) Report.ComplianceID = report.getComplianceID().getValue();
//if (report.isSetSolicitedFlag ()) Report.SolicitedFlag = report.getSolicitedFlag ().getValue();
////if (report.isSetTimeInForce()) (Report as FIXExecutionReport).TimeInForce = report.getTimeInForce().getValue();
////if (report.isSetEffectiveTime()) Report.EffectiveTime = report.getEffectiveTime().getValue();
////if (report.isSetExpireDate()) Report.ExpireDate = DateTime.Parse(report.getExpireDate().getValue());
////if (report.isSetExpireTime()) Report.ExpireTime = report.getExpireTime().getValue();
////if (report.isSetExecInst()) Report.ExecInst = report.getExecInst().getValue();
//if (report.isSetRule80A ()) Report.Rule80A = report.getRule80A ().getValue();
if (report.isSetLastShares()) Report.LastQty = report.getLastShares().getValue();
if (report.isSetLastPx()) Report.LastPx = report.getLastPx().getValue();
////if (report.isSetLastSpotRate()) Report.LastSpotRate = report.getLastSpotRate().getValue();
////if (report.isSetLastForwardPoints()) Report.LastForwardPoints = report.getLastForwardPoints().getValue();
////if (report.isSetLastMkt()) Report.LastMkt = report.getLastMkt().getValue();
////if (report.isSetTradingSessionID()) Report.TradingSessionID = report.getTradingSessionID().getValue();
////if (report.isSetLastCapacity()) Report.LastCapacity = report.getLastCapacity().getValue();
if (report.isSetLeavesQty()) Report.LeavesQty = report.getLeavesQty().getValue();
if (report.isSetCumQty()) Report.CumQty = report.getCumQty().getValue();
if (report.isSetAvgPx()) Report.AvgPx = report.getAvgPx().getValue();
////if (report.isSetDayOrderQty()) Report.DayOrderQty = report.getDayOrderQty().getValue();
////if (report.isSetDayCumQty()) Report.DayCumQty = report.getDayCumQty().getValue();
////if (report.isSetDayAvgPx()) Report.DayAvgPx = report.getDayAvgPx().getValue();
////if (report.isSetGTBookingInst()) Report.GTBookingInst = report.getGTBookingInst().getValue();
////if (report.isSetTradeDate()) Report.TradeDate = DateTime.Parse(report.getTradeDate().getValue());
if (report.isSetTransactTime()) Report.TransactTime = report.getTransactTime().getValue();
//if (report.isSetReportToExch ()) Report.ReportToExch = report.getReportToExch ().getValue();
////if (report.isSetCommission()) Report.Commission = report.getCommission().getValue();
////if (report.isSetCommType()) (Report as FIXExecutionReport).CommType = report.getCommType().getValue();
////if (report.isSetGrossTradeAmt()) Report.GrossTradeAmt = report.getGrossTradeAmt().getValue();
////if (report.isSetSettlCurrAmt()) Report.SettlCurrAmt = report.getSettlCurrAmt().getValue();
////if (report.isSetSettlCurrency()) Report.SettlCurrency = report.getSettlCurrency().getValue();
////if (report.isSetHandlInst()) Report.HandlInst = report.getHandlInst().getValue();
////if (report.isSetMinQty()) Report.MinQty = report.getMinQty().getValue();
////if (report.isSetMaxFloor()) Report.MaxFloor = report.getMaxFloor().getValue();
//if (report.isSetOpenClose ()) Report.OpenClose = report.getOpenClose ().getValue();
////if (report.isSetMaxShow()) Report.MaxShow = report.getMaxShow().getValue();
if (report.isSetText()) Report.Text = report.getText().getValue();
////if (report.isSetEncodedTextLen()) Report.EncodedTextLen = report.getEncodedTextLen().getValue();
////if (report.isSetEncodedText()) Report.EncodedText = report.getEncodedText().getValue();
//if (report.isSetFutSettDate2 ()) Report.FutSettDate2 = report.getFutSettDate2 ().getValue();
////if (report.isSetOrderQty2()) Report.OrderQty2 = report.getOrderQty2().getValue();
//if (report.isSetClearingFirm ()) Report.ClearingFirm = report.getClearingFirm ().getValue();
//if (report.isSetClearingAccount ()) Report.ClearingAccount = report.getClearingAccount ().getValue();
////if (report.isSetMultiLegReportingType()) Report.MultiLegReportingType = report.getMultiLegReportingType().getValue();
//
SingleOrder order;
if (Report.ExecType == SmartQuant.FIX.ExecType.PendingCancel ||
