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);
}
/// <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 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;
}
