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);
}
