/// <summary>
/// Creates and returns a new <see cref="MarketDataRequest"/> FIX message.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="marketDepth">The market depth.</param>
/// <param name="timeNow">The time now.</param>
/// <returns>The FIX message.</returns>
public static MarketDataRequest Create(string symbol, int marketDepth, ZonedDateTime timeNow)
{
Debug.NotEmptyOrWhiteSpace(symbol, nameof(symbol));
Debug.NotNegativeInt32(marketDepth, nameof(marketDepth));
Debug.NotDefault(timeNow, nameof(timeNow));
var marketDataEntryGroup1 = new MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup1.Set(new MDEntryType(MDEntryType.BID));
var marketDataEntryGroup2 = new MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup2.Set(new MDEntryType(MDEntryType.OFFER));
var symbolGroup = new MarketDataRequest.NoRelatedSymGroup();
symbolGroup.SetField(new Symbol(symbol));
var message = new MarketDataRequest(
new MDReqID($"MD_{timeNow.TickOfDay.ToString()}"),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
new MarketDepth(marketDepth));
message.Set(new MDUpdateType(0)); // val:1 to receive shortened message
message.AddGroup(marketDataEntryGroup1);
message.AddGroup(marketDataEntryGroup2);
message.Set(new NoRelatedSym(1));
message.AddGroup(symbolGroup);
return(message);
}
private static void addMDType(MarketDataRequest tickerRequest, char type)
{
MarketDataRequest.NoMDEntryTypesGroup g0 = new MarketDataRequest.NoMDEntryTypesGroup();
g0.Set(new MDEntryType(type));
tickerRequest.AddGroup(g0);
}
private static void addMDType(MarketDataRequest tickerRequest, char type)
{
MarketDataRequest.NoMDEntryTypesGroup g0 = new MarketDataRequest.NoMDEntryTypesGroup();
g0.Set(new MDEntryType(type));
tickerRequest.AddGroup(g0);
}
