/// <summary>
/// Request security definiton to capture the exchange point value for the contract.
/// </summary>
/// <param name="SecEx">Exchange</param>
/// <param name="symbol">Exchange symbol for contract</param>
/// <param name="secID">unique identifier supplied by the exchnage for this contract
/// For eurex this is the ticker and expiration</param>
public void ttSecurityDefinitionRequest(string SecEx, string symbol, string securityType, string securityID)
{
//It is recommended to include either a securityType or securityID; otherwise a very large list of
//contracts will be retruned.
try
{
QuickFix42.SecurityDefinitionRequest sdr = new QuickFix42.SecurityDefinitionRequest();
sdr.set(new QuickFix.SecurityReqID(uniqueID()));
sdr.setField(new TT.RequestTickTable("Y"));
sdr.set(new QuickFix.SecurityExchange(SecEx));
sdr.set(new QuickFix.Symbol(symbol));
if (securityType != null)
{
sdr.set(new QuickFix.SecurityType(securityType));
}
if (securityID != null)
{
sdr.set(new QuickFix.SecurityID(securityID));
}
QuickFix.Session.sendToTarget(sdr, priceSessionID);
}
catch (Exception ex)
{ Console.WriteLine(ex.ToString()); }
}
public SpreadMatrixData RequestSymbols(String exchange, String symbol)
{
QuickFix42.SecurityDefinitionRequest message = new QuickFix42.SecurityDefinitionRequest(new SecurityReqID(DateTime.Now.ToString()), new SecurityRequestType(SecurityRequestType.REQUEST_LIST_SECURITIES));
message.setField(new Symbol(symbol));
message.setField(new SecurityExchange(exchange));
message.setField(new BooleanField(17000, true));
try
{
if (Session.sendToTarget(message, GetPriceSession()))
{
SpreadMatrixCollection.Add(exchange, symbol);
return SpreadMatrixCollection.Get(exchange, symbol);
}
else
return null;
}
catch (SessionNotFound exception)
{
AddText(exception.Message + Environment.NewLine);
throw;
}
}
public void RequestSymbols(SpreadMatrixData spreadMatrixData)
{
QuickFix42.SecurityDefinitionRequest message = new QuickFix42.SecurityDefinitionRequest(new SecurityReqID(DateTime.Now.ToString()), new SecurityRequestType(SecurityRequestType.REQUEST_LIST_SECURITIES));
message.setField(new Symbol(spreadMatrixData.Symbol));
message.setField(new SecurityExchange(spreadMatrixData.Exchange));
try
{
Session.sendToTarget(message, GetPriceSession());
}
catch (SessionNotFound exception)
{
AddText(exception.Message + Environment.NewLine);
throw;
}
}
public sealed override void onMessage(QuickFix42.SecurityDefinitionRequest message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
