private void QueryMarketDataRequest()
{
QuickFix.FIX44.MarketDataRequest result = new QuickFix.FIX44.MarketDataRequest();
result.SetField(new MDReqID(DateTime.Now.Millisecond.ToString()));
var noContraBrokersGroup = new QuickFix.FIX44.ExecutionReport.NoContraBrokersGroup();
noContraBrokersGroup.Set(QueryPool());
result.AddGroup(noContraBrokersGroup);
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
symGroup.SetField(QuerySymbol());
symGroup.SetField(new MDUpdateType(MDUpdateType.INCREMENTAL_REFRESH));
symGroup.SetField(new MarketDepth(0));
symGroup.SetField(new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES));
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup typesGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
typesGroup.SetField(new MDEntryType(MDEntryType.BID));
result.AddGroup(typesGroup);
typesGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
typesGroup.SetField(new MDEntryType(MDEntryType.OFFER));
result.AddGroup(symGroup);
Console.WriteLine(result);
SendMessage(result, ".MD");
}
private QuickFix.FIX44.NewOrderSingle QueryNewOrderSingle44()
{
QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle();
newOrderSingle.ClOrdID = new ClOrdID(DateTime.Now.Millisecond.ToString());
var noContraBrokersGroup = new QuickFix.FIX44.ExecutionReport.NoContraBrokersGroup();
noContraBrokersGroup.Set(QueryPool());
newOrderSingle.AddGroup(noContraBrokersGroup);
newOrderSingle.Symbol = QuerySymbol();
newOrderSingle.Side = QuerySide();
newOrderSingle.OrdType = new OrdType(OrdType.MARKET);
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(new TimeInForce(TimeInForce.FILL_OR_KILL));
return(newOrderSingle);
}
public void OnMessage(QuickFix.FIX44.ExecutionReport m, SessionID s)
{
var utcNow = DateTime.UtcNow;
var stringBuilder = new StringBuilder("***Execution report***:\r\n");
stringBuilder.Append("================\r\n");
for (int i = 1; i <= m.GetInt(QuickFix.Fields.Tags.NoContraBrokers); i++)
{
var group = new QuickFix.FIX44.ExecutionReport.NoContraBrokersGroup();
m.GetGroup(i, group);
stringBuilder.Append("LP:").Append(group.ContraBroker.getValue()).Append("\r\n");
}
stringBuilder.Append("Price:").Append(m.AvgPx.getValue()).Append("\r\n");
stringBuilder.Append("Side:").Append(m.Side.getValue() == '1'?"Buy" :"Sell").Append("\r\n");
stringBuilder.Append("Quantity:").Append(m.OrderQty.getValue()).Append("\r\n");
var TimeIn = default(DateTime);
var TimeOut = default(DateTime);
var BrokerReceipt = default(DateTime);
var BrokerExec = default(DateTime);
for (int i = 1; i <= m.GetInt(QuickFix.Fields.Tags.NoTrdRegTimestamps); i++)
{
var group = new QuickFix.FIX44.CollateralReport.NoTrdRegTimestampsGroup();
m.GetGroup(i, group);
switch (i)
{
case 1:
TimeIn = group.TrdRegTimestamp.getValue();
break;
case 2:
TimeOut = group.TrdRegTimestamp.getValue();
break;
case 3:
BrokerReceipt = group.TrdRegTimestamp.getValue();
break;
case 4:
BrokerExec = group.TrdRegTimestamp.getValue();
break;
}
}
var clientSentDate = this._orderClientTimestamp[m.ClOrdID.getValue()];
stringBuilder.Append("TimeStamps:\r\n");
stringBuilder.Append("Customer sent:").Append(clientSentDate.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Time in:").Append(TimeIn.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Broker receipt:").Append(BrokerReceipt.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Broker exec:").Append(BrokerExec.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Time out:").Append(TimeOut.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Customer exec:").Append(utcNow.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Customer | IdsRoot | LP\r\n").Append("\r\n");
stringBuilder.Append("Customer sent->| |\r\n").Append("\r\n");
stringBuilder.Append(" |-> Time in |\r\n").Append("\r\n");
stringBuilder.Append(" | |-> Broker Receipt\r\n").Append("\r\n");
stringBuilder.Append(" | |<- Broker exec\r\n").Append("\r\n");
stringBuilder.Append(" |<- Time out |\r\n").Append("\r\n");
stringBuilder.Append("Customer exec<-| |\r\n").Append("\r\n");
Console.WriteLine(stringBuilder.ToString());
}
