public static MarketDataRequest MakeMarketDataRequest()
{
//let ms = System.DateTimeOffset.Now.ToUnixTimeMilliseconds()
//let mdr = MkMarketDataRequest(
// MDReqID(sprintf "MDRQ-%d" ms),
// SubscriptionRequestType.SnapshotPlusUpdates,
// MarketDepth 1,
// [MDEntryType.Bid; MDEntryType.Offer] |> List.map MkNoMDEntryTypesGrp,
// [MkInstrument(Fix44.Fields.Symbol "EUR/USD")] |> List.map MkMarketDataRequestNoRelatedSymGrp
// )
var msg = new MarketDataRequest();
//var ms = System.DateTimeOffset.Now.ToUnixTimeMilliseconds();
var ms = 1489416392996;
msg.MDReqID = new MDReqID($"MDRQ-{ms}");
msg.SubscriptionRequestType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES);
msg.MarketDepth = new MarketDepth(1);
var entryTypesGroup = new MarketDataRequest.NoMDEntryTypesGroup();
entryTypesGroup.MDEntryType = new MDEntryType(MDEntryType.BID);
msg.AddGroup(entryTypesGroup);
entryTypesGroup.MDEntryType = new MDEntryType(MDEntryType.OFFER);
msg.AddGroup(entryTypesGroup);
var symGroup = new MarketDataRequest.NoRelatedSymGroup();
symGroup.Symbol = new Symbol("EUR/USD");
msg.AddGroup(symGroup);
return(msg);
}
public MarketDataRequest unsubscribeIncrementalRequest(string symbol)
{
MarketDataRequest tickerRequest = new MarketDataRequest();
MarketDataRequest.NoRelatedSymGroup symbolGroup = new MarketDataRequest.NoRelatedSymGroup();
symbolGroup.SetField(new Symbol(symbol));
tickerRequest.AddGroup(symbolGroup);
tickerRequest.Set(new MDReqID("123"));
tickerRequest.Set(new SubscriptionRequestType('2'));
tickerRequest.Set(new MarketDepth(0));
addMDType(tickerRequest, '0');
addMDType(tickerRequest, '1');
addMDType(tickerRequest, '2');
addMDType(tickerRequest, '3');
addMDType(tickerRequest, '4');
addMDType(tickerRequest, '5');
addMDType(tickerRequest, '6');
addMDType(tickerRequest, '7');
addMDType(tickerRequest, '8');
addMDType(tickerRequest, '9');
addMDType(tickerRequest, 'A');
addMDType(tickerRequest, 'B');
addMDType(tickerRequest, 'C');
return(tickerRequest);
}
private async Task Subscribe()
{
var request = new MarketDataRequest
{
MDReqID = new MDReqID(DateTime.UtcNow.Ticks.ToString()),
SubscriptionRequestType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
MarketDepth = new MarketDepth(50),
MDUpdateType = new MDUpdateType(MDUpdateType.FULL_REFRESH),
NoMDEntryTypes = new NoMDEntryTypes(2),
NoRelatedSym = new NoRelatedSym(_configuration.SupportedCurrencySymbols.Count)
};
var bidGroup = new MarketDataRequest.NoMDEntryTypesGroup
{
MDEntryType = new MDEntryType(MDEntryType.BID)
};
var askGroup = new MarketDataRequest.NoMDEntryTypesGroup
{
MDEntryType = new MDEntryType(MDEntryType.OFFER)
};
foreach (var mapping in _configuration.SupportedCurrencySymbols)
{
var noRelatedSymGroup = new MarketDataRequest.NoRelatedSymGroup
{
Symbol = _modelConverter.ConvertLykkeSymbol(mapping.LykkeSymbol)
};
request.AddGroup(noRelatedSymGroup);
}
request.AddGroup(bidGroup);
request.AddGroup(askGroup);
await Messenger.SendRequestAsync(request, CancellationToken);
}
/// <summary>
/// Creates and returns a new <see cref="MarketDataRequest"/> FIX message.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="marketDepth">The market depth.</param>
/// <param name="timeNow">The time now.</param>
/// <returns>The FIX message.</returns>
public static MarketDataRequest Create(string symbol, int marketDepth, ZonedDateTime timeNow)
{
Debug.NotEmptyOrWhiteSpace(symbol, nameof(symbol));
Debug.NotNegativeInt32(marketDepth, nameof(marketDepth));
Debug.NotDefault(timeNow, nameof(timeNow));
