private void OnMessage(QuickFix.FIX42.MarketDataRequest m, SessionID s)
{
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
m.GetGroup(1, symbolGroup);
string symbolName = symbolGroup.Get(new Symbol()).getValue();
string mdRequestId = m.MDReqID.ToString();
if (!m_ProductSubscription.ContainsKey(symbolName)) {
bool fullSpeed = symbolName.StartsWith("B");
Console.WriteLine("Subscribe : " + symbolName + ". Full Speed: " + fullSpeed);
QuotePublisher publisher = new QuotePublisher(symbolName, mdRequestId, fullSpeed, s);
m_ProductSubscription.Add(symbolName, publisher);
}
}
public virtual void onLogon(SessionID sessionID)
{
Console.WriteLine("SessionID: " + sessionID);
if (this.IxROVD6JN == null)
return;
this.IxROVD6JN((object)this, new FIXSessionIDEventArgs(sessionID));
}
internal static dynamic OrderCancelRequest(SessionID sid)
{
if (sid == null)
{
return null;
}
string value = sid.getBeginString();
if (value.Equals("FIX.4.0"))
return new QuickFix40.OrderCancelRequest();
if (value.Equals("FIX.4.1"))
return new QuickFix41.OrderCancelRequest();
if (value.Equals("FIX.4.2"))
return new QuickFix42.OrderCancelRequest();
if (value.Equals("FIX.4.3"))
return new QuickFix43.OrderCancelRequest();
if (value.Equals("FIX.4.4"))
return new QuickFix44.OrderCancelRequest();
if (value.Equals("FIX.5.0"))
return new QuickFix50.OrderCancelRequest();
return null;
}
public void OnLogon( SessionID sessionID)
{
Session session = Session.LookupSession(sessionID);
Message message = null;
//行情订阅
message = OKMarketDataRequest.create24HTickerRequest();
//深度订阅
//message = OKMarketDataRequest.createOrderBookRequest();
//用户信息请求
//message = OKTradingRequest.createUserAccountRequest();
//创建订单
// try{
// message = OKTradingRequest.createOrderBookRequest();
// } catch (Exception e) {
// Console.WriteLine(e.Message);
// }
//取消订单请求
// message = OKTradingRequest.createOrderCancelRequest();
//订单状态请求
// message = OKTradingRequest.createOrderStatusRequest();
session.Send(message);
}
internal static dynamic NewOrderSingle(SessionID sid)
{
if (sid == null)
{
return null;
}
string value = sid.getBeginString();
if (value.Equals("FIX.4.0"))
return new QuickFix40.NewOrderSingle();
if (value.Equals("FIX.4.1"))
return new QuickFix41.NewOrderSingle();
if (value.Equals("FIX.4.2"))
return new QuickFix42.NewOrderSingle();
if (value.Equals("FIX.4.3"))
return new QuickFix43.NewOrderSingle();
if (value.Equals("FIX.4.4"))
return new QuickFix44.NewOrderSingle();
if (value.Equals("FIX.5.0"))
return new QuickFix50.NewOrderSingle();
return null;
}
public virtual void onLogon(SessionID sessionID)
{
Console.WriteLine("SessionID: " + sessionID);
if (this.lCISky2Q1 == null)
return;
this.lCISky2Q1(this, new FIXSessionIDEventArgs(sessionID));
}
public virtual void onLogout(SessionID sessionID)
{
Console.WriteLine("SessionID: " + sessionID);
if (this.N4PQenDmP == null)
return;
this.N4PQenDmP(this, new FIXSessionIDEventArgs(sessionID));
}
public void SendNewOrderSingle(string symbol, int quantity, decimal? price, decimal? stop, decimal? gain, string account, SessionID session)
{
clOrdId = DateTime.Now.Ticks.ToString();
lastSymbol = symbol;
lastAccount = account;
var newOrderSingle = new NewOrderSingle(new ClOrdID(clOrdId),
new Symbol(symbol),
new Side(Side.BUY),
new TransactTime(DateTime.Now),
new OrdType(gain.HasValue ? 'X' : stop.HasValue ? OrdType.STOP : price.HasValue ? OrdType.LIMIT : OrdType.MARKET))
{
Account = new Account(account),
OrderQty = new OrderQty(quantity),
TargetStrategy = new TargetStrategy(TargetStrategy),
TimeInForce = new TimeInForce(TIF),
};
if (TIF == TimeInForce.GOOD_TILL_DATE)
newOrderSingle.ExpireDate = new ExpireDate(DateTime.Today.AddDays(1).AsLocalMktDate());
if (stop.HasValue)
newOrderSingle.StopPx = new StopPx(stop.Value);
if (price.HasValue)
newOrderSingle.Price = new Price(price.Value);
if (gain.HasValue)
newOrderSingle.SetField(new DecimalField(6001, gain.Value));
Session.SendToTarget(newOrderSingle, session);
}
public override void onLogout(SessionID sessionID)
{
bool flag1;
if (this.priceSessionID == null)
{
flag1 = true;
}
else
{
Session session = Session.lookupSession(this.priceSessionID);
flag1 = session != null && !session.isLoggedOn();
}
bool flag2;
if (this.orderSessionID == null)
{
flag2 = true;
}
else
{
Session session = Session.lookupSession(this.orderSessionID);
flag2 = session != null && !session.isLoggedOn();
}
if (!flag1 || !flag2)
return;
this.EmitLogout((SessionID)null);
}
public virtual void onLogout(SessionID sessionID)
{
Console.WriteLine("SessionID: " + sessionID);
if (this.Br2Z76TG6 == null)
return;
this.Br2Z76TG6((object)this, new FIXSessionIDEventArgs(sessionID));
}
public void fromApp(QuickFix.Message message, SessionID sessionID)
{
// receiving messages
Symbol sym = new Symbol();
message.getField(sym);
Tick k = new TickImpl(sym.getValue());
{
// bid
BidPx bp = new BidPx();
BidSize bs = new BidSize();
k.bid = (decimal)bp.getValue();
k.bs = (int)message.getField(bs).getValue();
}
{
// ask
OfferPx op = new OfferPx();
OfferSize os = new OfferSize();
k.ask = (decimal)op.getValue();
k.os = (int)message.getField(os).getValue();
}
{
// last
Price price = new Price();
message.getField(price);
k.trade = (decimal)price.getValue();
}
tl.newTick(k);
//ClOrdID clOrdID = new ClOrdID();
//message.getField(clOrdID);
}
public FileStore(string path, SessionID sessionID)
{
//BEGIN - Custom part
//search for special directory (ie: %appdata%)
if (path.StartsWith("%"))
{
int end = path.IndexOf("%", 1);
string specialFolderName = path.Substring(1, end - 1);
Environment.SpecialFolder specialFolder = (Environment.SpecialFolder)Enum.Parse(typeof(Environment.SpecialFolder), specialFolderName, true);
string specialPath = Environment.GetFolderPath(specialFolder);
path = Path.Combine(specialPath, path.Substring(end + 2));
}
//END - Custom part
if (!System.IO.Directory.Exists(path))
System.IO.Directory.CreateDirectory(path);
string prefix = Prefix(sessionID);
seqNumsFileName_ = System.IO.Path.Combine(path, prefix + ".seqnums");
msgFileName_ = System.IO.Path.Combine(path, prefix + ".body");
headerFileName_ = System.IO.Path.Combine(path, prefix + ".header");
sessionFileName_ = System.IO.Path.Combine(path, prefix + ".session");
open();
}
public void onLogon(SessionID sessionID)
{
Console.WriteLine("onLogon " + sessionID);
String exchange = "CME";
String symbol = "CL";
RequestSymbols(exchange, symbol, sessionID);
}
public void OnCreate(SessionID sessionID)
{
Session session = Session.LookupSession(sessionID);
// Hey QF/J users, don't do this in a real app.
