public bool RequestMarketData(IMarketDataRequest mdRequest)
{
var key = new Tuple <string, string, string>(mdRequest.Symbol, mdRequest.Tier, mdRequest.Tenor);
var unsubscribe = false;
var requestId = string.Empty;
if (mdRequest.IsSubscribe)
{
if (_marketDataRequests.ContainsKey(key))
{
_marketDataRequests[key] = new Tuple <string, int>(_marketDataRequests[key].Item1, _marketDataRequests[key].Item2 + 1);
return(true);
}
_marketDataRequests.Add(key, new Tuple <string, int>(mdRequest.ClientRequestId, 1));
requestId = mdRequest.ClientRequestId;
}
else
{
if (!_marketDataRequests.ContainsKey(key))
{
return(false);
}
_marketDataRequests[key] = new Tuple <string, int>(_marketDataRequests[key].Item1, _marketDataRequests[key].Item2 - 1);
if (_marketDataRequests[key].Item2 <= 0)
{
unsubscribe = true;
requestId = _marketDataRequests[key].Item1;
_marketDataRequests.Remove(key);
}
}
string tag6217 = "";
if (mdRequest.Tenor == "SP")
{
tag6217 = "0"; // Spot
}
else
{
tag6217 = "2"; // FORWARD_POINT
}
try {
var tags = new[] {
new Tuple <int, string>(35, "V"),
new Tuple <int, string>(34, SequenceId.ToString(CultureInfo.InvariantCulture)),
new Tuple <int, string>(49, SenderId),
new Tuple <int, string>(50, mdRequest.Tier),
new Tuple <int, string>(115, OnBehalfOf),
//new Tuple<int, string>(116, "Tan Quach"),
new Tuple <int, string>(56, TargetId),
new Tuple <int, string>(52, DateTime.Now.ToString("yyyyMMdd-HH:mm:ss.fff")),
new Tuple <int, string>(262, requestId),
new Tuple <int, string>(263, unsubscribe ? "2" : "1"),
new Tuple <int, string>(264, "0"),
new Tuple <int, string>(265, "0"),
new Tuple <int, string>(146, "1"),
new Tuple <int, string>(55, mdRequest.Symbol),
// new Tuple<int, string>(167, "FOR"),
new Tuple <int, string>(64, mdRequest.SettlementDate.ToString("yyyyMMdd")),
new Tuple <int, string>(6215, mdRequest.Tenor),
new Tuple <int, string>(6217, tag6217),
new Tuple <int, string>(267, "2"),
new Tuple <int, string>(269, "0"),
new Tuple <int, string>(269, "1")
};
SendFixMessage(tags);
} catch (Exception ex) {
_logger.WriteLine("{0:yyyy-MM-dd HH:mm:ss.fff} - Failed to send market data requests, {1}", DateTime.Now, ex.Message);
return(false);
}
return(true);
}
public PricingRequest(IMarketDataRequest request) : this(request.ClientRequestId, request.Symbol, request.Tier)
{
NearTenor = request.Tenor;
NearSettlementDate = request.SettlementDate;
Side = "2-Way";
}
