Class Handler

Provides access to the CME Group market data via SBE protocols.

Inheritance

System.Object

Handler

Namespace: OnixS.CmeMdHandler

Assembly: OnixS.CmeMdHandler.dll

Syntax

public class Handler : IDisposable

Constructors

Handler(String)

Constructor.

Declaration

public Handler(string channelId)

Parameters

Type	Name	Description
System.String	channelId	CME Market Data Feed Channel ID.

Properties

BestBidOfferTrackingOptions

Describes parameters and thresholds which will be used to track best bids and best asks.

Declaration

public BestBidOfferTrackingOptions BestBidOfferTrackingOptions { get; }

Property Value

Type	Description
BestBidOfferTrackingOptions

BookUpdatedCallbackPolicy

Gets book updated callbacks policy.

Declaration

public BookUpdatedCallbackPolicy BookUpdatedCallbackPolicy { get; set; }

Property Value

Type	Description
BookUpdatedCallbackPolicy

ChannelConfigurationFile

Path to the CME Market Data Feed Channel configuration XML file.

Declaration

public string ChannelConfigurationFile { get; set; }

Property Value

Type	Description
System.String

ChannelId

CME Market Data Feed Channel ID.

Declaration

public string ChannelId { get; }

Property Value

Type	Description
System.String

DecoderLibraryPath

Path to generated decoder library assembly.

Declaration

public string DecoderLibraryPath { get; set; }

Property Value

Type	Description
System.String

DecoderTypeFullName

Get or set the name of the decoder class which will be used when LoadDecoderLibrary is true.

Declaration

public string DecoderTypeFullName { get; set; }

Property Value

Type	Description
System.String

DirectBookDefaultDepth

Get or set default depth for direct book.

Declaration

public int DirectBookDefaultDepth { get; set; }

Property Value

Type	Description
System.Int32

FixMessagesLogger

Logger to control fix message processing related tracing and debug output.

Declaration

public static NLog.Logger FixMessagesLogger { get; }

Property Value

Type	Description
NLog.Logger

HandlerLogger

Logger to control Handler related tracing and debug output.

Declaration

public static NLog.Logger HandlerLogger { get; }

Property Value

Type	Description
NLog.Logger

ImpliedBookDefaultDepth

Get or set default depth for implied book.

Declaration

public int ImpliedBookDefaultDepth { get; set; }

Property Value

Type	Description
System.Int32

LicenseExpirationDate

Gets license expiration date.

Declaration

public DateTime LicenseExpirationDate { get; }

Property Value

Type	Description
DateTime

LicensePath

Path to the directory where license file located.

Declaration

public static string LicensePath { get; set; }

Property Value

Type	Description
System.String

LoadDecoderLibrary

Get or set if the handler should load existing decoding library or create a new one. DecoderTypeFullName property will specify decoder type full name.

Declaration

public bool LoadDecoderLibrary { get; set; }

Property Value

Type	Description
System.Boolean

LocalNetworkInterface

The local network interface that is used to receive UDP multicast packets.

Declaration

public IPAddress LocalNetworkInterface { get; set; }

Property Value

Type	Description
IPAddress

Remarks

If set to null then all available local network interfaces are used.

LocalNetworkInterfaceA

The local network interface that is used to receive UDP multicast packets for "A" feeds.

Declaration

public System.Net.IPAddress LocalNetworkInterfaceA { get; set; }

Property Value

Type	Description
System.Net.IPAddress

Remarks

If set to null then the LocalNetworkInterface value is used.

LocalNetworkInterfaceB

The local network interface that is used to receive UDP multicast packets for "B" feeds.

Declaration

public System.Net.IPAddress LocalNetworkInterfaceB { get; set; }

Property Value

Type	Description
System.Net.IPAddress

Remarks

If set to null then the LocalNetworkInterface value is used.

MaximumNumberOfQueuedIncrementalRefreshMessages

Maximum number of queued Market Data Incremental Refresh (X) messages.

