Can I request multiple symbols in one market data request?
Hi svanharmelen,
Requesting multiple symbols in one market request is not available in our current FIX API implementation. Yow need to send a request for each symbol separately.
Best Regards,
Panagiotis
You can assume that within a single X-message you will receive quotes related to the only one symbol and sort them out by tag 55 (Symbol)
And I agree with you, it's kind of odd to require MDReqID to be specified and never return it back.
You can send a dozen of Maket Data Requests with a unique MDReqID each but for the same symbol, and and you will receive the same amount of quotes as you would get sending the only one Maket Data Request
RE:
swapd0 said:
After reading this post I've changed my multi-register routine to send several subscribe messages, each one for each symbol but I only get quotes from the first one.
By the way, I'm using different values for MDReqID on each request (reqId1, reqId5, reqId7...), not sure if this is right.
What I'm doing wrong?
Edited: Using the same value for MDReqID I get quotes from two symbols, although I've subscribed for 24...
Here are my request messages
OUT: 8=FIX.4.4|9=144|35=V|34=5|49=live.icmarkets.****|50=******|52=20220520-19:21:27.018|57=QUOTE|56=cServer|262=reqId1|263=1|264=1|267=2|269=0|269=1|146=1|55=1|10=149|
OUT: 8=FIX.4.4|9=410|35=V|34=7|49=live.icmarkets.*****50=******|52=20220520-19:21:53.622|57=QUOTE|56=cServer|262=reqId5|263=1|264=1|267=2|269=0|269=1|146=1|55=14|10=203|
OUT: 8=FIX.4.4|9=152|35=V|34=9|49=live.icmarkets.*****50=******|52=20220520-19:21:53.788|57=QUOTE|56=cServer|262=reqId7|263=1|264=1|267=2|269=0|269=1|146=1|55=17|10=226|
And here are the quotes, I only got from EURUSD(1)
IN:8=FIX.4.4|9=141|35=W|34=301|49=cServer|50=QUOTE|52=20220520-17:24:51.269|56=live.icmarkets.****|57=****|55=1|268=2|269=0|270=1.05502|269=1|270=1.05502|10=064|
IN:8=FIX.4.4|9=141|35=W|34=302|49=cServer|50=QUOTE|52=20220520-17:24:51.804|56=live.icmarkets.****|57=****|55=1|268=2|269=0|270=1.05503|269=1|270=1.05503|10=062|
IN:8=FIX.4.4|9=141|35=W|34=303|49=cServer|50=QUOTE|52=20220520-17:24:52.774|56=live.icmarkets.****|57=****|55=1|268=2|269=0|270=1.05502|269=1|270=1.05502|10=068|
IN:8=FIX.4.4|9=137|35=W|34=304|49=cServer|50=QUOTE|52=20220520-17:24:52.974|56=live.icmarkets.****|57=****|55=1|268=2|269=0|270=1.055|269=1|270=1.055|10=136|
IN:8=FIX.4.4|9=141|35=W|34=305|49=cServer|50=QUOTE|52=20220520-17:24:53.182|56=live.icmarkets.****|57=****|55=1|268=2|269=0|270=1.05499|269=1|270=1.05499|10=094|
IN:8=FIX.4.4|9=141|35=W|34=306|49=cServer|50=QUOTE|52=20220520-17:24:53.410|56=live.icmarkets.****|57=****|55=1|268=2|269=0|270=1.05498|269=1|270=1.05498|10=087|
IN:8=FIX.4.4|9=141|35=W|34=307|49=cServer|50=QUOTE|52=20220520-17:24:54.457|56=live.icmarkets.****|57=*****|55=1|268=2|269=0|270=1.05497|269=1|270=1.05497|10=098|
Hi,
I just tested by subscribing to multiple symbols and I received quotes from all of them.
I used our QuickFIX console sample: spotware/quickfixnsamples.net: .NET Samples for QuickFIXn library and Spotware FIX API (github.com)
Change the SendMarketDataRequest method on console sample program.cs to:
private static void SendMarketDataRequest(string[] fields, bool subscribe)
{
foreach (var symbolId in Enumerable.Range(0, 10))
{
MDReqID mdReqID = new("MARKETDATAID");
SubscriptionRequestType subType = new(subscribe ? '1' : '2');
MarketDepth marketDepth = new(fields[1].ToLowerInvariant().Equals("y", StringComparison.OrdinalIgnoreCase) ? 0 : 1);
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup bidMarketDataEntryGroup = new() { MDEntryType = new MDEntryType('0') };
QuickFix.FIX44.MarketDataRequest.NoMDEntryTypesGroup offerMarketDataEntryGroup = new() { MDEntryType = new MDEntryType('1') };
//QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symbolGroup = new() { Symbol = new Symbol(fields[0]), };
QuickFix.FIX44.MarketDataRequest.NoRelatedSymGroup symbolGroup = new() { Symbol = new Symbol(symbolId.ToString()), };
QuickFix.FIX44.MarketDataRequest message = new(mdReqID, subType, marketDepth);
message.AddGroup(bidMarketDataEntryGroup);
message.AddGroup(offerMarketDataEntryGroup);
message.AddGroup(symbolGroup);
_application.SendMessage(message);
}
}Now instead of sending a single request it sends 10 request for 10 symbols.
RE:
swapd0 said:
Don't know why sometimes I get quotes from several symbols, and sometimes only from the first one in the list.
Hi,
Not sure what environment you are using but when I test on our .NET or Python samples I receive all the quotes.
