private void trataMensagemFIX(MarketDataSnapshotFullRefresh mensagem)
{
listaInstrumentosFIX = new SortedDictionary <string, MarketDataSnapshotFullRefresh.NoMDEntries>();
try
{
int ocorrencias =
mensagem.getInt(NoMDEntries.FIELD);
// Apenas trata a mensagem FIX se houver ocorrências no NoMDEntries
if (ocorrencias > 0)
{
uint ocorrencia;
for (ocorrencia = 1;
ocorrencia <= ocorrencias; ocorrencia++)
{
MarketDataSnapshotFullRefresh.NoMDEntries grupo = new MarketDataSnapshotFullRefresh.NoMDEntries();
mensagem.getGroup(ocorrencia, grupo);
// Mensagens de Negocio são enviados depois de todas as outras mensagens
if (grupo.getChar(MDEntryType.FIELD) == MDEntryType.TRADE)
{
if (!listaInstrumentosFIX.ContainsKey(
grupo.getString(6032)))
{
listaInstrumentosFIX.Add(grupo.getString(6032), grupo);
}
}
enviaInstantaneo(
mensagem.getHeader().getInt(MsgSeqNum.FIELD),
ocorrencia,
mensagem,
grupo);
}
if (listaInstrumentosFIX.Count > 0)
{
IEnumerator <KeyValuePair <string, MarketDataSnapshotFullRefresh.NoMDEntries> >
itens = listaInstrumentosFIX.GetEnumerator();
while (itens.MoveNext())
{
KeyValuePair <string, MarketDataSnapshotFullRefresh.NoMDEntries>
item = itens.Current;
enviaInstantaneo(
Convert.ToInt32(item.Key),
ocorrencia++,
mensagem,
item.Value);
}
}
}
else
{
logger.Debug("SNAPSHOT - sem elementos");
}
}
catch (FieldNotFound e)
{
logger.Error("Campo nao encontrado na mensagem: " + e.Message);
}
}
public virtual void Send(FIXMarketDataSnapshot Snapshot)
{
MarketDataSnapshotFullRefresh snapshotFullRefresh = new MarketDataSnapshotFullRefresh(new Symbol(Snapshot.Symbol));
if (Snapshot.ContainsField(262))
snapshotFullRefresh.set(new MDReqID(Snapshot.MDReqID));
if (Snapshot.ContainsField(65))
snapshotFullRefresh.set(new SymbolSfx(Snapshot.SymbolSfx));
if (Snapshot.ContainsField(48))
snapshotFullRefresh.set(new SecurityID(Snapshot.SecurityID));
if (Snapshot.ContainsField(22))
snapshotFullRefresh.set(new IDSource(Snapshot.SecurityIDSource));
if (Snapshot.ContainsField(167))
snapshotFullRefresh.set(new QuickFix.SecurityType(Snapshot.SecurityType));
if (Snapshot.ContainsField(200))
snapshotFullRefresh.set(new MaturityMonthYear(Snapshot.MaturityMonthYear));
if (Snapshot.ContainsField(202))
snapshotFullRefresh.set(new StrikePrice(Snapshot.StrikePrice));
if (Snapshot.ContainsField(206))
snapshotFullRefresh.set(new OptAttribute(Snapshot.OptAttribute));
if (Snapshot.ContainsField(231))
snapshotFullRefresh.set(new ContractMultiplier(Snapshot.ContractMultiplier));
if (Snapshot.ContainsField(223))
snapshotFullRefresh.set(new CouponRate(Snapshot.CouponRate));
if (Snapshot.ContainsField(207))
snapshotFullRefresh.set(new SecurityExchange(Snapshot.SecurityExchange));
if (Snapshot.ContainsField(106))
snapshotFullRefresh.set(new Issuer(Snapshot.Issuer));
if (Snapshot.ContainsField(348))
snapshotFullRefresh.set(new EncodedIssuerLen(Snapshot.EncodedIssuerLen));
if (Snapshot.ContainsField(349))
snapshotFullRefresh.set(new EncodedIssuer(Snapshot.EncodedIssuer));
if (Snapshot.ContainsField(107))
snapshotFullRefresh.set(new SecurityDesc(Snapshot.SecurityDesc));
if (Snapshot.ContainsField(350))
snapshotFullRefresh.set(new EncodedSecurityDescLen(Snapshot.EncodedSecurityDescLen));
if (Snapshot.ContainsField(351))
snapshotFullRefresh.set(new EncodedSecurityDesc(Snapshot.EncodedSecurityDesc));
if (Snapshot.ContainsField(291))
