< X > MarketDataIncrementalRefresh

resp_X__MarketDataIncrementalRefresh.cpp

# include "config.h"

# include "Application.h"
# include "quickfix/Session.h"
# include <iostream>

/* X  */
void Application::onMessage(const FIX44::MarketDataIncrementalRefresh& message, const FIX::SessionID& sessionID )
{
  /* INIT */
  std::string id = "0";
  std::string symbol = "";
  unsigned long BidSize = 0;
  double BidPx = 0.0;
  unsigned int BidOrders = 0;
  unsigned long OfferSize = 0;
  double OfferPx = 0.0;
  unsigned int OfferOrders = 0;
  double Spred = 0.0;

  /* メッセージ時刻取得 */
  /* 52   */ FIX::FieldBase respDateTime(FIX::FIELD::SendingTime, "");
             message.getHeader().getFieldIfSet(respDateTime);

  /* グループレコード数取得 */
  /* 268  */ FIX::FieldBase entries(FIX::FIELD::NoMDEntries, "0");
             message.getFieldIfSet(entries);

  /* 全レコードループ */
  for(int i=1; i <= std::stoi(entries.getString()); i++)
  {
    /* レコード情報取得 */
    /* 146  */ FIX44::MarketDataIncrementalRefresh::NoMDEntries e;
               message.getGroup(i, e);

    /* 初回のみ基本情報取得 */
    if(i == 1)
    {
      /* アクションタイプ 0:New  2:Delete */
      /* 279  */ FIX::FieldBase action(FIX::FIELD::MDUpdateAction, "0");
                 e.getFieldIfSet(action);

      /* 通貨ペア */
      /* 55   */ FIX::FieldBase symbol2(FIX::FIELD::Symbol, "NA");
                 e.getFieldIfSet(symbol2);
                 symbol = symbol2.getString();

      /* 基本情報ＤＢ保存 */
      std::ostringstream i1;
      i1 << "insert into T_MARKET_DATA_HIST ( " <<
        " `Symbol`, " <<
        " `MDUpdateAction`, " <<
        " `RespDateTime` " <<
      " ) VALUES ( " <<
        " '" << symbol <<  "', " <<
        " '" << action  << "', " <<
        " '" << respDateTime << "' " <<
        " )";
      FIX::MySQLQuery q1( i1.str() );
      if( m_sql->execute( q1 ) == true )
      {
        FIX::MySQLQuery q2("SELECT last_insert_id()  FROM T_MARKET_DATA_HIST");
        if( m_sql->execute( q2 ) == true )
        {
          id = q2.getValue(0,0);
          LOG_VERBOSE << "INSERT T_MARKET_DATA_HIST id = " << id;
        }
        else
        {
          LOG_WARNING << "SELECT ERROR T_MARKET_DATA_HIST last_insert_id() :" << q2.reason() ;
        }
      }
      else
      {
        LOG_WARNING << "INSERT ERROR T_MARKET_DATA_HIST :" << q1.reason() << std::endl << i1.str();
      }
    }

    /* レコードタイプ取得 */
    /* 269  */ FIX::FieldBase type(FIX::FIELD::MDEntryType, "0");
               e.getFieldIfSet(type);

    /* レート情報取得 */
    /* 270  */ FIX::FieldBase px(FIX::FIELD::MDEntryPx, "0.0");
               e.getFieldIfSet(px);

    /* サイズ情報取得 */
    /* 271  */ FIX::FieldBase size(FIX::FIELD::MDEntrySize, "0");
               e.getFieldIfSet(size);

    /* オーダー数情報取得 */
    /* 346  */ FIX::FieldBase orders(FIX::FIELD::NumberOfOrders, "0");
               e.getFieldIfSet(orders);

    /* 詳細情報ＤＢ保存 */
    std::ostringstream i3;
    i3 << "insert into T_MARKET_DATA_DETAIL ( " <<
      " `histId`, " <<
      " `type`, " <<
      " `px`, " <<
      " `size`, " <<
      " `orders` " <<
    " ) VALUES ( " <<
      " '" << id <<  "', " <<
      " '" << type <<  "', " <<
      " '" << px <<  "', " <<
      " '" << size <<  "', " <<
      " '" << orders <<  "' " <<
      " )";
    FIX::MySQLQuery q3( i3.str() );
    if( m_sql->execute( q3 ) != true )
    {
      LOG_WARNING << "INSERT ERROR T_MARKET_DATA_DETAIL :" << q3.reason() << std::endl << i3.str();
    }
    else
    {
      LOG_VERBOSE << "INSERT T_MARKET_DATA_DETAIL : " << q3.reason() << std::endl << i3.str();
    }

