/**
* Envia a mensagem FIX de SecurityListRequest, solicitando a lista de
* todos os instrumentos do sinal de difusão BM&F.
*
*/
private void solicitaListaInstrumentos()
{
SecurityListRequest mensagemFIX = new SecurityListRequest();
mensagemFIX.setField(
new SecurityReqID(sessao.getSenderCompID()));
mensagemFIX.setField(
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES));
mensagemFIX.setField(
new SecurityListRequestType(SecurityListRequestType.ALL_SECURITIES));
mensagemFIX.getHeader().setField(
new SenderCompID(sessao.getSenderCompID()));
mensagemFIX.getHeader().setField(
new TargetCompID(sessao.getTargetCompID()));
try
{
logger.Info("Requisita lista de todos os instrumentos");
Session.sendToTarget(mensagemFIX, sessao);
}
catch (SessionNotFound e)
{
logger.Error("Sessao invalida: " + e.Message);
}
}
public void onLogon(SessionID sessionID)
{
if (onSessionLogon != null)
{
onSessionLogon(sessionID);
}
if (FixMessage.FixVersion == FixVersion.Fix44 && needUserRequestMessage)
{
// послать UserRequest
var userName = SessionSettingsParser.Instance.GetSessionParam(
sessionID.getTargetCompID(), sessionID.getSenderCompID(), "Username", "");
var password = SessionSettingsParser.Instance.GetSessionParam(
sessionID.getTargetCompID(), sessionID.getSenderCompID(), "Password", "");
QuickFix44.UserRequest msg;
try
{
msg = new QuickFix44.UserRequest(new UserRequestID("1"), new UserRequestType(1),
new Username(userName));
msg.setField(new SendingTime(DateTime.Now.ToUniversalTime(), FixMessageMaker.Instance.ShowMillisecond)); // !! появляется дважды
msg.setField(new Password(password));
msg.getHeader().setField(new SenderCompID(sessionID.getSenderCompID()));
msg.getHeader().setField(new TargetCompID(sessionID.getTargetCompID()));
}
catch (Exception ex)
{
Logger.Error("Ошибка сборки сообщения UserRequest", ex);
throw;
}
SendMessage(msg);
}
}
public void onLogon(SessionID sessionID)
{
_senderCompID = sessionID.getSenderCompID();
_targetCompID = sessionID.getTargetCompID();
_FixSessionStatusChangedDelegate(Beltone.Services.Fix.Entities.FixSessionStatus.Connected);
SystemLogger.WriteOnConsoleAsync(true, "Logged In: session id " + sessionID.ToString(), ConsoleColor.Green, ConsoleColor.Yellow, false);
}
public override void onMessage(QuickFix44.Logon message, SessionID sessionID)
{
Logger.InfoFormat("Logon command (Sender = {0}, Target = {1}, Encrypt = {2}," +
" Password = {3}, Heartbeat int = {4})",
sessionID.getSenderCompID(), sessionID.getTargetCompID(),
message.getEncryptMethod(), message.getPassword(), message.getHeartBtInt());
}
public override void onMessage(QuickFix44.Logout message, SessionID sessionID)
{
Logger.InfoFormat("Logout command (Sender = {0}, Target = {1}, Text = {2}," +
" Encoded text = {3})",
sessionID.getSenderCompID(), sessionID.getTargetCompID(),
message.getText(), message.getEncodedText());
}
public void onCreate(SessionID sessionID)
{
SystemLogger.WriteOnConsoleAsync(true, string.Format("new sessionID: {0} ", sessionID.ToString()), ConsoleColor.Cyan, ConsoleColor.Black, false);
lock (_lockObj)
{
if (!_sessionCode_sessionDetails.ContainsKey(sessionID.ToString()))
{
if (!_targetCompID_SessionCode.ContainsKey(sessionID.getTargetCompID()))
{
SystemLogger.WriteOnConsoleAsync(true, string.Format("not added sessionID: {0} because not found in database", sessionID.ToString()), ConsoleColor.White, ConsoleColor.Red, false);
return;
}
_sessionCode_sessionDetails.Add(_targetCompID_SessionCode[sessionID.getTargetCompID()], new SessionInfo()
{
Session = sessionID, TargetCode = sessionID.getTargetCompID()
});
_sessionID_sessionCode.Add(sessionID.ToString(), _targetCompID_SessionCode[sessionID.getTargetCompID()]);
//SystemLogger.WriteOnConsoleAsync(true, string.Format("new added sessionID: {0} ", sessionID.ToString()), ConsoleColor.Cyan, ConsoleColor.Black, false);
}
}
}
public void onLogon(SessionID sessionID)
{
lock (_lockObj)
{
if (!_targetCompID_SessionCode.ContainsKey(sessionID.getTargetCompID()))
{
SystemLogger.WriteOnConsoleAsync(true, string.Format("kicked sessionID: {0} because not found in database", sessionID.ToString()), ConsoleColor.White, ConsoleColor.Red, false);
