Re: [Quickfix-users] Receiving market data

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

As I should have done from the very beginning, I read the documentation.
My interpretation of the C# example code under "Receiving messages" is to
change the code to:

case MDEntryType.BID: {
    BidPx BID = new BidPx();
    double somebid = message.get(BID);
}

But the message.get doesn't accept a BidPX, instead it wants a MDReqID.
Because I didn't know what to do, I tried
message.get(new MDReqID());
But then I had a MDReqID returned aswell, which isn't what I want.

I feel like I'm so close to understanding what's happening, but I can't
figure it out.

2008/4/29 Claes Gyllenswärd <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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