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Overview
Spectra Adapter uses MOEX configuration file for getting information about feeds.
Currently, B2BITS FIX Antenna C++ supports the following feed types:
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<type>Incremental</type>
<type>Snapshot</type>
<type>Instrument Incremental</type>
<type>Instrument Replay</type> |
Some configuration requires using of several sources of security definitions. Please use instructions below for configuration of , 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 option.
Customize feeds in Configuration file (configuration.xml)
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How to set up multiple Security Definition feeds using configuration file
Adding new connection
MOEX could provide separate configuration files for different feeds.
The configuration file could - configuration.xml could be extended with new connections if it requires.
For example, ORDERS-LOG connections connection can be integrated into an original configuration just by adding a new MarketDataGroup to configuration section:
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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> |
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Adding multiple
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Security Definition sources
MarketDataGroup could 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> |
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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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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")); |
| Info |
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| this This approach could 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
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nanosecond precision.
move to "How to" for MOEX Spectra MD Adapter
MOEX Spectra uses Market Data Multicast FIX/FAST Platform uses custom UTCTimeOnly, UTCTimestamp format in the 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
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
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