    /* タイプ毎に値を取得調整 */
    switch( *type.getString().c_str() )
    {
      case FIX::MDEntryType_BID:
        /* 既存値より高い方を採用 */
        if( BidPx < std::stod(px.getString() ))
        {
          BidPx = std::stod(px.getString());
          BidSize = std::stoul(size.getString());
          BidOrders = std::stoul(orders.getString());
        }
        break;

      case FIX::MDEntryType_OFFER:
        /* 既存値より安い方を採用 */
        if( OfferPx == 0.0 || OfferPx > std::stod(px.getString() ))
        {
          OfferPx = std::stod(px.getString());
          OfferSize = std::stoul(size.getString());
          OfferOrders = std::stoul(orders.getString());
        }
        break;

      case FIX::MDEntryType_TRADING_SESSION_VWAP_PRICE:
        Spred = std::stod(px.getString());
        break;
    }
  }  /* 全レコードループ */

  /* メモリ上のレート情報を更新 */
  rate[m_symbol[symbol]].Time = respDateTime.getString();
  rate[m_symbol[symbol]].feedStatus = true;
  if( BidPx > 0.0 )
  {
    rate[m_symbol[symbol]].Bid = BidPx;
    rate[m_symbol[symbol]].BidSize = BidSize;
    rate[m_symbol[symbol]].BidOrder = BidOrders;
  }
  if( OfferPx > 0.0 )
  {
    rate[m_symbol[symbol]].Ask = OfferPx;
    rate[m_symbol[symbol]].AskSize = OfferSize;
    rate[m_symbol[symbol]].AskOrder = OfferOrders;
  }
  if( Spred > 0.0 )
  {
    rate[m_symbol[symbol]].Spred = Spred;
  }
  else
  {
    rate[m_symbol[symbol]].Spred = (double)(rate[m_symbol[symbol]].Ask - rate[m_symbol[symbol]].Bid);
  }

  /* ＤＢのレート履歴を更新 */
  std::ostringstream u4;
  u4 <<
    "  `BidOrders`   = " << rate[m_symbol[symbol]].BidOrder <<
    " ,`BidSize`     = " << rate[m_symbol[symbol]].BidSize  <<
    " ,`Bid`         = " << rate[m_symbol[symbol]].Bid      <<
    " ,`Spred`       = " << rate[m_symbol[symbol]].Spred    <<
    " ,`Offer`       = " << rate[m_symbol[symbol]].Ask      <<
    " ,`OfferSize`   = " << rate[m_symbol[symbol]].AskSize  <<
    " ,`OfferOrders` = " << rate[m_symbol[symbol]].AskOrder ;
  std::string sql = "update T_MARKET_DATA_HIST SET "+ u4.str() +" where `id` = "+ id;
  FIX::MySQLQuery q4( sql );
  if( m_sql->execute( q4 ) != true )
  {
    LOG_WARNING << "UPDATE ERROR T_MARKET_DATA_HIST :" << q4.reason() << std::endl << sql;
  }
  else
  {
    LOG_VERBOSE << "UPDATE T_MARKET_DATA_HIST : " << q4.reason() << std::endl << sql;
  }

  /* ＤＢの最新レートを更新 */
  std::string u5 = "update T_MARKET_DATA SET `RespDateTime` = '"+
    respDateTime.getString() +"', "+ u4.str() + " where `Symbol` = '"+ symbol +"'";
  FIX::MySQLQuery q5( u5 );
  if( m_sql->execute( q5 ) != true )
  {
    LOG_WARNING << "UPDATE ERROR T_MARKET_DATA :" << q5.reason() << std::endl << u5;
  }
  else
  {
    LOG_VERBOSE << "UPDATE T_MARKET_DATA : " << q5.reason() << std::endl << u5;
  }

