quickfix-users

[Quickfix-users] Receiving market data

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

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 :)

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 :)
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by the 2008 JavaOne(SM) Conference
> Don't miss this year's exciting event. There's still time to save $100.
> Use priority code J8TL2D2.
>
> http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone
> _______________________________________________
> Quickfix-users mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-users
>
>