if (null != session)
session.Reset("AT Session Reset");
}
public void ToAdmin(Message message, SessionID sessionID)
{
if (message.Header.GetField(Tags.MsgType) == MsgType.LOGON)
{
message.SetField(new QuickFix.Fields.Username("batman"));
message.SetField(new QuickFix.Fields.Password("gotham123"));
}
}
public Session(
IApplication app, IMessageStoreFactory storeFactory, SessionID sessID, DataDictionaryProvider dataDictProvider,
SessionSchedule sessionSchedule, int heartBtInt, ILogFactory logFactory, IMessageFactory msgFactory, string senderDefaultApplVerID)
{
this.Application = app;
this.SessionID = sessID;
this.DataDictionaryProvider = new DataDictionaryProvider(dataDictProvider);
this.schedule_ = sessionSchedule;
this.msgFactory_ = msgFactory;
this.SenderDefaultApplVerID = senderDefaultApplVerID;
this.SessionDataDictionary = this.DataDictionaryProvider.GetSessionDataDictionary(this.SessionID.BeginString);
if (this.SessionID.IsFIXT)
this.ApplicationDataDictionary = this.DataDictionaryProvider.GetApplicationDataDictionary(this.SenderDefaultApplVerID);
else
this.ApplicationDataDictionary = this.SessionDataDictionary;
ILog log;
if (null != logFactory)
log = logFactory.Create(sessID);
else
log = new NullLog();
state_ = new SessionState(log, heartBtInt)
{
MessageStore = storeFactory.Create(sessID)
};
// Configuration defaults.
// Will be overridden by the SessionFactory with values in the user's configuration.
this.PersistMessages = true;
this.ResetOnDisconnect = false;
this.SendRedundantResendRequests = false;
this.ValidateLengthAndChecksum = true;
this.CheckCompID = true;
this.MillisecondsInTimeStamp = true;
this.EnableLastMsgSeqNumProcessed = false;
this.MaxMessagesInResendRequest = 0;
this.SendLogoutBeforeTimeoutDisconnect = false;
this.IgnorePossDupResendRequests = false;
this.RequiresOrigSendingTime = true;
this.CheckLatency = true;
this.MaxLatency = 120;
if (!IsSessionTime)
Reset("Out of SessionTime (Session construction)");
else if (IsNewSession)
Reset("New session");
lock (sessions_)
{
sessions_[this.SessionID] = this;
}
this.Application.OnCreate(this.SessionID);
this.Log.OnEvent("Created session");
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
{
Console.WriteLine("* Got a NewOrderSingle. Responding with an ExecutionReport.");
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = new Price(DEFAULT_MARKET_PRICE);
ClOrdID clOrdID = n.ClOrdID;
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
throw new IncorrectTagValue(price.Tag);
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol, //shouldn't be here?