snapshotFullRefresh.set(new FinancialStatus(((object)Snapshot.FinancialStatus).ToString()));
if (Snapshot.ContainsField(292))
snapshotFullRefresh.set(new CorporateAction(((object)Snapshot.CorporateAction).ToString()));
for (int i = 0; i < Snapshot.NoMDEntries; ++i)
{
MarketDataSnapshotFullRefresh.NoMDEntries noMdEntries = new MarketDataSnapshotFullRefresh.NoMDEntries();
FIXMDEntriesGroup mdEntriesGroup = Snapshot.GetMDEntriesGroup(i);
noMdEntries.set(new MDEntryType(mdEntriesGroup.MDEntryType));
noMdEntries.set(new MDEntryPx(mdEntriesGroup.MDEntryPx));
if (mdEntriesGroup.ContainsField(271))
noMdEntries.set(new MDEntrySize(mdEntriesGroup.MDEntrySize));
if (mdEntriesGroup.ContainsField(272))
noMdEntries.set(new MDEntryDate(mdEntriesGroup.MDEntryDate));
if (mdEntriesGroup.ContainsField(273))
noMdEntries.set(new MDEntryTime(mdEntriesGroup.MDEntryTime));
if (mdEntriesGroup.ContainsField(274))
noMdEntries.set(new TickDirection(mdEntriesGroup.TickDirection));
if (mdEntriesGroup.ContainsField(275))
noMdEntries.set(new MDMkt(mdEntriesGroup.MDMkt));
if (mdEntriesGroup.ContainsField(336))
noMdEntries.set(new TradingSessionID(mdEntriesGroup.TradingSessionID));
if (mdEntriesGroup.ContainsField(276))
noMdEntries.set(new QuoteCondition(mdEntriesGroup.QuoteCondition));
if (mdEntriesGroup.ContainsField(277))
noMdEntries.set(new TradeCondition(mdEntriesGroup.TradeCondition));
if (mdEntriesGroup.ContainsField(282))
noMdEntries.set(new MDEntryOriginator(mdEntriesGroup.MDEntryOriginator));
if (mdEntriesGroup.ContainsField(283))
noMdEntries.set(new LocationID(mdEntriesGroup.LocationID));
if (mdEntriesGroup.ContainsField(284))
noMdEntries.set(new DeskID(mdEntriesGroup.DeskID));
if (mdEntriesGroup.ContainsField(59))
noMdEntries.set(new QuickFix.TimeInForce(mdEntriesGroup.TimeInForce));
if (mdEntriesGroup.ContainsField(126))
noMdEntries.set(new ExpireTime(mdEntriesGroup.ExpireTime));
if (mdEntriesGroup.ContainsField(110))
noMdEntries.set(new MinQty(mdEntriesGroup.MinQty));
if (mdEntriesGroup.ContainsField(18))
noMdEntries.set(new ExecInst(mdEntriesGroup.ExecInst));
if (mdEntriesGroup.ContainsField(287))
noMdEntries.set(new SellerDays(mdEntriesGroup.SellerDays));
if (mdEntriesGroup.ContainsField(37))
noMdEntries.set(new OrderID(mdEntriesGroup.OrderID));
if (mdEntriesGroup.ContainsField(299))
noMdEntries.set(new QuoteEntryID(mdEntriesGroup.QuoteEntryID));
if (mdEntriesGroup.ContainsField(288))
noMdEntries.set(new MDEntryBuyer(mdEntriesGroup.MDEntryBuyer));
if (mdEntriesGroup.ContainsField(289))
noMdEntries.set(new MDEntrySeller(mdEntriesGroup.MDEntrySeller));
if (mdEntriesGroup.ContainsField(346))
noMdEntries.set(new NumberOfOrders(mdEntriesGroup.NumberOfOrders));
if (mdEntriesGroup.ContainsField(290))
noMdEntries.set(new MDEntryPositionNo(mdEntriesGroup.MDEntryPositionNo));
if (mdEntriesGroup.ContainsField(58))
noMdEntries.set(new Text(mdEntriesGroup.Text));
if (mdEntriesGroup.ContainsField(354))
noMdEntries.set(new EncodedTextLen(mdEntriesGroup.EncodedTextLen));
if (mdEntriesGroup.ContainsField(355))
noMdEntries.set(new EncodedText(mdEntriesGroup.EncodedText));
snapshotFullRefresh.addGroup((Group)noMdEntries);
noMdEntries.Dispose();
}
try
{
Session.sendToTarget((QuickFix.Message)snapshotFullRefresh, this.fSessionID);
}
catch (Exception ex)
{
Console.WriteLine(BeAEwTZGlZaeOmY5cm.J00weU3cM6(1148) + ex.Message);
}
}
/**
* Monta e envia mensagem Market Data de Snapshot (instantaneo) para o ESPER.