Declaration

public static int MaximumNumberOfQueuedIncrementalRefreshMessages { get; set; }

Property Value

Type	Description
System.Int32

Remarks

When the message gap is detected all subsequent Refresh(X) messages are queued until the Handler re-synchronizes with the market using Snapshot(W) messages. After that the queued Refresh(X) messages are re-played. This setting could be used to limit the memory usage when there is no Market Data - Snapshot/Full Refresh (W) messages.

MaximumOutOfOrderIncrementalQueueSize

Get or set maximum incremental packets cache size. This cache are used for packet alignment. Default value is 5.

Declaration

public int MaximumOutOfOrderIncrementalQueueSize { get; set; }

Property Value

Type	Description
System.Int32

NumberOfQueuedIncrementalRefreshMessages

Gets count of queued incremental refresh messages.

Declaration

public int NumberOfQueuedIncrementalRefreshMessages { get; }

Property Value

Type	Description
System.Int32

OrderBookLogger

Logger to control order books related tracing and debug output.

Declaration

public static NLog.Logger OrderBookLogger { get; }

Property Value

Type	Description
NLog.Logger

OutOfOrderIncrementalQueueSize

Gets count of incremental messages, cached in sorting cache.

Declaration

public int OutOfOrderIncrementalQueueSize { get; }

Property Value

Type	Description
System.Int32

ReceiveBufferSize

Gets or sets size of receiving buffer in bytes. Increasing this buffer will decrease GC load. If value will be less or equal then 65536 bytes, then default system value of 65536 bytes will be used. Default value is 65536 * 10.

Declaration

public int ReceiveBufferSize { get; set; }

Property Value

Type	Description
System.Int32

ReceiversLogger

Logger to control udp receivers related tracing and debug output.

Declaration

public static NLog.Logger ReceiversLogger { get; }

Property Value

Type	Description
NLog.Logger

ReceiveSpinningTimeout

The non-blocking receive spinning timeout (in microseconds) before the receiving thread enters into the blocking wait mode. Default value is 0.

Declaration

public int ReceiveSpinningTimeout { get; set; }

Property Value

Type	Description
System.Int32

ReceiveTimeoutInMilliseconds

Gets or sets the amount of time a Handler will wait to receive data once a read operation is initiated.

Declaration

public int ReceiveTimeoutInMilliseconds { get; set; }

Property Value

Type	Description
System.Int32

ReceivingThreadAffinity

Get or set thread affinity of receiving thread. Default value is normal.

Declaration

public uint[] ReceivingThreadAffinity { get; set; }

Property Value

Type	Description
System.UInt32[]

ReceivingThreadPriority

Get or set thread priority of receiving thread. Default value is normal.

Declaration

public ThreadPriority ReceivingThreadPriority { get; set; }

Property Value

Type	Description
ThreadPriority

RecoverSecurityDefinitionsOnGap

Option to recover the Security Definition messages each time when the message sequence gap is detected.

Declaration

public bool RecoverSecurityDefinitionsOnGap { get; set; }

Property Value

Type	Description
System.Boolean

Remarks

Option to recover the Security Definition messages each time when the message sequence gap is detected.

During the trading day new instruments can be defined, and these security definitions are sent over the Incremental A and B feeds. Therefore it is possible to miss new intra-day security definition messages, so it could be required to listen to the instrument feed again on a message gap.

On the other hand, this could significantly increase the time of re-syncronization with the market after the detected message gap.

The default value is false.

ReportNoDataWarning

Gets or Set the flag to suppress OnWarning events for "NO DATA in Incremental A/B UdpReceiver during ReceiveTimeoutInMilliseconds"

Declaration

public bool ReportNoDataWarning { get; set; }

Property Value

Type	Description
System.Boolean

SbeTemplatesFile

Path to the CME SBE templates file.

