public void AddGroupGetGroupTest()
{
var nos = new QuickFix.FIX42.NewOrderSingle();
var noTradingSessions = new QuickFix.FIX42.NewOrderSingle.NoTradingSessionsGroup();
noTradingSessions.SetField(new StringField(336, "OHHAI"));
nos.AddGroup(noTradingSessions);
var noTradingSessionsRE = nos.GetGroup(1, Tags.NoTradingSessions);
Assert.That(noTradingSessionsRE.GetString(336), Is.EqualTo("OHHAI"));
var nos2 = new QuickFix.FIX42.NewOrderSingle();
var grp = new Group(200, 300);
grp.SetField(new StringField(300, "Dude"));
nos2.AddGroup(grp);
Assert.That(nos2.GetGroup(1, 200).GetString(300), Is.EqualTo("Dude"));
}
public void AddGetGroupTest()
{
Group g1 = new Group(100, 200);
Group g2 = new Group(100, 201);
MockFieldMap fm = new MockFieldMap();
fm.AddGroup(g1);
fm.AddGroup(g2);
Assert.That(fm.GetGroup(1, 100), Is.EqualTo(g1));
Assert.That(fm.GetGroup(2, 100), Is.EqualTo(g2));
Assert.Throws(typeof(FieldNotFoundException),
delegate { fieldmap.GetGroup(0, 101); });
Assert.Throws(typeof(FieldNotFoundException),
delegate { fieldmap.GetGroup(3, 100); });
Assert.Throws(typeof(FieldNotFoundException),
delegate { fieldmap.GetGroup(1, 101); });
}
/// <summary>
///
/// </summary>
/// <param name="message">Market data snapshot full refresh message</param>
/// <param name="session">Session ID</param>
private void OnMessage(QuickFix.FIX43.MarketDataSnapshotFullRefresh message, QuickFix.SessionID session)
{
try
{
int numberOfMarketDataEntries = message.NoMDEntries.getValue();
for (int i = 1; i <= numberOfMarketDataEntries; i++)
{
Tick tick = new Tick(new Security()
{
Symbol = message.Symbol.getValue()
}, _provider);
tick.DateTime = message.Header.GetDateTime(QuickFix.Fields.Tags.SendingTime);
QuickFix.Group group = message.GetGroup(i, QuickFix.Fields.Tags.NoMDEntries);
if (group.GetField(QuickFix.Fields.Tags.MDEntryType).Equals("0"))
{
tick.BidPrice = Convert.ToDecimal(group.GetField(QuickFix.Fields.Tags.MDEntryPx));
tick.BidSize = Convert.ToDecimal(group.GetField(QuickFix.Fields.Tags.MDEntrySize));
tick.BidExchange = group.GetField(QuickFix.Fields.Tags.MDEntryOriginator);
}
if (group.GetField(QuickFix.Fields.Tags.MDEntryType).Equals("1"))
{
tick.AskPrice = Convert.ToDecimal(group.GetField(QuickFix.Fields.Tags.MDEntryPx));
tick.AskSize = Convert.ToDecimal(group.GetField(QuickFix.Fields.Tags.MDEntrySize));
tick.AskExchange = group.GetField(QuickFix.Fields.Tags.MDEntryOriginator);
}
if (TickArrived != null)
{
TickArrived(tick);
}
}
}
catch (Exception exception)
{
Logger.Error(exception.ToString(), _type.FullName, "OnMessage");
}
}
/// <summary>
/// returns a copy of src (it's only as deep as FieldMap implemented)
/// </summary>
/// <param name="src">the Group to copy</param>
public Group(Group src)
:base(src)
{
Field = src.Field;
Delim = src.Delim;
}
protected int SetGroup(StringField grpNoFld, string msgstr, int pos, FieldMap fieldMap, DataDictionary.IGroupSpec dd, DataDictionary.DataDictionary sessionDataDictionary, DataDictionary.DataDictionary appDD)
{
int delim = dd.Delim;
int grpPos = pos;
Group grp = null;
while (pos < msgstr.Length)
{
grpPos = pos;
StringField f = ExtractField(msgstr, ref pos, sessionDataDictionary, appDD);
if (f.Tag == delim)
{
if (grp != null)
{
fieldMap.AddGroup(grp, false);
}
grp = new Group(grpNoFld.Tag, delim);
}
else if (!dd.IsField(f.Tag))
{
if (grp != null)
{
fieldMap.AddGroup(grp, false);
}
return grpPos;
}
grp.SetField(f);
if(dd.IsGroup(f.Tag))
{
