/// <summary>
/// Creates a FIX4.3 MarketDataRequest message.
/// </summary>
/// <param name="id"></param>
/// <param name="security"></param>
/// <param name="subscriptionType"></param>
/// <param name="depth"></param>
/// <returns></returns>
public QuickFix.FIX43.MarketDataRequest MarketDataRequest(string id, Security security, char subscriptionType, int depth)
{
QuickFix.FIX43.MarketDataRequest marketDataRequest = new QuickFix.FIX43.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);
// Indicates '2' requested fields i.e. OFFER/ASK and BID
QuickFix.Fields.NoMDEntryTypes noMdEntryType = new QuickFix.Fields.NoMDEntryTypes(2);
marketDataRequest.SetField(noMdEntryType);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(security.Symbol);
QuickFix.Fields.Product product = new QuickFix.Fields.Product(Product.Currency);
QuickFix.FIX43.MarketDataRequest.NoRelatedSymGroup relatedSymbols = new QuickFix.FIX43.MarketDataRequest.NoRelatedSymGroup();
relatedSymbols.SetField(symbol);
relatedSymbols.SetField(product);
marketDataRequest.AddGroup(relatedSymbols);
QuickFix.FIX43.MarketDataRequest.NoMDEntryTypesGroup mdEntryTypes = new QuickFix.FIX43.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);
}
/// <summary>
/// Creates a FIX4.3 MarketDataRequest message.
/// </summary>
/// <param name="id"></param>
/// <param name="security"></param>
/// <param name="subscriptionType"></param>
/// <param name="depth"></param>
/// <returns></returns>
public QuickFix.FIX43.MarketDataRequest MarketDataRequest(string id, Security security, char subscriptionType, int depth)
{
QuickFix.FIX43.MarketDataRequest marketDataRequest = new QuickFix.FIX43.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.FIX43.MarketDataRequest.NoRelatedSymGroup relatedSymbols = new QuickFix.FIX43.MarketDataRequest.NoRelatedSymGroup();
relatedSymbols.SetField(symbol);
marketDataRequest.AddGroup(relatedSymbols);
QuickFix.FIX43.MarketDataRequest.NoMDEntryTypesGroup mdEntryTypes = new QuickFix.FIX43.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);
}