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&) {}
}
void FixProviderImpl::subscribe(std::vector<std::string> symbols) {
std::cout << __FUNCTION__ << std::endl;
FIX44::MarketDataRequest message;
message.set(FIX::MDReqID(FreeQuant::createGuid()));
message.set(FIX::SubscriptionRequestType(FIX::SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES));
message.set(FIX::MarketDepth(0));
message.set(FIX::MDUpdateType(FIX::MDUpdateType_FULL_REFRESH));
std::vector<char> types;
types.push_back(FIX::MDEntryType_OPENING_PRICE);
types.push_back(FIX::MDEntryType_CLOSING_PRICE);
for (auto i = types.begin(); i != types.end(); ++i) {
FIX44::MarketDataRequest::NoMDEntryTypes group;
FIX::MDEntryType type(*i);
group.set(type);
message.addGroup(group);
}
for (auto i = symbols.begin(); i != symbols.end(); i++) {
FIX44::MarketDataRequest::NoRelatedSym group;
group.set(FIX::Symbol(*i));
message.addGroup(group);
}
// std::string uuid = FreeQuant::toGuidString();
// FIX::MDReqID mdReqId(uuid);
// FIX::SubscriptionRequestType subType(FIX::SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES);
// FIX::MarketDepth marketDepth(1);
// FIX44::MarketDataRequest message(mdReqId, subType, marketDepth);
// message.set(FIX::MDUpdateType(FIX::MDUpdateType_INCREMENTAL_REFRESH));
// message.set(FIX::AggregatedBook(true));
// 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&) {}
}