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(symbol);
exReport.Set(orderQty);
exReport.Set(new LastQty(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
if (n.IsSetAccount())
exReport.SetField(n.Account);
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
public void fromAdmin(Message message, SessionID sessionID)
{
if (!isTimerAdjusted)
{
SendingTime sendingTime = new SendingTime();
message.getHeader().getField(sendingTime);
Utils.AdjustTime(sendingTime.getValue());
isTimerAdjusted = true;
}
}
public void Crack(Message message, SessionID sessionID)
{
Type messageType = message.GetType();
MethodInfo handler = null;
if (_handlerMethods.TryGetValue(messageType, out handler))
handler.Invoke(this, new object[] { message, sessionID });
else
throw new UnsupportedMessageType();
}
public void OnMessage(QuickFix.FIX44.News msg, SessionID sessionId)
{
//byte[] ole = Encoding.UTF8.GetBytes("olé");
QuickFix.FIX44.News response = new QuickFix.FIX44.News();
response.Header.SetField(new QuickFix.Fields.MessageEncoding("UTF-8"));
response.Headline = new QuickFix.Fields.Headline("ole");
response.EncodedHeadline = new QuickFix.Fields.EncodedHeadline("olé");
response.LinesOfText = new QuickFix.Fields.LinesOfText(0);
Session.SendToTarget(response, sessionId);
}
public void FromApp(Message message, SessionID sessionID)
{
OnMessage(message, sessionID);
string msgType = message.Header.GetString(Tags.MsgType);
switch (msgType) {
case "8":
OnExecutionReport((QuickFix.FIX42.ExecutionReport)message);
break;
}
}
public void EnqueueAddOrder(IFixMessageGenerator messageGenerator,
SessionID sessionID,
OrderData orderData,
string execID)
{
var internalSessionID = _sessionMediator.LookupInternalSessionID(sessionID);
var cmd = _commandFactory.CreateAddOrder(messageGenerator,
internalSessionID,
orderData,
execID);
_commandFactory.IncomingQueue.Enqueue(cmd);
}
public void FromApp(Message message, SessionID sessionID)
{
string msgType = message.Header.GetString(Tags.MsgType);
switch (msgType) {
case "V":
OnMessage(((QuickFix.FIX42.MarketDataRequest)message), sessionID);
break;
case "D":
OnMessage(((QuickFix.FIX42.NewOrderSingle)message), sessionID);
break;
}
}
public void TestAllFieldsConstructor()
{
SessionID sessionID = new SessionID("FIX.4.2", "SENDER", "SENDERSUB", "SENDERLOC", "TARGET", "TARGETSUB", "TARGETLOC", "QUALIFIER");
Assert.That(sessionID.BeginString, Is.EqualTo("FIX.4.2"));
Assert.That(sessionID.SenderCompID, Is.EqualTo("SENDER"));
Assert.That(sessionID.SenderSubID, Is.EqualTo("SENDERSUB"));
Assert.That(sessionID.SenderLocationID, Is.EqualTo("SENDERLOC"));
Assert.That(sessionID.TargetCompID, Is.EqualTo("TARGET"));
Assert.That(sessionID.TargetSubID, Is.EqualTo("TARGETSUB"));
Assert.That(sessionID.TargetLocationID, Is.EqualTo("TARGETLOC"));
Assert.That(sessionID.SessionQualifier, Is.EqualTo("QUALIFIER"));
}
public void fromApp(Message message, SessionID sessionID)
{
try
{
crack(message, sessionID);
}
catch (UnsupportedMessageType exception)
{
Console.WriteLine("fromApp " + exception);
Console.WriteLine("fromApp " + message);
}
}
public void TestNoLocationSubOrQualifierConstructor()
{
SessionID sessionID = new SessionID("FIX.4.2", "SENDER", "TARGET");
Assert.That(sessionID.BeginString, Is.EqualTo("FIX.4.2"));
Assert.That(sessionID.SenderCompID, Is.EqualTo("SENDER"));
Assert.That(sessionID.SenderSubID, Is.EqualTo(""));
Assert.That(sessionID.SenderLocationID, Is.EqualTo(""));
Assert.That(sessionID.TargetCompID, Is.EqualTo("TARGET"));
Assert.That(sessionID.TargetSubID, Is.EqualTo(""));
Assert.That(sessionID.TargetLocationID, Is.EqualTo(""));
Assert.That(sessionID.SessionQualifier, Is.EqualTo(""));
}
public FileStore(string path, SessionID sessionID)
{
if (!System.IO.Directory.Exists(path))
System.IO.Directory.CreateDirectory(path);
string prefix = Prefix(sessionID);
seqNumsFileName_ = System.IO.Path.Combine(path, prefix + ".seqnums");
msgFileName_ = System.IO.Path.Combine(path, prefix + ".body");
headerFileName_ = System.IO.Path.Combine(path, prefix + ".header");
open();
}
/// FIXME
public Session(
Application app, MessageStoreFactory storeFactory, SessionID sessID, DataDictionaryProvider dataDictProvider,
SessionSchedule sessionSchedule, int heartBtInt, LogFactory logFactory, IMessageFactory msgFactory, string senderDefaultApplVerID)
{
this.Application = app;
this.SessionID = sessID;
this.DataDictionaryProvider = new DataDictionaryProvider(dataDictProvider);
this.schedule_ = sessionSchedule;
this.msgFactory_ = msgFactory;
this.SenderDefaultApplVerID = senderDefaultApplVerID;
this.SessionDataDictionary = this.DataDictionaryProvider.GetSessionDataDictionary(this.SessionID.BeginString);
if (this.SessionID.IsFIXT)
this.ApplicationDataDictionary = this.DataDictionaryProvider.GetApplicationDataDictionary(this.SenderDefaultApplVerID);
else
this.ApplicationDataDictionary = this.SessionDataDictionary;
Log log;
if (null != logFactory)
log = logFactory.Create(sessID);
else
log = new NullLog();
state_ = new SessionState(log, heartBtInt)
{
MessageStore = storeFactory.Create(sessID)
};
this.PersistMessages = true;
this.ResetOnDisconnect = false;
this.SendRedundantResendRequests = false;
this.ValidateLengthAndChecksum = true;
this.CheckCompID = true;
this.MillisecondsInTimeStamp = true;
this.EnableLastMsgSeqNumProcessed = false;
