public void SubscribeMarketData(string symbol, string reqID)
{
MDReqID mdReqID = new MDReqID(reqID);
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES);
MarketDepth marketDepth = new MarketDepth(1);
MDUpdateType mdUpdateType = new MDUpdateType(0);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.SetField(new MDEntryType(MDEntryType.BID));
marketDataEntryGroup.SetField(new MDEntryType(MDEntryType.OFFER));
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol(symbol));
QuickFix.FIX44.MarketDataRequest message = new QuickFix.FIX44.MarketDataRequest();
message.SetField(mdReqID);
message.SetField(subType);
message.SetField(marketDepth);
message.SetField(mdUpdateType);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
if (m_SessionID != null)
{
Session.SendToTarget(message, m_SessionID);
}
}
private void QueryMarketDataRequest()
{
QuickFix.FIX44.MarketDataRequest result = new QuickFix.FIX44.MarketDataRequest();
result.SetField(new MDReqID(DateTime.Now.Millisecond.ToString()));
var noContraBrokersGroup = new QuickFix.FIX44.ExecutionReport.NoContraBrokersGroup();
noContraBrokersGroup.Set(QueryPool());
result.AddGroup(noContraBrokersGroup);
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
symGroup.SetField(QuerySymbol());
symGroup.SetField(new MDUpdateType(MDUpdateType.INCREMENTAL_REFRESH));
symGroup.SetField(new MarketDepth(0));
symGroup.SetField(new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES));
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup typesGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
typesGroup.SetField(new MDEntryType(MDEntryType.BID));
result.AddGroup(typesGroup);
typesGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
typesGroup.SetField(new MDEntryType(MDEntryType.OFFER));
result.AddGroup(symGroup);
Console.WriteLine(result);
SendMessage(result, ".MD");
}
/// <summary>
/// Creates a FIX4.4 MarketDataRequest message.
/// </summary>
/// <param name="id"></param>
/// <param name="security"></param>
/// <param name="subscriptionType"></param>
/// <param name="depth"></param>
/// <returns></returns>
public QuickFix.FIX44.MarketDataRequest MarketDataRequest(string id, Security security, char subscriptionType, int depth)
{
QuickFix.FIX44.MarketDataRequest marketDataRequest = new QuickFix.FIX44.MarketDataRequest();
QuickFix.Fields.NoRelatedSym noRelatedSym = new QuickFix.Fields.NoRelatedSym(1);
marketDataRequest.SetField(noRelatedSym);
QuickFix.Fields.MDReqID mdReqId = new QuickFix.Fields.MDReqID(id);
marketDataRequest.SetField(mdReqId);
QuickFix.Fields.SubscriptionRequestType subscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType(subscriptionType);
marketDataRequest.SetField(subscriptionRequestType);
QuickFix.Fields.MarketDepth marketDepth = new QuickFix.Fields.MarketDepth(depth);
marketDataRequest.SetField(marketDepth);
QuickFix.Fields.MDUpdateType mdUpdateType = new QuickFix.Fields.MDUpdateType(MarketDataUpdateType.FullRefresh);
marketDataRequest.SetField(mdUpdateType);
QuickFix.Fields.NoMDEntryTypes noMdEntryType = new QuickFix.Fields.NoMDEntryTypes(2);
marketDataRequest.SetField(noMdEntryType);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(security.Symbol);
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup relatedSymbols = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
relatedSymbols.SetField(symbol);
marketDataRequest.AddGroup(relatedSymbols);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup mdEntryTypes = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
{
mdEntryTypes.SetField(new QuickFix.Fields.MDEntryType(MarketDataEntryType.Bid));
marketDataRequest.AddGroup(mdEntryTypes);
mdEntryTypes.SetField(new QuickFix.Fields.MDEntryType(MarketDataEntryType.Offer));
marketDataRequest.AddGroup(mdEntryTypes);
}
return(marketDataRequest);
}