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Overview
Some configuration requires using of several sources of security definitions, e.g. ORDERS-LOG contains orders for both futures and options instruments. While working with ORDERS-LOG, MOEX Spectra Market Data Adapter should know security information for both security types. This article describes how to configure such optionoptions.
How to set up multiple Security Definition feeds using configuration file
Adding new connection
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> |
Adding multiple Security Definition sources
MarketDataGroup may 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 security 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 security 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> |
How to set up multiple Security Definition feeds using the 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 may be used as an alternative of configuration file (configuration.xml) modification and allows keeping the original version of configuration files. |
How to get MDEntryTime with nanosecond precision.
move to "How to" for MOEX Spectra MD Adapter
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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
MOEX Spectra Market Data Adapter handles this format in the following way: TBD
Example:
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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 MOEX Spectra Market Data Adapter reacts on Sequence Reset message
move to How to use Spectra Application Listener callbacks and leave a link to it there: Steps to migrate from the version 1.3.2 of Spectra adapter to version 1.4.1
The new type of messages (a message 'Sequence Reset') was introduced in Spectra FAST protocol specification v 1.4.2.
MOEX Spectra Market Data Adapter handles Sequence Reset message in the following way:
- A Sequence Reset message received in Incremental feed initiates recovery mechanism for all subscribed instruments. In this case, MOEX Spectra Market Data Adapter fires OnRecoveryStarted (link) and the callback OnBookReset (link).
- Sequence filtering mechanism isn't applied to Sequence Reset messages. Therefore, OnRecoveryStarted and OnBookReset would be fired for each sequence reset message and even more than once due to A-B arbitrage.
| Info | ||
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| Recovery mechanism doesn't work properly in trade feeds, because of this, the trades will be available only since the application launch, i.e. there is no ability to request historical trades. |