/// <summary>
/// handle component status events
/// </summary>
/// <param name="FIXMsg"></param>
void UpdateComponentStatus(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
string sModule = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentModule);
int nModule = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentChannel);
string sCategory = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentCategory);
if (sModule != RouterModule && nModule != RouterChannel)
{
SecurityExchange exchange = m_InstrumentManager.GetSecurityExchange(sModule);
if (exchange != null)
{
string strExchangeDesc = exchange.ExchangeDesc;
if ((sCategory == MESSAGEFIX3Lib.FIXComponentCategoryConstants.esFIXComponentCategoryOrders) ||
(sCategory == MESSAGEFIX3Lib.FIXComponentCategoryConstants.esFIXComponentCategoryPricesDepth) ||
(sCategory == MESSAGEFIX3Lib.FIXComponentCategoryConstants.esFIXComponentCategoryPricesBest) ||
(sCategory == MESSAGEFIX3Lib.FIXComponentCategoryConstants.esFIXComponentCategoryStructure))
{
int nTotalActive = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentTotalActive);
int nTotalWaiting = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentTotalActive);
int nTotalInactive = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentTotalWaiting);
int nTotalStale = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESComponentTotalStale);
ComponentStatusArgs args = new ComponentStatusArgs(sCategory,sModule,exchange.ExchangeDesc);
args.SetStatus(nTotalActive, nTotalWaiting, nTotalInactive);
if(RecvExchangeStatusMsgEvent!=null)
{
RecvExchangeStatusMsgEvent(this, args);
}
}
}
}
}
/// <summary>
/// Recieve account and logon message
/// </summary>
/// <param name="FIXMsg"></param>
void m_Router_RecvGeneralMsg(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
EASYROUTERCOMCLIENTLib.FIXMsgConstants type = FIXMsg.MsgType;
switch (type)
{
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgESAccount:
System.Diagnostics.Debug.WriteLine(type.ToString());
break;
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgLogon:
{
Logon logon = new Logon();
if(FIXMsg.HasGroup(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagText))
{
string sMessage = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagText);
string[] split = sMessage.Split('|');
if (split.Length > 0)
logon.Error = split[0];
else
logon.Error = "Logon Error Undefined";
logon.ErrorCode = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESLogonFailureCode);
logon.LoggedOn = false;
}
else
{
System.Diagnostics.Trace.WriteLine(type.ToString());
RequestStructure("0");
logon.LoggedOn = true;
LoadSystemSettings();
}
logon.ConnectionType = (Logon.ConnectionTypes)FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESEasyRouterType);
logon.ConnectionDescription = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESEasyRouterDesc);
if (RecvGeneralMsgEvent != null)
RecvGeneralMsgEvent(this, logon);
break;
}
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgEHControl:
break;
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgESComponentStatus:
UpdateComponentStatus(FIXMsg);
break;
case EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgLogout:
{
Logon logoff = new Logon();
logoff.Error = "Successfully Logged Out";
logoff.LoggedOn = false;
logoff.LoggedOff = true;
if (RecvGeneralMsgEvent != null)
RecvGeneralMsgEvent(this, logoff);
break;
}
default:
System.Diagnostics.Debug.WriteLine(type.ToString());
break;
}
}
/// <summary>
/// Parse msg for instrument data
/// </summary>
/// <param name="FIXMsg"></param>
/// <returns></returns>
public bool ParseFIX(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
try
{
//exchaange
string sExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityExchange);
//Esexchange
string sESExchange = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESExchange);
//type of instrument
string sSecurityType = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityType);
//commodity symbol
string sSymbol = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSymbol);
//easyscreen TE symbol
string sESTickerMnemonic = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESTickerMnemonic);
string sESTickerDesc = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESTickerDesc);
//exchange code
string sTickerSymbol = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESTickerSymbol);
int nESOrderType = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESSupportPriceType);
int nESTimeType = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESSupportTimeType);
bool bESSupportEdit = FIXMsg.get_AsBoolean(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESSupportEdit);
int lESPriceFormatCode = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESPriceFormatCode);
m_sSymbol = sSymbol;
m_sESTickerMnemonic = sESTickerMnemonic;
m_sESTickerDesc = sESTickerDesc;
