Re: [Quickfix-developers] Currency Pairs

[Parjeet S. <par...@oa...>]

Thanks Patrick for your help.

When I pass the currency pairs e.g. "EUR/USD", I am able to receive the
message from the Broker, but when I am passing second set of currency
pairs e.g. "AUD/USD", I am still receiving "EUR/USD" with different
prices. 

Do I have to refresh the message when I send new set of currency pairs?

Thanks

PS


-----Original Message-----
From: Patrick Wright [mailto:pw...@ka...] 
Sent: Tuesday, 25 March 2008 11:29 AM
To: Parjeet Singh; qui...@li...
Subject: RE: [Quickfix-developers] Currency Pairs

After you have put your currency pairs into a config file you need to
call your own function once for each pair and keep a track of the quote
request ids. This will allow you to subscribe, unsubscribe and check
whether your subscription request was accepted.
Here is some example c# code. Sorry for formatting

//example marketCodeThirdParty is USD/JPY, marketId is my internal ID
for the same market
        protected override void SendSubscribePermanent(int marketId,
string marketCodeThirdParty, int qty)
        {
            QuickFix42.QuoteRequest mdRequest = new
QuickFix42.QuoteRequest();
//_lastQuoteIdentifier is just an int which is incremented for each
request
            QuoteReqID requestId = new
QuoteReqID((++_lastQuoteIdentifier).ToString());
            mdRequest.set(requestId);




            QuickFix42.QuoteRequest.NoRelatedSym noRelatedSymbols
                = new QuickFix42.QuoteRequest.NoRelatedSym();

            noRelatedSymbols.set(new Symbol(marketCodeThirdParty));


//returns USD etc
Currency currency = new
Currency(GetDealtCurrency(marketCodeThirdParty));
            noRelatedSymbols.set(currency);

            OrderQty qty = new OrderQty(quantity);
            noRelatedSymbols.set(qty);

            FutSettDate settDate = new FutSettDate("SP");
            noRelatedSymbols.set(settDate);

            TransactTime transactTime = new
TransactTime(DateTime.Now.ToUniversalTime());
            noRelatedSymbols.set(transactTime);

            OrdType orderType = new OrdType('C');
            noRelatedSymbols.set(orderType);
            SecurityType secType = new SecurityType("FOR");
            noRelatedSymbols.set(secType);

            // quote duration field
            noRelatedSymbols.setField(new IntField(6065, 0));

            mdRequest.addGroup(noRelatedSymbols);



            if (Session.doesSessionExist(_currentSessionID))
            {
                //update our collections mapping my marketid to quote
request id
                if (_marketIdToQuote.ContainsKey(marketId))
                {
                    _marketIdToQuote[marketId] = requestId.getValue();
                }
                else
                {
                    _marketIdToQuote.Add(marketId,
requestId.getValue());
                }

                if
(_quoteRequestToMarket.ContainsKey(requestId.getValue()))
                {
                    _quoteRequestToMarket[requestId.getValue()] =
marketId;
                }
                else
                {
                    _quoteRequestToMarket.Add(requestId.getValue(),
marketId);
                }
                Session.sendToTarget(mdRequest, _currentSessionID);
            }
        }


protected override void CancelSubscribePermanent(int marketId , string
marketCodeThirdParty, int quantity)
        {
            QuickFix42.QuoteRequest mdRequest = new
QuickFix42.QuoteRequest();
            QuoteReqID requestId = new
QuoteReqID(DateTime.Now.Ticks.ToString());
            mdRequest.set(requestId);


            QuickFix42.QuoteRequest.NoRelatedSym noRelatedSymbols
                = new QuickFix42.QuoteRequest.NoRelatedSym();

            noRelatedSymbols.set(new Symbol(marketCodeThirdParty));

            Currency currency = new
Currency(GetDealtCurrency(marketCodeThirdParty));
            noRelatedSymbols.set(currency);

            OrderQty qty = new OrderQty(quantity);
            noRelatedSymbols.set(qty);

            FutSettDate settDate = new FutSettDate("SP");
            noRelatedSymbols.set(settDate);

            TransactTime transactTime = new
TransactTime(DateTime.Now.ToUniversalTime());
            noRelatedSymbols.set(transactTime);

            OrdType orderType = new OrdType('C');
            noRelatedSymbols.set(orderType);
            SecurityType secType = new SecurityType("FOR");
            noRelatedSymbols.set(secType);

            // quote duration field
            noRelatedSymbols.setField(new IntField(6065, -1));

            mdRequest.addGroup(noRelatedSymbols);



            if (_currentSessionID != null &&
Session.doesSessionExist(_currentSessionID))
            {
                //update our collections
                if (_marketIdToQuote.ContainsKey(marketId))
                {
                    string quoteId = _marketIdToQuote[marketId];
                    _marketIdToQuote.Remove(marketId);
                    if (_quoteRequestToMarket.ContainsKey(quoteId))
                    {
                        _quoteRequestToMarket.Remove(quoteId);
                    }
                }

                Session.sendToTarget(mdRequest, _currentSessionID);
            }
        }


        public override void onMessage(QuickFix42.QuoteAcknowledgement
message_, SessionID session)
        {
            QuoteAckStatus ack = message_.getQuoteAckStatus();
            //quote request was rejected
            if (ack.getValue() == 5)
            {
                QuoteReqID reqId = message_.getQuoteReqID();
                int marketId = 0;
                if (_quoteRequestToMarket.ContainsKey(reqId.getValue()))
                {
                    marketId = _quoteRequestToMarket[reqId.getValue()];
                }

                string description = " QuoteAck Reject. Market:" +
marketId + " Reason:";
                Text text = new Text();
                QuoteRejectReason reject = new QuoteRejectReason();
                if (message_.isSet(reject))
                {
                    reject = message_.getQuoteRejectReason();
                    description +=
GetQuoteRejectDescription(reject.getValue());

                }
                if (message_.isSet(text))
                {
                    description += " Text: ";
                    text = message_.getText();
                    description += text.getValue();
                }

                //Log the error ...omitted

                //update our collections
                if (_marketIdToQuote.ContainsKey(marketId))
                {
                    string quoteId = _marketIdToQuote[marketId];
                    _marketIdToQuote.Remove(marketId);
                    if (_quoteRequestToMarket.ContainsKey(quoteId))
                    {
                        _quoteRequestToMarket.Remove(quoteId);
                    }
                }
            }
        }

-----Original Message-----
From: qui...@li...
[mailto:qui...@li...] On Behalf Of
Parjeet Singh
Sent: Wednesday, 19 March 2008 4:53 PM
To: qui...@li...
Subject: [Quickfix-developers] Currency Pairs

QuickFIX Documentation:
http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html