Declaration

public string SbeTemplatesFile { get; set; }

Property Value

Type	Description
System.String

SecurityDefinitionsCacheRoot

Gets or Sets path where Security Definitions cache will be stored.

Declaration

public string SecurityDefinitionsCacheRoot { get; set; }

Property Value

Type	Description
System.String

SecurityGroupFilters

Gets Security Group filtering values.

Declaration

public ICollection<string> SecurityGroupFilters { get; }

Property Value

Type	Description
ICollection<System.String>

SecurityIdFilters

Gets Security ID filtering values.

Declaration

public ICollection<string> SecurityIdFilters { get; }

Property Value

Type	Description
ICollection<System.String>

State

Handler's state.

Declaration

public HandlerState State { get; }

Property Value

Type	Description
HandlerState

SymbolFilters

Gets Symbol filtering values.

Declaration

public ICollection<string> SymbolFilters { get; }

Property Value

Type	Description
ICollection<System.String>

TcpReplay

Option to use the TcpReplay Channel for recovory of missed messages.

Declaration

public bool TcpReplay { get; set; }

Property Value

Type	Description
System.Boolean

Remarks

This method recovers all missed messages.

TcpReplayPassword

Password or passphrase to be used in the Logon (35=A) message from customer to CME Tcp Replay service.

Declaration

public string TcpReplayPassword { get; set; }

Property Value

Type	Description
System.String

TcpReplayReconnectAttempts

Number of attempts to receive missed messages via CME Tcp Replay service.

Declaration

public int TcpReplayReconnectAttempts { get; set; }

Property Value

Type	Description
System.Int32

TcpReplayReconnectIntervalInMilliseconds

Interval between attempts to receive missed messages via CME Tcp Replay service (in milliseconds).

Declaration

public int TcpReplayReconnectIntervalInMilliseconds { get; set; }

Property Value

Type	Description
System.Int32

TcpReplayUsername

Userid or username to be used in the Logon (35=A) message from customer to CME Tcp Replay service.

Declaration

public string TcpReplayUsername { get; set; }

Property Value

Type	Description
System.String

UdpSocketBufferSize

Gets or sets socket receive buffer size in bytes. Default value is 4194304 = 4MB.

Declaration

public int UdpSocketBufferSize { get; set; }

Property Value

Type	Description
System.Int32

UseIncrementalFeedA

Gets or Set the flag to use or not Incremental (UDP) Feed A

Declaration

public bool UseIncrementalFeedA { get; set; }

Property Value

Type	Description
System.Boolean

UseIncrementalFeedB

Gets or Set the flag to use or not Incremental (UDP) Feed B

Declaration

public bool UseIncrementalFeedB { get; set; }

Property Value

Type	Description
System.Boolean

UseInstrumentReplayFeedA

Gets or Set the flag to use or not Instrument Definition (UDP) Feed A

Declaration

public bool UseInstrumentReplayFeedA { get; set; }

Property Value

Type	Description
System.Boolean

UseInstrumentReplayFeedB

Gets or sets the flag to use or not Instrument Definition (UDP) Feed B

Declaration

public bool UseInstrumentReplayFeedB { get; set; }

Property Value

Type	Description
System.Boolean

UseSnapshotFeedA

Gets or Set the flag to use or not Market Recovery (UDP) Feed A

Declaration

public bool UseSnapshotFeedA { get; set; }

Property Value

Type	Description
System.Boolean

UseSnapshotFeedB

Gets or Set the flag to use or not Market Recovery (UDP) Feed B

Declaration

public bool UseSnapshotFeedB { get; set; }

Property Value

Type	Description
System.Boolean

Methods

AddSecurityGroupFilter(String)

Add the Security Group filtering value. The filter is inclusive.

Declaration

public void AddSecurityGroupFilter(string securityGroup)

Parameters

Type	Name	Description
System.String	securityGroup	SecurityGroup to be used for inclusive filtering.