Report.ExecType == SmartQuant.FIX.ExecType.Cancelled ||
Report.ExecType == SmartQuant.FIX.ExecType.PendingReplace ||
Report.ExecType == SmartQuant.FIX.ExecType.Replace)
order = OrderManager.Orders.All[Report.OrigClOrdID] as SingleOrder;
else
order = OrderManager.Orders.All[Report.ClOrdID] as SingleOrder;
Instrument instrument = order.Instrument;
Report.Symbol = instrument.Symbol;
Report.TransactTime = Clock.Now;
// emit execution report
EmitExecutionReport(Report);
}
public override void onMessage(QuickFix42.MarketDataRequestReject marketDataRequestReject, SessionID sessionID)
{
Console.WriteLine("marketDataRequestReject " + marketDataRequestReject);
}
public override void onMessage(QuickFix42.SecurityDefinition securityDefinition, SessionID sessionID)
{
//Console.WriteLine("securityDefinition " + securityDefinition);
try
{
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
SecurityID securityID = new SecurityID();
securityDefinition.getField(securityID);
//Create the object in the spreadmatrix;
if(securityType.getValue() == SecurityType.MULTILEGINSTRUMENT)
{
string longUnderlyingMaturityMonthYear=null;
string shortUnderlyingMaturityMonthYear=null;
NoRelatedSym noRelatedSym = securityDefinition.getNoRelatedSym();
uint SubContractCount = (uint)noRelatedSym.getValue();
if (SubContractCount != 2)
{
//Console.WriteLine("I don't know how to handle an MLEG with " + SubContractCount + " legs.");
return;
}
SecurityDefinition.NoRelatedSym group = new SecurityDefinition.NoRelatedSym();
for (uint i = 0; i < SubContractCount; i++)
{
securityDefinition.getGroup(i + 1, group);
UnderlyingMaturityMonthYear underlyingMaturityMonthYear = new UnderlyingMaturityMonthYear();
group.getField(underlyingMaturityMonthYear);
Side side = new Side();
group.getField(side);
if (side.getValue() == QuickFix.Side.SELL)
{
shortUnderlyingMaturityMonthYear = underlyingMaturityMonthYear.getValue();
}
else if (side.getValue() == QuickFix.Side.BUY)
{
longUnderlyingMaturityMonthYear = underlyingMaturityMonthYear.getValue();
}
else
{
Console.WriteLine("Unsupport MLEG side: " + side.getValue());
return;
}
}
spreadMatrix.CreateSpread(securityID.getValue(), longUnderlyingMaturityMonthYear, shortUnderlyingMaturityMonthYear);
}
else if (securityType.getValue() == SecurityType.FUTURE)
{
MaturityMonthYear maturityMonthYear = new MaturityMonthYear();
securityDefinition.getField(maturityMonthYear);
spreadMatrix.CreateOutright(securityID.ToString(), maturityMonthYear.ToString());
}
else
{
Console.WriteLine("Unsupport security type: " + securityType.getField());
return;
}
MarketDataRequest(securityDefinition, sessionID);
}
catch (Exception exception)
{
Console.WriteLine(exception.Message);
}
}
public override sealed void onMessage(QuickFix42.TradingSessionStatusRequest message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public override void onMessage(QuickFix42.SecurityDefinition message, SessionID sessionID)
{
QuickFix42.SecurityDefinition echo = message;
try
{
Session.sendToTarget(echo, sessionID);
}
catch (SessionNotFound) { }
}
public override void onMessage(QuickFix42.ExecutionReport executionReport, SessionID sessionID)
{
AddText("executionReport " + executionReport + Environment.NewLine);
OrderController.Instance.UpdateOrderStatus(executionReport);
if (ExecutionReportRecieved != null)
ExecutionReportRecieved(this, executionReport);
}
// Methods
public ExecutionReportEventArgs(QuickFix42.ExecutionReport report)
{
this.report = report;
}
public override void onMessage(QuickFix42.SecurityDefinition securityDefinition, SessionID sessionID)
{
AddText("securityDefinition " + securityDefinition + Environment.NewLine);
try
{
SecurityExchange securityExchange = new SecurityExchange();
securityDefinition.getField(securityExchange);
Symbol symbol = new Symbol();
securityDefinition.getField(symbol);
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
SpreadMatrixData smd = SpreadMatrixCollection.Get(securityExchange.getValue(), symbol.getValue());
if (smd != null)
{
