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); } }