this.MaxMessagesInResendRequest = 0;
this.SendLogoutBeforeTimeoutDisconnect = false;
this.IgnorePossDupResendRequests = false;
if (!IsSessionTime)
Reset();
lock (sessions_)
{
sessions_[this.SessionID] = this;
}
this.Application.OnCreate(this.SessionID);
this.Log.OnEvent("Created session");
}
public void FromApp(QuickFix.Message msg, SessionID sessionID)
{
Console.WriteLine("FromApp - " + msg.ToString() + "@" + sessionID.ToString());
try
{
Crack(msg, sessionID);
}
catch (Exception ex)
{
Console.WriteLine("==Cracker exception==");
Console.WriteLine(ex.ToString());
Console.WriteLine(ex.StackTrace);
}
}
public void fromApp(QuickFix.Message value, SessionID session)
{
//if (value is QuickFix42.ExecutionReport)
//{
// QuickFix42.ExecutionReport er = (QuickFix42.ExecutionReport)value;
// ExecType et = (ExecType)er.getExecType();
// if (et.getValue() == ExecType.FILL)
// {
// //TODO: implement code
// }
//}
//Console.WriteLine("Got Execution Report from Server \n" + value.ToString());
}
public void setup()
{
sessionID = new QuickFix.SessionID("FIX.4.2", "SENDERCOMP", "TARGETCOMP");
Wipe();
QuickFix.Dictionary config = new QuickFix.Dictionary();
config.SetString(QuickFix.SessionSettings.CONNECTION_TYPE, "initiator");
config.SetString(QuickFix.SessionSettings.DATABASE_STORE_CONNECTION_STRING, connectionString);
settings = new QuickFix.SessionSettings();
settings.Set(sessionID, config);
factory = new QuickFix.DatabaseStoreFactory(settings);
settings.Set(config);
store = (QuickFix.DatabaseStore)factory.Create(sessionID, new NullLog());
}
public virtual void ToApp(QuickFix.Message message, QuickFix.SessionID session)
{
try
{
if (logger.IsDebugEnabled)
{
logger.Debug("SND(App) --> type[" + message.GetType().ToString() + "] msg[" + message.ToString() + "]");
}
//this.Crack(message, session);
}
catch (Exception ex)
{
logger.Error("ToApp(): " + ex.Message, ex);
}
}
public void ToAdmin(QuickFix.Message message, QuickFix.SessionID session)
{
// Faz o processamento
try
{
// Complementa a mensagem de logon com a senha
if (message.GetType() == typeof(Logon))
{
Logon message2 = (Logon)message;
if (_config.LogonPassword != "")
{
message2.Set(new RawData(_config.LogonPassword));
message2.Set(new RawDataLength(_config.LogonPassword.Length));
if (_config.NewPassword != null && _config.NewPassword.Length > 0)
{
// message2.setString(925, _config.NewPassword.Trim());
NewPassword newpwd = new NewPassword(_config.NewPassword.Trim());
message2.SetField(newpwd);
}
}
if (_config.CancelOnDisconnect >= 0)
{
char codtype = _config.CancelOnDisconnect.ToString()[0];
if (codtype >= '0' && codtype <= '3')
{
message2.SetField(new CharField(35002, codtype));
}
if (_config.CODTimeout >= 0 && _config.CODTimeout <= 60)
{
message2.SetField(new IntField(35003, _config.CODTimeout * 1000));
}
}
message2.Set(new HeartBtInt(_config.HeartBtInt));
message2.Set(new EncryptMethod(0));
message2.Set(new ResetSeqNumFlag(_config.ResetSeqNum));
}
if (message.Header.GetField(Tags.MsgType) != MsgType.HEARTBEAT)
{
this.Crack(message, session);
}
}
catch (Exception ex)
{
logger.Error("toAdmin() Erro: " + ex.Message, ex);
}
}
public virtual void toAdmin(QuickFix.Message message, QuickFix.SessionID session)
{
// Faz o processamento
try
{
logger.Debug("toAdmin(). Session id : " + session.ToString() + " Msg: " + message.GetType().ToString());
if (message.getHeader().getField(MsgType.FIELD) != QuickFix.MsgType.Heartbeat)
{
this.crack(message, session);
}
}
catch (Exception ex)
{
logger.Error("toAdmin() Erro: " + ex.Message, ex);
}
}
/// <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");
}
}
public virtual void ToAdmin(QuickFix.Message message, QuickFix.SessionID session)
{
try
{
logger.Debug("SND(Admin) --> type[" + message.GetType().ToString() + "] msg[" + message.ToString() + "]");
//if (message.Header.GetField(QuickFix.Fields.Tags.MsgType) != QuickFix.Fields.MsgType.HEARTBEAT)
// this.Crack(message, session);
// Complementa a mensagem de logon com a senha
if (message.GetType() == typeof(Logon))
{
Logon message2 = (Logon)message;
if (_channelUmdfConfig.LogonPassword != "")
{
message2.Set(new QuickFix.Fields.RawData(_channelUmdfConfig.LogonPassword));
message2.Set(new QuickFix.Fields.RawDataLength(_channelUmdfConfig.LogonPassword.Length));
if (_channelUmdfConfig.NewPassword != null && _channelUmdfConfig.NewPassword.Length > 0)
{
QuickFix.Fields.StringField newPassword = new QuickFix.Fields.StringField(925, _channelUmdfConfig.NewPassword.Trim());
message2.SetField(newPassword);
}
}
message2.Set(new QuickFix.Fields.HeartBtInt(_channelUmdfConfig.HeartBtInt));
message2.Set(new QuickFix.Fields.EncryptMethod(0));
message2.Set(new QuickFix.Fields.ResetSeqNumFlag(_channelUmdfConfig.ResetOnLogon));
}
logger.Debug("ToAdmin(). Session id : " + session.ToString() + " Msg: " + message.GetType().ToString());
//if (message.getHeader().getField(MsgType.FIELD) != QuickFix.MsgType.Heartbeat)
// this.crack(message, session);
}
catch (Exception ex)
{
logger.Error("ToAdmin(): " + ex.Message, ex);
}
}
public virtual void Stop()
{
try
{
_bKeepRunning = false;
_initiator.Stop();
_initiator = null;
_session = null;
while (thSplitProc.IsAlive)
{
logger.Info("Aguardando finalizar thread splitter");
Thread.Sleep(250);
}
while (thQueueProc.IsAlive)
{
logger.Info("Aguardando finalizar thread de processamento da fila de mensagens FIX");