m_sESTickerSymbol = sTickerSymbol;
m_eOrderType = (OrderType)nESOrderType;
m_eTimeType = (TimeInForce)nESTimeType;
m_bESSupportEdit = bESSupportEdit;
m_lESPriceFormatCode = lESPriceFormatCode;
int nOptionType = 0;
if(FIXMsg.GetNumber(out nOptionType,EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagPutOrCall))
{
//defaults to 1 - call if never here
m_nOptionType = nOptionType;
}
m_sCFICode = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagCFICode);
m_sCurrency = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagCurrency);
m_dUnitTickValue = FIXMsg.get_AsDouble(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnitTickValue);
m_dCompositeDelta = FIXMsg.get_AsDouble(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESCompositeDelta);
m_dESShortOptAdjust = FIXMsg.get_AsDouble(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESShortOptAdjust);
m_nESDecimalPlaces = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESDecimalPlaces);
AdditonalUpdates(FIXMsg);
}
catch(Exception)
{
return false;
}
return true;
}
/// <summary>
/// handle structure update
/// </summary>
/// <param name="FIXMsg"></param>
public void ReceiveStructureUpdate(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
m_bSubscribedAdditionalInfo = true;
int nNumber = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESDecimalPlaces);
int nPrefRiskValue = 0;
if (FIXMsg.GetNumber(out nPrefRiskValue, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESPreferredRiskArrayType))
m_nFIXTagESPreferredRiskArrayType = nPrefRiskValue;
if(nNumber != 0)
m_nESDecimalPlaces = nNumber;
double dPriceMovement = 0.0;
if (FIXMsg.GetDouble(out dPriceMovement, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESPriceMovement ))
m_nFIXTagESPreferredRiskArrayType = nPrefRiskValue;
if (dPriceMovement != 0)
m_dPriceMovement = dPriceMovement;
string sStrategyCode = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESStrategyCode);
if (sStrategyCode != string.Empty)
m_sStrategyCode = sStrategyCode;
string sSecurityID = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityID);
if (sSecurityID != string.Empty)
m_sSecurityID = sSecurityID;
string sIDSource = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagIDSource);
if (sIDSource != string.Empty)
m_sIDSource = sIDSource;
string sCombinedCommodityCode = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESCombinedCommodityCode);
if (sCombinedCommodityCode != string.Empty)
m_sCombinedCommodityCode = sCombinedCommodityCode;
string sClearingHouse = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESClearingHouse);
if (sClearingHouse != string.Empty)
{
m_sClearingHouse = sClearingHouse;
System.Diagnostics.Debug.WriteLine(this.ESTickerMnemonic + " " + m_sClearingHouse);
}
int nOptionType = 0;
if (FIXMsg.GetNumber(out nOptionType, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagPutOrCall))
{
//defaults to 1 - call if never here
m_nOptionType = nOptionType;
}
//RISK ARRAYS
string sRiskArray = string.Empty;
int nRiskArrayType = 0;
if (FIXMsg.HasGroup(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESNoRiskArrays))
{
EASYROUTERCOMCLIENTLib.IFIXGroup defaultGroup = FIXMsg.GetGroupByTag(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESNoRiskArrays, null);
if (defaultGroup != null)
{
int nDefaultCount = defaultGroup.get_NumberOfGroups(null);
for (int j = 0; j < nDefaultCount; j++)
{
EASYROUTERCOMCLIENTLib.IFIXGroup singleDefaultGroup = defaultGroup.GetGroupByIndex(j);
int nValue = singleDefaultGroup.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESRiskArrayType);
if (nValue != nRiskArrayType)
{
CreateRiskArray(nValue, sRiskArray);
nRiskArrayType = nValue;
}
string sValue = singleDefaultGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESRiskArrayValue);
if (sValue != null)
{
sRiskArray = sRiskArray + sValue + "\\";
}
}
}
}
CreateRiskArray(nRiskArrayType, sRiskArray);
}
/// <summary>
/// Get Process Account Details from FIX message
/// </summary>
/// <param name="FIXMsg"></param>
public void ProcessAccount(EASYROUTERCOMCLIENTLib.IFIXMessage FIXMsg)
{
//repeats ESNoSecurityExchanges=2
m_nAccountID = FIXMsg.get_AsNumber(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESAccountID);
m_sAccountName = FIXMsg.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESAccountName);
bool bHasGroup = FIXMsg.HasGroup(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESNoSecurityExchanges);
//note pass null
EASYROUTERCOMCLIENTLib.IFIXGroup group = FIXMsg.GetGroupByTag(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESNoSecurityExchanges, null);
if (group != null)
{
int nCount = group.get_NumberOfGroups(null);
for(int i = 0; i < nCount; i++)
{
EASYROUTERCOMCLIENTLib.IFIXGroup singleGroup = group.GetGroupByIndex(i);
string sExchange = singleGroup.get_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSecurityExchange);
AddTicker(sExchange, singleGroup);
}
}
}