Re: [Quickfix-users] Receiving market data

[Malinka R. <ael...@gm...>]

0 : Bid
1 : Offer
2 : Trade
3 : Index Value
4 : Opening Price
5 : Closing Price
6 : Settlement Price
7 : Trading Session High Price
8 : Trading Session Low Price
9 : Trading Session VWAP Price

so it would depend on which market you are connecting to

Fix protocol reference i use:
TransactTools <http://www.transacttools.net/ttportal/datadict/browser.jsp>
there a few others

On Mon, Apr 28, 2008 at 11:49 AM, Claes Gyllenswärd <let...@gm...>
wrote:

> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
> Having succesfully connected, and sent some dummy
> buy/sell/cancel/limit-orders and seen that everything works, I tried getting
> marketdata.
> I see in the log that I receive for example:
> "268=2 269=0 270=487.5 271=10000 269=1 270=488.5 271=10000", so I do get
> data from my provider.
> But OpenQuant, that I use, doesn't seem to recognize this. It does collect
> trade, but not quote data.
> Before I go complaining to the developers, I figured I'd try to work out
> how QuickFix handles the data.
>
> I find:
> case MDEntryType.TRADE: {
>                                             provider.OnNewTrade(
>                                                 record.Instrument,
>
> group.getMDEntryPx().getValue(),
>
> (int)group.getMDEntrySize().getValue());
>                                         }
>
> And an equivalent function "OnNewQuote()", so I tried just adding
> case MDEntryType.QUOTE: {
>
> But there is no quote in MDEntryType. I can find no other place that calls
> OnNewQuote().
>
> I would greatly appreciate any hints as to what I'm missing :)
>
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