Session.lookupSession(sessionID).logout();
return;
}
//sessionID.getSenderCompID();
//FixSessions.Add(sessionID.ToString(), sessionID);
SystemLogger.WriteOnConsoleAsync(true, string.Format("loggedin sessionID: {0} ", sessionID.ToString()), ConsoleColor.DarkMagenta, ConsoleColor.White, false);
}
// test send
//SendFixMessageToAllConnections(new QuickFix44.ExecutionReport(new OrderID("324"),new ExecID("234"), new ExecType(ExecType.FILL), new OrdStatus(OrdStatus.FILLED), new Side(Side.BUY), new LeavesQty(324), new CumQty(123), new AvgPx(12)));
}
public void fromApp(Message message, SessionID sessionID)
{
//SystemLogger.WriteOnConsoleAsync(true, string.Format("fromApp: {0} ", message.ToString()), ConsoleColor.Green, ConsoleColor.Black, false);
//SystemLogger.LogEventAsync(string.Format("fromApp: {0} ", message.ToString()));
//crack(message, sessionID);
// extract clientAllocID
// check max char length
// prefix clientAllocID with "F" stand for "Fix Connection"
// add to current cache
// update db
// send to MCDR
try
{
lock (_lockObj)
{
if (message.isSetField(11))
{
string target = sessionID.getTargetCompID();
if (!_targetCompID_SessionCode.ContainsKey(target))
{
SystemLogger.WriteOnConsoleAsync(true, string.Format("Error recieveing fix msg from Target {0} Not FOund! : ", target), ConsoleColor.White, ConsoleColor.Red, true);
return;
}
string msgKey = message.getField(11);
string sessionCode = _targetCompID_SessionCode[target];
string mapKey = string.Format("{0}{1}{2}{3}", _fixPrefix, sessionCode, _msgSplit, msgKey);
message.removeField(11);
message.setField(11, mapKey);
MarketFixClient.SendDirectFix(message);
}
}
}
catch (Exception ex)
{
SystemLogger.WriteOnConsoleAsync(true, "Error recieveing fix msg from Target : " + ex.ToString(), ConsoleColor.Red, ConsoleColor.Black, true);
}
}
public static Message MakeQuoteRequest(string ticker, SessionID sessionInfo)
{
var senderId = sessionInfo.getSenderCompID();
if (string.IsNullOrEmpty(senderId))
{
Logger.ErrorFormat("MakeMessage: код отправителя для [{0}] не найден", sessionInfo);
return(null);
}
var msg =
FixMessage.FixVersion == FixVersion.Fix42 ?
(Message) new QuickFix42.MarketDataRequest(
new MDReqID(string.Format("{0}-{1:dd-HH-mm}", ticker, DateTime.Now)),
new SubscriptionRequestType((char)1), // subscribe
new MarketDepth(marketDepth))
: FixMessage.FixVersion == FixVersion.Fix43 ?
(Message) new QuickFix43.MarketDataRequest(
new MDReqID(string.Format("{0}-{1:dd-HH-mm}", ticker, DateTime.Now)),
new SubscriptionRequestType((char)1), // subscribe
new MarketDepth(marketDepth))
: new QuickFix44.MarketDataRequest(
new MDReqID(string.Format("{0}-{1:dd-HH-mm}", ticker, DateTime.Now)), // 262=EURAUD-02-17-07
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES), // subscribe
new MarketDepth(marketDepth));
msg.setField(new MDUpdateType(
quoteSubscriptionIncrementalUpdateType
? MDUpdateType.INCREMENTAL_REFRESH
: MDUpdateType.FULL_REFRESH));
if (!AddBidAskQueryClause(msg, ticker))
{
return(null);
}
msg.getHeader().setField(new SenderCompID(senderId));
msg.getHeader().setField(new TargetCompID(sessionInfo.getTargetCompID()));
return(msg);
}
public void RequestMarketData(SessionID sessionId)
{
if (string.IsNullOrEmpty(quoteSessionTargetId))
{
return;
}
var sessionTarget = sessionId.getTargetCompID();
if (sessionTarget != quoteSessionTargetId)
{
Logger.InfoFormat("RequestMarketData skipped (session target is '{0}', target is '{1}')",
sessionTarget, quoteSessionTargetId);
return;
}
if (useTickerCsvDictionary)
{
RequestTickersFromCsvDic(sessionId);
}
else
{
RequestTickersFromTextFile(sessionId);
}
}
public void onCreate(SessionID __p1)
{
debug("session created" + __p1.getSenderCompID() + " " + __p1.getTargetCompID());
}
public override void onMessage(QuickFix44.ExecutionReport message, SessionID sessionID)
{
Logger.InfoFormat("Execution report (Sender = {0}, Target = {1})",
sessionID.getSenderCompID(), sessionID.getTargetCompID());
}
public void toAdmin(Message message, SessionID sessionID)
