Re: [Quickfix-users] Receiving market data
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Re: [Quickfix-users] Receiving market data
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From: <or...@qu...> - 2008-04-28 18:55:45
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<html><body><div>There is no QUOTE type for MDEntryType. That would imply having two values in a single instance of a group, which is not supported. There are BID and OFFER types, which this message is actually providing you.<BR></div> <div>Your bid is</div> <div>269=0 270=487.5 271=10000 <BR></div> <div>And you your offer is</div> <div>269=1 270=488.5 271=10000</div> <div> </div> <div>269 is the MDEntryType. 0 is a BID, 1 is an OFFER, and 2 is a TRADE.</div> <BLOCKQUOTE style="PADDING-LEFT: 8px; MARGIN-LEFT: 8px; BORDER-LEFT: blue 2px solid" webmail="1">-------- Original Message --------<BR>Subject: [Quickfix-users] Receiving market data<BR>From: "Claes_Gyllenswärd" <let...@gm...><BR>Date: Mon, April 28, 2008 10:49 am<BR>To: <a href="mailto:qui...@li...">qui...@li...</a><BR><BR>QuickFIX Documentation: <A href="http://www.quickfixengine.org/quickfix/doc/html/index.html" target=_blank><a href="http://www.quickfixengine.org/quickfix/doc/html/index.html">http://www.quickfixengine.org/quickfix/doc/html/index.html</a></A><BR>QuickFIX Support: <A href="http://www.quickfixengine.org/services.html" target=_blank><a href="http://www.quickfixengine.org/services.html">http://www.quickfixengine.org/services.html</a></A><BR><BR> <HR> Having succesfully connected, and sent some dummy buy/sell/cancel/limit-orders and seen that everything works, I tried getting marketdata.<BR>I see in the log that I receive for example:<BR>"268=2 269=0 270=487.5 271=10000 269=1 270=488.5 271=10000", so I do get data from my provider.<BR>But OpenQuant, that I use, doesn't seem to recognize this. It does collect trade, but not quote data.<BR>Before I go complaining to the developers, I figured I'd try to work out how QuickFix handles the data.<BR><BR>I find:<BR>case MDEntryType.TRADE: {<BR> provider.OnNewTrade(<BR> record.Instrument,<BR> group.getMDEntryPx().getValue(),<BR> (int)group.getMDEntrySize().getValue());<BR> }<BR><BR>And an equivalent function "OnNewQuote()", so I tried just adding<BR>case MDEntryType.QUOTE: {<BR><BR>But there is no quote in MDEntryType. I can find no other place that calls<BR>OnNewQuote().<BR><BR>I would greatly appreciate any hints as to what I'm missing :)<BR> <HR> -------------------------------------------------------------------------<BR>This <a href="http://SF.net">SF.net</a> email is sponsored by the 2008 JavaOne(SM) Conference <BR>Don't miss this year's exciting event. There's still time to save $100. <BR>Use priority code J8TL2D2. <BR><A href="http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone" target=_blank><a href="http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone">http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone</a></A> <HR> _______________________________________________<BR>Quickfix-users mailing list<BR><A onclick="Popup.composeWindow('pcompose.php?sendto=Quickfix-users%40lists.sourceforge.net'); return false;" href="#Compose">Quickfix-users<B></B>@lists.sourceforge.net</A><BR><A href="https://lists.sourceforge.net/lists/listinfo/quickfix-users" target=_blank><a href="https://lists.sourceforge.net/lists/listinfo/quickfix-users">https://lists.sourceforge.net/lists/listinfo/quickfix-users</a></A><BR></BLOCKQUOTE></body></html> |