//  std::cout << "<X> MarketDataIncrementalRefresh: " << std::endl << message.toXML() << std::endl;
  LOG_VERBOSE << "<X> MarketDataIncrementalRefresh: " << std::endl << message;
//LOG_VERBOSE << "<X> MarketDataIncrementalRefresh: " << std::endl << message.toXML();
}

操作メニューに「最新レート情報表示」を追加

Application.cpp

・・・
void Application::run()
{
  while ( true )
  {
    try
    {
      std::string action;
      std::cout << "------ " << YmdHMSs("%04d/%02d/%02d %02d:%02d:%02d.%03d" ) << " --------" << std::endl
        << "q) Quit" << std::endl
        << "r) Show rate " << std::endl
        << "Action: ";
      std::cin >> action;
      LOG_DEBUG << "COMMAND: " << action;

      if ( action == "q" )
        break;
      else
      if ( action == "r" )
      {
        for( auto symbol: m_symbol)
        {
          if(rate[symbol.second].feedStatus)
          {
            std::ostringstream s;
            // s << std::fixed;
            s << std::setprecision(8) ;
            s << symbol.first  << "\t"
              << rate[symbol.second].Time   << "  "
              << rate[symbol.second].Symbol << "  "
              << rate[symbol.second].Bid    << " \t"
              << rate[symbol.second].Spred  << " \t"
              << rate[symbol.second].Ask    << "  "
              << std::endl;
            std::cout << s << std::endl;
          }
        }
      }
    }
    catch ( std::exception & e )
    {
      std::cout << "Message Not Sent: " << e.what();
      LOG_WARNING << "Message Not Sent: " << e.what();
    }
  }
}
・・・

マーケット情報のサンプル

■Full Book, Non-Aggregated (未調整なので同じ値(270)が複数ある）
268=11
279=0 269=1 278=123 55=EUR/USD 270=1.3237 271=10000000
279=0 269=1 278=124 55=EUR/USD 270=1.3235 271=4300000
279=0 269=1 278=126 55=EUR/USD 270=1.3234 271=3000000
279=0 269=1 278=125 55=EUR/USD 270=1.3234 271=5000000
279=0 269=1 278=128 55=EUR/USD 270=1.3233 271=1000000
279=0 269=1 278=127 55=EUR/USD 270=1.3233 271=2000000
279=0 269=0 278=121 55=EUR/USD 270=1.3232 271=7000000
279=0 269=0 278=122 55=EUR/USD 270=1.3232 271=6500000
279=0 269=0 278=118 55=EUR/USD 270=1.3231 271=1000000
279=0 269=0 278=119 55=EUR/USD 270=1.3231 271=2000000
279=0 269=0 278=120 55=EUR/USD 270=1.3231 271=3000000
10=225


■Full Book Aggregated （調整されているAggregatedので 270に同じ値はない）
268=9
279=0 269=1 278=13 55=EUR/USD 270=1.32339 271=3000000 346=1
279=0 269=1 278=15 55=EUR/USD 270=1.32334 271=1000000 346=1
279=0 269=1 278=17 55=EUR/USD 270=1.32331 271=3000000 346=1
279=0 269=1 278=19 55=EUR/USD 270=1.32330 271=3000000 346=2
279=0 269=0 278=8  55=EUR/USD 270=1.32323 271=1000000 346=1
279=0 269=0 278=6  55=EUR/USD 270=1.32321 271=7000000 346=1
279=0 269=0 278=4  55=EUR/USD 270=1.32317 271=5000000 346=2
279=0 269=0 278=2  55=EUR/USD 270=1.32313 271=1000000 346=1
279=0 269=0 278=10 55=EUR/USD 270=1.32280 271=1000000 346=1
10=021


■Top of Book EUR/USD　（最新値のみ）
268=2
279=0 269=1 278=2 55=EUR/USD 270=1.3233 271=1000000 346=1
279=0 269=0 278=1 55=EUR/USD 270=1.3231 271=7000000 346=1
10=182

