1. How to get MarketPrice from FixServer
using QuickFix?
Purpose
This in continuation with previous post on QuickFix which explain 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 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 previous post to
understand about steps to set up 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
varmarketDataRequest = 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));
varnoMDEntryTypes = new MarketDataRequest.NoMDEntryTypes();
varmdEntryType_bid = new QuickFix.MDEntryType('0');
noMDEntryTypes.set(mdEntryType_bid);
marketDataRequest.addGroup(noMDEntryTypes);
varmdEntryType_offer = new QuickFix.MDEntryType('1');

2. noMDEntryTypes.set(mdEntryType_offer);
marketDataRequest.addGroup(noMDEntryTypes);
varrelatedSymbol = 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 list of instrument for which you want to receive market prices.
MarketDepth: if you want market depth in price then set it 1.
MDEntryType: type of Market Data prices like Bid, Offer, Trade Price, Open price
etc.
You can read more about each field here.
http://btobits.com/fixopaedia/fixdic50/message_Market_Data_Request_V_.html
Capture MarketData Response
Once Marketdatarequest message sent to FixServer, fix initiator expect marketdata response
in
MarketDataIncrementalRefresh
MarketDataSnapshotFullRefresh
MarketDataRequestReject
MarketDataIncrementalRefresh
You can read more about this message:
http://btobits.com/fixopaedia/fixdic50/message_Market_Data_Incremental_Refresh_X_.html
Source Code
publicoverridevoidonMessage(MarketDataIncrementalRefresh message, SessionID session)
{
try
{
MDReqIDmdreqid = newMDReqID();
NoMDEntriesnomdentries = newNoMDEntries();
QuickFix42.MarketDataIncrementalRefresh.NoMDEntries group
= newQuickFix42.MarketDataIncrementalRefresh.NoMDEntries();
MDUpdateActionmdupdateaction = newMDUpdateAction();
DeleteReasondeletereason = newDeleteReason();
MDEntryTypemdentrytype = newMDEntryType();
MDEntryIDmdentryid = newMDEntryID();
Symbolsymbol = newSymbol();
MDEntryOriginatormdentryoriginator = newMDEntryOriginator();
MDEntryPxmdentrypx = newMDEntryPx();
Currencycurrency = newCurrency();

3. MDEntrySizemdentrysize = newMDEntrySize();
ExpireDateexpiredate = newExpireDate();
ExpireTimeexpiretime = newExpireTime();
NumberOfOrdersnumberoforders = newNumberOfOrders();
MDEntryPositionNomdentrypositionno = newMDEntryPositionNo();
message.get(nomdentries);
message.getGroup(1, group);
int list = nomdentries.getValue();
for (uinti = 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.
http://btobits.com/fixopaedia/fixdic50/message_Market_Data_Snapshot_Full_Refresh_W_.html
Source Code
publicoverridevoidonMessage(MarketDataSnapshotFullRefresh message, SessionID session)
{
string Symbol = message.get(newSymbol()).getValue();
NoMDEntriesnoMDEntries = newNoMDEntries();
message.get(noMDEntries);

4. var group =
new QuickFix42.MarketDataSnapshotFullRefresh.NoMDEntries();
MDEntryTypeMDEntryType = newMDEntryType();
MDEntryPxMDEntryPx = newMDEntryPx();
MDEntrySizeMDEntrySize = newMDEntrySize();
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 overview of how to capture Market Price from FIX server.