Thread.Sleep(250);
}
if (machineGun != null)
{
machineGun.Stop();
}
}
catch (Exception ex)
{
logger.Error("Stop():" + ex.Message, ex);
}
_logonEfetuado = false;
logger.Info("Stop(): Sessao FIX finalizado!");
}
public void toApp(QuickFix.Message value, QuickFix.SessionID session)
{
// Console.WriteLine("Called toApp :" + value.ToString());
}
private AcceptorSocketDescriptor GetAcceptorSocketDescriptor(SessionSettings settings, SessionID sessionID)
{
QuickFix.Dictionary dict = settings.Get(sessionID);
int port = System.Convert.ToInt32(dict.GetLong(SessionSettings.SOCKET_ACCEPT_PORT));
SocketSettings socketSettings = new SocketSettings();
IPEndPoint socketEndPoint;
if (dict.Has(SessionSettings.SOCKET_ACCEPT_HOST))
{
string host = dict.GetString(SessionSettings.SOCKET_ACCEPT_HOST);
IPAddress[] addrs = Dns.GetHostAddresses(host);
socketEndPoint = new IPEndPoint(addrs[0], port);
// Set hostname (if it is not already configured)
socketSettings.ServerCommonName = socketSettings.ServerCommonName ?? host;
}
else
{
socketEndPoint = new IPEndPoint(IPAddress.Any, port);
}
socketSettings.Configure(dict);
AcceptorSocketDescriptor descriptor;
if (!socketDescriptorForAddress_.TryGetValue(socketEndPoint, out descriptor))
{
descriptor = new AcceptorSocketDescriptor(socketEndPoint, socketSettings, dict);
socketDescriptorForAddress_[socketEndPoint] = descriptor;
}
return(descriptor);
}
public void onLogout(QuickFix.SessionID value)
{
SystemLogger.WriteOnConsoleAsync(true, "Client Logged Out" + value.ToString(), ConsoleColor.Red, ConsoleColor.White, false);
// Console.WriteLine("Log out Session" + value.toString());
}
public void toAdmin(QuickFix.Message value, QuickFix.SessionID session)
{
//SystemLogger.WriteOnConsoleAsync(true, "To Admin: " + value.ToString(), ConsoleColor.Black, ConsoleColor.White, false);
}
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 void onCreate(QuickFix.SessionID value)
{
//Console.WriteLine("Message OnCreate" + value.toString());
}
public void IniciarServico()
{
logger.Info("IniciarServico(): iniciando Servidor FIX...");
// Carrega configurações
_config = GerenciadorConfig.ReceberConfig <ServidorFixConfig>();
// Cria dicionario da configuracao
Dictionary mainDic = new Dictionary();
if (_config.SocketAcceptPort > 0)
{
mainDic.SetLong("SocketAcceptPort", _config.SocketAcceptPort);
}
//mainDic.SetLong("SocketConnectPort", _config.SocketConnectPort);
mainDic.SetLong("HeartBtInt", _config.HeartBtInt);
mainDic.SetLong("ReconnectInterval", _config.ReconnectInterval);
//mainDic.SetBool("ResetOnLogon", _config.ResetSeqNum);
//mainDic.SetBool("PersistMessages", _config.PersistMessages);
// Ver
// ret.setString("ConnectionType", ConnectionType.ToLower());
//mainDic.SetString("SocketConnectHost", _config.Host);
mainDic.SetString("FileStorePath", _config.FileStorePath);
logger.Debug("FileLogPath: " + _config.FileLogPath);
mainDic.SetString("FileLogPath", _config.FileLogPath);
logger.Debug("DebugFileLogPath: " + _config.FileLogPath);
mainDic.SetString("DebugFileLogPath", _config.DebugFileLogPath);
mainDic.SetString("StartTime", _config.StartTime);
mainDic.SetString("EndTime", _config.EndTime);
mainDic.SetString("ConnectionType", "acceptor");
CamadaDeDados db = new CamadaDeDados();
List <SessionFixInfo> sessions = db.BuscarSessoesFIX();
// Configure the session settings
SessionSettings settings = new SessionSettings();
settings.Set(mainDic);
foreach (SessionFixInfo info in sessions)
{
Dictionary sessDic = new Dictionary();
//sessDic.SetString("BeginString", _config.BeginString);
//sessDic.SetString("SenderCompID", _config.SenderCompID);
//sessDic.SetString("TargetCompID", _config.TargetCompID);
string dataDictionary;
switch (info.FixVersion)
{
case "5.0": dataDictionary = _config.DataDictionary50; break;
case "4.4": dataDictionary = _config.DataDictionary44; break;
case "4.2":
default:
dataDictionary = _config.DataDictionary42; break;
}
sessDic.SetString("DataDictionary", dataDictionary);
sessDic.SetBool("UseDataDictionary", true);
sessDic.SetBool("ResetOnLogon", info.ResetSeqNum != 0?true:false);
sessDic.SetBool("PersistMessages", info.PersistMessages != 0 ? true : false);
logger.InfoFormat("Criando sessao S:[{0}] T:[{1}] Ver:[{2}] Dic:[{3}] Rst:[{4}] Pers:[{5}] Begstr:[{6}]",
info.SenderCompID,
info.TargetCompID,
info.FixVersion,
dataDictionary,
info.ResetSeqNum,
info.PersistMessages,
info.BeginString
);
// Cria sessao que será usada para mandar as mensagens
_session =
new SessionID(info.BeginString,
info.SenderCompID,
info.TargetCompID);
settings.Set(_session, sessDic);
}
logger.Info("Iniciando gerenciador de limites...");
LimiteManager.GetInstance().Start();
logger.Info("Iniciando cron scheduler...");
_cron = new CronStyleScheduler();
_cron.Start();
logger.Info("Iniciando Executor FIX...");
_executorApp = Executor.GetInstance();
_executorApp.Start();
FileStoreFactory store = new FileStoreFactory(settings);
LogFactory logs = new FileLogFactory(settings);
IMessageFactory msgs = new DefaultMessageFactory();
logger.Info("Iniciando ThreadedSocketAcceptor...");
_socketAcceptor = new ThreadedSocketAcceptor(_executorApp, store, settings, logs, msgs);
_socketAcceptor.Start();
_status = ServicoStatus.EmExecucao;
logger.Info("IniciarServico(): ServidorFIX em execucao....");
}
