CODEWITHSUNDEEP
c#protocolsfinancefix-protocol
Stephane
Stephane

Reputation: 5078

How to send a simple QuoteRequest message with QuickFIX engine?

I'm trying to send a QuoteRequest (Tag 35=R) with QuickFIX engine required fields being:

QuoteReqID (Tag: 131)
NoRelatedSym (Tag: 146)
Symbol (Tag: 55)
OrderQty (Tag: 38) *This tag MUST be part of the repeating group (broker said)
Account (Tag: 1)

Here what I did but I'm stuck at how to actually set the account field which should be in a group as they said but not sure how to use group in this case:

string qrid = new Random().Next(111111111, 999999999).ToString();
QuickFix.Fields.QuoteReqID QuoteReqID = new QuickFix.Fields.QuoteReqID(qrid);
QuickFix.FIX44.QuoteRequest message = new QuickFix.FIX44.QuoteRequest(QuoteReqID);
message.NoRelatedSym = new QuickFix.Fields.NoRelatedSym(1);
message.SetField(new QuickFix.Fields.Symbol("EURUSD"));
message.SetField(new QuickFix.Fields.OrderQty(1000)); // not sure which amount to set

// QuickFix.Session.SendToTarget(message, application.QuoteSessionID);

Upvotes: 4

Views: 3953

Answers (1)

Stephane
Stephane

Reputation: 5078

Here's the code I've used to make it work:

if ( is_logged_on ) { // previously run initiator.start() and listen for initiator.IsLoggedOn to be true
    Console.WriteLine("We're logged on!");
    Console.WriteLine("Sending QuoteRequest...");

    // we're using two sessions: 1 for quotes and another for trades
    // QuoteSessionID holds sessionID for quote operations
    if ( application != null ) {

        // generate a unique request ID
        string qrid = new Random().Next(111111111, 999999999).ToString();
        QuickFix.Fields.QuoteReqID QuoteReqID = new QuickFix.Fields.QuoteReqID(qrid);

        // create QuoteRequest instance
        QuickFix.FIX44.QuoteRequest message = new QuickFix.FIX44.QuoteRequest(QuoteReqID);

        // Symbol, OrderQty and Account are in a repeating groups
        QuickFix.Group group = new QuickFix.Group(QuickFix.Fields.Tags.NoRelatedSym, QuickFix.Fields.Tags.Symbol);
        group.SetField(new QuickFix.Fields.Symbol("EURUSD"));
        group.SetField(new QuickFix.Fields.OrderQty(500));
        group.SetField(new QuickFix.Fields.Account(Account));

        // add this group to message
        message.AddGroup(group);

        // send message to FIX server with QuoteSessionID
        QuickFix.Session.SendToTarget(message, application.QuoteSessionID);

    }
    else
    {
        Console.WriteLine("QuoteSessionID is null");
    }
}

Upvotes: 6

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