private static void ResolveMarketDataRequest(MarketDataRequest message, out Symbol symbol, out char bidAskObj, out string currencyCodeObj)
{
MDReqID mdReqId = new MDReqID();
message.Get(mdReqId);
SubscriptionRequestType subType = new SubscriptionRequestType();
message.Get(subType);
MarketDepth marketDepth = new MarketDepth();
message.Get(marketDepth);
var symbolGroup = new FixSpec.MarketDataRequest.NoRelatedSymGroup();
message.GetGroup(1, symbolGroup);
symbol = new Symbol();
symbolGroup.Get(symbol);
FixSpec.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new FixSpec.MarketDataRequest.NoMDEntryTypesGroup();
message.GetGroup(1, marketDataEntryGroup);
var mDEntryType = new MDEntryType();
marketDataEntryGroup.Get(mDEntryType);
bidAskObj = mDEntryType.Obj;
currencyCodeObj = symbol.Obj;
var marketDepthObj = marketDepth.Obj;
}
private FixSpec.MarketDataRequest QueryMarketDataRequest()
{
MDReqID mdReqId = new MDReqID("CLIAPP");
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT);
MarketDepth marketDepth = new MarketDepth(0);
FixSpec.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new FixSpec.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID));
var symbolGroup = new FixSpec.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol("EURUSD"));
var message = new FixSpec.MarketDataRequest(mdReqId, subType, marketDepth);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
return(message);
}