DB内容のサンプル

T_MARKET_DATA

mysql> select *
    ->   from T_MARKET_DATA;
+---------+-----------------------+-----------+---------+---------+-------+---------+-----------+-------------+---------------------+---------------------+------------+
| Symbol  | RespDateTime          | BidOrders | BidSize | Bid     | Spred | Offer   | OfferSize | OfferOrders | Created_at          | Updated_at          | Deleted_at |
+---------+-----------------------+-----------+---------+---------+-------+---------+-----------+-------------+---------------------+---------------------+------------+
| EUR/JPY | 20170424-15:04:50.272 |         1 | 1000000 | 119.451 |   0.7 | 119.458 |   2000000 |           1 | 2017-04-24 23:24:09 | 2017-04-25 00:04:50 | NULL       |
| EUR/USD | 20170424-15:04:50.572 |         1 | 1000000 | 1.08629 |   0.5 | 1.08634 |   1300000 |           1 | 2017-04-24 23:24:09 | 2017-04-25 00:04:50 | NULL       |
| USD/JPY | 20170424-15:04:49.609 |         1 | 2500000 | 109.957 |   0.1 | 109.958 |   2000000 |           1 | 2017-04-24 23:24:09 | 2017-04-25 00:04:49 | NULL       |
+---------+-----------------------+-----------+---------+---------+-------+---------+-----------+-------------+---------------------+---------------------+------------+
3 rows in set (0.01 sec)

３つの通貨ペアについて、最新値が保存されとります

T_MARKET_DATA_DETAIL

mysql> select *
    ->   from T_MARKET_DATA_DETAIL
    ->  limit 6900, 100;
+------+--------+------+---------+---------+--------+---------------------+
| id   | histId | type | px      | size    | orders | Created_at          |
+------+--------+------+---------+---------+--------+---------------------+
| 6901 |   1381 | 0    | 1.08629 | 1000000 |      1 | 2017-04-25 00:04:50 |
| 6902 |   1381 | 1    | 1.08634 | 1000000 |      1 | 2017-04-25 00:04:50 |
| 6903 |   1381 | 7    | 1.08726 |       0 |      0 | 2017-04-25 00:04:50 |
| 6904 |   1381 | 8    | 1.08437 |       0 |      0 | 2017-04-25 00:04:50 |
| 6905 |   1381 | 9    |     0.5 |       0 |      0 | 2017-04-25 00:04:50 |
| 6906 |   1382 | 0    | 119.451 | 1000000 |      1 | 2017-04-25 00:04:50 |
| 6907 |   1382 | 1    | 119.457 | 4500000 |      1 | 2017-04-25 00:04:50 |
| 6908 |   1382 | 7    | 119.778 |       0 |      0 | 2017-04-25 00:04:50 |
| 6909 |   1382 | 8    | 119.347 |       0 |      0 | 2017-04-25 00:04:50 |
| 6910 |   1382 | 9    |     0.6 |       0 |      0 | 2017-04-25 00:04:50 |
| 6911 |   1383 | 0    | 119.451 | 1000000 |      1 | 2017-04-25 00:04:50 |
| 6912 |   1383 | 1    | 119.458 | 2000000 |      1 | 2017-04-25 00:04:50 |
| 6913 |   1383 | 7    | 119.778 |       0 |      0 | 2017-04-25 00:04:50 |
| 6914 |   1383 | 8    | 119.347 |       0 |      0 | 2017-04-25 00:04:50 |
| 6915 |   1383 | 9    |     0.7 |       0 |      0 | 2017-04-25 00:04:50 |
| 6916 |   1384 | 0    | 1.08629 | 1000000 |      1 | 2017-04-25 00:04:50 |
| 6917 |   1384 | 1    | 1.08634 | 1300000 |      1 | 2017-04-25 00:04:50 |
| 6918 |   1384 | 7    | 1.08726 |       0 |      0 | 2017-04-25 00:04:50 |
| 6919 |   1384 | 8    | 1.08437 |       0 |      0 | 2017-04-25 00:04:50 |
| 6920 |   1384 | 9    |     0.5 |       0 |      0 | 2017-04-25 00:04:50 |
+------+--------+------+---------+---------+--------+---------------------+
20 rows in set (0.01 sec)