* Layout da mensagem:
* SeqNum 9(15)
* type X(1)
* symbol X(20)
* securityID X(20)
* body:
* MDUpdateAction (279) X(1)
* MDEntryID (278) X(10)
* MDEntryDate (272) X(8)
* MDEntryTime (273) X(8)
*
* MDEntryPositionNo (290) X(6)
* MDEntryPx (270) X(15)
* MDEntrySize (271) X(15)
* NumberOfOrders (346) X(15)
* OrderID (37) X(50)
* MDEntryBuyer (288) X(10)
* MDEntrySeller (289) X(10)
* TickDirection (274) X(1)
* NetChgPrevDay (451) X(11)
* UniqueTradeID (6032) X(20)
* OpenCloseSettlFlag (286) 9(1)
* TradingSessionSubID (625) X(2)
* SecurityTradingStatus (326) 9(3)
* NoReferentialPrices (6932) 9(3)
* ReferentialPriceType (6934) 9(1)
* ReferentialPx (6933) X(15)
* TransactTime (60) X(20)
*/
private void enviaInstantaneo(
int seqNum,
uint ocorrencia,
MarketDataSnapshotFullRefresh mensagem,
MarketDataSnapshotFullRefresh.NoMDEntries grupo)
{
String mensagemMDS;
String instrumento = null;
try
{
// SeqNum - 9(15)
mensagemMDS = seqNum.ToString("D10");
mensagemMDS = mensagemMDS + ocorrencia.ToString("D5");
// type - X(1)
mensagemMDS = mensagemMDS + grupo.getChar(MDEntryType.FIELD);
// symbol - X(20)
instrumento = mensagem.getString(Symbol.FIELD);
mensagemMDS = mensagemMDS + instrumento.PadLeft(20);
// securityID - X(20)
mensagemMDS = mensagemMDS + mensagem.getString(SecurityID.FIELD).PadLeft(20);
// body
// Se OFERTA_COMPRA ou OFERTA_VENDA, envia NEW em MDUpdateAction
if (grupo.getChar(MDEntryType.FIELD) == MDEntryType.BID ||
grupo.getChar(MDEntryType.FIELD) == MDEntryType.OFFER)
{
mensagemMDS = mensagemMDS + MDUpdateAction.NEW;
}
else
{
mensagemMDS = mensagemMDS + " ";
}
mensagemMDS = mensagemMDS + " ".PadLeft(10);
mensagemMDS = mensagemMDS + (grupo.isSet(new MDEntryDate()) ? grupo.getString(MDEntryDate.FIELD) : "").PadLeft(8);
mensagemMDS = mensagemMDS + (grupo.isSet(new MDEntryTime()) ? grupo.getString(MDEntryTime.FIELD) : "").PadLeft(8).Trim();
mensagemMDS = mensagemMDS + (grupo.isSet(new MDEntryPositionNo()) ? grupo.getString(MDEntryPositionNo.FIELD) : " ").PadLeft(6);
mensagemMDS = mensagemMDS + (grupo.isSet(new MDEntryPx()) ? grupo.getString(MDEntryPx.FIELD) : " ").PadLeft(15);
mensagemMDS = mensagemMDS + (grupo.isSet(new MDEntrySize()) ? grupo.getString(MDEntrySize.FIELD) : " ").PadLeft(15);
mensagemMDS = mensagemMDS + (grupo.isSet(new NumberOfOrders()) ? grupo.getString(NumberOfOrders.FIELD) : " ").PadLeft(15);
mensagemMDS = mensagemMDS + (grupo.isSet(new OrderID()) ? grupo.getString(OrderID.FIELD) : " ").PadLeft(50);
mensagemMDS = mensagemMDS + (grupo.isSet(new MDEntryBuyer()) ? grupo.getString(MDEntryBuyer.FIELD) : " ").PadLeft(10);
mensagemMDS = mensagemMDS + (grupo.isSet(new MDEntrySeller()) ? grupo.getString(MDEntrySeller.FIELD) : " ").PadLeft(10);
mensagemMDS = mensagemMDS + (grupo.isSet(new TickDirection()) ? grupo.getString(TickDirection.FIELD) : " ").PadLeft(1);
