void Application::queryMarketDataRequest()
{
FIX::MDReqID genMDReqID;
genMDReqID = m_generator.genOrderID();
FIX::MDReqID mdReqID( genMDReqID );
FIX::SubscriptionRequestType subType( '1' );
FIX::MarketDepth marketDepth( 2 );
FIX::MDUpdateType mDUpdateType(1);
FIX::AggregatedBook aggregatedBook(true);
FIX42::MarketDataRequest::NoMDEntryTypes marketDataEntryGroup;
FIX::MDEntryType mdEntryType1( FIX::MDEntryType_BID );
FIX::MDEntryType mdEntryType2( FIX::MDEntryType_OFFER);
marketDataEntryGroup.set( mdEntryType1 );
marketDataEntryGroup.set( mdEntryType2 );
FIX42::MarketDataRequest::NoRelatedSym symbolGroup;
FIX::Symbol symbol( "IBM" );
symbolGroup.set( symbol );
FIX42::MarketDataRequest message( mdReqID, subType, marketDepth );
message.addGroup( marketDataEntryGroup );
message.addGroup( symbolGroup );
message.set(mDUpdateType);
message.set(aggregatedBook);
setHeader( message.getHeader() );
FIX::Session::sendToTarget( message );
}
void FixProviderImpl::unsubscribe(std::vector<std::string> symbols) {
std::string uuid = FreeQuant::toGuidString();
FIX::MDReqID mdReqId(uuid);
FIX::SubscriptionRequestType subType(FIX::SubscriptionRequestType_DISABLE_PREVIOUS_SNAPSHOT_PLUS_UPDATE_REQUEST);
FIX::MarketDepth marketDepth(1);
FIX44::MarketDataRequest message(mdReqId, subType, marketDepth);
message.set(FIX::MDUpdateType(FIX::MDUpdateType_INCREMENTAL_REFRESH));
message.set(FIX::AggregatedBook(true));
std::string s;
s.append(1, FIX::Scope_LOCAL);
FIX::Scope scope(s);
message.set(scope);
message.set(FIX::MDImplicitDelete(false));
FIX44::MarketDataRequest::NoMDEntryTypes typeGroup;
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_OPENING_PRICE));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_CLOSING_PRICE));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_TRADING_SESSION_HIGH_PRICE));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_TRADING_SESSION_LOW_PRICE));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_BID));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_OFFER));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_TRADE_VOLUME));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_OPEN_INTEREST));
message.addGroup(typeGroup);
FIX44::MarketDataRequest::NoRelatedSym symGroup;
symGroup.set(FIX::Symbol("GOOG"));
message.addGroup(symGroup);
symGroup.set(FIX::Symbol("IF1210"));
message.addGroup(symGroup);
FIX::SessionID sessionID;
sessionID.fromString(_sessionString);
try {
FIX::Session::sendToTarget(message, sessionID);
} catch (FIX::SessionNotFound&) {}
}