受信している生データはこんな感じ

T_MARKET_DATA_HIST

mysql> select *
    ->   from T_MARKET_DATA_HIST
    ->  limit 1350,100;
+------+----------------+---------+-----------------------+-----------+---------+---------+-------+---------+-----------+-------------+---------------------+
| id   | MDUpdateAction | Symbol  | RespDateTime          | BidOrders | BidSize | Bid     | Spred | Offer   | OfferSize | OfferOrders | Created_at          |
+------+----------------+---------+-----------------------+-----------+---------+---------+-------+---------+-----------+-------------+---------------------+
| 1351 | 0              | EUR/JPY | 20170424-15:04:42.265 |         1 | 1500000 | 119.448 |   0.6 | 119.454 |   1000000 |           1 | 2017-04-25 00:04:42 |
| 1352 | 0              | EUR/JPY | 20170424-15:04:42.762 |         1 |  500000 | 119.449 |   0.6 | 119.455 |   7500000 |           1 | 2017-04-25 00:04:43 |
| 1353 | 0              | EUR/JPY | 20170424-15:04:42.763 |         1 |  500000 | 119.449 |   0.6 | 119.455 |   4500000 |           1 | 2017-04-25 00:04:43 |
| 1354 | 0              | USD/JPY | 20170424-15:04:44.057 |         1 |  500000 | 109.958 |   0.1 | 109.959 |   1000000 |           1 | 2017-04-25 00:04:44 |
| 1355 | 0              | EUR/JPY | 20170424-15:04:44.256 |         2 | 3500000 | 119.448 |   0.6 | 119.454 |   1000000 |           1 | 2017-04-25 00:04:44 |
| 1356 | 0              | EUR/JPY | 20170424-15:04:44.256 |         1 | 2500000 | 119.448 |   0.6 | 119.454 |   1000000 |           1 | 2017-04-25 00:04:44 |
| 1357 | 0              | EUR/JPY | 20170424-15:04:44.257 |         1 | 1500000 | 119.448 |   0.6 | 119.454 |   1000000 |           1 | 2017-04-25 00:04:44 |
| 1358 | 0              | USD/JPY | 20170424-15:04:44.594 |         1 | 2500000 | 109.957 |   0.2 | 109.959 |   1000000 |           1 | 2017-04-25 00:04:45 |
| 1359 | 0              | EUR/USD | 20170424-15:04:44.599 |         1 | 4000000 |  1.0863 |   0.4 | 1.08634 |   3500000 |           1 | 2017-04-25 00:04:45 |
| 1360 | 0              | EUR/JPY | 20170424-15:04:44.772 |         1 |  500000 | 119.451 |   0.4 | 119.455 |   3500000 |           1 | 2017-04-25 00:04:45 |
| 1361 | 0              | EUR/JPY | 20170424-15:04:44.774 |         1 |  500000 | 119.451 |   0.6 | 119.457 |   3000000 |           1 | 2017-04-25 00:04:45 |
| 1362 | 0              | EUR/USD | 20170424-15:04:45.569 |         1 | 4000000 |  1.0863 |   0.3 | 1.08633 |    500000 |           1 | 2017-04-25 00:04:45 |
| 1363 | 0              | USD/JPY | 20170424-15:04:45.574 |         1 | 2500000 | 109.957 |   0.3 |  109.96 |   3000000 |           1 | 2017-04-25 00:04:45 |
| 1364 | 0              | USD/JPY | 20170424-15:04:45.574 |         1 | 2500000 | 109.957 |   0.3 |  109.96 |   1000000 |           1 | 2017-04-25 00:04:45 |
| 1365 | 0              | EUR/JPY | 20170424-15:04:45.760 |         1 |  500000 |  119.45 |   0.7 | 119.457 |   3000000 |           1 | 2017-04-25 00:04:45 |
| 1366 | 0              | USD/JPY | 20170424-15:04:46.067 |         1 | 2500000 | 109.957 |   0.2 | 109.959 |   1000000 |           1 | 2017-04-25 00:04:46 |
| 1367 | 0              | EUR/JPY | 20170424-15:04:46.259 |         1 | 2500000 | 119.449 |   0.8 | 119.457 |   4500000 |           1 | 2017-04-25 00:04:46 |