var marketDataEntryGroup1 = new MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup1.Set(new MDEntryType(MDEntryType.BID));
var marketDataEntryGroup2 = new MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup2.Set(new MDEntryType(MDEntryType.OFFER));
var symbolGroup = new MarketDataRequest.NoRelatedSymGroup();
symbolGroup.SetField(new Symbol(symbol));
var message = new MarketDataRequest(
new MDReqID($"MD_{timeNow.TickOfDay.ToString()}"),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
new MarketDepth(marketDepth));
message.Set(new MDUpdateType(0)); // val:1 to receive shortened message
message.AddGroup(marketDataEntryGroup1);
message.AddGroup(marketDataEntryGroup2);
message.Set(new NoRelatedSym(1));
message.AddGroup(symbolGroup);
return(message);
}
public string EnviarAssinaturaMarketDataConflated(string instrumento, string securityType, string product, string cfiCode)
{
string mdReqID = "MDREQ";
try
{
logger.InfoFormat("Requisitando snapshot MD Instrumento[{0}] Produto [{1}] Type [{2}] CFI[{3}]",
instrumento,
product,
securityType,
cfiCode);
QuickFix.FIX44.MarketDataRequest mktDataReq = new MarketDataRequest();
if (!String.IsNullOrEmpty(instrumento))
{
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new MarketDataRequest.NoRelatedSymGroup();
noRelatedSym.SecurityExchange = new QuickFix.Fields.SecurityExchange("BVMF");
noRelatedSym.SecurityIDSource = new QuickFix.Fields.SecurityIDSource("8");
noRelatedSym.SecurityID = new QuickFix.Fields.SecurityID(instrumento);
mktDataReq.AddGroup(noRelatedSym);
mdReqID += "-" + instrumento;
}
if (!String.IsNullOrEmpty(product) && !product.Equals("0"))
{
mktDataReq.Product = new QuickFix.Fields.Product(Convert.ToInt32(product));
mdReqID += "-" + product;
}
if (!String.IsNullOrEmpty(securityType))
{
mktDataReq.SecurityType = new QuickFix.Fields.SecurityType(securityType);
}
if (!String.IsNullOrEmpty(cfiCode))
{
mktDataReq.CFICode = new QuickFix.Fields.CFICode(cfiCode);
}
mdReqID += "-" + DateTime.Now.ToString("yyyyMMddHHmmssfff");
mktDataReq.MDReqID = new QuickFix.Fields.MDReqID(mdReqID);
mktDataReq.SubscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType(QuickFix.Fields.SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES); // Subscribe + update
mktDataReq.MDBookType = new QuickFix.Fields.MDBookType(QuickFix.Fields.MDBookType.ORDER_DEPTH); //MBO
Session.SendToTarget(mktDataReq, _session);
}
catch (Exception ex)
{
logger.Error("RequestMarketData: " + ex.Message, ex);
}
return(mdReqID);
}
public async Task ShouldReceiveOrderBooks()
{
await _connector.ConnectAsync(CancellationToken.None);
WaitForState(FixConnectorState.Connected, 30);
var symbols = new[] { "USDCHF", "EURUSD" };
var request = new MarketDataRequest()
{
MDReqID = new MDReqID(DateTime.UtcNow.Ticks.ToString()),
SubscriptionRequestType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
MarketDepth = new MarketDepth(50),
MDUpdateType = new MDUpdateType(MDUpdateType.FULL_REFRESH),
NoMDEntryTypes = new NoMDEntryTypes(2),
NoRelatedSym = new NoRelatedSym(symbols.Length)
};
var bidGroup = new MarketDataRequest.NoMDEntryTypesGroup
{
MDEntryType = new MDEntryType(MDEntryType.BID)
};
var askGroup = new MarketDataRequest.NoMDEntryTypesGroup
{
MDEntryType = new MDEntryType(MDEntryType.OFFER)
};
foreach (var symb in symbols)
{
var noRelatedSymGroup = new MarketDataRequest.NoRelatedSymGroup
{
Symbol = new Symbol(symb)
};
request.AddGroup(noRelatedSymGroup);
}
request.AddGroup(bidGroup);
request.AddGroup(askGroup);
await _connector.SendRequestAsync(request, CancellationToken.None);