AddSecurityIdFilter(Int32)

Add the Security ID filtering value. The filter is inclusive. Note: this method can be called only when handler was in STOPPED, STARTED or SECURITY_DEFINITIONS_RECOVERY_STARTED state or from onSecurityDefinition callback. If this method will be called from other place this can lead to order book build errors for specified security.

Declaration

public void AddSecurityIdFilter(int securityId)

Parameters

Type	Name	Description
System.Int32	securityId	SecurityID to be used for inclusive filtering.

AddSymbolFilter(String)

Add the Symbol filtering value. The filter is inclusive. Note: this method can be called only when handler was in STOPPED, STARTED or SECURITY_DEFINITIONS_RECOVERY_STARTED state or from onSecurityDefinition callback. If this method will be called from other place this can lead to order book build errors for specified security.

Declaration

public void AddSymbolFilter(string symbol)

Parameters

Type	Name	Description
System.String	symbol	Symbol to be used for inclusive filtering.

ClearSecurityGroupFilters()

Removes all the Security Group filters.

Declaration

public void ClearSecurityGroupFilters()

ClearSecurityIdFilters()

Removes all the Security ID filters.

Declaration

public void ClearSecurityIdFilters()

ClearSymbolFilters()

Removes all the Symbol filters.

Declaration

public void ClearSymbolFilters()

Dispose()

Stops handler and clear resources.

Declaration

public void Dispose()

Dispose(Boolean)

Stops handler and clear resources.

Declaration

protected virtual void Dispose(bool disposing)

Parameters

Type	Name	Description
System.Boolean	disposing	False to dispose native resources.

LogDebug(String)

Write information text message to trace log.

Declaration

public static void LogDebug(string text)

Parameters

Type	Name	Description
System.String	text	Text message to log.

Pause()

Pauses log replay.

Declaration

public void Pause()

RemoveSecurityGroupFilter(String)

Removes the Security Group filter value.

Declaration

public bool RemoveSecurityGroupFilter(string securityGroup)

Parameters

Type	Name	Description
System.String	securityGroup	SecurityGroup value to remove from Security Group filters.

Returns

Type	Description
System.Boolean	true if the element is successfully found and removed; otherwise, false.

RemoveSecurityIdFilter(Int32)

Removes the SecurityId filter value.

Declaration

public bool RemoveSecurityIdFilter(int securityId)

Parameters

Type	Name	Description
System.Int32	securityId	SecurityId value to remove from SecurityId filters.

Returns

Type	Description
System.Boolean	true if the element is successfully found and removed; otherwise, false.

RemoveSymbolFilter(String)

Removes the Symbol filter value.

Declaration

public bool RemoveSymbolFilter(string symbol)

Parameters

Type	Name	Description
System.String	symbol	Symbol value to remove from Symbol filters.

Returns

Type	Description
System.Boolean	true if the element is successfully found and removed; otherwise, false.

Resume()

Resumes log replay.

Declaration

public void Resume()

Start()

Starts the receiving and processing of market data.

Market joining strategy is Late Join. Security definitions was not cached.

Declaration

public void Start()

Start(HandlerStartupStrategy)

Starts the receiving and processing of market data.

Security definitions was not cached.

Declaration

public void Start(HandlerStartupStrategy startupStrategy)

Parameters

Type	Name	Description
HandlerStartupStrategy	startupStrategy	Market joining strategy.

Start(HandlerStartupStrategy, Boolean)

Starts the receiving and processing of market data using startupStrategy and cache security definitions option.

Declaration

public void Start(HandlerStartupStrategy startupStrategy, bool cacheSecurityDefinitions)

Parameters

Type	Name	Description
HandlerStartupStrategy	startupStrategy	Market joining strategy.
System.Boolean	cacheSecurityDefinitions	True if cache Security Definitions.

Start(ReplayOptions)

Starts handler in replaying logs mode.

