/**
* 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;
}
private void MarketDataRequestFullOrderbookIncremential(string[] symbol_ids)
{
Console.WriteLine($"Sending MarketDataRequest with {symbol_ids.Length} items.");
QuickFix.FIX44.MarketDataRequest mdr = new QuickFix.FIX44.MarketDataRequest();
mdr.MDReqID = new MDReqID(Guid.NewGuid().ToString());
mdr.SubscriptionRequestType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES);
mdr.MarketDepth = new MarketDepth(0);
mdr.MDUpdateType = new MDUpdateType(MDUpdateType.INCREMENTAL_REFRESH);
{
var type = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
type.MDEntryType = new MDEntryType(MDEntryType.BID);
mdr.AddGroup(type);
}
{
var type = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
type.MDEntryType = new MDEntryType(MDEntryType.OFFER);
mdr.AddGroup(type);
}
foreach (var symbol_id in symbol_ids)
{
var relatedsym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
relatedsym.Symbol = new Symbol(symbol_id);
mdr.AddGroup(relatedsym);
}
SendMessage(mdr);
}
private void MarketDataRequestQuotes(string[] symbol_ids)
{
QuickFix.FIX44.MarketDataRequest mdr = new QuickFix.FIX44.MarketDataRequest();
mdr.MDReqID = new MDReqID(Guid.NewGuid().ToString());
mdr.SubscriptionRequestType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES);
mdr.MarketDepth = new MarketDepth(1);
mdr.MDUpdateType = new MDUpdateType(MDUpdateType.FULL_REFRESH);
{
var type = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
type.MDEntryType = new MDEntryType(MDEntryType.BID);
mdr.AddGroup(type);
}
{
var type = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
type.MDEntryType = new MDEntryType(MDEntryType.OFFER);
mdr.AddGroup(type);
}
foreach (var symbol_id in symbol_ids)
{
var relatedsym = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
relatedsym.Symbol = new Symbol(symbol_id);
mdr.AddGroup(relatedsym);
}
SendMessage(mdr);
}
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");
}
public Task SendMarketDataRequest(string symbol, string exchange, Action <string> progressHandler)
{
return(Task.Run(() =>
{
//Create object of Security Definition
QuickFix.FIX44.MarketDataRequest securityDefinition = new QuickFix.FIX44.MarketDataRequest
{
MDReqID = new MDReqID(Guid.NewGuid().ToString()),
SubscriptionRequestType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
MarketDepth = new MarketDepth(1),
MDUpdateType = new MDUpdateType(0)
};
var noMDEntryTypes = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
noMDEntryTypes.Set(new MDEntryType(MDEntryType.BID)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.OFFER)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.TRADE)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.OPENING_PRICE)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.SETTLEMENT_PRICE)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.TRADING_SESSION_HIGH_PRICE)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.TRADING_SESSION_LOW_PRICE)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.TRADE_VOLUME)); securityDefinition.AddGroup(noMDEntryTypes);
noMDEntryTypes.Set(new MDEntryType(MDEntryType.OPEN_INTEREST)); securityDefinition.AddGroup(noMDEntryTypes);
securityDefinition.NoRelatedSym = new NoRelatedSym(1);
var relatedSymbol = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
relatedSymbol.Set(new Symbol(symbol));
relatedSymbol.Set(new SecurityExchange(exchange));
securityDefinition.AddGroup(relatedSymbol);
Session.SendToTarget(securityDefinition, _currentSessionId);
progressHandler("Sent MarketData Request");
}));
}
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);
}
}
public void RepeatingGroup_FieldOrder()
{
QuickFix.FIX44.MarketDataRequest msg = new QuickFix.FIX44.MarketDataRequest();
msg.MDReqID = new MDReqID("fooMdReqID");
msg.SubscriptionRequestType = new SubscriptionRequestType('1');
msg.MarketDepth = new MarketDepth(0);
// this group is irrelevant to the test, but it's required in the message
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup entryTypesGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
entryTypesGroup.MDEntryType = new MDEntryType('0');
msg.AddGroup(entryTypesGroup);
entryTypesGroup.MDEntryType = new MDEntryType('1');
msg.AddGroup(entryTypesGroup);
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
// spec order of fields is 55,65,48,22
symGroup.Symbol = new Symbol("FOO1");