protected void ProcessFixDataDictionary(SessionID sessionID, Dictionary settings, DataDictionaryProvider provider)
{
DataDictionary.DataDictionary dataDictionary = createDataDictionary(sessionID, settings, SessionSettings.DATA_DICTIONARY, sessionID.BeginString);
provider.AddTransportDataDictionary(sessionID.BeginString, dataDictionary);
provider.AddApplicationDataDictionary(FixValues.ApplVerID.FromBeginString(sessionID.BeginString), dataDictionary);
}
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);
}
}
/// <summary>
/// Creates a composite log
/// </summary>
/// <param name="sessionID">session ID for the message store</param>
/// <returns></returns>
public ILog Create(SessionID sessionID)
{
return(new CompositeLog(factories_.Select(f => f.Create(sessionID)).ToArray()));
}
public virtual void OnLogon(QuickFix.SessionID session)
{
logger.Info("OnLogon()");
_bConectadoBolsa = true;
}
/// <summary> /// Implemented to connect a session to its target. /// </summary> /// <param name="sessionID"></param> /// <param name="settings"></param> protected abstract void DoConnect(SessionID sessionID, QuickFix.Dictionary settings);
public virtual void OnLogout(QuickFix.SessionID session)
{
logger.Info("OnLogout()");
}
/// <summary>
/// Remove existing session config from the settings
/// </summary>
/// <param name="sessionID">ID of session for which config is to be removed</param>
/// <returns>true if removed, false if config for the session does not exist</returns>
public bool Remove(SessionID sessionID)
{
return(settings_.Remove(sessionID));
}
public Session Create(SessionID sessionID, QuickFix.Dictionary settings)
{
string connectionType = settings.GetString(SessionSettings.CONNECTION_TYPE);
if (!"acceptor".Equals(connectionType) && !"initiator".Equals(connectionType))
{
throw new ConfigError("Invalid ConnectionType");
}
if ("acceptor".Equals(connectionType) && settings.Has(SessionSettings.SESSION_QUALIFIER))
{
throw new ConfigError("SessionQualifier cannot be used with acceptor.");
}
bool useDataDictionary = true;
if (settings.Has(SessionSettings.USE_DATA_DICTIONARY))
{
useDataDictionary = settings.GetBool(SessionSettings.USE_DATA_DICTIONARY);
}
QuickFix.Fields.ApplVerID defaultApplVerID = null;
if (sessionID.IsFIXT)
{
if (!settings.Has(SessionSettings.DEFAULT_APPLVERID))
{
throw new ConfigError("ApplVerID is required for FIXT transport");
}
defaultApplVerID = Message.GetApplVerID(settings.GetString(SessionSettings.DEFAULT_APPLVERID));
}
DataDictionaryProvider dd = new DataDictionaryProvider();
if (useDataDictionary)
{
if (sessionID.IsFIXT)
{
ProcessFixTDataDictionaries(sessionID, settings, dd);
}
else
{
ProcessFixDataDictionary(sessionID, settings, dd);
}
}
int heartBtInt = 0;
if (connectionType == "initiator")
{
heartBtInt = System.Convert.ToInt32(settings.GetLong(SessionSettings.HEARTBTINT));
if (heartBtInt <= 0)
{
throw new ConfigError("Heartbeat must be greater than zero");
}
}
string senderDefaultApplVerId = "";
if (defaultApplVerID != null)
{
senderDefaultApplVerId = defaultApplVerID.Obj;
}
Session session = new Session(
application_,
messageStoreFactory_,
sessionID,
dd,
new SessionSchedule(settings),
heartBtInt,
logFactory_,
messageFactory_,
senderDefaultApplVerId);
if (settings.Has(SessionSettings.SEND_REDUNDANT_RESENDREQUESTS))
{
session.SendRedundantResendRequests = settings.GetBool(SessionSettings.SEND_REDUNDANT_RESENDREQUESTS);
}
/** FIXME - implement optional settings
* if (settings.Has(SessionSettings.CHECK_COMPID))
* session.SetCheckCompId(settings.GetBool(SessionSettings.CHECK_COMPID));
*/
if (settings.Has(SessionSettings.CHECK_LATENCY))
{
session.CheckLatency = settings.GetBool(SessionSettings.CHECK_LATENCY);
}
if (settings.Has(SessionSettings.MAX_LATENCY))
{
session.MaxLatency = settings.GetInt(SessionSettings.MAX_LATENCY);
}
if (settings.Has(SessionSettings.LOGON_TIMEOUT))
{
session.LogonTimeout = settings.GetInt(SessionSettings.LOGON_TIMEOUT);
}
if (settings.Has(SessionSettings.LOGOUT_TIMEOUT))
{
session.LogoutTimeout = settings.GetInt(SessionSettings.LOGOUT_TIMEOUT);
}
if (settings.Has(SessionSettings.RESET_ON_LOGON))
{
session.ResetOnLogon = settings.GetBool(SessionSettings.RESET_ON_LOGON);
}
if (settings.Has(SessionSettings.RESET_ON_LOGOUT))
{
session.ResetOnLogout = settings.GetBool(SessionSettings.RESET_ON_LOGOUT);
}
if (settings.Has(SessionSettings.RESET_ON_DISCONNECT))
{
session.ResetOnDisconnect = settings.GetBool(SessionSettings.RESET_ON_DISCONNECT);
}
if (settings.Has(SessionSettings.REFRESH_ON_LOGON))
{
session.RefreshOnLogon = settings.GetBool(SessionSettings.REFRESH_ON_LOGON);
}
if (settings.Has(SessionSettings.PERSIST_MESSAGES))
{
session.PersistMessages = settings.GetBool(SessionSettings.PERSIST_MESSAGES);
}
if (settings.Has(SessionSettings.MILLISECONDS_IN_TIMESTAMP))
{
session.MillisecondsInTimeStamp = settings.GetBool(SessionSettings.MILLISECONDS_IN_TIMESTAMP);
}
if (settings.Has(SessionSettings.ENABLE_LAST_MSG_SEQ_NUM_PROCESSED))
{
session.EnableLastMsgSeqNumProcessed = settings.GetBool(SessionSettings.ENABLE_LAST_MSG_SEQ_NUM_PROCESSED);
}
if (settings.Has(SessionSettings.MAX_MESSAGES_IN_RESEND_REQUEST))
{
session.MaxMessagesInResendRequest = settings.GetInt(SessionSettings.MAX_MESSAGES_IN_RESEND_REQUEST);
}
if (settings.Has(SessionSettings.SEND_LOGOUT_BEFORE_TIMEOUT_DISCONNECT))
{
