private void OnMessage(QuickFix.FIX42.MarketDataRequest m, SessionID s)
{
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
m.GetGroup(1, symbolGroup);
string symbolName = symbolGroup.Get(new Symbol()).getValue();
string mdRequestId = m.MDReqID.ToString();
if (!m_ProductSubscription.ContainsKey(symbolName)) {
bool fullSpeed = symbolName.StartsWith("B");
Console.WriteLine("Subscribe : " + symbolName + ". Full Speed: " + fullSpeed);
QuotePublisher publisher = new QuotePublisher(symbolName, mdRequestId, fullSpeed, s);
m_ProductSubscription.Add(symbolName, publisher);
}
}
private void sendFuturesMarketDataRequest(Model.OrderModel orderModel)
{
var mdrq = new QuickFix.FIX42.MarketDataRequest(
new MDReqID(orderModel.messageId), //DateTime.Now.ToOADate().ToString()),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT),
new MarketDepth(1)
);
mdrq.AggregatedBook =
new AggregatedBook(AggregatedBook.ONE_BOOK_ENTRY_PER_SIDE_PER_PRICE);
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup entryTypeGroups =
new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
entryTypeGroups.MDEntryType = new MDEntryType(MDEntryType.BID);
mdrq.AddGroup(entryTypeGroups);
entryTypeGroups.MDEntryType = new MDEntryType(MDEntryType.OFFER);
mdrq.AddGroup(entryTypeGroups);
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
//symGroup.Symbol = new Symbol("FOO1");
//symGroup.SecurityID = new SecurityID("secid1");
symGroup.Symbol = new Symbol(orderModel.underlyingExchangeSymbol);
symGroup.SecurityType = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.securityType);
symGroup.SecurityExchange = new SecurityExchange(orderModel.underlyingExchange);
symGroup.MaturityMonthYear = new MaturityMonthYear(orderModel.maturityMonthYear);
mdrq.AddGroup(symGroup);
//mdrq.MDUpdateType = new MDUpdateType(MDEntryType.BID);
//mdrq.MDUpdateType = new MDUpdateType(MDEntryType.OFFER);
//mdrq.NoRelatedSym = new NoRelatedSym(1);
if (_fixConnectionSystem.InitiatorRunning && _connectionViewModel.IsPriceConnected)
{
Thread sendToTargetThreading = new Thread(new ParameterizedThreadStart(sendToMarketDataRequestToTarget));
sendToTargetThreading.IsBackground = true;
sendToTargetThreading.Start(mdrq);
//QuickFix.Session.SendToTarget(mdrq, _fixConnectionSystem.priceSession.SessionID);
}
}
private void OnMessage(QuickFix.FIX42.MarketDataRequest m, SessionID s)
{
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
m.GetGroup(1, symbolGroup);
string symbolName = symbolGroup.Get(new Symbol()).getValue();
string mdRequestId = m.MDReqID.ToString();
if (!m_ProductSubscription.ContainsKey(symbolName))
{
bool fullSpeed = symbolName.StartsWith("B");
Console.WriteLine("Subscribe : " + symbolName + ". Full Speed: " + fullSpeed);
QuotePublisher publisher = new QuotePublisher(symbolName, mdRequestId, fullSpeed, s);
m_ProductSubscription.Add(symbolName, publisher);
}
}
/// <summary>
/// Creates a FIX4.2 MarketDataRequest message.
/// </summary>
/// <param name="id"></param>
/// <param name="security"></param>
/// <param name="subscriptionType"></param>
/// <param name="depth"></param>
/// <returns></returns>
public QuickFix.FIX42.MarketDataRequest MarketDataRequest(string id, Security security, char subscriptionType, int depth)
{
QuickFix.FIX42.MarketDataRequest marketDataRequest = new QuickFix.FIX42.MarketDataRequest();
QuickFix.Fields.SenderSubID senderSubId = new QuickFix.Fields.SenderSubID(this._senderSubId);
marketDataRequest.SetField(senderSubId);
QuickFix.Fields.DeliverToCompID deliverToCompId = new QuickFix.Fields.DeliverToCompID(this._deliverToCompId);
marketDataRequest.SetField(deliverToCompId);
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.AggregatedBook aggregatedBook = new QuickFix.Fields.AggregatedBook(true);
marketDataRequest.SetField(aggregatedBook);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(security.Symbol);
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup relatedSymbols = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
relatedSymbols.SetField(symbol);
marketDataRequest.AddGroup(relatedSymbols);
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup mdEntryTypes = new QuickFix.FIX42.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);
}
public QuickFix.FIX42.MarketDataRequest QueryMarketDataRequest42(string productName)
{
MDReqID mdReqID = new MDReqID("MARKETDATAID");
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES);
MarketDepth marketDepth = new MarketDepth(1);
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID));
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol(productName));
symbolGroup.Set(new SecurityExchange("*"));
symbolGroup.Set(new SecurityType(SecurityType.COMMON_STOCK));