SecurityEntry entry = new SecurityEntry(securityDefinition);
smd.Add(entry);
MarketDataRequest(securityDefinition);
}
}
catch (Exception exception)
{
AddText(exception.Message + Environment.NewLine);
throw;
}
}
public override void onMessage(QuickFix42.OrderCancelReject message, SessionID SessionID)
{
if (OrderCancelReject != null)
{
OrderCancelReject(SessionID, new OrderCancelRejectEventArgs(message));
}
}
public override void onMessage(QuickFix42.MarketDataSnapshotFullRefresh marketDataSnapshotFullRefresh, SessionID sessionID)
{
//AddText("marketDataSnapshotFullRefresh " + marketDataSnapshotFullRefresh + Environment.NewLine);
string exchange = marketDataSnapshotFullRefresh.getSecurityExchange().ToString();
string symbol = marketDataSnapshotFullRefresh.getSymbol().ToString();
SpreadMatrixData smd = SpreadMatrixCollection.Get(exchange, symbol);
if (smd == null) return;
SpreadMatrixCollection.ProcessMessage(exchange, symbol, marketDataSnapshotFullRefresh);
SecurityEntry entry = smd.Get(marketDataSnapshotFullRefresh.getSecurityID().getValue());
//testing order
//if (entry != null)
// ProccessOrder(entry);
}
public void Send(QuickFix42.OrderCancelRequest message)
{
string ClOrdID = message.getClOrdID().getValue();
if (!fCancelRequests.ContainsKey(ClOrdID))
{
this.fCancelRequests.Add(ClOrdID, message);
Session.sendToTarget(message, _ssnid);
}
else
{
Console.WriteLine("Order " + ClOrdID + " already pending cancel process");
}
}
public override void onMessage(QuickFix42.MarketDataRequestReject marketDataRequestReject, SessionID sessionID)
{
AddText("marketDataRequestReject " + marketDataRequestReject + Environment.NewLine);
}
public void Send(QuickFix42.DontKnowTrade message)
{
Session.sendToTarget(message, _ssnid);
}
public override void onMessage(QuickFix42.MarketDataSnapshotFullRefresh marketDataSnapshotFullRefresh, SessionID sessionID)
{
//Console.WriteLine("marketDataSnapshotFullRefresh " + marketDataSnapshotFullRefresh);
uint numberOfEntries = (uint)marketDataSnapshotFullRefresh.getNoMDEntries().getValue();
if (numberOfEntries > 2)
{
Console.WriteLine("I don't know what to do with more than two price entries. I got " + numberOfEntries + ".");
return;
}
string securityID = marketDataSnapshotFullRefresh.getSecurityID().getValue();
double bidPrice = 0;
double bidSize = 0;
double askPrice = 0;
double askSize = 0;
MarketDataSnapshotFullRefresh.NoMDEntries group = new MarketDataSnapshotFullRefresh.NoMDEntries();
for (uint i = 0; i < numberOfEntries; i++)
{
marketDataSnapshotFullRefresh.getGroup(i + 1, group);
if (group.getMDEntryType().getValue() == MDEntryType.BID)
{
bidPrice = group.getMDEntryPx().getValue();
bidSize = group.getMDEntrySize().getValue();
}
if (group.getMDEntryType().getValue() == MDEntryType.OFFER)
{
askPrice = group.getMDEntryPx().getValue();
askSize = group.getMDEntrySize().getValue();
}
}
spreadMatrix.Update(securityID, bidPrice, bidSize, askPrice, askSize);
}
public override void onMessage( QuickFix42.NewOrderSingle order, SessionID sessionID )
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get( ordType );
if ( ordType.getValue() != OrdType.LIMIT )
throw new IncorrectTagValue( ordType.getField() );
order.get( symbol );
order.get( side );
order.get( orderQty );
order.get( price );
order.get( clOrdID );
QuickFix42.ExecutionReport executionReport = new QuickFix42.ExecutionReport
( genOrderID(),
genExecID(),
new ExecTransType( ExecTransType.NEW ),
new ExecType( ExecType.FILL ),
new OrdStatus( OrdStatus.FILLED ),
symbol,
side,
new LeavesQty( 0 ),
new CumQty( orderQty.getValue() ),
new AvgPx( price.getValue() ) );
executionReport.set( clOrdID );
executionReport.set( orderQty );
executionReport.set( new LastShares( orderQty.getValue() ) );
executionReport.set( new LastPx( price.getValue() ) );
if( order.isSetAccount() )
executionReport.set( order.getAccount() );
try
{
Session.sendToTarget( executionReport, sessionID );
}
catch ( SessionNotFound ) {}
}
public override void onMessage(QuickFix42.MarketDataIncrementalRefresh refresh, QuickFix.SessionID sessionID)