session.SendLogoutBeforeTimeoutDisconnect = settings.GetBool(SessionSettings.SEND_LOGOUT_BEFORE_TIMEOUT_DISCONNECT);
}
if (settings.Has(SessionSettings.IGNORE_POSSDUP_RESEND_REQUESTS))
{
session.IgnorePossDupResendRequests = settings.GetBool(SessionSettings.IGNORE_POSSDUP_RESEND_REQUESTS);
}
/** FIXME - implement optional settings
* if (settings.Has(SessionSettings.VALIDATE_LENGTH_AND_CHECKSUM))
* session.SetValidateLengthAndChecksum(settings.GetBool(SessionSettings.VALIDATE_LENGTH_AND_CHECKSUM));
*/
if (settings.Has(SessionSettings.RESETSEQUENCE_MESSAGE_REQUIRES_ORIGSENDINGTIME))
{
session.RequiresOrigSendingTime = settings.GetBool(SessionSettings.RESETSEQUENCE_MESSAGE_REQUIRES_ORIGSENDINGTIME);
}
return(session);
}
public bool Has(SessionID sessionID)
{
return(settings_.ContainsKey(sessionID));
}
public FixServerAcceptor(
TCPReplayConfig tcpReplayConfig,
Dictionary <string, SessionID> dctSessionsFixClients,
Dictionary <string, SessionID> dctSessionsFixChannels)
{
_tcpReplayConfig = tcpReplayConfig;
_dctSessionsFixClients = dctSessionsFixClients;
_dctSessionsFixChannels = dctSessionsFixChannels;
logger = LogManager.GetLogger("FixServerAcceptor");
MDSUtils.AddAppender("FixServerAcceptor", logger.Logger);
XMLMessageTemplateLoader loader = new XMLMessageTemplateLoader();
registry = UmdfUtils.loadTemplates(tcpReplayConfig.TemplateFile);
context = new Context();
context.TemplateRegistry = registry;
try
{
// Cria dicionario da configuracao
QuickFix.Dictionary mainDic = new QuickFix.Dictionary();
mainDic.SetLong("SocketAcceptPort", tcpReplayConfig.SocketAcceptPort);
mainDic.SetBool("ResetOnLogon", tcpReplayConfig.ResetOnLogon);
mainDic.SetBool("ResetOnDisconnect", tcpReplayConfig.ResetOnDisconnect);
mainDic.SetBool("PersistMessages", tcpReplayConfig.PersistMessages);
mainDic.SetString("ConnectionType", tcpReplayConfig.ConnectionType);
mainDic.SetString("FileStorePath", tcpReplayConfig.FileStorePath);
mainDic.SetString("FileLogPath", tcpReplayConfig.FileLogPath);
mainDic.SetString("StartTime", tcpReplayConfig.StartTime);
mainDic.SetString("EndTime", tcpReplayConfig.EndTime);
QuickFix.Dictionary sessDic = new QuickFix.Dictionary();
sessDic.SetString("BeginString", tcpReplayConfig.BeginString);
sessDic.SetString("SenderCompID", tcpReplayConfig.SenderCompID);
sessDic.SetString("TargetCompID", tcpReplayConfig.TargetCompID);
sessDic.SetString("DataDictionary", tcpReplayConfig.DataDictionary);
sessDic.SetBool("UseDataDictionary", true);
// Configure the session settings
QuickFix.SessionSettings settings = new QuickFix.SessionSettings();
settings.Set(mainDic);
MemoryStoreFactory store = new MemoryStoreFactory();
FileLogFactory log = new FileLogFactory(settings);
IMessageFactory message = new DefaultMessageFactory();
IEnumerable <int> rangeSenderSubID = Enumerable.Range(
tcpReplayConfig.SubIDStartSeq,
tcpReplayConfig.SubIDEndSeq);
foreach (int item in rangeSenderSubID)
{
string subID = tcpReplayConfig.SubIDPrefix + item.ToString("D3");
// Cria sessao FIX
SessionID sessionID = new QuickFix.SessionID(
tcpReplayConfig.BeginString,
tcpReplayConfig.SenderCompID,
subID,
tcpReplayConfig.TargetCompID,
subID);
sessDic.SetString("SenderSubID", subID);
sessDic.SetString("TargetSubID", subID);
settings.Set(sessionID, sessDic);
}
logger.InfoFormat("Start(): iniciando FIX ACCEPTOR na porta {0}...", tcpReplayConfig.SocketAcceptPort);
_acceptor = new ThreadedSocketAcceptor(this, store, settings, log, message);
_acceptor.Start();
}
catch (Exception ex)
{
logger.Error("Start():" + ex.Message, ex);
}
logger.Info("Start(): Sessao FIX iniciada!");
}
public ILog Create(SessionID sessionID)
{
return(new ODBCLog(settings_, sessionID));
}
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();
}
}
public virtual void OnLogout(QuickFix.SessionID session)
{
logger.InfoFormat("OnLogout() sessionID[{0}]", session.ToString());
}
/// <summary>
/// Implement this to provide custom reaction behavior to an ad-hoc session removal.
/// (This is called after the session is removed.)
/// </summary>
/// <param name="sessionID">ID of session that was removed</param>
protected virtual void OnRemove(SessionID sessionID)
{
}
public FixInitiator(MarketIncrementalProcessor mktIncProc, ChannelUMDFConfig channelUmdfConfig, string templateFile, Queue <UdpPacket> qUdpPkt, Object replayLockObject)
{
logger = LogManager.GetLogger("FixInitiator-" + channelUmdfConfig.ChannelID);
MDSUtils.AddAppender("FixInitiator-" + channelUmdfConfig.ChannelID, logger.Logger);
XMLMessageTemplateLoader loader = new XMLMessageTemplateLoader();
registry = UmdfUtils.loadTemplates(templateFile);
context = new Context();
context.TemplateRegistry = registry;
_mktIncProc = mktIncProc;
_channelUmdfConfig = channelUmdfConfig;
if (!listaChannelQueues.ContainsKey(channelUmdfConfig.ChannelID))
{
listaChannelQueues.Add(channelUmdfConfig.ChannelID, new ListChannelQueues(qUdpPkt, replayLockObject));
}
logger.Info("Start(): iniciando sessao FIX...");
try
{
// Cria sessao FIX
_session = new QuickFix.SessionID(
_channelUmdfConfig.TCPConfig.BeginString,
_channelUmdfConfig.TCPReplayConfig.SenderCompID,
_channelUmdfConfig.TCPReplayConfig.SubID,
_channelUmdfConfig.TCPReplayConfig.TargetCompID,
_channelUmdfConfig.TCPReplayConfig.SubID);
// Cria dicionario da configuracao
QuickFix.Dictionary mainDic = new QuickFix.Dictionary();