Declaration

public void Start(ReplayOptions options)

Parameters

Type	Name	Description
ReplayOptions	options	Replay options.

Start(Boolean)

Starts the receiving and processing of market data using cache security definitions option. Market joining strategy is Late Join.

Declaration

public void Start(bool cacheSecurityDefinitions)

Parameters

Type	Name	Description
System.Boolean	cacheSecurityDefinitions	True if cache Security Definitions.

Stop()

Stops the receiving and processing of market data.

Declaration

public void Stop()

Events

ConsolidatedOrderBookTopOfTheBookUpdated

Consolidated Order Book top of the book is updated.

Declaration

public event TopOfTheOrderBookUpdatedHandler<ImpliedPriceLevel> ConsolidatedOrderBookTopOfTheBookUpdated

Event Type

Type	Description
TopOfTheOrderBookUpdatedHandler<ImpliedPriceLevel>

ConsolidatedOrderBookUpdated

Consolidated Order Book is updated.

Declaration

public event OrderBookUpdatedHandler<ConsolidatedOrderBook> ConsolidatedOrderBookUpdated

Event Type

Type	Description
OrderBookUpdatedHandler<ConsolidatedOrderBook>

Error

Error is reported.

Declaration

public event ErrorHandler Error

Event Type

Type	Description
ErrorHandler

FeedStateChanged

Feed's state is changed.

Declaration

public event FeedStateChangedHandler FeedStateChanged

Event Type

Type	Description
FeedStateChangedHandler

ImpliedOrderBookChanged

Implied Order Book is changed.

Declaration

public event ImpliedOrderBookChangedHandler ImpliedOrderBookChanged

Event Type

Type	Description
ImpliedOrderBookChangedHandler

ImpliedOrderBookReset

Implied Order Book is reset.

Declaration

public event OrderBookHandler<ImpliedOrderBook> ImpliedOrderBookReset

Event Type

Type	Description
OrderBookHandler<ImpliedOrderBook>

ImpliedOrderBookTopOfTheBookUpdated

Implied Order Book top of the book is updated.

Declaration

public event TopOfTheOrderBookUpdatedHandler<ImpliedPriceLevel> ImpliedOrderBookTopOfTheBookUpdated

Event Type

Type	Description
TopOfTheOrderBookUpdatedHandler<ImpliedPriceLevel>

ImpliedOrderBookUpdated

Implied Order Book is updated.

Declaration

public event OrderBookUpdatedHandler<ImpliedOrderBook> ImpliedOrderBookUpdated

Event Type

Type	Description
OrderBookUpdatedHandler<ImpliedOrderBook>

Info

Information message is reported.

Declaration

public event InfoHandler Info

Event Type

Type	Description
InfoHandler

MarketByOrderBookChanged

Market by Order Book is changed.

Declaration

public event MarketByOrderBookChangedHandler MarketByOrderBookChanged

Event Type

Type	Description
MarketByOrderBookChangedHandler

MarketByOrderBookReset

Market by Order Book is reset.

Declaration

public event OrderBookHandler<MarketByOrderBook> MarketByOrderBookReset

Event Type

Type	Description
OrderBookHandler<MarketByOrderBook>

MarketByOrderBookTopOfTheBookUpdated

Market By Order Book top of the book is updated.

Declaration

public event TopOfTheOrderBookUpdatedHandler<Order> MarketByOrderBookTopOfTheBookUpdated

Event Type

Type	Description
TopOfTheOrderBookUpdatedHandler<Order>

MarketByOrderBookUpdated

Market by Order Book is updated.

Declaration

public event OrderBookUpdatedHandler<MarketByOrderBook> MarketByOrderBookUpdated

Event Type

Type	Description
OrderBookUpdatedHandler<MarketByOrderBook>

MessageProcessingFinished

Message Processing Finished.

