Thread: 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> |
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From: <or...@qu...> - 2008-04-29 13:16:21
|
<html><body>I think the section on reading message with repeating groups will help you out a lot. Bottom of the page: <a href="http://www.quickfixengine.org/quickfix/doc/html/repeating_groups.html">http://www.quickfixengine.org/quickfix/doc/html/repeating_groups.html</a><br><br>OnNewQuote is not a quickfix method, you'll need to ask SmartQuant about that.<br><br>--oren<br><br> <blockquote webmail="1" style="border-left: 2px solid blue; margin-left: 8px; padding-left: 8px;"> -------- Original Message --------<br> Subject: Re: [Quickfix-users] Receiving market data<br> From: "Claes_Gyllenswärd" <let...@gm...><br> Date: Tue, April 29, 2008 6:01 am<br> To: <br> Cc: <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>As I should have done from the very beginning, I read the documentation.<br>My interpretation of the C# example code under "Receiving messages" is to change the code to:<br><br>case MDEntryType.BID: {<br> BidPx BID = new BidPx();<br> double somebid = message.get(BID);<br>}<br><br>But the message.get doesn't accept a BidPX, instead it wants a MDReqID. <br>Because I didn't know what to do, I tried<br>message.get(new MDReqID());<br>But then I had a MDReqID returned aswell, which isn't what I want.<br> <br>I feel like I'm so close to understanding what's happening, but I can't figure it out.<br><br><div class="gmail_quote">2008/4/29 Claes Gyllenswärd <<a href="mailto:let...@gm..." onclick="Popup.composeWindow('pcompose.php?sendto=letharion%40gmail.com');; return false;" target="_blank"><a href="mailto:let...@gm...">let...@gm...</a></a>>:<br> <blockquote class="gmail_quote" style="border-left: 1px solid rgb(204, 204, 204); margin: 0pt 0pt 0pt 0.8ex; padding-left: 1ex;"> Ok, two values in a single instance is not supported. And yes, I do see a BID and OFFER type.<br>What gets me confused then is that there is a function called OnNewQuote, that takes both bid and ask as argument.<br>Some googling tells me this function seems to be unique to OpenQuant, and isn't really related to QuickFIX, is that correct?<br> <br>case MDEntryType.BID: {<br> bid = message.getDouble(270);<br> Console.WriteLine("Got Bid" + bid);<br>}<br><br>For some reason the case stops executing after bid = message.getDouble(270);<br> If I do<br><br>case MDEntryType.BID: {<br> Console.WriteLine("Got Bid" + bid);<br> Console.WriteLine("Got Bid" + bid);<br> bid = message.getDouble(270);<br> Console.WriteLine("Got Bid" + bid);<br> break;<br>}<br><br>WriteLine executes twice, but no more.<br>Is my syntax with the getDouble completly wrong?<br><br><div class="gmail_quote">2008/4/28 <<a href="mailto:or...@qu..." onclick="Popup.composeWindow('pcompose.php?sendto=oren%40quickfixengine.org');; return false;" target="_blank"><a href="mailto:or...@qu...">or...@qu...</a></a>>:<div> <div></div><div><br> <blockquote class="gmail_quote" style="border-left: 1px solid rgb(204, 204, 204); margin: 0pt 0pt 0pt 0.8ex; padding-left: 1ex;"><div><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> <div>269=0 270=487.5 271=10000 <br></div> </div><div>And you your offer is</div><div> <div>269=1 270=488.5 271=10000</div> <div> </div> </div><div>269 is the MDEntryType. 0 is a BID, 1 is an OFFER, and 2 is a TRADE.</div><div><div></div><div> <blockquote style="border-left: 2px solid blue; padding-left: 8px; margin-left: 8px;">-------- Original Message --------<br>Subject: [Quickfix-users] Receiving market data<br>From: "Claes_Gyllenswärd" <<a href="mailto:let...@gm..." onclick="Popup.composeWindow('pcompose.php?sendto=letharion%40gmail.com');; return false;" target="_blank"><a href="mailto:let...@gm...">let...@gm...</a></a>><br> Date: Mon, April 28, 2008 10:49 am<br>To: <a href="mailto:qui...@li..." onclick="Popup.composeWindow('pcompose.php?sendto=quickfix-users%40lists.sourceforge.net');; return false;" target="_blank"><a href="mailto:qui...@li...">qui...@li...</a></a><br><br>QuickFIX Documentation: <a href="http://www.quickfixengine.org/quickfix/doc/html/index.html" target="_blank"></a><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><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" target="_blank">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><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://ad.doubleclick.net/clk;198757673;13503038;p?</a></a><a href="http://java.sun.com/javaone" target="_blank"><a href="http://java.sun.com/javaone">http://java.sun.com/javaone</a></a> <hr> _______________________________________________<br>Quickfix-users mailing list<br><a href="http://email.secureserver.net/pcompose.php#11999961c072a4d3_1199977e3c013516_1199663be6cfe008_Compose" target="_self">Quickfix-users<b></b>@lists.sourceforge.net</a><br><a href="https://lists.sourceforge.net/lists/listinfo/quickfix-users" target="_blank"></a><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></div></div></div> </blockquote></div></div></div><br> </blockquote></div><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 href="http://email.secureserver.net/pcompose.php#Compose" onclick="Popup.composeWindow('pcompose.php?sendto=Quickfix-users%40lists.sourceforge.net'); return false;">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> |