{
if (refresh.isSetNoMDEntries())
{
string reqID = refresh.getMDReqID().getValue();
Instrument instrument = (provider as GSFIX).GetInstrument(reqID);
if (instrument == null)
return;
QuickFix42.MarketDataIncrementalRefresh.NoMDEntries group = new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries();
int position;
double price;
int size;
SmartQuant.Data.MarketDepth depth;
SmartQuant.Data.Quote quote;
for (uint i = 1; i <= refresh.getNoMDEntries().getValue(); i++)
{
refresh.getGroup(i, group);
switch (group.getMDUpdateAction().getValue())
{
// new
case QuickFix.MDUpdateAction.NEW:
{
switch (group.getMDEntryType().getValue())
{
case QuickFix.MDEntryType.BID:
//Console.WriteLine("NEW BID");
price = group.getMDEntryPx().getValue();
size = (int)group.getMDEntrySize().getValue();
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", -1, MDOperation.Insert, MDSide.Bid, price, size);
provider.EmitMarketDepth(depth, instrument);
// quote, best bid
if (price > instrument.Quote.Bid)
{
quote = new Quote(instrument.Quote);
quote.DateTime = Clock.Now;
quote.Bid = price;
quote.BidSize = size;
provider.EmitQuote(quote, instrument);
}
break;
case QuickFix.MDEntryType.OFFER:
//Console.WriteLine("NEW ASK");
price = group.getMDEntryPx().getValue();
size = (int)group.getMDEntrySize().getValue();
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", -1, MDOperation.Insert, MDSide.Ask, price, size);
provider.EmitMarketDepth(depth, instrument);
// quote, best ask
if (price < instrument.Quote.Ask)
{
quote = new Quote(instrument.Quote);
quote.DateTime = Clock.Now;
quote.Ask = price;
quote.AskSize = size;
provider.EmitQuote(quote, instrument);
}
break;
case QuickFix.MDEntryType.TRADE:
provider.EmitTrade(new Trade(Clock.Now, group.getMDEntryPx().getValue(), (int)group.getMDEntrySize().getValue()), instrument);
break;
}
}
break;
// change
case QuickFix.MDUpdateAction.CHANGE:
{
switch (group.getMDEntryType().getValue())
{
case QuickFix.MDEntryType.BID:
//Console.WriteLine("CHANGE BID!");
position = group.getMDEntryPositionNo().getValue() - 1;
size = (int)group.getMDEntrySize().getValue();
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Update, MDSide.Bid, 0, size);
provider.EmitMarketDepth(depth, instrument);
// quote, best bid
if (position == 0)
{
quote = new Quote(instrument.Quote);
quote.DateTime = Clock.Now;
quote.BidSize = (int)group.getMDEntrySize().getValue();
provider.EmitQuote(quote, instrument);
}
break;
case QuickFix.MDEntryType.OFFER:
//Console.WriteLine("CHANGE ASK!");
position = group.getMDEntryPositionNo().getValue() - 1;
size = (int)group.getMDEntrySize().getValue();
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Update, MDSide.Ask, 0, size);
provider.EmitMarketDepth(depth, instrument);
// quote, best bid
if (position == 0)
{
quote = new Quote(instrument.Quote);
quote.DateTime = Clock.Now;
quote.AskSize = (int)group.getMDEntrySize().getValue();
provider.EmitQuote(quote, instrument);
}
break;
}
}
break;
// delete
case QuickFix.MDUpdateAction.DELETE:
{
switch (group.getMDEntryType().getValue())
{
case QuickFix.MDEntryType.BID:
//Console.WriteLine("DELETE BID");
position = group.getMDEntryPositionNo().getValue() - 1;
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Delete, MDSide.Bid, 0, 0);
provider.EmitMarketDepth(depth, instrument);
// quote
if (position == 0)
{
Quote newQuote = instrument.OrderBook.GetQuote(0);
newQuote.DateTime = Clock.Now;
provider.EmitQuote(newQuote, instrument);
}
break;
case QuickFix.MDEntryType.OFFER:
//Console.WriteLine("DELETE ASK");
position = group.getMDEntryPositionNo().getValue() - 1;
// market depth
depth = new SmartQuant.Data.MarketDepth(Clock.Now, "", position, MDOperation.Delete, MDSide.Ask, 0, 0);
provider.EmitMarketDepth(depth, instrument);
// quote
if (position == 0)
{
Quote newQuote = instrument.OrderBook.GetQuote(0);
newQuote.DateTime = Clock.Now;
provider.EmitQuote(newQuote, instrument);
}
break;
}
}
break;
}
}
group.Dispose();
}
}