Declaration

public event MessageProcessingHandler MessageProcessingFinished

Event Type

Type	Description
MessageProcessingHandler

MessageProcessingStarted

FIX message processing is started.

Declaration

public event MessageProcessingHandler MessageProcessingStarted

Event Type

Type	Description
MessageProcessingHandler

NoDataOnFeedReceived

No data on feed is not received during ReceiveTimeoutInMilliseconds. To turn on this event property ReportNoDataWarning should be set to true.

Declaration

public event NoDataOnFeedReceivedHandler NoDataOnFeedReceived

Event Type

Type	Description
NoDataOnFeedReceivedHandler

OrderIds

Order ids are received.

Declaration

public event OrderIdsReceivedHandler OrderIds

Event Type

Type	Description
OrderIdsReceivedHandler

PacketProcessingFinished

Packet Processing Finished.

Declaration

public event PacketProcessingHandler PacketProcessingFinished

Event Type

Type	Description
PacketProcessingHandler

PacketProcessingStarted

Packet processing is started.

Declaration

public event PacketProcessingHandler PacketProcessingStarted

Event Type

Type	Description
PacketProcessingHandler

RegularOrderBookChanged

Regular Order Book is changed.

Declaration

public event RegularOrderBookChangedHandler RegularOrderBookChanged

Event Type

Type	Description
RegularOrderBookChangedHandler

RegularOrderBookReset

Regular Order Book is reset.

Declaration

public event OrderBookHandler<RegularOrderBook> RegularOrderBookReset

Event Type

Type	Description
OrderBookHandler<RegularOrderBook>

RegularOrderBookTopOfTheBookUpdated

Regular Order Book top of the book is updated.

Declaration

public event TopOfTheOrderBookUpdatedHandler<RegularPriceLevel> RegularOrderBookTopOfTheBookUpdated

Event Type

Type	Description
TopOfTheOrderBookUpdatedHandler<RegularPriceLevel>

RegularOrderBookUpdated

Regular Order Book is updated.

Declaration

public event OrderBookUpdatedHandler<RegularOrderBook> RegularOrderBookUpdated

Event Type

Type	Description
OrderBookUpdatedHandler<RegularOrderBook>

ReplayError

Error during logs replay is reported.

Declaration

public event ReplayErrorHandler ReplayError

Event Type

Type	Description
ReplayErrorHandler

ReplayFinished

Logs replay finished.

Declaration

public event ReplayFinishedHandler ReplayFinished

Event Type

Type	Description
ReplayFinishedHandler

RequestForQuote

Request for quote is received.

Declaration

public event RequestForQuoteReceivedHandler RequestForQuote

Event Type

Type	Description
RequestForQuoteReceivedHandler

SecurityDefinitionDeleted

Security Definition message is deleted.

Declaration

public event SecurityDefinitionHandler SecurityDefinitionDeleted

Event Type

Type	Description
SecurityDefinitionHandler

SecurityDefinitionReceived

Security Definition message is received.

Declaration

public event SecurityDefinitionHandler SecurityDefinitionReceived

Event Type

Type	Description
SecurityDefinitionHandler

SecurityStatusChanged

Security Status is changed.

Declaration

public event SecurityStatusChangedHandler SecurityStatusChanged

Event Type

Type	Description
SecurityStatusChangedHandler

StateChanged

Handler's state is changed.

Declaration

public event StateChangedHandler StateChanged

Event Type

Type	Description
StateChangedHandler

Statistics

Statistics is received.

Declaration

public event StatisticsHandler Statistics

Event Type

Type	Description
StatisticsHandler

StatisticsReset

Statistics reset is received.

Declaration

public event StatisticsResetHandler StatisticsReset

Event Type

Type	Description
StatisticsResetHandler

Trade

Trade is received.

Declaration

public event TradeHandler Trade

Event Type

Type	Description
TradeHandler

Warning

Warning is reported.

Declaration

public event WarningHandler Warning

Event Type

Type	Description
WarningHandler