private static void ResolveMarketDataRequest(MarketDataRequest message, out Symbol symbol, out char bidAskObj, out string currencyCodeObj) { MDReqID mdReqId = new MDReqID(); message.Get(mdReqId); SubscriptionRequestType subType = new SubscriptionRequestType(); message.Get(subType); MarketDepth marketDepth = new MarketDepth(); message.Get(marketDepth); var symbolGroup = new FixSpec.MarketDataRequest.NoRelatedSymGroup(); message.GetGroup(1, symbolGroup); symbol = new Symbol(); symbolGroup.Get(symbol); FixSpec.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new FixSpec.MarketDataRequest.NoMDEntryTypesGroup(); message.GetGroup(1, marketDataEntryGroup); var mDEntryType = new MDEntryType(); marketDataEntryGroup.Get(mDEntryType); bidAskObj = mDEntryType.Obj; currencyCodeObj = symbol.Obj; var marketDepthObj = marketDepth.Obj; }
private FixSpec.MarketDataRequest QueryMarketDataRequest() { MDReqID mdReqId = new MDReqID("CLIAPP"); SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT); MarketDepth marketDepth = new MarketDepth(0); FixSpec.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new FixSpec.MarketDataRequest.NoMDEntryTypesGroup(); marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID)); var symbolGroup = new FixSpec.MarketDataRequest.NoRelatedSymGroup(); symbolGroup.Set(new Symbol("EURUSD")); var message = new FixSpec.MarketDataRequest(mdReqId, subType, marketDepth); message.AddGroup(marketDataEntryGroup); message.AddGroup(symbolGroup); return(message); }