How to retrieve data from MarketDataIncrementalRefresh message?
How can I retrieve the following values from a MarketDataIncrementalRefresh?
- Symbol/Instrument
- Offer
- Bid
- OfferSize
- BidSize
I'm familiar with Quote
message handling, fo开发者_开发知识库r example:
If quote.isSetOfferPx Then Offer = quote.getOfferPx.getValue
Tried the same approach on MarketDataIncrementalRefresh
, but there are no such methods, and isSetField
always returns false
although the field does exist.
MarketDataIncrementalRefresh
Example message:
8=FIX.4.29=22535=X34=349=ABC52=20110928-12:47:53.31656=TARGETCOMPID262=634528216663837491268=2279=0269=0278=155=AUD/CAD270=1.0126515=AUD271=1000000346=1279=0269=1278=255=AUD/CAD270=1.0130715=AUD271=1000000346=110=094
Problem solved. In order to retrieve data from MarketDataIncrementalRefresh
, is build of Groups
. Hence, I needed to get each group and retrieve its' data individually.
Method is:
Public Overrides Sub onMessage(message As QuickFix42.MarketDataIncrementalRefresh, session As SessionID)
Try
If message IsNot Nothing Then
Dim group As New MarketDataIncrementalRefresh.NoMDEntries()
For i = 1 To message.getNoMDEntries.getValue
group = message.getGroup(i, group)
If group.isSetSymbol Then
Dim l_symbol As String = group.getSymbol().getValue
If group.getMDEntryType().getValue() = "0"c Then
SetBid(l_symbol, group.getMDEntryPx().getValue())
If group.isSetMDEntrySize Then
SetBidSize(l_symbol, group.getMDEntrySize().getValue)
End If
End If
If group.getMDEntryType().getValue() = "1"c Then
SetOffer(l_symbol, group.getMDEntryPx().getValue())
If group.isSetMDEntrySize Then
SetOfferSize(l_symbol, group.getMDEntrySize().getValue)
End If
End If
End If
Next
End If
Catch ex As Exception
End Try
End Sub
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