MarketDataRequest (35=V) return NO Quotes (268=0) in 35=W message

netread2004
07 Dec 2018, 07:37

I just put these DataRequest in 500ms Timer Event and sending request every 500ms and now I am getting Quotes for 55=2. Is this the correct approach to get quotes? If so, 500ms is good time period or should it be faster. 

Please commnet on this.

PanagiotisCharalampous
07 Dec 2018, 11:41

Hi netread2004,

You should be sending a Market Data Request whenever you want to update your market data with new prices. Refresh rate is up to you even though I believe 500ms is a bit slow. You can try 100ms.

Best Regards,

Panagiotis

terryww2
07 Jan 2019, 20:32

RE:

Hi,

I'm having the same problem (268=0) and going through the Rules of engagement, I'm stuck. I'd really appreciate any input:

OUT 20190107-17:27:02.833858000 8=FIX.4.4
9=130
35=V
49=xxx
56=CSERVER
34=2
50=Quote
57=QUOTE
52=20190107-17:27:02.833
262=123
263=1
264=0
267=2
269=0
269=1
146=1
55=1
10=111

 IN 20190107-17:27:02.867548300 8=FIX.4.4
9=92
35=W
34=2
49=CSERVER
50=QUOTE
52=20190107-17:27:02.893
56=xxx
57=Quote
55=1
268=0
10=161

Kind regards

PanagiotisCharalampous
08 Jan 2019, 09:43

Hi terryww2,

Does this happen every time you sent a 35=W? Can you reproduce with the example application?

Best Regards,

Panagiotis

terryww2
08 Jan 2019, 11:55

RE:

Panagiotis Charalampous said:

Hi terryww2,

Does this happen every time you sent a 35=W? Can you reproduce with the example application?

Best Regards,

Panagiotis

Hi,

thank you for the quick reply! Hm... I think you mean "Does this happen every time you sent a 35=V?" not "35=W" (based on https://www.onixs.biz/fix-dictionary/4.4/msgType_W_87.html and the example in cTraderFixApi_v2.15.1.pdf). So I expected that when I send 35=V I'd get as first response 35=W where I'd see the orderbook snapshot followed by 35=X responses. It happens every time, yes (I tried with 55=1 and 55=2).

Sorry but where can I find the example app?

Kind regards

PanagiotisCharalampous
08 Jan 2019, 11:59

Hi terryww2,

Yes I meant 35=V, sorry for the typo. You can find the example here.

Best Regards,

Panagiotis

terryww2
08 Jan 2019, 19:04

Hi,

the example app is crashing all the time on me (Win10, latest VisualStudio Enterprise). On clicking the "Logon" button under "Price Stream" only the "Fix Message Send:" field gets populated. Nothing else happens after waiting for 2min. Clicking any other button after Logon, crashes the app.

In my own app I'm observing now that for 55=2 and 55=3 I get 268=2.

1. I expected the whole orderbook snapshot but only the top bid/ask prices with volume is sent. Is this expected?

1.1 If that's so how can the orderbook be reconstructed or is the quote stream just for showing activity of market participants?

2. 55=1 still returns 268=0. Any suggestions for next steps?

3. I'm going through a couple of 35=X messages and I only see new and deleted orders. Trades on the platform are not propagated?

Kind regards

PanagiotisCharalampous
09 Jan 2019, 10:43

Hi terryww2,

If you do not get a response using the example application then probably you have entered wrong credentials. Regarding your questions

1. If you set tag 264 to 0 then you should be getting the full order book with message 35=W. Subsequent messages 35=X should only include incremental updates, additions and deletions. If you manage to run the sample application, you will see how this works.
2. Not really. I do not get such a behavior using the example application.
3. I am not sure what do you mean with trades. 35=X messages just inform you about new entries in the market depth as well as deletions of existing entries.

Best Regards,

Panagiotis

terryww2
09 Jan 2019, 11:27

Hi,

I changed the credentials, thanks for the hint! So using the example app (connecting to the SSL ports):

8=FIX.4.4|9=144|35=V|49=fxpig.1000540|56=CSERVER|57=QUOTE|50=3006156|34=3|52=20190109-09:13:39|262=EURUSD:WDqsoT|263=1|264=0|265=1|267=2|269=0|269=1|146=1|55=1|10=203|
8=FIX.4.4|9=130|35=W|34=3|49=CSERVER|50=QUOTE|52=20190109-09:13:19.917|56=fxpig.my_acc_no|57=3006156|55=1|268=2|269=0|270=1.14638|269=1|270=1.14643|10=179|

So 35=W returns only best bid/ask with volumes, not the whole orderbook.

Now if I connect to the port my broker gave me (not a SSL port), then I get 268=0 and rarely 268=2 (in the evenings CET time).

Kind regards

PanagiotisCharalampous
09 Jan 2019, 11:30

Hi terryww2,

Who is your broker?

Best Regards,

Panagiotis

terryww2
09 Jan 2019, 11:51

Hi,

as seen from the message, fxPig. They have 3 feeds (SPA, MPA, SFL) and I get the same behaviour on all of them.

Kind regards

PanagiotisCharalampous
09 Jan 2019, 12:08 ( Updated at: 21 Dec 2023, 09:21 )

Hi terryww2,

It does not seem that FXPIG has DoM for the specific symbol. See below

Best Regards,

Panagiotis

terryww2
09 Jan 2019, 12:13

I didn't know the broker has so many options to customize their market. That explains a lot :). I owe you a cup of coffee if I meet you someday.

Thanks