/// <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()); }
}
