Click here to Skip to main content
Click here to Skip to main content
Technical Blog

Retrieve MarketPrice from FixServer using QuickFix

, 5 Aug 2012 CPOL
Rate this:
Please Sign up or sign in to vote.
Retrieve MarketPrice from FixServer using QuickFix (FIX)

This is in continuation to the previous post on QuickFix which explains how to connect to FIX Server and send order to Fix Server.

I don’t have any environment to test now. I just want to give an idea about how can we get market price from FIX server if broker/exchange is sending market price in FIX messages.

I am assuming session has been setup with Fix Server. You can go thorough the previous post to understand the steps to setup the session.

MarketDataRequest

Once session has setup, Fix Initiator application needs to send MarketDataRequest message to FIX server.

Response can be different messages:

  • MarketDataRequestReject

    This is reject response of MarketDataRequest message.

  • Market Data – Incremental Refresh (MarketDataIncrementalRefresh)

    This message contain incremental update of market price. It’s real time message for MarketDataRequest.

  • Market Data – Snapshot / Full Refresh (MarketDataSnapshotFullRefresh)

    This message will be one per MarketDataRequest message. It contains snapshot of market prices.

Fix Initiator

Source Code

var marketDataRequest = new MarketDataRequest();
            marketDataRequest.set(new QuickFix.MDReqID(Utility.GetNewUniqueId()));
            marketDataRequest.set(new QuickFix.SubscriptionRequestType('1'));
            //if market depth require
            marketDataRequest.set(new QuickFix.MarketDepth(1));
            marketDataRequest.set(new QuickFix.MDUpdateType(1));
            marketDataRequest.set(new QuickFix.AggregatedBook(true));
            var noMDEntryTypes = new MarketDataRequest.NoMDEntryTypes();
            var mdEntryType_bid = new QuickFix.MDEntryType('0');
            noMDEntryTypes.set(mdEntryType_bid);
            marketDataRequest.addGroup(noMDEntryTypes);
            var mdEntryType_offer = new QuickFix.MDEntryType('1');
            noMDEntryTypes.set(mdEntryType_offer);
            marketDataRequest.addGroup(noMDEntryTypes);
            var relatedSymbol = new MarketDataRequest.NoRelatedSym();
            relatedSymbol.set(new QuickFix.Symbol(instrument));
            marketDataRequest.addGroup(relatedSymbol);
//Send message
Session.sendToTarget(marketDataRequest, _admin.TradeSessionId);

MarketDataRequest Message Fields

  • NoRelatedSym: This is a list of instruments for which you want to receive market prices.
  • MarketDepth: If you want market depth in price, then set it to 1.
  • MDEntryType: Type of Market Data prices like Bid, Offer, Trade Price, Open price, etc.

You can read more about each field here:

Capture MarketData Response

Once Marketdatarequest message is sent to FixServer, fix initiator expects marketdata response in:

  • MarketDataIncrementalRefresh
  • MarketDataSnapshotFullRefresh
  • MarketDataRequestReject

MarketDataIncrementalRefresh

You can read more about this message:

Source Code

public override void onMessage(MarketDataIncrementalRefresh message, SessionID session)
        {
            try
            {
                MDReqID mdreqid = new MDReqID();
                NoMDEntries nomdentries = new NoMDEntries();
                QuickFix42.MarketDataIncrementalRefresh.NoMDEntries group
                    = new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries();
                MDUpdateAction mdupdateaction = new MDUpdateAction();
                DeleteReason deletereason = new DeleteReason();
                MDEntryType mdentrytype = new MDEntryType();
                MDEntryID mdentryid = new MDEntryID();
                Symbol symbol = new Symbol();
                MDEntryOriginator mdentryoriginator = new MDEntryOriginator();
                MDEntryPx mdentrypx = new MDEntryPx();
                Currency currency = new Currency();
                MDEntrySize mdentrysize = new MDEntrySize();
                ExpireDate expiredate = new ExpireDate();
                ExpireTime expiretime = new ExpireTime();
                NumberOfOrders numberoforders = new NumberOfOrders();
                MDEntryPositionNo mdentrypositionno = new MDEntryPositionNo();

                message.get(nomdentries);

