public void MarketDataRequest(QuickFix42.SecurityDefinition securityDefinition, SessionID sessionID)
{
QuickFix42.MarketDataRequest marketDataRequest =
new QuickFix42.MarketDataRequest(new MDReqID(DateTime.Now.ToString()),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
new MarketDepth(1));
marketDataRequest.setField(new MDUpdateType(MDUpdateType.FULL_REFRESH));
marketDataRequest.setField(new AggregatedBook(true));
QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupBid = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
marketDataEntyGroupBid.set(new MDEntryType(MDEntryType.BID));
marketDataRequest.addGroup(marketDataEntyGroupBid);
QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupOffer = new QuickFix42.MarketDataRequest.NoMDEntryTypes();
marketDataEntyGroupOffer.set(new MDEntryType(MDEntryType.OFFER));
marketDataRequest.addGroup(marketDataEntyGroupOffer);
/** Create Component Block NoRelatedSym */
QuickFix42.MarketDataRequest.NoRelatedSym noRelatedSym = new QuickFix42.MarketDataRequest.NoRelatedSym();
SecurityExchange securityExchange = new SecurityExchange();
securityDefinition.getField(securityExchange);
noRelatedSym.setField(securityExchange);
SecurityType securityType = new SecurityType();
securityDefinition.getField(securityType);
noRelatedSym.setField(securityType);
Symbol symbol = new Symbol();
securityDefinition.getField(symbol);
noRelatedSym.setField(symbol);
SecurityID securityId = new SecurityID();
securityDefinition.getField(securityId);
noRelatedSym.setField(securityId);
marketDataRequest.addGroup(noRelatedSym);
Session.sendToTarget(marketDataRequest, sessionID);
}
public virtual void onMessage( MarketDataRequest message, QuickFix.SessionID session )
{ throw new QuickFix.UnsupportedMessageType(); }
public virtual void onMessage(MarketDataRequest message, QuickFix.SessionID session)
{
throw new QuickFix.UnsupportedMessageType();
}
