public void MarketDataRequest(QuickFix42.SecurityDefinition securityDefinition, SessionID sessionID) { QuickFix42.MarketDataRequest marketDataRequest = new QuickFix42.MarketDataRequest(new MDReqID(DateTime.Now.ToString()), new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES), new MarketDepth(1)); marketDataRequest.setField(new MDUpdateType(MDUpdateType.FULL_REFRESH)); marketDataRequest.setField(new AggregatedBook(true)); QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupBid = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); marketDataEntyGroupBid.set(new MDEntryType(MDEntryType.BID)); marketDataRequest.addGroup(marketDataEntyGroupBid); QuickFix42.MarketDataRequest.NoMDEntryTypes marketDataEntyGroupOffer = new QuickFix42.MarketDataRequest.NoMDEntryTypes(); marketDataEntyGroupOffer.set(new MDEntryType(MDEntryType.OFFER)); marketDataRequest.addGroup(marketDataEntyGroupOffer); /** Create Component Block NoRelatedSym */ QuickFix42.MarketDataRequest.NoRelatedSym noRelatedSym = new QuickFix42.MarketDataRequest.NoRelatedSym(); SecurityExchange securityExchange = new SecurityExchange(); securityDefinition.getField(securityExchange); noRelatedSym.setField(securityExchange); SecurityType securityType = new SecurityType(); securityDefinition.getField(securityType); noRelatedSym.setField(securityType); Symbol symbol = new Symbol(); securityDefinition.getField(symbol); noRelatedSym.setField(symbol); SecurityID securityId = new SecurityID(); securityDefinition.getField(securityId); noRelatedSym.setField(securityId); marketDataRequest.addGroup(noRelatedSym); Session.sendToTarget(marketDataRequest, sessionID); }
public virtual void onMessage( MarketDataRequest message, QuickFix.SessionID session ) { throw new QuickFix.UnsupportedMessageType(); }
public virtual void onMessage(MarketDataRequest message, QuickFix.SessionID session) { throw new QuickFix.UnsupportedMessageType(); }