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Overview
Spectra Adapter uses MOEX configuration file for getting information about feeds.
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Some configuration requires using of several sources of security definitions, how to configure such option is described below
Customize feeds in Configuration file (configuration.xml)
Add connections
Moex could provide separate configuration files for different feeds.
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<configuration type="Test" label="Test System" marketId="MOEX">
<!-- ... -->
<MarketDataGroup feedType="FUT-INFO" marketID="F" label="Futures defintion">
<connections>
<!-- FUT-INFO feeds -->
</connections>
</MarketDataGroup>
<!-- New section with ORDERS-LOG connections -->
<MarketDataGroup feedType="ORDERS-LOG" marketID="D" label="Full orders log">
<connections>
<!-- ORDERS-LOG feeds -->
</connections>
</MarketDataGroup>
</configuration> |
Use multiple security definition sources
MarketDataGroup could contain as many connections as it is required.
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<MarketDataGroup feedType="ORDERS-LOG" marketID="D" label="Full orders log"> <connections> <connection> <type>Incremental</type> <protocol>UDP/IP</protocol> <src-ip>10.50.129.90</src-ip> <ip>239.192.70.40</ip> <port>40040</port> <feed>A</feed> </connection> <connection> <type>Incremental</type> <protocol>UDP/IP</protocol> <src-ip>10.50.129.90</src-ip> <ip>239.192.175.40</ip> <port>41040</port> <feed>B</feed> </connection> <connection> <type>Snapshot</type> <protocol>UDP/IP</protocol> <src-ip>10.50.129.90</src-ip> <ip>239.192.70.41</ip> <port>40041</port> <feed>A</feed> </connection> <connection> <type>Snapshot</type> <protocol>UDP/IP</protocol> <src-ip>10.50.129.90</src-ip> <ip>239.192.175.41</ip> <port>41041</port> <feed>B</feed> </connection> <connection> <type>Historical Replay</type> <protocol>TCP/IP</protocol> <ip>1.1.7.202</ip> <port>7207</port> </connection> <!-- Futures defintion --> <connection> <type>Instrument Replay</type> <protocol>UDP/IP</protocol> <src-ip>10.50.129.90</src-ip> <ip>239.192.70.11</ip> <port>40011</port> <maxKbps>128</maxKbps> <feed>A</feed> </connection> <connection> <type>Instrument Replay</type> <protocol>UDP/IP</protocol> <src-ip>10.50.129.90</src-ip> <ip>239.192.175.11</ip> <port>41011</port> <maxKbps>128</maxKbps> <feed>B</feed> </connection> <!-- Options defintion --> <connection> <type>Instrument Replay</type> <protocol>UDP/IP</protocol> <src-ip>10.50.129.90</src-ip> <ip>239.192.70.27</ip> <port>40027</port> <maxKbps>128</maxKbps> <feed>A</feed> </connection> <connection> <type>Instrument Replay</type> <protocol>UDP/IP</protocol> <src-ip>10.50.129.90</src-ip> <ip>239.192.175.27</ip> <port>41027</port> <maxKbps>128</maxKbps> <feed>B</feed> </connection> <!-- OTC Issues feed --> <connection> <type>Instrument Replay</type> <protocol>UDP/IP</protocol> <src-ip>10.50.129.90</src-ip> <ip>239.192.70.31</ip> <port>40031</port> <maxKbps>16</maxKbps> <feed>A</feed> </connection> <connection> <type>Instrument Replay</type> <protocol>UDP/IP</protocol> <src-ip>10.50.129.90</src-ip> <ip>239.192.175.31</ip> <port>41031</port> <maxKbps>16</maxKbps> <feed>B</feed> </connection> </connections> </MarketDataGroup> |
Configure feeds in source code
Extra security definition feeds could be configured with Spectra::SpectraApplicationParams::customSecDefFeeds_ parameter:
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| Info |
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| this approach could be used as an alternative of configuration file modification and allows keeping the original version of configuration files. |
How to get MDEntryTime with nano second precision.
move to "How to" for MOEX Spectra MD Adapter
MOEX Spectra uses custom UTCTimeOnly, UTCTimestamp format in FAST messages.
Find more details in official documentation: http://ftp.moex.com/pub/FAST/Spectra e.g. http://ftp.moex.com/pub/FAST/Spectra/docs/spectra_fastgate_en.pdf
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void ConvertTimeToStr(System::u64 entry, std::string* strTime)
{
static std::size_t const TIME_LENGTH = sizeof( "HHMMSSsssssssss" ) - 1;
std::stringstream stream;
stream << entry; // convert u64 to std::string.
std::string time(stream.str());
if (TIME_LENGTH > time.size())
time.insert(0, TIME_LENGTH - time.size(), '0');
strTime->assign(time, 0, 2); // HH
strTime->append( ":");
strTime->append(time, 2, 2); // MM
strTime->append( ":");
strTime->append(time, 4, 2); // SS
strTime->append( ".");
strTime->append(time, 6, 9); // sssssssss
}
bool InstrumentHandler::onIncrement( Spectra::SpectraSubscriptionItem const& subsItem, Engine::FIXMessage const* const* msgs, size_t incrementsCount )
{
// ...
for( ; i < incrementsCount; ++i ) {
const Engine::FIXGroup& gr = msgs[i].getAsGroup( FIXFields::NoMDEntries );
for( int j = 0; j < gr.size(); ++j ) {
const Engine::TagValue& entry = *gr.getEntry(j);
std::string timeNs;
if (entry.hasValue(FIXFields::MDEntryTime))
ConvertTimeToStr(entry.getAsUInt64(FIXFields::MDEntryTime), &timeNs);
// ..
}
}
// ...
} |
How Spectra Adapter reacts on Sequence reset messages (35=4)
move to How to use Spectra Application Listener callbacks
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