Retrieve MarketPrice from FixServer using QuickFix


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

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 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

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.
http://btobits.com/fixopaedia/fixdic50/message_Market_Data_Snapshot_Full_Refresh_W_.html

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 overview of how to capture Market Price from FIX server.

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