pos = SetGroup(f, msgstr, pos, grp, dd.GetGroupSpec(f.Tag), sessionDataDictionary, appDD);
}
}
return grpPos;
}
public void ClearAndIsEmptyTest()
{
MockFieldMap fieldmap = new MockFieldMap();
BooleanField field = new BooleanField(200, true);
Assert.That(fieldmap.IsEmpty(), Is.EqualTo(true));
fieldmap.SetField(field);
Assert.That(fieldmap.IsEmpty(), Is.EqualTo(false));
fieldmap.Clear();
Assert.That(fieldmap.IsEmpty(), Is.EqualTo(true));
Group g = new Group(100, 101);
fieldmap.AddGroup(g);
Assert.That(fieldmap.IsEmpty(), Is.EqualTo(false));
fieldmap.Clear();
Assert.That(fieldmap.IsEmpty(), Is.EqualTo(true));
}
public void GroupDelimTest()
{
Group g1 = new Group(100, 200);
Assert.AreEqual(100, g1.Field); //counter
Assert.AreEqual(200, g1.Delim);
g1.SetField(new StringField(200, "delim!"));
FieldMap fm = new FieldMap();
fm.AddGroup(g1);
Assert.AreEqual(1, fm.GetInt(100));
Group g2 = new Group(100, 200);
g2.SetField(new StringField(200, "again!"));
fm.AddGroup(g2);
Assert.AreEqual(2, fm.GetInt(100));
}
private void queueProc()
{
logger.Info("Iniciando thread de processamento da fila de mensagens FIX");
long lastLog = 0;
while (_bKeepRunning)
{
try
{
QuickFix.FIX44.Message message = null;
if (queueToProcess.TryDequeue(out message))
{
if (logger.IsDebugEnabled)
{
logger.Debug("Processing Message [" + message.Header.GetInt(34) + "] type [" + message.Header.GetString(35) + "]");
}
string channelID;
string msgtype = message.Header.GetString(QuickFix.Fields.Tags.MsgType);
switch (msgtype)
{
case QuickFix.FIX44.MarketDataIncrementalRefresh.MsgType:
if (message.GroupCount(QuickFix.Fields.Tags.NoMDEntries) > 0)
{
QuickFix.Group MDEntry = message.GetGroup(1, QuickFix.Fields.Tags.NoMDEntries);
string securityID = MDEntry.GetString(QuickFix.Fields.Tags.SecurityID);
channelID = dctChannel.GetOrAdd(securityID, FIX_DEFAULT_WORKER);
}
else
{
channelID = FIX_DEFAULT_WORKER;
}
break;
case QuickFix.FIX44.MarketDataSnapshotFullRefresh.MsgType:
if (message.IsSetField(QuickFix.Fields.Tags.SecurityID))
{
string securityID = message.GetString(QuickFix.Fields.Tags.SecurityID);
channelID = dctChannel.GetOrAdd(securityID, FIX_DEFAULT_WORKER);
}
else
{
channelID = FIX_DEFAULT_WORKER;
}
break;
case QuickFix.FIX44.SecurityList.MsgType:
if (message.GroupCount(QuickFix.Fields.Tags.NoRelatedSym) > 0)
{
QuickFix.Group MDEntry = message.GetGroup(1, QuickFix.Fields.Tags.NoRelatedSym);
string securityID = MDEntry.GetString(QuickFix.Fields.Tags.SecurityID);
string securityType = MDEntry.GetString(QuickFix.Fields.Tags.SecurityType);
channelID = dctChannel.GetOrAdd(securityID, securityType);
}
else
{
channelID = FIX_DEFAULT_WORKER;
}
break;
case QuickFix.FIX44.SecurityStatus.MsgType:
if (message.IsSetField(QuickFix.Fields.Tags.SecurityID))
{
string securityID = message.GetString(QuickFix.Fields.Tags.SecurityID);
channelID = dctChannel.GetOrAdd(securityID, FIX_DEFAULT_WORKER);
}
else
{
channelID = FIX_DEFAULT_WORKER;
}
break;
default:
channelID = FIX_DEFAULT_WORKER;
break;
}
EventoFIX eventoFIX = new EventoFIX();
eventoFIX.ChannelID = channelID;
eventoFIX.MarketDepth = ConstantesUMDF.UMDF_MARKETDEPTH_MARKET_BY_ORDER;
eventoFIX.Message = message;
eventoFIX.MsgSeqNum = message.Header.GetInt(QuickFix.Fields.Tags.MsgSeqNum);
eventoFIX.MsgType = msgtype;
eventoFIX.StreamType = StreamTypeEnum.STREAM_TYPE_TCP_CONFLATED;
ContainerManager.Instance.EnqueueFIX(eventoFIX);
if (MDSUtils.shouldLog(lastLog))
{
logger.Info("Mensagens FIX para processar na fila: " + queueToProcess.Count);