mainDic.SetLong("SocketConnectPort", _channelUmdfConfig.TCPReplayConfig.SocketConnectPort);
mainDic.SetLong("HeartBtInt", _channelUmdfConfig.TCPConfig.HeartBtInt);
mainDic.SetLong("ReconnectInterval", _channelUmdfConfig.TCPConfig.ReconnectInterval);
mainDic.SetBool("ResetOnLogon", _channelUmdfConfig.TCPConfig.ResetOnLogon);
mainDic.SetBool("ResetOnLogout", _channelUmdfConfig.TCPConfig.ResetOnLogout);
mainDic.SetBool("ResetOnDisconnect", _channelUmdfConfig.TCPConfig.ResetOnDisconnect);
mainDic.SetBool("PersistMessages", _channelUmdfConfig.TCPConfig.PersistMessages);
mainDic.SetString("ConnectionType", _channelUmdfConfig.TCPConfig.ConnectionType);
mainDic.SetString("SocketConnectHost", _channelUmdfConfig.TCPReplayConfig.SocketConnectHost);
mainDic.SetString("FileStorePath", _channelUmdfConfig.TCPConfig.FileStorePath);
mainDic.SetString("FileLogPath", _channelUmdfConfig.TCPConfig.FileLogPath);
mainDic.SetString("StartTime", _channelUmdfConfig.TCPReplayConfig.StartTime);
mainDic.SetString("EndTime", _channelUmdfConfig.TCPReplayConfig.EndTime);
QuickFix.Dictionary sessDic = new QuickFix.Dictionary();
sessDic.SetString("BeginString", _channelUmdfConfig.TCPConfig.BeginString);
sessDic.SetString("SenderCompID", _channelUmdfConfig.TCPReplayConfig.SenderCompID);
sessDic.SetString("SenderSubID", _channelUmdfConfig.TCPReplayConfig.SubID);
sessDic.SetString("TargetCompID", _channelUmdfConfig.TCPReplayConfig.TargetCompID);
sessDic.SetString("TargetSubID", _channelUmdfConfig.TCPReplayConfig.SubID);
sessDic.SetString("DataDictionary", _channelUmdfConfig.TCPConfig.DataDictionary);
sessDic.SetBool("UseDataDictionary", true);
// Configure the session settings
QuickFix.SessionSettings settings = new QuickFix.SessionSettings();
settings.Set(mainDic);
settings.Set(_session, sessDic);
MemoryStoreFactory store = new MemoryStoreFactory();
FileLogFactory log = new FileLogFactory(settings);
IMessageFactory message = new DefaultMessageFactory();
// Cria o socket
_initiator = new QuickFix.Transport.SocketInitiator(this, store, settings, log, message);
_initiator.Start();
}
catch (Exception ex)
{
logger.Error("Start():" + ex.Message, ex);
}
logger.Info("Start(): Sessao FIX iniciado!");
}
public ChannelTcpConflated(TCPConflatedConfig conflatedConfig)
{
logger = LogManager.GetLogger("ChannelTcpConflated-" + conflatedConfig.ChannelID);
MDSUtils.AddAppender("ChannelTcpConflated-" + conflatedConfig.ChannelID, logger.Logger);
_bKeepRunning = true;
machineGun = new MachineGunFixSplitter();
machineGun.UnderFIXMessageFire += new FIXMachineGunEventHandler(machineGun_UnderFIXMessageFire);
machineGun.Start();
thQueueProc = new Thread(new ThreadStart(queueProc));
thQueueProc.Start();
thSplitProc = new Thread(new ThreadStart(splitterThreadWork));
thSplitProc.Start();
_channelUmdfConfig = conflatedConfig;
//if (!listaChannelQueues.ContainsKey(conflatedConfig.ChannelID))
// listaChannelQueues.Add(conflatedConfig.ChannelID, new ListChannelQueues(qUdpPkt, replayLockObject));
logger.Info("Start(): iniciando sessao FIX...");
try
{
// Cria sessao FIX
_session = new QuickFix.SessionID(
conflatedConfig.BeginString,
conflatedConfig.SenderCompID,
conflatedConfig.TargetCompID);
// Cria dicionario da configuracao
QuickFix.Dictionary mainDic = new QuickFix.Dictionary();
mainDic.SetLong("SocketConnectPort", conflatedConfig.ProxyPort);
mainDic.SetLong("HeartBtInt", conflatedConfig.HeartBtInt);
mainDic.SetLong("ReconnectInterval", conflatedConfig.ReconnectInterval);
mainDic.SetBool("ResetOnLogon", conflatedConfig.ResetOnLogon);
mainDic.SetBool("ResetOnLogout", conflatedConfig.ResetOnLogout);
mainDic.SetBool("ResetOnDisconnect", conflatedConfig.ResetOnDisconnect);
mainDic.SetBool("PersistMessages", conflatedConfig.PersistMessages);
mainDic.SetString("ConnectionType", conflatedConfig.ConnectionType);
mainDic.SetString("SocketConnectHost", conflatedConfig.ProxyHost);
mainDic.SetString("FileStorePath", conflatedConfig.FileStorePath);
mainDic.SetString("FileLogPath", conflatedConfig.FileLogPath);
mainDic.SetString("StartTime", conflatedConfig.StartTime);
mainDic.SetString("EndTime", conflatedConfig.EndTime);
QuickFix.Dictionary sessDic = new QuickFix.Dictionary();
sessDic.SetString("BeginString", conflatedConfig.BeginString);
sessDic.SetString("SenderCompID", conflatedConfig.SenderCompID);
sessDic.SetString("TargetCompID", conflatedConfig.TargetCompID);
sessDic.SetString("DataDictionary", conflatedConfig.DataDictionary);
sessDic.SetBool("CheckLatency", false);
sessDic.SetBool("UseDataDictionary", true);
sessDic.SetLong("SocketReceiveBufferSize", conflatedConfig.SocketReceiveBufferSize);
// Configure the session settings
QuickFix.SessionSettings settings = new QuickFix.SessionSettings();
settings.Set(mainDic);
settings.Set(_session, sessDic);
MemoryStoreFactory store = new MemoryStoreFactory();
FileLogFactory log = new FileLogFactory(settings);
IMessageFactory message = new DefaultMessageFactory();
// Cria o socket
_initiator = new QuickFix.Transport.SocketInitiator(this, store, settings, this, message);
_initiator.Start();
QuickFix.Session mySession = QuickFix.Session.LookupSession(_session);
QuickFix.Session.LookupSession(_session).ValidateLengthAndChecksum = false;
}
catch (Exception ex)
{
logger.Error("Start():" + ex.Message, ex);
}
logger.Info("Start(): Sessao FIX iniciado!");
}