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.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);
}