for (int i = 0; i < symbols.Length; i++)
{
var resp = await _connector.GetResponseAsync(CancellationToken.None);
if (resp is MarketDataSnapshotFullRefresh snapshot)
{
var symbol = snapshot.Symbol.Obj;
for (int j = 1; j <= snapshot.NoMDEntries.Obj; j++)
{
var ob = resp.GetGroup(j, new MarketDataSnapshotFullRefresh.NoMDEntriesGroup());
var dir = ob.GetField(new MDEntryType()).Obj;
var price = ob.GetField(new MDEntryPx()).Obj;
var size = ob.GetField(new MDEntrySize()).Obj;
await _output.WriteInfoAsync("", "", $"Sym:{symbol} side:{dir} price:{price} size:{size}");
}
}
}
}
public void CancelarAssinaturaMarketDataConflated(string instrumento, string securityType, string product, string cfiCode, string mdReqID)
{
try
{
logger.InfoFormat("CancelandoAssinatura MD Instrumento[{0}] Produto [{1}] Type [{2}] CFI[{3}] ReqID[{4}]",
instrumento,
product,
securityType,
cfiCode,
mdReqID);
QuickFix.FIX44.MarketDataRequest mktDataReq = new MarketDataRequest();
if (!String.IsNullOrEmpty(instrumento))
{
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup noRelatedSym = new MarketDataRequest.NoRelatedSymGroup();
noRelatedSym.SecurityExchange = new QuickFix.Fields.SecurityExchange("BVMF");
noRelatedSym.SecurityIDSource = new QuickFix.Fields.SecurityIDSource("8");
noRelatedSym.SecurityID = new QuickFix.Fields.SecurityID(instrumento);
mktDataReq.AddGroup(noRelatedSym);
}
if (!String.IsNullOrEmpty(product) && !product.Equals("0"))
{
mktDataReq.Product = new QuickFix.Fields.Product(Convert.ToInt32(product));
}
if (!String.IsNullOrEmpty(securityType))
{
mktDataReq.SecurityType = new QuickFix.Fields.SecurityType(securityType);
}
if (!String.IsNullOrEmpty(cfiCode))
{
mktDataReq.CFICode = new QuickFix.Fields.CFICode(cfiCode);
}
mktDataReq.MDReqID = new QuickFix.Fields.MDReqID(mdReqID);
mktDataReq.SubscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType(QuickFix.Fields.SubscriptionRequestType.DISABLE_PREVIOUS); // Subscribe + update
mktDataReq.MDBookType = new QuickFix.Fields.MDBookType(QuickFix.Fields.MDBookType.ORDER_DEPTH); //MBO
Session.SendToTarget(mktDataReq, _session);
}
catch (Exception ex)
{
logger.Error("CancelarAssinaturaMarketDataConflated: " + ex.Message, ex);
}
}
public void Subscribe(string symbol, SessionID sessionId)
{
var marketDataRequest = new MarketDataRequest
{
MDReqID = new MDReqID(symbol),
SubscriptionRequestType = new SubscriptionRequestType('1'),
//incremental refresh
MarketDepth = new MarketDepth(1), //yes market depth need
MDUpdateType = new MDUpdateType(1) //
};
var relatedSymbol = new MarketDataRequest.NoRelatedSymGroup {
Symbol = new Symbol(symbol)
};
marketDataRequest.AddGroup(relatedSymbol);
var noMdEntryTypes = new MarketDataRequest.NoMDEntryTypesGroup();
var mdEntryTypeBid = new MDEntryType('0');
noMdEntryTypes.MDEntryType = mdEntryTypeBid;
marketDataRequest.AddGroup(noMdEntryTypes);
noMdEntryTypes = new MarketDataRequest.NoMDEntryTypesGroup();
var mdEntryTypeOffer = new MDEntryType('1');
noMdEntryTypes.MDEntryType = mdEntryTypeOffer;
marketDataRequest.AddGroup(noMdEntryTypes);
//Send message
Session.SendToTarget(marketDataRequest, sessionId);
}
public MarketDataRequest unsubscribeIncrementalRequest(string symbol)
{
MarketDataRequest tickerRequest = new MarketDataRequest();
MarketDataRequest.NoRelatedSymGroup symbolGroup = new MarketDataRequest.NoRelatedSymGroup();
symbolGroup.SetField(new Symbol(symbol));
tickerRequest.AddGroup(symbolGroup);
tickerRequest.Set(new MDReqID("123"));
tickerRequest.Set(new SubscriptionRequestType('2'));
tickerRequest.Set(new MarketDepth(0));
