Question

如何从MarketDataIncrementalRefresh？

中检索以下值？

符号/仪器
优惠
出价
OfferSize
BidSize

我熟悉Quote消息处理，例如：

If quote.isSetOfferPx Then Offer = quote.getOfferPx.getValue

在MarketDataIncrementalRefresh上尝试了相同的方法，但没有这样的方法，isSetField总是返回false，尽管该字段确实存在。

MarketDataIncrementalRefresh示例消息：

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

Answer 1

问题解决了。为了从MarketDataIncrementalRefresh检索数据，构建Groups。因此，我需要获得每个组并单独检索其数据。

方法是：

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

如何从MarketDataIncrementalRefresh消息中检索数据？

1 个答案: