/// <summary>
/// Request Bid and offer prices subscription for a specific contract.
/// </summary>
/// <param name="SecEx">Exchange</param>
/// <param name="symbol">Exchange symbol for contract</param>
/// <param name="secID">unique identifier supplied by the exchnage for this contract
/// For eurex this is the ticker and expiration</param>
public void ttMarketDataRequest(string[] instrument, char reqType)
{
//string[] instrument must contain:
//{SecurityExchange, Symbol,SecurityType,MaturityMonthYear} or
//{SecurityExchange, Symbol,SecurityID}
try
{
QuickFix42.MarketDataRequest mdr = new QuickFix42.MarketDataRequest();
mdr.set(new QuickFix.MDReqID(uniqueID()));
mdr.set(new QuickFix.SubscriptionRequestType(reqType));
mdr.set(new QuickFix.MDUpdateType(QuickFix.MDUpdateType.FULL_REFRESH)); //required if above type is SNAPSHOT_PLUS_UPDATES
//1=Top of Book, 0 = full book, other integer equals number of levels
mdr.set(new QuickFix.MarketDepth(1));
mdr.set(new QuickFix.AggregatedBook(true));
QuickFix42.MarketDataRequest.NoMDEntryTypes tgroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
tgroup.set(new QuickFix.MDEntryType(QuickFix.MDEntryType.BID));
mdr.addGroup(tgroup);
tgroup.set(new QuickFix.MDEntryType(QuickFix.MDEntryType.OFFER));
mdr.addGroup(tgroup);
tgroup.set(new QuickFix.MDEntryType(QuickFix.MDEntryType.TRADE));
mdr.addGroup(tgroup);
QuickFix42.MarketDataRequest.NoRelatedSym sgroup = new QuickFix42.MarketDataRequest.NoRelatedSym();
// Define instrument
sgroup.set(new QuickFix.SecurityExchange(instrument[0]));
sgroup.set(new QuickFix.Symbol(instrument[1]));
if (instrument.GetLength(0) == 4)
{
sgroup.set(new QuickFix.SecurityType(instrument[2]));
sgroup.set(new QuickFix.MaturityMonthYear(instrument[3]));
}
else if (instrument.GetLength(0) == 3)
{
sgroup.set(new QuickFix.SecurityID(instrument[2]));
}
else
{
throw new System.Exception("Incorrect parameters for insturment definition");
}
mdr.addGroup(sgroup);
QuickFix.Session.sendToTarget(mdr, priceSessionID);
}
catch (Exception ex)
{ Console.WriteLine(ex.ToString()); }
}
public void MarketDataRequest(QuickFix42.SecurityDefinition securityDefinition)
{
QuickFix42.MarketDataRequest marketDataRequest =
new QuickFix42.MarketDataRequest(new MDReqID(DateTime.Now.ToString()),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
new MarketDepth(1));
marketDataRequest.setField(new MDUpdateType(MDUpdateType.FULL_REFRESH));
marketDataRequest.setField(new AggregatedBook(true));
QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupBid = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
marketDataEntyGroupBid.set(new MDEntryType(MDEntryType.BID));
marketDataRequest.addGroup(marketDataEntyGroupBid);
QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupOffer = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
marketDataEntyGroupOffer.set(new MDEntryType(MDEntryType.OFFER));
marketDataRequest.addGroup(marketDataEntyGroupOffer);
/** Create Component Block NoRelatedSym */
QuickFix42.MarketDataRequest.NoRelatedSym noRelatedSym = new QuickFix42.MarketDataRequest.NoRelatedSym();
SecurityExchange securityExchange = new SecurityExchange();
securityDefinition.getField(securityExchange);
noRelatedSym.setField(securityExchange);
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
noRelatedSym.setField(securityType);
Symbol symbol = new Symbol();
securityDefinition.getField(symbol);
noRelatedSym.setField(symbol);
//MaturityMonthYear maturityMonthYear = new MaturityMonthYear();
//securityDefinition.getField(maturityMonthYear);
//noRelatedSym.setField(maturityMonthYear);
SecurityID securityId = new SecurityID();
securityDefinition.getField(securityId);
noRelatedSym.setField(securityId);
marketDataRequest.addGroup(noRelatedSym);
Session.sendToTarget(marketDataRequest, GetPriceSession());
}
public override void Send(FIXMarketDataRequest Request)
{
//Console.WriteLine("REQUEST");
QuickFix42.MarketDataRequest request = new QuickFix42.MarketDataRequest(
new QuickFix.MDReqID(Request.MDReqID),
new QuickFix.SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT), //GS FIX
new QuickFix.MarketDepth(5)); //GS FIX
//request.set(new QuickFix.MDUpdateType(Request.MDUpdateType));
//request.set(new QuickFix.AggregatedBook(Request.AggregatedBook));
QuickFix42.MarketDataRequest.NoMDEntryTypes typeGroup;
typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
typeGroup.set(new MDEntryType(FIXMDEntryType.Bid));
request.addGroup(typeGroup);
typeGroup.Dispose();
typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
typeGroup.set(new MDEntryType(FIXMDEntryType.Offer));
request.addGroup(typeGroup);
typeGroup.Dispose();
typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
typeGroup.set(new MDEntryType(FIXMDEntryType.Trade));
request.addGroup(typeGroup);
typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.Open));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.Close));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.High));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.Low));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
QuickFix42.MarketDataRequest.NoRelatedSym symGroup = new QuickFix42.MarketDataRequest.NoRelatedSym();
FIXRelatedSymGroup Group = Request.GetRelatedSymGroup(0);
symGroup.set(new QuickFix.Symbol(Group.Symbol.Substring(0, 6)));
if (Group.Symbol.StartsWith("60") || Group.Symbol.StartsWith("51"))
{
//order.set(new QuickFix.SecurityExchange("XSHG"));// 上海
symGroup.set(new QuickFix.SecurityExchange("SS"));// 上海
}
else if (Group.Symbol.StartsWith("00") || Group.Symbol.StartsWith("30") || Group.Symbol.StartsWith("15"))
{
//order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳
symGroup.set(new QuickFix.SecurityExchange("SZ"));// 深圳
}
//if (Group.ContainsField(EFIXField.SecurityType)) symGroup.set(new QuickFix.SecurityType(Group.SecurityType));
//if (Group.ContainsField(EFIXField.MaturityMonthYear)) symGroup.set(new QuickFix.MaturityMonthYear(Group.MaturityMonthYear));
//if (Group.ContainsField(EFIXField.MaturityDay )) symGroup.set(new QuickFix.MaturityDay (Group.MaturityDay ));
//if (Group.ContainsField(EFIXField.PutOrCall )) symGroup.set(new QuickFix.PutOrCall (Group.PutOrCall ));
//if (Group.ContainsField(EFIXField.StrikePrice)) symGroup.set(new QuickFix.StrikePrice(Group.StrikePrice));
//if (Group.ContainsField(EFIXField.OptAttribute)) symGroup.set(new QuickFix.OptAttribute(Group.OptAttribute));
//if (Group.ContainsField(EFIXField.SecurityID)) symGroup.set(new QuickFix.SecurityID(Group.SecurityID));
//if (Group.ContainsField(EFIXField.SecurityExchange)) symGroup.set(new QuickFix.SecurityExchange(Group.SecurityExchange));
request.addGroup(symGroup);
symGroup.Dispose();
if (base.priceSessionID == null)
{
Session.sendToTarget(request, orderSessionID);
}
else
{
Session.sendToTarget(request, priceSessionID);
}
}
public override void Send(FIXMarketDataRequest Request)
{
//Console.WriteLine("REQUEST");
QuickFix42.MarketDataRequest request = new QuickFix42.MarketDataRequest(
new QuickFix.MDReqID(Request.MDReqID),
new QuickFix.SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT), //GS FIX
new QuickFix.MarketDepth(5)); //GS FIX
//request.set(new QuickFix.MDUpdateType(Request.MDUpdateType));
//request.set(new QuickFix.AggregatedBook(Request.AggregatedBook));
QuickFix42.MarketDataRequest.NoMDEntryTypes typeGroup;
typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
typeGroup.set(new MDEntryType(FIXMDEntryType.Bid));
request.addGroup(typeGroup);
typeGroup.Dispose();
typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
typeGroup.set(new MDEntryType(FIXMDEntryType.Offer));
request.addGroup(typeGroup);
typeGroup.Dispose();
typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
typeGroup.set(new MDEntryType(FIXMDEntryType.Trade));
request.addGroup(typeGroup);
typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.Open));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.Close));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.High));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
//typeGroup = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
//typeGroup.set(new MDEntryType(FIXMDEntryType.Low));
//request.addGroup(typeGroup);
//typeGroup.Dispose();
QuickFix42.MarketDataRequest.NoRelatedSym symGroup = new QuickFix42.MarketDataRequest.NoRelatedSym();
FIXRelatedSymGroup Group = Request.GetRelatedSymGroup(0);
symGroup.set(new QuickFix.Symbol(Group.Symbol.Substring(0, 6)));
if (Group.Symbol.StartsWith("60") || Group.Symbol.StartsWith("51"))
{
//order.set(new QuickFix.SecurityExchange("XSHG"));// 上海
symGroup.set(new QuickFix.SecurityExchange("SS"));// 上海
}
else if (Group.Symbol.StartsWith("00") || Group.Symbol.StartsWith("30") || Group.Symbol.StartsWith("15"))
{
//order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳
symGroup.set(new QuickFix.SecurityExchange("SZ"));// 深圳
}
//if (Group.ContainsField(EFIXField.SecurityType)) symGroup.set(new QuickFix.SecurityType(Group.SecurityType));
//if (Group.ContainsField(EFIXField.MaturityMonthYear)) symGroup.set(new QuickFix.MaturityMonthYear(Group.MaturityMonthYear));
//if (Group.ContainsField(EFIXField.MaturityDay )) symGroup.set(new QuickFix.MaturityDay (Group.MaturityDay ));
//if (Group.ContainsField(EFIXField.PutOrCall )) symGroup.set(new QuickFix.PutOrCall (Group.PutOrCall ));
//if (Group.ContainsField(EFIXField.StrikePrice)) symGroup.set(new QuickFix.StrikePrice(Group.StrikePrice));
//if (Group.ContainsField(EFIXField.OptAttribute)) symGroup.set(new QuickFix.OptAttribute(Group.OptAttribute));
//if (Group.ContainsField(EFIXField.SecurityID)) symGroup.set(new QuickFix.SecurityID(Group.SecurityID));
//if (Group.ContainsField(EFIXField.SecurityExchange)) symGroup.set(new QuickFix.SecurityExchange(Group.SecurityExchange));
request.addGroup(symGroup);
symGroup.Dispose();
if(base.priceSessionID == null)
Session.sendToTarget(request, orderSessionID);
else
Session.sendToTarget(request, priceSessionID);
}
public sealed override void onMessage(QuickFix42.MarketDataRequest message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