{
if (message is QuickFix44.Logon && needCredsInLogon)
{
var logonMsg = (QuickFix44.Logon)message;
var userName = SessionSettingsParser.Instance.GetSessionParam(
sessionID.getTargetCompID(), sessionID.getSenderCompID(), "Username", "");
var password = SessionSettingsParser.Instance.GetSessionParam(
sessionID.getTargetCompID(), sessionID.getSenderCompID(), "Password", "");
logonMsg.setField(new Password(password));
logonMsg.setField(new Username(userName));
}
var subId = SessionSettingsParser.Instance.GetSessionParam(
sessionID.getTargetCompID(), sessionID.getSenderCompID(), "SessionQualifier", "FX");
var targetSubID = SessionSettingsParser.Instance.GetSessionParam(
sessionID.getTargetCompID(), sessionID.getSenderCompID(), "TargetSubID", "");
try
{
if (!string.IsNullOrEmpty(subId) && message is QuickFix43.Logon && needSenderSubId)
{
message.getHeader().setField(new SenderSubID(subId));
}
message.getHeader().setField(new SendingTime(DateTime.Now.ToUniversalTime(), FixMessageMaker.Instance.ShowMillisecond));
if (!string.IsNullOrEmpty(targetSubID) && needTargetSubId)
{
message.getHeader().setField(new TargetSubID(targetSubID));
}
}
catch (Exception ex)
{
Logger.ErrorFormat("Ошибка установки данных заголовка админ. сообщения, сессия {0}", sessionID);
Logger.Error("Исключение", ex);
return;
}
#region Fix43
if (message is QuickFix43.Logon)
{
try
{
var logon = (QuickFix43.Logon)message;
logon.setField(new ResetSeqNumFlag(true));
var userName = SessionSettingsParser.Instance.GetSessionParam(
sessionID.getTargetCompID(), sessionID.getSenderCompID(), "Username", "");
var password = SessionSettingsParser.Instance.GetSessionParam(
sessionID.getTargetCompID(), sessionID.getSenderCompID(), "Password", "");
if (string.IsNullOrEmpty(userName) || string.IsNullOrEmpty(password))
{
Logger.ErrorFormat("Не найдены настройки сессии {0}", sessionID);
}
else
{
logon.set(new Username(userName));
logon.set(new Password(password));
}
}
catch (Exception ex)
{
Logger.ErrorFormat("Ошибка установки параметров авторизации, сессия {0}", sessionID);
Logger.Error("Исключение", ex);
}
}
#endregion
#region Fix44
if (message is QuickFix44.Logon)
{// ничего не делаю - пароль и логин указываются отдельно в последующем UserRequest (BE)
}
#endregion
if (!ShouldFilterMessage(message))
{
Logger.Info(string.Format("toAdmin({0}, {1})", message, sessionID));
}
}
public void onLogout(SessionID sessionId)
{
#region Documentation
// notifies you when an FIX session is no longer online. This could happen during a normal logout exchange or
// because of a forced termination or a loss of network connection.
#endregion
_bLoggedOn = false;
string msg = string.Format("OnLogout: Session({0} <-> {1})", sessionId.getSenderCompID(), sessionId.getTargetCompID());
GatLogger.Instance.AddMessage(msg, LogMode.LogAndScreen);
}
public void onLogon(SessionID sessionId)
{
#region Documentation
// notifies you when a valid logon has been established with a counter party. This is called when a connection
// has been established and the FIX logon process has completed with both parties exchanging valid logon
// messages.
#endregion
_bLoggedOn = true;
string msg = string.Format("OnLogon: Session({0} <-> {1})", sessionId.getSenderCompID(), sessionId.getTargetCompID());
GatLogger.Instance.AddMessage(msg, LogMode.LogAndScreen);
}
// APPLICATION INTERFACE FUNCTIONS
#region APPLICATION INTERFACE FUNCTIONS
public void onCreate(SessionID sessionId)
{
#region Documentation
// gets called when quickfix creates a new session. A session comes into and remains in existence for the life
// of the application. Sessions exist whether or not a counter party is connected to it. As soon as a session
// is created, you can begin sending messages to it. If no one is logged on, the messages will be sent at the
// time a connection is established with the counterparty.
#endregion
_bCreated = true;
string msg = string.Format("OnCreate: Session({0} <-> {1})", sessionId.getSenderCompID(), sessionId.getTargetCompID());
GatLogger.Instance.AddMessage(msg, LogMode.LogAndScreen);
}