Re: [Quickfix-developers] Currency Pairs

[Patrick W. <pw...@ka...>]

Not really sure - but some things to check.

Did you get a QuoteRequest Acknowledgement back?

Are you setting the dealt currency correctly?

Maybe you are not permissioned by your broker for that pair. Or they could just be not sending prices for that pair right now. Sometimes they need to turn them on.

Cheers,
Patrick



-----Original Message-----
From: Parjeet Singh [mailto:par...@oa...]
Sent: Wednesday, 26 March 2008 12:53 PM
To: Patrick Wright; qui...@li...
Subject: RE: [Quickfix-developers] Currency Pairs

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