/**
* 现场交易请求
* @return
*/
public static Message createLiveTradesRequest()
{
QuickFix.FIX44.MarketDataRequest liveTradesRequest = new QuickFix.FIX44.MarketDataRequest();
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
// noRelatedSym.Set(new Symbol("LTC/USD"));
noRelatedSym.Set(new Symbol("LTC/CNY"));
liveTradesRequest.AddGroup(noRelatedSym);
liveTradesRequest.Set(new MDReqID("123"));
liveTradesRequest.Set(new SubscriptionRequestType('1'));
liveTradesRequest.Set(new MarketDepth(0));
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group.Set(new MDEntryType('2'));
liveTradesRequest.AddGroup(group);
return liveTradesRequest;
}
/**
* 24h行情请求
* @return
*/
public static Message create24HTickerRequest()
{
QuickFix.FIX44.MarketDataRequest tickerRequest = new QuickFix.FIX44.MarketDataRequest();
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
//noRelatedSym.Set(new Symbol("BTC/CNY"));
noRelatedSym.Set(new Symbol("BTC/CNY"));
tickerRequest.AddGroup(noRelatedSym);
tickerRequest.Set(new MDReqID("123"));
tickerRequest.Set(new SubscriptionRequestType('1'));
tickerRequest.Set(new MarketDepth(0));
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group1 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group1.Set(new MDEntryType('4'));
tickerRequest.AddGroup(group1);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group2 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group2.Set(new MDEntryType('5'));
tickerRequest.AddGroup(group2);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group3 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group3.Set(new MDEntryType('7'));
tickerRequest.AddGroup(group3);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group4 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group4.Set(new MDEntryType('8'));
tickerRequest.AddGroup(group4);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group5 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group5.Set(new MDEntryType('9'));
tickerRequest.AddGroup(group5);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group6 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group6.Set(new MDEntryType('B'));
tickerRequest.AddGroup(group6);
return tickerRequest;
}
public static Message CreateLiveTradesRequest()
{
QuickFix.FIX44.MarketDataRequest liveTradesRequest = new QuickFix.FIX44.MarketDataRequest();
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
noRelatedSym.Set(TradeSymbol);
liveTradesRequest.AddGroup(noRelatedSym);
liveTradesRequest.Set(new MDReqID(GetFreeID));
liveTradesRequest.Set(new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES));
liveTradesRequest.Set(new MDUpdateType(MDUpdateType.INCREMENTAL_REFRESH));
liveTradesRequest.Set(new MarketDepth(0));
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group.Set(new MDEntryType(MDEntryType.TRADE));
liveTradesRequest.AddGroup(group);
return(liveTradesRequest);
}
/**
* 现场交易请求
* @return
*/
public static Message createLiveTradesRequest()
{
QuickFix.FIX44.MarketDataRequest liveTradesRequest = new QuickFix.FIX44.MarketDataRequest();
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
// noRelatedSym.Set(new Symbol("LTC/USD"));
noRelatedSym.Set(new Symbol("LTC/CNY"));
liveTradesRequest.AddGroup(noRelatedSym);
liveTradesRequest.Set(new MDReqID("123"));
liveTradesRequest.Set(new SubscriptionRequestType('1'));
liveTradesRequest.Set(new MarketDepth(0));
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group.Set(new MDEntryType('2'));
liveTradesRequest.AddGroup(group);
return(liveTradesRequest);
}
/**
* 24h行情请求
* @return
*/
public static Message create24HTickerRequest()
{
QuickFix.FIX44.MarketDataRequest tickerRequest = new QuickFix.FIX44.MarketDataRequest();
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
//noRelatedSym.Set(new Symbol("BTC/CNY"));
noRelatedSym.Set(new Symbol("BTC/CNY"));
tickerRequest.AddGroup(noRelatedSym);
tickerRequest.Set(new MDReqID("123"));
tickerRequest.Set(new SubscriptionRequestType('1'));
tickerRequest.Set(new MarketDepth(0));
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group1 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group1.Set(new MDEntryType('4'));
tickerRequest.AddGroup(group1);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group2 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group2.Set(new MDEntryType('5'));
tickerRequest.AddGroup(group2);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group3 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group3.Set(new MDEntryType('7'));
tickerRequest.AddGroup(group3);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group4 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group4.Set(new MDEntryType('8'));
