svanharmelen
27 Dec 2017, 15:07

That is indeed how I do it now, but I was hoping it could be done a little cleaner.

And your last remark is also interesting. Again thanks for all your feedback!

svanharmelen
27 Dec 2017, 15:04

Yeah of course, that makes sense ;)

I came to the same conclusion after some random testing, but still thanks for the confirmation #EOL! 

svanharmelen
22 Dec 2017, 22:29

Hmm... I thought I should be alright, but I just noticed that the MDReqID is not send back in the W or X messages :(

So now I'm a little bit in trouble as it cannot tell which messages comes from which request. So if I do multiple requests at the same time for multiple symbols (all with their own MDReqID value), I cannot process the responses in parallel (one thread per MDReqID).

Is it possible that MDReqID is always returned? Or is there any other way for me to do this?

Thanks!

svanharmelen
21 Dec 2017, 18:02

RE:

#EOL said:

Take a look into section "6.3. Market Data Request" of the spec

It seems, you can subscribe for full refresh (type W) only for spots (top of the book)

Ah... I think I missed the part about the spots... Using 264=1 indeed makes the W messages work :)

For full book only incremental refresh is supported. With the first response message you should receive initial full book snapshot and with the next ones you should receive incremental refreshes.

Cool, my question was indeed about the initial book to start with. So if you can confirm that the initial response contains the current book (with max depth of 4 or 5 I believe, but that's fine), then I'm all good to go.

Thanks for your reaction #EOL!

svanharmelen
21 Dec 2017, 17:03

And if I try it with 263=0 I get this:

Request:

8=FIX.4.4
9=141
35=V
34=2
49=icmarkets.xxxxxxxxx=QUOTE
52=20171220-16:58:44.329
56=cServer
57=QUOTE
146=1
55=1
262=xtdr
263=0
264=0
265=0
267=2
269=0
269=1
10=149

Response:

8=FIX.4.4
9=163
35=Y
34=2
49=cServer
50=QUOTE
52=20171220-16:58:44.344
56=icmarkets.xxxxxxxxx=QUOTE
58=INVALID_REQUEST: Unsupported SubscriptionRequestType(263)=0
262=xxxx281=4
10=189

Thanks...

svanharmelen
21 Dec 2017, 17:00

Sure thing...

Request:

8=FIX.4.4
9=141
35=V
34=2
49=icmarkets.xxxxxxxxx=QUOTE
52=20171221-14:26:12.165
56=cServer
57=QUOTE
146=1
55=1
262=xxxx263=1
264=0
265=0
267=2
269=0
269=1
10=137

Responses:

8=FIX.4.4
9=417
35=X
34=2
49=cServer
50=QUOTE
52=20171221-14:26:12.188
56=icmarkets.xxxxxxxxx=QUOTE
268=6
279=0
269=1
278=178181006
55=1
270=1.18603
271=8000000
279=0
269=1
278=178181007
55=1
270=1.18602
271=1500000
279=0
269=1
278=178181010
55=1
270=1.18601
271=100000
279=0
269=0
278=178181005
55=1
270=1.18601
271=100000
279=0
269=0
278=178181004
55=1
270=1.186
271=4500000
279=0
269=0
278=178181003
55=1
270=1.18599
271=5000000
10=103

8=FIX.4.4
9=355
35=X
34=3
49=cServer
50=QUOTE
52=20171221-14:26:12.270
56=icmarkets.xxxxxxxxx=QUOTE
268=7
279=0
269=0
278=178182246
55=1
270=1.18601
271=4500000
279=0
269=0
278=178182244
55=1
270=1.18602
271=100000
279=0
269=1
278=178182248
55=1
270=1.18602
271=1600000
279=2
278=178181005
55=1
279=2
278=178181004
55=1
279=2
278=178181010
55=1
279=2
278=178181007
55=1
10=068

And of course more of these follow...

Thanks,

Sander

svanharmelen
21 Dec 2017, 10:39

Check, then at least I know I'm not doing anything wrong ;)

Already tried to sending multiple requests and that indeed seems to work fine...

Thanks,

Sander