mensagemMDS = mensagemMDS + (mensagem.isSetField(NetChgPrevDay.FIELD) ? mensagem.getString(NetChgPrevDay.FIELD) : " ").PadLeft(11);
mensagemMDS = mensagemMDS + (grupo.isSetField(6032) ? grupo.getString(6032) : " ").PadLeft(20);
mensagemMDS = mensagemMDS + (grupo.isSet(new OpenCloseSettlFlag()) ? grupo.getInt(OpenCloseSettlFlag.FIELD) : 0).ToString("D1");
mensagemMDS = mensagemMDS + (grupo.isSet(new TradingSessionSubID()) ? grupo.getString(TradingSessionSubID.FIELD) : " ").PadLeft(2);
mensagemMDS = mensagemMDS + (grupo.isSetField(326) ? grupo.getInt(326) : 0).ToString("D3");
if (grupo.isSetField(6932))
{
int ocorrencias = grupo.getInt(6932);
mensagemMDS = mensagemMDS + ocorrencias.ToString("D3");
for (uint ocorrenciaPrecos = 1;
ocorrenciaPrecos <= ocorrencias; ocorrenciaPrecos++)
{
//ATP: Sinistraço!!!!
Group grupoPrecos = new Group(6932, 6934, new int[] { 6934, 6933, 60, 0 });
grupo.getGroup(ocorrenciaPrecos, grupoPrecos);
mensagemMDS = mensagemMDS + (grupoPrecos.isSetField(6934) ? grupoPrecos.getInt(6934).ToString("D1") : "0");
mensagemMDS = mensagemMDS + (grupoPrecos.isSetField(6933) ? grupoPrecos.getString(6933) : " ").PadLeft(15);
mensagemMDS = mensagemMDS + (grupoPrecos.isSetField(TransactTime.FIELD) ? grupoPrecos.getString(TransactTime.FIELD) : "").PadLeft(20);
}
}
else
{
mensagemMDS = mensagemMDS + "000";
}
try
{
filaMensagensRetransmissorBMF.Push(mensagemMDS);
}
catch (Exception e)
{
logger.Error("Falha na leitura da fila filaMensagensRetransmissorBMF: " +
e.Message, e);
}
logger.Debug("SNAPHOT - Instrumento[" +
mensagem.getString(Symbol.FIELD) + "] tipo[" +
grupo.getChar(MDEntryType.FIELD) + "] Mensagem[" +
mensagemMDS + "]");
}
catch (FieldNotFound e)
{
logger.Error("Instrumento[" + instrumento +
"]: Campo nao encontrado na mensagem: " + e.Message);
return;
}
catch (Exception e)
{
logger.Error("enviaInstantaneo: " + e.Message, e);
}
}
public void onMessage(QuickFix.FIX42.MarketDataSnapshotFullRefresh snapshot, SessionID sessionID)
{
FIXMarketDataSnapshot MarketDataSnapshotFullRefresh = new FIXMarketDataSnapshot();
if (snapshot.isSetContractMultiplier())
MarketDataSnapshotFullRefresh.ContractMultiplier = snapshot.getContractMultiplier().getValue();
if (snapshot.isSetCorporateAction())
MarketDataSnapshotFullRefresh.CorporateAction = snapshot.getCorporateAction().getValue();
if (snapshot.isSetCouponRate())
MarketDataSnapshotFullRefresh.CouponRate = snapshot.getCouponRate().getValue();
if (snapshot.isSetEncodedIssuer())
MarketDataSnapshotFullRefresh.EncodedIssuer = snapshot.getEncodedIssuer().getValue();
if (snapshot.isSetEncodedIssuerLen())
MarketDataSnapshotFullRefresh.EncodedIssuerLen = snapshot.getEncodedIssuerLen().getValue();
if (snapshot.isSetEncodedSecurityDesc())
