public void SubscribeMarketData(string symbol, string reqID)
{
MDReqID mdReqID = new MDReqID(reqID);
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES);
MarketDepth marketDepth = new MarketDepth(1);
MDUpdateType mdUpdateType = new MDUpdateType(0);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.SetField(new MDEntryType(MDEntryType.BID));
marketDataEntryGroup.SetField(new MDEntryType(MDEntryType.OFFER));
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol(symbol));
QuickFix.FIX44.MarketDataRequest message = new QuickFix.FIX44.MarketDataRequest();
message.SetField(mdReqID);
message.SetField(subType);
message.SetField(marketDepth);
message.SetField(mdUpdateType);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
if (m_SessionID != null)
{
Session.SendToTarget(message, m_SessionID);
}
}
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;
}
public override void onMessage(QuickFix44.MarketDataRequestReject message, SessionID session)
{
// getting attributes
MDReqID mdReqID = message.getMDReqID();
MDReqRejReason mdReqRejReason = message.getMDReqRejReason();
// firing event
Console.WriteLine("QuickFix44.MarketDataRequestReject: {0}, {1}", mdReqID, mdReqRejReason);
}
private QuickFix.FIX44.MarketDataRequest QueryMarketDataRequest44()
{
MDReqID mdReqID = new MDReqID("MARKETDATAID");
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT);
MarketDepth marketDepth = new MarketDepth(0);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID));
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol("LNUX"));
QuickFix.FIX44.MarketDataRequest message = new QuickFix.FIX44.MarketDataRequest(mdReqID, subType, marketDepth);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
return(message);
}
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);
}
public QuickFix.FIX42.MarketDataRequest QueryMarketDataRequest42(string productName)
{
MDReqID mdReqID = new MDReqID("MARKETDATAID");
SubscriptionRequestType subType = new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES);
MarketDepth marketDepth = new MarketDepth(1);
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup marketDataEntryGroup = new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
marketDataEntryGroup.Set(new MDEntryType(MDEntryType.BID));
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symbolGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
symbolGroup.Set(new Symbol(productName));
symbolGroup.Set(new SecurityExchange("*"));
symbolGroup.Set(new SecurityType(SecurityType.COMMON_STOCK));
QuickFix.FIX42.MarketDataRequest message = new QuickFix.FIX42.MarketDataRequest(mdReqID, subType, marketDepth);
message.AddGroup(marketDataEntryGroup);
message.AddGroup(symbolGroup);
return(message);
}
