public void OnMessage(QuickFix.FIX42.MarketDataSnapshotFullRefresh marketDataSnapshot, SessionID session) { MarketPrice marketPrice = new MarketPrice(); marketPrice.Symbol = marketDataSnapshot.Symbol.getValue(); var nomdentries = marketDataSnapshot.NoMDEntries; // message.GetGroup(1, noMdEntries); var grp = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup(); for (int i = 1; i <= nomdentries.getValue(); i++) { grp = (QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup)marketDataSnapshot.GetGroup(i, grp); // var grp = marketDataSnapshot.GetGroup(i, new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup()) as QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup; MDEntryType priceType = grp.Get(new MDEntryType()); MDEntryPx mdEntryPx = grp.Get(new MDEntryPx()); if (priceType.getValue() == MDEntryType.BID) { marketPrice.Bid = mdEntryPx.getValue(); } else if (priceType.getValue() == MDEntryType.OFFER) { marketPrice.Offer = mdEntryPx.getValue(); } else if (priceType.getValue() == MDEntryType.TRADE) { marketPrice.TradedPrice = mdEntryPx.getValue(); } else if (priceType.getValue() == MDEntryType.TRADING_SESSION_LOW_PRICE) { marketPrice.LowPx = mdEntryPx.getValue(); } else if (priceType.getValue() == MDEntryType.TRADING_SESSION_HIGH_PRICE) { marketPrice.HighPx = mdEntryPx.getValue(); } } if (OnMarketPrice != null) { OnMarketPrice(marketPrice); } }