Re: [Quickfix-users] Receiving market data

[C. G. <let...@gm...>]

Ok, two values in a single instance is not supported. And yes, I do see a
BID and OFFER type.
What gets me confused then is that there is a function called OnNewQuote,
that takes both bid and ask as argument.
Some googling tells me this function seems to be unique to OpenQuant, and
isn't really related to QuickFIX, is that correct?

case MDEntryType.BID: {
    bid = message.getDouble(270);
    Console.WriteLine("Got Bid" + bid);
}

For some reason the case stops executing after bid = message.getDouble(270);
If I do

case MDEntryType.BID: {
    Console.WriteLine("Got Bid" + bid);
    Console.WriteLine("Got Bid" + bid);
    bid = message.getDouble(270);
    Console.WriteLine("Got Bid" + bid);
    break;
}

WriteLine executes twice, but no more.
Is my syntax with the getDouble completly wrong?

2008/4/28 <or...@qu...>:

> 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.
> Your bid is
> 269=0 270=487.5 271=10000
> And you your offer is
> 269=1 270=488.5 271=10000
>
> 269 is the MDEntryType.  0 is a BID, 1 is an OFFER, and 2 is a TRADE.
>
> -------- Original Message --------
> Subject: [Quickfix-users] Receiving market data
> From: "Claes_Gyllenswärd" <let...@gm...>
> Date: Mon, April 28, 2008 10:49 am
> To: qui...@li...
>
> QuickFIX Documentation:
> <http://www.quickfixengine.org/quickfix/doc/html/index.html>
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: <http://www.quickfixengine.org/services.html>
> 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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