MarketDataSnapshotFullRefresh.EncodedSecurityDesc = snapshot.getEncodedSecurityDesc().getValue();
if (snapshot.isSetEncodedSecurityDescLen())
MarketDataSnapshotFullRefresh.EncodedSecurityDescLen = snapshot.getEncodedSecurityDescLen().getValue();
if (snapshot.isSetFinancialStatus())
MarketDataSnapshotFullRefresh.FinancialStatus = snapshot.getFinancialStatus().getValue();
if (snapshot.isSetIssuer())
MarketDataSnapshotFullRefresh.Issuer = snapshot.getIssuer().getValue();
if (snapshot.isSetMaturityMonthYear())
MarketDataSnapshotFullRefresh.MaturityMonthYear = snapshot.getMaturityMonthYear().getValue();
if (snapshot.isSetMDReqID())
MarketDataSnapshotFullRefresh.MDReqID = snapshot.getMDReqID().getValue();
if (snapshot.isSetOptAttribute())
MarketDataSnapshotFullRefresh.OptAttribute = snapshot.getOptAttribute().getValue();
if (snapshot.isSetSecurityDesc())
MarketDataSnapshotFullRefresh.SecurityDesc = snapshot.getSecurityDesc().getValue();
if (snapshot.isSetSecurityExchange())
MarketDataSnapshotFullRefresh.SecurityExchange = snapshot.getSecurityExchange().getValue();
if (snapshot.isSetSecurityID())
MarketDataSnapshotFullRefresh.SecurityID = snapshot.getSecurityID().getValue();
if (snapshot.isSetSecurityType())
MarketDataSnapshotFullRefresh.SecurityType = snapshot.getSecurityType().getValue();
if (snapshot.isSetStrikePrice())
MarketDataSnapshotFullRefresh.StrikePrice = snapshot.getStrikePrice().getValue();
if (snapshot.isSetSymbol())
MarketDataSnapshotFullRefresh.Symbol = snapshot.getSymbol().getValue();
if (snapshot.isSetSymbolSfx())
MarketDataSnapshotFullRefresh.SymbolSfx = snapshot.getSymbolSfx().getValue();
MarketDataSnapshotFullRefresh.NoMDEntries noMdEntries = new MarketDataSnapshotFullRefresh.NoMDEntries();
for (uint num = 1U; (long)num <= (long)snapshot.getNoMDEntries().getValue(); ++num)
{
snapshot.getGroup(num, (Group)noMdEntries);
FIXMDEntriesGroup group = new FIXMDEntriesGroup(noMdEntries.get(new MDEntryType()).getValue());
if (noMdEntries.isSetMDEntryDate())
group.MDEntryDate = noMdEntries.getMDEntryDate().getValue();
if (noMdEntries.isSetMDEntryTime())
group.MDEntryTime = noMdEntries.getMDEntryTime().getValue();
if (noMdEntries.isSetMDEntryPx())
group.MDEntryPx = noMdEntries.getMDEntryPx().getValue();
if (noMdEntries.isSetMDEntrySize())
group.MDEntrySize = noMdEntries.getMDEntrySize().getValue();
if (noMdEntries.isSetMDEntryBuyer())
group.MDEntryBuyer = noMdEntries.getMDEntryBuyer().getValue();
if (noMdEntries.isSetMDEntrySeller())
group.MDEntrySeller = noMdEntries.getMDEntrySeller().getValue();
MarketDataSnapshotFullRefresh.AddGroup(group);
}
noMdEntries.Dispose();
if (this.DHHvj9eQf == null)
return;
this.DHHvj9eQf((object)this, new FIXMarketDataSnapshotEventArgs(MarketDataSnapshotFullRefresh));
}