lastLog = DateTime.UtcNow.Ticks;
}
continue;
}
Thread.Sleep(25);
}
catch (Exception ex)
{
logger.Error("queueProc: " + ex.Message, ex);
}
}
logger.Info("Thread de fila de mensagens FIX finalizada");
}
public virtual void OnMessage(QuickFix.FIX44.SecurityList message, SessionID session)
{
try
{
EventoFIX evento = new EventoFIX();
if (message.IsSetField(QuickFix.Fields.Tags.SecurityRequestResult) &&
message.IsSetField(QuickFix.Fields.Tags.SecurityReqID))
{
string requestResult = message.GetString(QuickFix.Fields.Tags.SecurityRequestResult);
if (!requestResult.Equals("0"))
{
logger.WarnFormat("Request [{0}] nao pode ser atendido result=[{1}]",
message.GetString(QuickFix.Fields.Tags.SecurityReqID),
message.GetString(QuickFix.Fields.Tags.SecurityRequestResult));
}
}
if (message.IsSetSecurityReqID())
{
int noRelatedSym = message.GroupCount(QuickFix.Fields.Tags.NoRelatedSym);
for (int i = 1; i <= noRelatedSym; i++)
{
QuickFix.Group relatedSyms = message.GetGroup(i, QuickFix.Fields.Tags.NoRelatedSym);
string securityID = relatedSyms.GetString(QuickFix.Fields.Tags.SecurityID);
string securityType = relatedSyms.GetString(QuickFix.Fields.Tags.SecurityType);
dctChannel.AddOrUpdate(securityID, securityType, (key, oldValue) => securityType);
}
}
logger.Debug("OnMessage(QuickFix.FIX44.SecurityList) Enqueue to split [" + message.Header.GetInt(QuickFix.Fields.Tags.MsgSeqNum) + "]");
enqueueToSplit(message);
logger.Debug("OnMessage(QuickFix.FIX44.SecurityList) Enqueud [" + message.Header.GetInt(QuickFix.Fields.Tags.MsgSeqNum) + "]");
// Requisita a proxima lista de papeis
if (message.IsSetLastFragment() && message.LastFragment.ToString().ToUpper().Equals("Y"))
{
if (message.IsSetSecurityReqID())
{
logger.Info("Final da security list ID [" + message.SecurityReqID.ToString() + "]");
logger.Info("Solicitando snapshots");
ThreadPool.QueueUserWorkItem(new WaitCallback(RequestMarketData), session);
if (_secListMarketRequested < _channelUmdfConfig.Markets.Count)
{
ThreadPool.QueueUserWorkItem(new WaitCallback(RequestSecurityList), session);
}
else
{
logger.Info("Final das requisicoes de securitylist");
//logger.Info("Solicitando snapshots");
//ThreadPool.QueueUserWorkItem(new WaitCallback(RequestMarketData), session);
}
}
}
}
catch (Exception ex)
{
logger.Error("onMessage(SecurityList): " + ex.Message, ex);
}
}
public static void ConsistirNovaOrdemCross(NewOrderCross noc, string exchange)
{
string strAccount1 = string.Empty;
if (!noc.IsSetCrossID())
{
throw new ArgumentException("CrossID field must be provided");
}
if (!noc.IsSetCrossType())
{
throw new ArgumentException("CrossType field must be provided");
}
if (!noc.IsSetCrossPrioritization())
{
throw new ArgumentException("CrossPriorization field must be provided");
}
if (noc.IsSetNoSides() && noc.NoSides.getValue() == 2)
{
QuickFix.Group grpNoSides = noc.GetGroup(1, Tags.NoSides);
OrdensConsistencia.ProcessGroupNOC(grpNoSides);
grpNoSides = noc.GetGroup(2, Tags.NoSides);
OrdensConsistencia.ProcessGroupNOC(grpNoSides);
}
// Instrument Identification Block
if (string.IsNullOrEmpty(noc.Symbol.ToString()))
{
throw new ArgumentException("Symbol field must be provided");
}
if (exchange.Equals(ExchangePrefixes.BMF, StringComparison.InvariantCultureIgnoreCase))
{
if (string.IsNullOrEmpty(noc.SecurityID.ToString()))
{
throw new ArgumentException("SecurityID field must be provided");
}
}
OrdType ordType = noc.OrdType;
if (ordType == null)
{
throw new ArgumentException("OrdType is invalid");
