private void QueryMarketDataRequest() { QuickFix.FIX44.MarketDataRequest result = new QuickFix.FIX44.MarketDataRequest(); result.SetField(new MDReqID(DateTime.Now.Millisecond.ToString())); var noContraBrokersGroup = new QuickFix.FIX44.ExecutionReport.NoContraBrokersGroup(); noContraBrokersGroup.Set(QueryPool()); result.AddGroup(noContraBrokersGroup); QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symGroup = new QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup(); symGroup.SetField(QuerySymbol()); symGroup.SetField(new MDUpdateType(MDUpdateType.INCREMENTAL_REFRESH)); symGroup.SetField(new MarketDepth(0)); symGroup.SetField(new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES)); QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup typesGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup(); typesGroup.SetField(new MDEntryType(MDEntryType.BID)); result.AddGroup(typesGroup); typesGroup = new QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup(); typesGroup.SetField(new MDEntryType(MDEntryType.OFFER)); result.AddGroup(symGroup); Console.WriteLine(result); SendMessage(result, ".MD"); }
private QuickFix.FIX44.NewOrderSingle QueryNewOrderSingle44() { QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle(); newOrderSingle.ClOrdID = new ClOrdID(DateTime.Now.Millisecond.ToString()); var noContraBrokersGroup = new QuickFix.FIX44.ExecutionReport.NoContraBrokersGroup(); noContraBrokersGroup.Set(QueryPool()); newOrderSingle.AddGroup(noContraBrokersGroup); newOrderSingle.Symbol = QuerySymbol(); newOrderSingle.Side = QuerySide(); newOrderSingle.OrdType = new OrdType(OrdType.MARKET); newOrderSingle.Set(QueryOrderQty()); newOrderSingle.Set(new TimeInForce(TimeInForce.FILL_OR_KILL)); return(newOrderSingle); }