public MarketDataRequest(
QuickFix.Fields.MDReqID aMDReqID,
QuickFix.Fields.SubscriptionRequestType aSubscriptionRequestType,
QuickFix.Fields.MarketDepth aMarketDepth
) : this()
{
this.MDReqID = aMDReqID;
this.SubscriptionRequestType = aSubscriptionRequestType;
this.MarketDepth = aMarketDepth;
}
public void Set(QuickFix.Fields.MarketDepth val)
{
this.MarketDepth = val;
}
public bool IsSet(QuickFix.Fields.MarketDepth val)
{
return(IsSetMarketDepth());
}
public QuickFix.Fields.MarketDepth Get(QuickFix.Fields.MarketDepth val)
{
GetField(val);
return(val);
}
public void Set(QuickFix.Fields.MarketDepth val)
{
this.MarketDepth = val;
}
private QuickFix.FIX44.MarketDataRequest QueryMarketDataRequest44()
{
MDReqID mdReqID = new MDReqID("MARKETDATAID");
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT);
MarketDepth marketDepth = new MarketDepth(0);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID));
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol("LNUX"));
QuickFix.FIX44.MarketDataRequest message = new QuickFix.FIX44.MarketDataRequest(mdReqID, subType, marketDepth);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
return message;
}
public QuickFix.FIX42.MarketDataRequest QueryMarketDataRequest42(string productName)
{
MDReqID mdReqID = new MDReqID("MARKETDATAID");
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES);
MarketDepth marketDepth = new MarketDepth(1);
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID));
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol(productName));
symbolGroup.Set(new SecurityExchange("*"));
symbolGroup.Set(new SecurityType(SecurityType.COMMON_STOCK));
QuickFix.FIX42.MarketDataRequest message = new QuickFix.FIX42.MarketDataRequest(mdReqID, subType, marketDepth);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
return message;
}