}
// Verifica envio do preco
bool aux = false;
switch (ordType.ToString()[0])
{
case OrdType.LIMIT: // OrdemTipoEnum.Limitada:
break;
default:
aux = true;
break;
}
if (aux)
{
throw new ArgumentException("OrderType must be 2 - Limit");
}
if (noc.IsSetPrice())
{
if (noc.Price.getValue() <= new Decimal(0))
{
throw new ArgumentException("Must must be >= 0");
}
}
}
public static List <QuickFix.FIX44.ExecutionReport> Fix44Rejection2ExecutionReportNOC(QuickFix.Message msgReject, QuickFix.FIX44.NewOrderCross noc)
{
try
{
QuickFix.FIX44.ExecutionReport er1 = new QuickFix.FIX44.ExecutionReport();
QuickFix.FIX44.ExecutionReport er2 = new QuickFix.FIX44.ExecutionReport();
er1.Set(new OrderID("NONE"));
er2.Set(new OrderID("NONE"));
if (noc.IsSetNoSides() && noc.NoSides.getValue() == 2)
{
QuickFix.Group grpNoSides = noc.GetGroup(1, Tags.NoSides);
if (grpNoSides.IsSetField(Tags.ClOrdID))
{
er1.Set(new ClOrdID(grpNoSides.GetField(Tags.ClOrdID)));
}
er1.Set(new ExecID(DateTime.Now.ToString("yyyyMMddHHmmssfff")));
er1.Set(new ExecType(ExecType.REJECTED));
er1.Set(new OrdStatus(OrdStatus.REJECTED));
if (grpNoSides.IsSetField(Tags.Account))
{
er1.Set(new Account(grpNoSides.GetField(Tags.Account)));
}
er1.Set(new Symbol(noc.GetField(Tags.Symbol)));
if (noc.IsSetField(Tags.SecurityID))
{
er1.Set(new SecurityID(noc.GetField(Tags.SecurityID)));
}
if (noc.IsSetField(Tags.SecurityIDSource))
{
er1.Set(new SecurityIDSource(noc.GetField(Tags.SecurityIDSource)));
}
er1.Set(new Side(grpNoSides.GetChar(Tags.Side)));
er1.Set(new OrderQty(grpNoSides.GetDecimal(Tags.OrderQty)));
if (noc.IsSetField(Tags.OrdType))
{
er1.Set(new OrdType(noc.GetChar(Tags.OrdType)));
}
if (noc.IsSetField(Tags.Price))
{
er1.Set(new Price(noc.GetDecimal(Tags.Price)));
}
er1.Set(new LeavesQty(0));
er1.Set(new CumQty(0));
er1.Set(new AvgPx(Decimal.Zero));
DateTime transact1 = DateTime.UtcNow;
er1.Set(new TransactTime(transact1));
if (msgReject.IsSetField(Tags.Text))
{
er1.Set(new Text(msgReject.GetField(Tags.Text)));
}
grpNoSides = noc.GetGroup(2, Tags.NoSides);
if (grpNoSides.IsSetField(Tags.ClOrdID))
{
er2.Set(new ClOrdID(grpNoSides.GetField(Tags.ClOrdID)));
}
er2.Set(new ExecID(DateTime.Now.ToString("yyyyMMddHHmmssfff")));
er2.Set(new ExecType(ExecType.REJECTED));
er2.Set(new OrdStatus(OrdStatus.REJECTED));
if (grpNoSides.IsSetField(Tags.Account))
{
er2.Set(new Account(grpNoSides.GetField(Tags.Account)));
}
er2.Set(new Symbol(noc.GetField(Tags.Symbol)));
if (noc.IsSetField(Tags.SecurityID))
{
er2.Set(new SecurityID(noc.GetField(Tags.SecurityID)));
}
if (noc.IsSetField(Tags.SecurityIDSource))
{
er2.Set(new SecurityIDSource(noc.GetField(Tags.SecurityIDSource)));
}
er2.Set(new Side(grpNoSides.GetChar(Tags.Side)));
er2.Set(new OrderQty(grpNoSides.GetDecimal(Tags.OrderQty)));
if (noc.IsSetField(Tags.OrdType))
{
er2.Set(new OrdType(noc.GetChar(Tags.OrdType)));
}
if (noc.IsSetField(Tags.Price))
{
er2.Set(new Price(noc.GetDecimal(Tags.Price)));
}
er2.Set(new LeavesQty(0));
er2.Set(new CumQty(0));
er2.Set(new AvgPx(Decimal.Zero));
DateTime transact2 = DateTime.UtcNow;
er2.Set(new TransactTime(transact2));
if (msgReject.IsSetField(Tags.Text))
{
er2.Set(new Text(msgReject.GetField(Tags.Text)));
}
}
List <QuickFix.FIX44.ExecutionReport> ret = new List <QuickFix.FIX44.ExecutionReport>();
ret.Add(er1);
ret.Add(er2);
return(ret);
}
catch (Exception ex)
{
logger.Error("Fix44Rejection2ExecutionReportNOC(): " + ex.Message, ex);
return(null);
}
}