symGroup.SymbolSfx = new SymbolSfx("sfx1");
symGroup.SecurityID = new SecurityID("secid1");
symGroup.SecurityIDSource = new SecurityIDSource("src1");
msg.AddGroup(symGroup);
symGroup.Symbol = new Symbol("FOO2");
symGroup.SymbolSfx = new SymbolSfx("sfx2");
symGroup.SecurityID = new SecurityID("secid2");
symGroup.SecurityIDSource = new SecurityIDSource("src2");
msg.AddGroup(symGroup);
string msgString = msg.ToString();
string expected = String.Join(Message.SOH, new string[] { "146=2",
"55=FOO1", "65=sfx1", "48=secid1", "22=src1",
"55=FOO2", "65=sfx2", "48=secid2", "22=src2", });
StringAssert.Contains(expected, msgString);
}
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);
}
private QuickFix.FIX44.MarketDataRequest QueryMarketDataRequest44()
{
MDReqID mdReqID = new MDReqID("MARKETDATAID");
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT);
MarketDepth marketDepth = new MarketDepth(0);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID));
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol("LNUX"));
QuickFix.FIX44.MarketDataRequest message = new QuickFix.FIX44.MarketDataRequest(mdReqID, subType, marketDepth);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
return(message);
}
/**
* 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);
}
/// <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);
}
private QuickFix.FIX44.MarketDataRequest QueryMarketDataRequest44()
{
MDReqID mdReqID = new MDReqID("MARKETDATAID");
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT);
MarketDepth marketDepth = new MarketDepth(0);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID));
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol("LNUX"));
QuickFix.FIX44.MarketDataRequest message = new QuickFix.FIX44.MarketDataRequest(mdReqID, subType, marketDepth);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
return message;
}
public void RepeatingGroup_DelimiterFieldFirst()
{
QuickFix.FIX44.MarketDataRequest msg = new QuickFix.FIX44.MarketDataRequest();
msg.MDReqID = new MDReqID("fooMdReqID");
msg.SubscriptionRequestType = new SubscriptionRequestType('1');
msg.MarketDepth = new MarketDepth(0);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup entryTypesGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
entryTypesGroup.MDEntryType = new MDEntryType('0');
msg.AddGroup(entryTypesGroup);
entryTypesGroup.MDEntryType = new MDEntryType('1');
msg.AddGroup(entryTypesGroup);
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
symGroup.Symbol = new Symbol("FOO1");
symGroup.SecurityID = new SecurityID("secid1");
msg.AddGroup(symGroup);
symGroup.Symbol = new Symbol("FOO2");
symGroup.SecurityID = new SecurityID("secid2");
msg.AddGroup(symGroup);
string msgString = msg.ToString();
string expected = String.Join(Message.SOH, new string[] { "146=2", "55=FOO1", "48=secid1", "55=FOO2", "48=secid2" });
StringAssert.Contains(expected, msgString);
}
/**
* 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;
}
public void RepeatingGroup_FieldOrder()
{
QuickFix.FIX44.MarketDataRequest msg = new QuickFix.FIX44.MarketDataRequest();
msg.MDReqID = new MDReqID("fooMdReqID");
msg.SubscriptionRequestType = new SubscriptionRequestType('1');
msg.MarketDepth = new MarketDepth(0);
// this group is irrelevant to the test, but it's required in the message
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup entryTypesGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
entryTypesGroup.MDEntryType = new MDEntryType('0');
msg.AddGroup(entryTypesGroup);
entryTypesGroup.MDEntryType = new MDEntryType('1');
msg.AddGroup(entryTypesGroup);
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
// spec order of fields is 55,65,48,22
symGroup.Symbol = new Symbol("FOO1");
symGroup.SymbolSfx = new SymbolSfx("sfx1");
symGroup.SecurityID = new SecurityID("secid1");
symGroup.SecurityIDSource = new SecurityIDSource("src1");
msg.AddGroup(symGroup);
symGroup.Symbol = new Symbol("FOO2");
symGroup.SymbolSfx = new SymbolSfx("sfx2");
symGroup.SecurityID = new SecurityID("secid2");
symGroup.SecurityIDSource = new SecurityIDSource("src2");
msg.AddGroup(symGroup);
string msgString = msg.ToString();
string expected = String.Join(Message.SOH, new string[] { "146=2",
"55=FOO1", "65=sfx1", "48=secid1", "22=src1",
"55=FOO2", "65=sfx2", "48=secid2", "22=src2",
});
StringAssert.Contains(expected, msgString);
}