addMDType(tickerRequest, '0');
addMDType(tickerRequest, '1');
addMDType(tickerRequest, '2');
addMDType(tickerRequest, '3');
addMDType(tickerRequest, '4');
addMDType(tickerRequest, '5');
addMDType(tickerRequest, '6');
addMDType(tickerRequest, '7');
addMDType(tickerRequest, '8');
addMDType(tickerRequest, '9');
addMDType(tickerRequest, 'A');
addMDType(tickerRequest, 'B');
addMDType(tickerRequest, 'C');
return tickerRequest;
}
internal void Run()
{
Initiator.Start();
var settings = this.settings;
bool isExiting = false;
while (!isExiting)
{
Console.Write("> ");
var key = Console.ReadKey(false);
Console.WriteLine();
try
{
bool unhandled = false;
switch (key.Key)
{
case ConsoleKey.Q:
Console.WriteLine("Exiting");
isExiting = true;
break;
case ConsoleKey.H:
Console.WriteLine("Help: ");
break;
case ConsoleKey.L:
var logon = new Logon();
logon.Username = new Username(settings.Account);
logon.Password = new Password(settings.Password);
Session.SendToTarget(logon);
//SendMessage(logon);
break;
case ConsoleKey.F1:
Console.WriteLine("Initiator.IsLoggedOn: " + Initiator.IsLoggedOn);
Console.WriteLine("Initiator.IsStopped: " + Initiator.IsStopped);
//Console.WriteLine("Session: " + (_session != null));
Console.WriteLine("Logged on: " + _session?.IsLoggedOn);
break;
//case ConsoleKey.H:
// break;
default:
unhandled = true;
break;
}
if (unhandled)
{
switch (key.KeyChar)
{
case '=':
{
Console.Write(" Subscribe to: ");
string symbol = Console.ReadLine();
Console.WriteLine("Subscribing to " + symbol);
var mdr = new MarketDataRequest(new MDReqID(symbol), new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES), new MarketDepth(0));
mdr.MDUpdateType = new MDUpdateType(MDUpdateType.INCREMENTAL_REFRESH);
var sym = new MarketDataRequest.NoRelatedSymGroup();
sym.Symbol = new Symbol("1");
mdr.AddGroup(sym);
mdr.NoMDEntryTypes = new NoMDEntryTypes(2);
mdr.AddGroup(new MarketDataRequest.NoMDEntryTypesGroup()
{
MDEntryType = new MDEntryType(MDEntryType.BID)
});
mdr.AddGroup(new MarketDataRequest.NoMDEntryTypesGroup()
{
MDEntryType = new MDEntryType(MDEntryType.OFFER)
});
//message.SetField(new MDEntryType(MDEntryType.BID), false); // 269
//message.SetField(new MDEntryType(MDEntryType.OFFER), false); // 269
//message.SetField(new NoMDEntryTypes(1)); // 267 Should be 2 TODO
//message.SetField(new Symbol("EUR/USD")); // 55
//message.SetField(new NoRelatedSym(1)); // 146
SendMessage(mdr);
break;
}
case '-':
{
Console.Write(" Unubscribe to: ");
string symbol = Console.ReadLine();
Console.WriteLine("Unubscribing to " + symbol);
break;
}
default:
break;
}
}
}
catch (Exception ex)
{
Console.WriteLine();
Console.WriteLine(ex.ToString());
Console.WriteLine();
}
}
Initiator.Stop();
}
public void Subscribe(string symbol, SessionID sessionId)
{
var marketDataRequest = new MarketDataRequest
{
MDReqID = new MDReqID(symbol),
SubscriptionRequestType = new SubscriptionRequestType('1'),
//incremental refresh
MarketDepth = new MarketDepth(1), //yes market depth need
MDUpdateType = new MDUpdateType(1) //
};
var relatedSymbol = new MarketDataRequest.NoRelatedSymGroup { Symbol = new Symbol(symbol) };
marketDataRequest.AddGroup(relatedSymbol);
var noMdEntryTypes = new MarketDataRequest.NoMDEntryTypesGroup();
var mdEntryTypeBid = new MDEntryType('0');
noMdEntryTypes.MDEntryType = mdEntryTypeBid;
marketDataRequest.AddGroup(noMdEntryTypes);
noMdEntryTypes = new MarketDataRequest.NoMDEntryTypesGroup();
var mdEntryTypeOffer = new MDEntryType('1');
noMdEntryTypes.MDEntryType = mdEntryTypeOffer;
