Market Data Request - FieldNotFound Exception
I'm constantly getting FieldNotFound
exception when trying to subscribe to quotes of a Forex symbol.
Although i added all the required tags and beyond.
(Which are: MDReqID,SubscriptionRequestType,MarketDepth,NoMDEntryTypes,MDEntryType,NoRelatedSym,Symbol. As specified here: http://www.onixs.biz/tools/fixdictionary/4.2/msgType_V_86.html)
Here is my code:
Dim l_msg As New QuickFix42.MarketDataRequest(
New MDReqID(System.Guid.NewGuid.ToString),
New SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES),
New MarketDepth(1))
l_msg.setFi开发者_如何学运维eld(New MDUpdateType(1))
l_msg.setField(New AggregatedBook(False))
l_msg.setField(New NoMDEntryTypes(2))
l_msg.setField(New MDEntryType("0"c))
l_msg.setField(New NoRelatedSym(1))
l_msg.setField(New Symbol("EUR/USD"))
Session.sendToTarget(l_msg, SENDER_COMP_ID.Value, TARGET_COMP_ID.Value)
What am i missing here?
Found the issue:
The toApp
method is checking for duplicates using the PossDupFlag
And if it doesn't exist, FieldNotFound
exception is being thrown.
The solution is either to wrap it with a condition that checks if PossDupFlag exists, or adding this field to the message before send:
Public Sub toApp(p_msg As QuickFix.Message, Param1 As QuickFix.SessionID) Implements QuickFix.Application.toApp
Try
Dim l_possDupFlag As New QuickFix.PossDupFlag
If p_msg.isSetField(l_possDupFlag) Then
p_msg.getHeader().getField(l_possDupFlag)
If (l_possDupFlag.getValue()) Then
Dim donotsendEx As New QuickFix.DoNotSend
Throw donotsendEx
End If
End If
Catch ex As QuickFix.FieldNotFound
Log.WriteLine("toApp", ex.ToString)
Catch ex As Exception
Log.WriteLine("toApp", ex.ToString)
End Try
End Sub
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