This is in continuation to the previous post on QuickFix which explains how to connect to FIX Server and send order to Fix Server.
I don’t have any environment to test now. I just want to give an idea about how can we get market price from FIX server if broker/exchange is sending market price in FIX messages.
I am assuming session has been setup with Fix Server. You can go thorough the previous post to understand the steps to setup the session.
MarketDataRequest
Once session has setup, Fix Initiator application needs to send MarketDataRequest
message to FIX server.
Response can be different messages:
- MarketDataRequestReject
This is reject response of MarketDataRequest
message.
- Market Data – Incremental Refresh (MarketDataIncrementalRefresh)
This message contain incremental update of market price. It’s real time message for MarketDataRequest
.
- Market Data – Snapshot / Full Refresh (MarketDataSnapshotFullRefresh)
This message will be one per MarketDataRequest
message. It contains snapshot of market prices.
Fix Initiator
Source Code
var marketDataRequest = new MarketDataRequest();
marketDataRequest.set(new QuickFix.MDReqID(Utility.GetNewUniqueId()));
marketDataRequest.set(new QuickFix.SubscriptionRequestType('1'));
marketDataRequest.set(new QuickFix.MarketDepth(1));
marketDataRequest.set(new QuickFix.MDUpdateType(1));
marketDataRequest.set(new QuickFix.AggregatedBook(true));
var noMDEntryTypes = new MarketDataRequest.NoMDEntryTypes();
var mdEntryType_bid = new QuickFix.MDEntryType('0');
noMDEntryTypes.set(mdEntryType_bid);
marketDataRequest.addGroup(noMDEntryTypes);
var mdEntryType_offer = new QuickFix.MDEntryType('1');
noMDEntryTypes.set(mdEntryType_offer);
marketDataRequest.addGroup(noMDEntryTypes);
var relatedSymbol = new MarketDataRequest.NoRelatedSym();
relatedSymbol.set(new QuickFix.Symbol(instrument));
marketDataRequest.addGroup(relatedSymbol);
Session.sendToTarget(marketDataRequest, _admin.TradeSessionId);
MarketDataRequest Message Fields
NoRelatedSym
: This is a list of instruments for which you want to receive market prices. MarketDepth
: If you want market depth in price, then set it to 1. MDEntryType
: Type of Market Data prices like Bid, Offer, Trade Price, Open price, etc.
You can read more about each field here:
Capture MarketData Response
Once Marketdatarequest
message is sent to FixServer
, fix initiator expects marketdata response in:
MarketDataIncrementalRefresh
MarketDataSnapshotFullRefresh
MarketDataRequestReject
MarketDataIncrementalRefresh
You can read more about this message:
Source Code
public override void onMessage(MarketDataIncrementalRefresh message, SessionID session)
{
try
{
MDReqID mdreqid = new MDReqID();
NoMDEntries nomdentries = new NoMDEntries();
QuickFix42.MarketDataIncrementalRefresh.NoMDEntries group
= new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries();
MDUpdateAction mdupdateaction = new MDUpdateAction();
DeleteReason deletereason = new DeleteReason();
MDEntryType mdentrytype = new MDEntryType();
MDEntryID mdentryid = new MDEntryID();
Symbol symbol = new Symbol();
MDEntryOriginator mdentryoriginator = new MDEntryOriginator();
MDEntryPx mdentrypx = new MDEntryPx();
Currency currency = new Currency();
MDEntrySize mdentrysize = new MDEntrySize();
ExpireDate expiredate = new ExpireDate();
ExpireTime expiretime = new ExpireTime();
NumberOfOrders numberoforders = new NumberOfOrders();
MDEntryPositionNo mdentrypositionno = new MDEntryPositionNo();
message.get(nomdentries);
message.getGroup(1, group);
int list = nomdentries.getValue();
for (uint i = 0; i < list; i++)
{
message.getGroup(i + 1, group);
group.get(mdupdateaction);
if (mdupdateaction.getValue() == '2')
Console.WriteLine("Enter");
group.get(deletereason);
group.get(mdentrytype);
group.get(mdentryid);
group.get(symbol);
group.get(mdentryoriginator);
if (mdupdateaction.getValue() == '0')
group.get(mdentrypx);
group.get(currency);
if (mdupdateaction.getValue() == '0')
group.get(mdentrysize);
}
Console.WriteLine("Got Symbol {0} Price {1}",
symbol.getValue(), mdentrypx.getValue());
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
MarketDataSnapshotFullRefresh
This message will be one per MarketDataRequest
message. It contains snapshot of market prices.
Source Code
public override void onMessage(MarketDataSnapshotFullRefresh message, SessionID session)
{
string Symbol = message.get(new Symbol()).getValue();
NoMDEntries noMDEntries = new NoMDEntries();
message.get(noMDEntries);
var group =
new QuickFix42.MarketDataSnapshotFullRefresh.NoMDEntries();
MDEntryType MDEntryType = new MDEntryType();
MDEntryPx MDEntryPx = new MDEntryPx();
MDEntrySize MDEntrySize = new MDEntrySize();
message.getGroup(1, group);
group.get(MDEntryType);
group.get(MDEntryPx);
group.get(MDEntrySize);
message.getGroup(2, group);
group.get(MDEntryType);
group.get(MDEntryPx);
group.get(MDEntrySize);
Console.WriteLine("Symbol {0} Price {1}", Symbol, MDEntryPx);
}
Market Data Request Reject
It is used when the broker cannot honor the Market Data Request, due to business or technical reasons.
Fields
MDReqRejReason
: Reject reason code Text
: Reject reason text
I hope this post gives an overview of how to capture Market Price from FIX server.