                message.getGroup(1, group);

                int list = nomdentries.getValue();

                for (uint i = 0; i < list; i++)
                {
                    message.getGroup(i + 1, group);
                    group.get(mdupdateaction);
                    if (mdupdateaction.getValue() == '2')
                        Console.WriteLine("Enter");
                    group.get(deletereason);
                    group.get(mdentrytype);
                    group.get(mdentryid);
                    group.get(symbol);
                    group.get(mdentryoriginator);
                    if (mdupdateaction.getValue() == '0')
                        group.get(mdentrypx);
                    group.get(currency);
                    if (mdupdateaction.getValue() == '0')
                        group.get(mdentrysize);
                }

                Console.WriteLine("Got Symbol {0} Price {1}", 
            symbol.getValue(), mdentrypx.getValue());
            }
            catch (Exception ex)
            {
                Console.WriteLine(ex.Message);
            }
        }

MarketDataSnapshotFullRefresh

This message will be one per MarketDataRequest message. It contains snapshot of market prices.

Source Code

public override void onMessage(MarketDataSnapshotFullRefresh message, SessionID session)
        {

            string Symbol = message.get(new Symbol()).getValue();

            NoMDEntries noMDEntries = new NoMDEntries();
            message.get(noMDEntries);
            var group =
              new QuickFix42.MarketDataSnapshotFullRefresh.NoMDEntries();
            MDEntryType MDEntryType = new MDEntryType();
            MDEntryPx MDEntryPx = new MDEntryPx();
            MDEntrySize MDEntrySize = new MDEntrySize();

            message.getGroup(1, group);
            group.get(MDEntryType);
            group.get(MDEntryPx);
            group.get(MDEntrySize);

            message.getGroup(2, group);
            group.get(MDEntryType);
            group.get(MDEntryPx);
            group.get(MDEntrySize);

            Console.WriteLine("Symbol {0} Price {1}", Symbol, MDEntryPx);
        }

Market Data Request Reject

It is used when the broker cannot honor the Market Data Request, due to business or technical reasons.

Fields

  • MDReqRejReason: Reject reason code
  • Text: Reject reason text

I hope this post gives an overview of how to capture Market Price from FIX server.


License

This article, along with any associated source code and files, is licensed under The Code Project Open License (CPOL)

Share

About the Author

Neeraj Kaushik 1980
Architect Initto Technologies India Pvt Ltd
India India
• Technical Architect with 9 years of Application development experience
• Good knowledge and expertise on multiple areas of technologies and their business applications
• Strong experience in high performance and business critical applications.
• Experience in creating framework, Code generators, and UML diagrams.
• Developed messaging framework for Algo Trading, technical analysis tool, market feed client Api, Payment Solutions for SWIFT, Internationalization for Core Banking Solution product etc.
• Practical knowledge of building and practicing agile delivery methodologies (SCRUM & TDD).
• Proven ability in producing technical documentation and presentation to clients.
• Active participation in trainings, article writing & taking initiatives.
• Passion to get knowledge from various resources acquires best practices.
• Good understanding of financial domain especially in investment banking and banking domain.
Specialties
 
Technical Architectures, Multi-threading Architecture, Algo Trading systems, Messaging Framework, FIX Implementation, Technical Analysis & Charting, ActiveMQ, MSMQ, C#, WinForms, ASP.NET MVC, Jquery, WCF, Sql Server 2008, Oracle, TFS, TDD, QuickFix, Open Source Tools & Framework.
Follow on   Twitter

Comments and Discussions

 
QuestionQuick side line job :) Pinmemberccsalway3-Jun-13 10:48 

General General    News News    Suggestion Suggestion    Question Question    Bug Bug    Answer Answer    Joke Joke    Rant Rant    Admin Admin   

Use Ctrl+Left/Right to switch messages, Ctrl+Up/Down to switch threads, Ctrl+Shift+Left/Right to switch pages.

| Advertise | Privacy | Terms of Use | Mobile
Web04 | 2.8.1411022.1 | Last Updated 6 Aug 2012
Article Copyright 2012 by Neeraj Kaushik 1980
Everything else Copyright © CodeProject, 1999-2014
Layout: fixed | fluid