tickerRequest.AddGroup(group4);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group5 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group5.Set(new MDEntryType('9'));
tickerRequest.AddGroup(group5);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group6 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group6.Set(new MDEntryType('B'));
tickerRequest.AddGroup(group6);
return(tickerRequest);
}
public static Message Create24HTickerRequest()
{
QuickFix.FIX44.MarketDataRequest tickerRequest = new QuickFix.FIX44.MarketDataRequest();
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
noRelatedSym.Set(TradeSymbol);
tickerRequest.AddGroup(noRelatedSym);
tickerRequest.Set(new MDReqID(GetFreeID));
tickerRequest.Set(new SubscriptionRequestType('1'));
tickerRequest.Set(new MarketDepth(0));
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group1 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group1.Set(new MDEntryType(MDEntryType.OPENING_PRICE));
tickerRequest.AddGroup(group1);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group2 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group2.Set(new MDEntryType(MDEntryType.CLOSING_PRICE));
tickerRequest.AddGroup(group2);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group3 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group3.Set(new MDEntryType(MDEntryType.TRADING_SESSION_HIGH_PRICE));
tickerRequest.AddGroup(group3);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group4 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group4.Set(new MDEntryType(MDEntryType.TRADING_SESSION_LOW_PRICE));
tickerRequest.AddGroup(group4);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group5 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group5.Set(new MDEntryType(MDEntryType.TRADING_SESSION_VWAP_PRICE));
tickerRequest.AddGroup(group5);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group6 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group6.Set(new MDEntryType(MDEntryType.TRADE_VOLUME));
tickerRequest.AddGroup(group6);
return(tickerRequest);
}
public static Message CreateOrderBookRequest(int depth = 0)
{
QuickFix.FIX44.MarketDataRequest orderBookRequest = new QuickFix.FIX44.MarketDataRequest();
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
noRelatedSym.Set(TradeSymbol);
orderBookRequest.AddGroup(noRelatedSym);
orderBookRequest.Set(new MDReqID(GetFreeID));
orderBookRequest.Set(new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES));
orderBookRequest.Set(new MDUpdateType(MDUpdateType.INCREMENTAL_REFRESH));
orderBookRequest.Set(new MarketDepth(depth)); // 0 means full book
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup bid = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
bid.Set(new MDEntryType(MDEntryType.BID));
orderBookRequest.AddGroup(bid);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup offer = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
offer.Set(new MDEntryType(MDEntryType.OFFER));
orderBookRequest.AddGroup(offer);
return(orderBookRequest);
}
/**
* 订单数据
* @return
*/
public static Message createOrderBookRequest()
{
QuickFix.FIX44.MarketDataRequest orderBookRequest = new QuickFix.FIX44.MarketDataRequest();
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
noRelatedSym.Set(new Symbol("BTC/CNY"));
orderBookRequest.AddGroup(noRelatedSym);
orderBookRequest.Set(new MDReqID("123"));
orderBookRequest.Set(new SubscriptionRequestType('1'));
orderBookRequest.Set(new MDUpdateType(1));//0全部 。1增量
orderBookRequest.Set(new MarketDepth(0));
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group1 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group1.Set(new MDEntryType('0'));
orderBookRequest.AddGroup(group1);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group2 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group2.Set(new MDEntryType('1'));
orderBookRequest.AddGroup(group2);
return(orderBookRequest);
}
/**
* 订单数据
* @return
*/
public static Message createOrderBookRequest()
{
QuickFix.FIX44.MarketDataRequest orderBookRequest = new QuickFix.FIX44.MarketDataRequest();
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
noRelatedSym.Set(new Symbol("BTC/CNY"));
orderBookRequest.AddGroup(noRelatedSym);
orderBookRequest.Set(new MDReqID("123"));
orderBookRequest.Set(new SubscriptionRequestType('1'));
orderBookRequest.Set(new MDUpdateType(1));//0全部 。1增量
orderBookRequest.Set(new MarketDepth(0));
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group1 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group1.Set(new MDEntryType('0'));
orderBookRequest.AddGroup(group1);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup group2 = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
group2.Set(new MDEntryType('1'));
orderBookRequest.AddGroup(group2);
return orderBookRequest;
}