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From: C. G. <let...@gm...> - 2008-05-02 09:14:23
|
Yes Oren, thank you so much, I got it working thanks to you :)
I didn't have any luck searching the list for a similar problem, so I post
my solution, in hope that someone else might make us of it :)
double Bid = 0;
double BidSize = 0;
double Offer = 0;
double OfferSize = 0;
for (uint i = 1; i <= noMDEntries; i++) {
QuickFix42.MarketDataIncrementalRefresh.NoMDEntries
group = new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries();
message.getGroup(i, group);
switch (group.getMDEntryType().getValue()) {
case MDEntryType.TRADE: {
Console.WriteLine("Got Trade");
provider.OnNewTrade(
record.Instrument,
group.getMDEntryPx().getValue(),
(int)group.getMDEntrySize().getValue());
break;
}
case MDEntryType.BID: {
MDEntryPx BidEntry = new MDEntryPx();
MDEntrySize BidSizeEntry = new MDEntrySize();
Bid = group.get(BidEntry).getValue();
BidSize = group.get(BidSizeEntry).getValue();
break;
}
case MDEntryType.OFFER: {
MDEntryPx OfferEntry = new MDEntryPx();
MDEntrySize OfferSizeEntry = new MDEntrySize();
Offer = group.get(OfferEntry).getValue();
OfferSize =
group.get(OfferSizeEntry).getValue();
break;
}
}
}
if (Bid != 0) {
if (Offer != 0) {
provider.OnNewQuote(record.Instrument, Bid,
(int)BidSize, Offer, (int)OfferSize);
} else Console.WriteLine("Bid without offer!");
}
2008/4/29 <or...@qu...>:
> I think the section on reading message with repeating groups will help you
> out a lot. Bottom of the page:
> http://www.quickfixengine.org/quickfix/doc/html/repeating_groups.html
>
> OnNewQuote is not a quickfix method, you'll need to ask SmartQuant about
> that.
>
> --oren
>
> -------- Original Message --------
> Subject: Re: [Quickfix-users] Receiving market data
> From: "Claes_Gyllenswärd" <let...@gm...>
> Date: Tue, April 29, 2008 6:01 am
> To:
> Cc: 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
>
> ------------------------------
> 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...>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...>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...>let...@gm...>
> > > Date: Mon, April 28, 2008 10:49 am
> > > To: <qui...@li...>
> > > qui...@li...
> > >
> > > QuickFIX Documentation:
> > > <http://www.quickfixengine.org/quickfix/doc/html/index.html><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>
> > > 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><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>
> > > http://java.sun.com/javaone
> > > ------------------------------
> > > _______________________________________________
> > > Quickfix-users mailing list
> > > Quickfix-users**@lists.sourceforge.net<http://email.secureserver.net/pcompose.php#11999961c072a4d3_1199977e3c013516_1199663be6cfe008_Compose>
> > > <https://lists.sourceforge.net/lists/listinfo/quickfix-users><https://lists.sourceforge.net/lists/listinfo/quickfix-users>
> > > https://lists.sourceforge.net/lists/listinfo/quickfix-users
> > >
> > >
> >
> ------------------------------
> -------------------------------------------------------------------------
> 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>
> http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone
> ------------------------------
> _______________________________________________
> Quickfix-users mailing list
> Quickfix-users**@lists.sourceforge.net<http://email.secureserver.net/pcompose.php#Compose>
> <https://lists.sourceforge.net/lists/listinfo/quickfix-users>
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>
> |
|
From: C. G. <let...@gm...> - 2008-04-29 09:16:36
|
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 :)
> ------------------------------
> -------------------------------------------------------------------------
> 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>
> http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone
> ------------------------------
> _______________________________________________
> Quickfix-users mailing list
> Quickfix-users**@lists.sourceforge.net <#1199663be6cfe008_Compose>
> <https://lists.sourceforge.net/lists/listinfo/quickfix-users>
> https://lists.sourceforge.net/lists/listinfo/quickfix-users
>
> |
|
From: C. G. <let...@gm...> - 2008-04-29 11:01:09
|
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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> > http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone
> > ------------------------------
> > _______________________________________________
> > Quickfix-users mailing list
> > Quickfix-users**@lists.sourceforge.net<#11999961c072a4d3_1199977e3c013516_1199663be6cfe008_Compose>
> > <https://lists.sourceforge.net/lists/listinfo/quickfix-users>
> > https://lists.sourceforge.net/lists/listinfo/quickfix-users
> >
> >
> |
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