public Mantle.Fix44.MarketDataRequest MarketDataRequest(string symbol, MarketDataType type)
{
var res = new Mantle.Fix44.MarketDataRequest();
res = new Mantle.Fix44.MarketDataRequest()
{
StandardHeader = StandardHeader()
};
var instrument = new Mantle.Fix44.Instrument();
instrument.Symbol.Value = symbol;
res.RelatedSym.Add(instrument);
// It's important for huobi that MDReqID has symbol as its prefix. Otherwise they'll
// silently ignore our request. This is undocumented.
res.MDReqID.Value = symbol + Guid.NewGuid().ToString();
// '0' - snapshot only
// '1' - snapshot followed by incremental refresh
res.SubscriptionRequestType.Value = '1';
if (_cfg.Extensions == Extensions.OkCoin && type == MarketDataType.Order)
{
// OkCoin sends incremental refresh for the first 20 rows only, which isn't enough for us.
// We have to periodically request the full snapshot instead.
res.SubscriptionRequestType.Value = '0';
}
res.MarketDepth.Value = 0;
res.MDUpdateType.Value = 1;
switch (type)
{
case MarketDataType.Order:
// Bids.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType()
{
Value = '0'
});
// Asks.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType()
{
Value = '1'
});
break;
case MarketDataType.Trade:
// Live trades.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType()
{
Value = '2'
});
break;
}
return(res);
}
public Mantle.Fix44.MarketDataRequest MarketDataRequest(string symbol, MarketDataType type)
{
var res = new Mantle.Fix44.MarketDataRequest();
res = new Mantle.Fix44.MarketDataRequest() { StandardHeader = StandardHeader() };
var instrument = new Mantle.Fix44.Instrument();
instrument.Symbol.Value = symbol;
res.RelatedSym.Add(instrument);
// It's important for huobi that MDReqID has symbol as its prefix. Otherwise they'll
// silently ignore our request. This is undocumented.
res.MDReqID.Value = symbol + Guid.NewGuid().ToString();
// '0' - snapshot only
// '1' - snapshot followed by incremental refresh
res.SubscriptionRequestType.Value = '1';
if (_cfg.Extensions == Extensions.OkCoin && type == MarketDataType.Order)
{
// OkCoin sends incremental refresh for the first 20 rows only, which isn't enough for us.
// We have to periodically request the full snapshot instead.
res.SubscriptionRequestType.Value = '0';
}
res.MarketDepth.Value = 0;
res.MDUpdateType.Value = 1;
switch (type)
{
case MarketDataType.Order:
// Bids.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType() { Value = '0' });
// Asks.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType() { Value = '1' });
break;
case MarketDataType.Trade:
// Live trades.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType() { Value = '2' });
break;
}
return res;
}