| 1368 | 0              | EUR/JPY | 20170424-15:04:46.260 |         1 | 1500000 | 119.449 |   0.8 | 119.457 |   4500000 |           1 | 2017-04-25 00:04:46 |
| 1369 | 0              | EUR/JPY | 20170424-15:04:46.756 |         1 |  500000 |  119.45 |   0.7 | 119.457 |   4500000 |           1 | 2017-04-25 00:04:46 |
| 1370 | 0              | EUR/USD | 20170424-15:04:47.063 |         1 | 4000000 |  1.0863 |   0.4 | 1.08634 |    500000 |           1 | 2017-04-25 00:04:47 |
| 1371 | 0              | EUR/JPY | 20170424-15:04:47.262 |         1 | 1000000 |  119.45 |   0.7 | 119.457 |   2000000 |           1 | 2017-04-25 00:04:47 |
| 1372 | 0              | EUR/JPY | 20170424-15:04:47.762 |         1 | 3000000 | 119.449 |   0.8 | 119.457 |   3000000 |           1 | 2017-04-25 00:04:47 |
| 1373 | 0              | EUR/JPY | 20170424-15:04:47.763 |         1 | 1500000 | 119.449 |   0.8 | 119.457 |   3000000 |           1 | 2017-04-25 00:04:47 |
| 1374 | 0              | EUR/USD | 20170424-15:04:48.119 |         1 | 4000000 |  1.0863 |   0.3 | 1.08633 |    500000 |           1 | 2017-04-25 00:04:48 |
| 1375 | 0              | EUR/JPY | 20170424-15:04:49.279 |         1 | 3000000 | 119.448 |   0.8 | 119.456 |   3000000 |           1 | 2017-04-25 00:04:49 |
| 1376 | 0              | EUR/JPY | 20170424-15:04:49.285 |         1 | 1500000 | 119.448 |   0.8 | 119.456 |   3000000 |           1 | 2017-04-25 00:04:49 |
| 1377 | 0              | USD/JPY | 20170424-15:04:49.609 |         1 | 2500000 | 109.957 |   0.1 | 109.958 |   2000000 |           1 | 2017-04-25 00:04:49 |
| 1378 | 0              | EUR/JPY | 20170424-15:04:49.771 |         1 | 2500000 | 119.447 |   0.9 | 119.456 |   2000000 |           1 | 2017-04-25 00:04:49 |
| 1379 | 0              | EUR/JPY | 20170424-15:04:49.774 |         1 | 1000000 | 119.448 |   0.8 | 119.456 |   2000000 |           1 | 2017-04-25 00:04:50 |
| 1380 | 0              | EUR/USD | 20170424-15:04:50.102 |         1 | 4000000 |  1.0863 |   0.4 | 1.08634 |   1000000 |           1 | 2017-04-25 00:04:50 |
| 1381 | 0              | EUR/USD | 20170424-15:04:50.102 |         1 | 1000000 | 1.08629 |   0.5 | 1.08634 |   1000000 |           1 | 2017-04-25 00:04:50 |
| 1382 | 0              | EUR/JPY | 20170424-15:04:50.270 |         1 | 1000000 | 119.451 |   0.6 | 119.457 |   4500000 |           1 | 2017-04-25 00:04:50 |
| 1383 | 0              | EUR/JPY | 20170424-15:04:50.272 |         1 | 1000000 | 119.451 |   0.7 | 119.458 |   2000000 |           1 | 2017-04-25 00:04:50 |
| 1384 | 0              | EUR/USD | 20170424-15:04:50.572 |         1 | 1000000 | 1.08629 |   0.5 | 1.08634 |   1300000 |           1 | 2017-04-25 00:04:50 |
+------+----------------+---------+-----------------------+-----------+---------+---------+-------+---------+-----------+-------------+---------------------+
34 rows in set (0.01 sec)

＜前【QuickFIX】12 マーケット情報要求 < V > MarketDataRequest
次＞【QuickFIX】14 口座情報要求 < AN > RequestForPositions

一覧

01 サンプルのコンパイル
 02 ログイン時にPassword(554)を送信
 03 送受信ログをMySQLに保存
 04 情報保存用にMySQLコネクションを保持..他
 05 各種メッセージの枠を作成
 06 独自メッセージ仕様
 07 セッション開始 TradingSessionStatus
08 通貨ペア要求 SecurityListRequest
09 通貨ペア取得 SecurityList
10 デモ環境サーバへ接続
 11 ログ出力設定
 12 マーケット情報要求 < V > MarketDataRequest
13 マーケット情報受信 < X > MarketDataIncrementalRefresh
14 口座情報要求 < AN > RequestForPositions
15 口座情報取得 < AZ > CollateralResponse