QuickFix.FIX42.MarketDataRequest message = new QuickFix.FIX42.MarketDataRequest(mdReqID, subType, marketDepth);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
return(message);
}
private QuickFix.FIX42.MarketDataRequest QueryMarketDataRequest42()
{
MDReqID mdReqID = new MDReqID("MARKETDATAID");
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT);
MarketDepth marketDepth = new MarketDepth(0);
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID));
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol("LNUX"));
QuickFix.FIX42.MarketDataRequest message = new QuickFix.FIX42.MarketDataRequest(mdReqID, subType, marketDepth);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
QueryHeader(message.Header);
Console.WriteLine(message.ToString());
return(message);
}
public Task SendMarketDataRequest(string symbol, string exchange, Action <string> progressHandler)
{
return(Task.Run(() =>
{
//Create object of Security Definition
QuickFix.FIX42.MarketDataRequest securityDefinition = new QuickFix.FIX42.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.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
var mdEntryType_bid = new MDEntryType(MDEntryType.BID);
noMDEntryTypes.Set(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.FIX42.MarketDataRequest.NoRelatedSymGroup();
relatedSymbol.Set(new Symbol(symbol));
relatedSymbol.Set(new SecurityExchange(exchange));
securityDefinition.AddGroup(relatedSymbol);
Session.SendToTarget(securityDefinition, _currentSessionId);
progressHandler("Sent MarketData Request");
}));
}
/// <summary>
/// Request Bid and offer prices subscription for a specific contract.
/// </summary>
/// <param name="SecEx">Exchange</param>
/// <param name="symbol">Exchange symbol for contract</param>
/// <param name="secID">unique identifier supplied by the exchnage for this contract
/// For eurex this is the ticker and expiration</param>
public void ttMarketDataRequest(string SecEx, string symbol, string secID)
{
try
{
QuickFix.FIX42.MarketDataRequest mdr = new QuickFix.FIX42.MarketDataRequest();
mdr.Set(new QuickFix.Fields.MDReqID(string.Concat(SecEx, ":", symbol, ":", secID)));
mdr.Set(new QuickFix.Fields.SubscriptionRequestType(QuickFix.Fields.SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES));
mdr.Set(new QuickFix.Fields.MDUpdateType(QuickFix.Fields.MDUpdateType.FULL_REFRESH)); //required if above type is SNAPSHOT_PLUS_UPDATES
mdr.Set(new QuickFix.Fields.MarketDepth(1));
mdr.Set(new QuickFix.Fields.AggregatedBook(true));
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup tgroup = new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
tgroup.Set(new QuickFix.Fields.MDEntryType(QuickFix.Fields.MDEntryType.BID));
mdr.AddGroup(tgroup);
tgroup.Set(new QuickFix.Fields.MDEntryType(QuickFix.Fields.MDEntryType.OFFER));
mdr.AddGroup(tgroup);
//tgroup.Set(new QuickFix.Fields.MDEntryType(QuickFix.Fields.MDEntryType.TRADE));
//mdr.addGroup(tgroup);
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup sgroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
sgroup.Set(new QuickFix.Fields.SecurityExchange(SecEx));
sgroup.Set(new QuickFix.Fields.Symbol(symbol));
sgroup.Set(new QuickFix.Fields.SecurityID(secID));
mdr.AddGroup(sgroup);
QuickFix.Session.SendToTarget(mdr, priceSessionID);
}
catch (Exception ex)
{ log.WriteLog(ex.ToString()); }
}
private QuickFix.FIX42.MarketDataRequest QueryMarketDataRequest42()
{
MDReqID mdReqID = new MDReqID( "MARKETDATAID" );
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT);
MarketDepth marketDepth = new MarketDepth(0);
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set( new MDEntryType(MDEntryType.BID) );
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol("LNUX"));
QuickFix.FIX42.MarketDataRequest message = new QuickFix.FIX42.MarketDataRequest( mdReqID, subType, marketDepth );
message.AddGroup( marketDataEntryGroup );
message.AddGroup( symbolGroup );
QueryHeader( message.Header );
Console.WriteLine(message.ToString());
return message;
}
public QuickFix.FIX42.MarketDataRequest QueryMarketDataRequest42(string productName)
{
MDReqID mdReqID = new MDReqID("MARKETDATAID");
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES);
MarketDepth marketDepth = new MarketDepth(1);
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID));
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol(productName));
symbolGroup.Set(new SecurityExchange("*"));
symbolGroup.Set(new SecurityType(SecurityType.COMMON_STOCK));
QuickFix.FIX42.MarketDataRequest message = new QuickFix.FIX42.MarketDataRequest(mdReqID, subType, marketDepth);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
return message;
}