marketDataRequest.AddGroup(noMdEntryTypes);
//Send message
Session.SendToTarget(marketDataRequest, sessionId);
}
static void Main(string[] args)
{
TestFixApp testFixApp = new TestFixApp(args.FirstOrDefault());
testFixApp.Start();
Account account = new Account("54b97c9e-202b-11b2-be90-529049f1f1bb");
ClOrdID clOrdId = new ClOrdID(Guid.NewGuid().ToString());
Symbol symbol = new Symbol("BTC/USD");
Side side = new Side(Side.BUY);
#region SecurityListRequest
SecurityListRequest securityListRequest = new SecurityListRequest(
new SecurityReqID(Guid.NewGuid().ToString()),
new SecurityListRequestType(SecurityListRequestType.SYMBOL)
)
{
Symbol = symbol
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(securityListRequest);
testFixApp.WaitResponces(1);
#endregion SecurityListRequest
#region MarketDataRequest
MarketDataRequest marketDataRequest = new MarketDataRequest(
new MDReqID(Guid.NewGuid().ToString()),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT),
new MarketDepth(5))
{
MDUpdateType = new MDUpdateType(MDUpdateType.FULL_REFRESH),
};
var bid = new MarketDataRequest.NoMDEntryTypesGroup()
{
MDEntryType = new MDEntryType(MDEntryType.BID)
};
var ask = new MarketDataRequest.NoMDEntryTypesGroup()
{
MDEntryType = new MDEntryType(MDEntryType.OFFER)
};
var symGroup = new MarketDataRequest.NoRelatedSymGroup
{
Symbol = symbol
};
marketDataRequest.AddGroup(bid);
marketDataRequest.AddGroup(ask);
marketDataRequest.AddGroup(symGroup);
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(marketDataRequest);
testFixApp.WaitResponces(1);
#endregion MarketDataRequest
#region NewOrderSingle
NewOrderSingle newOrderSingle = new NewOrderSingle(
clOrdId,
symbol,
side,
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT))
{
OrderQty = new OrderQty(0.1m),
Price = new Price(1m),
Account = account,
AcctIDSource = new AcctIDSource(AcctIDSource.OTHER)
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(newOrderSingle);
testFixApp.WaitResponces(2);
#endregion NewOrderSingle
#region OrderCancelReplaceRequest
OrderCancelReplaceRequest orderCancelReplaceRequest = new OrderCancelReplaceRequest(
new OrigClOrdID(clOrdId.ToString()),
clOrdId = new ClOrdID(Guid.NewGuid().ToString()),
symbol,
side,
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT))
{
Price = new Price(2m),
OrderQty = new OrderQty(0.2m)
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderCancelReplaceRequest);
testFixApp.WaitResponces(2);
#endregion OrderCancelReplaceRequest
#region OrderStatusRequest
OrderStatusRequest orderStatusRequest = new OrderStatusRequest(
clOrdId,
symbol,
side
);
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderStatusRequest);
testFixApp.WaitResponces(1);
#endregion OrderStatusRequest
#region OrderCancelRequest
OrderCancelRequest orderCancelRequest = new OrderCancelRequest(
new OrigClOrdID(clOrdId.ToString()),
new ClOrdID(Guid.NewGuid().ToString()),
symbol,
side,
new TransactTime(DateTime.Now)
)
{
OrderQty = new OrderQty(0.1m)
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderCancelRequest);
testFixApp.WaitResponces(3);
#endregion region OrderCancelRequest
#region OrderMassStatusRequest
OrderMassStatusRequest orderMassStatusRequest = new OrderMassStatusRequest(
new MassStatusReqID(Guid.NewGuid().ToString()),
new MassStatusReqType(MassStatusReqType.STATUS_FOR_ALL_ORDERS))
{
Side = side,
Symbol = symbol
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderMassStatusRequest);
#endregion OrderMassStatusRequest
Console.WriteLine("Press enter to exit");
Console.ReadLine();
testFixApp.Stop();
}