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Overview
Spectra Adapter uses MOEX configuration file for getting information about feeds.
Currently, B2BITS FIX Antenna c++ support the following feed types:
<type>Incremental</type>
<type>Snapshot</type>
<type>Instrument Incremental</type>
<type>Instrument Replay</type>
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.
The configuration file for could be extended with new connections if it requires.
For example, ORDERS-LOG connections can be integrated into an original configuration just by adding a new MarketDataGroup to configuration section:
<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.
The following configuration block shows how to get two security definitions channels for ORDERS-LOG feed:
<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>
Extra security definition feeds could be configured with Spectra::SpectraApplicationParams::customSecDefFeeds_ parameter:
Spectra::SpectraApplicationParams params;
params.customSecDefFeeds_[Spectra::SpectraDataChannel("D", "ORDERS-LOG")].push_back(Spectra::SpectraDataChannel("F", "FUT-INFO"));
params.customSecDefFeeds_[Spectra::SpectraDataChannel("D", "ORDERS-LOG")].push_back(Spectra::SpectraDataChannel("O", "OPT-INFO"));
params.customSecDefFeeds_[Spectra::SpectraDataChannel("D", "ORDERS-LOG")].push_back(Spectra::SpectraDataChannel("S", "SPOT-INFO"));
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
Example:
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);
// ..
}
}
// ...
}