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  #1 (permalink)  
Old 12-18-2008, 01:53 AM
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How can I receive tick data more quickly?
Dear, Miss/Mr

When I run Price Engine Client SDK. It always receive history fx-data(example: now is 15:55. it will receive data of 15:50.). How can I receive tick data more quickly? Thank you.

Regards,
Richard.
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  #2 (permalink)  
Old 12-18-2008, 01:55 AM
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What time frame are you requesting for?
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Old 12-18-2008, 02:00 AM
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My request can receive tick data.
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Old 12-18-2008, 02:10 AM
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now my requesting type is "msg->setValue(IFixDefs::FLDTAG_SUBSCRIPTIONREQUESTTYPE , IFixDefs::SUBSCRIPTIONREQUESTTYPE_SNAPSHOT);

What should I select in this type?

Thank you.
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  #5 (permalink)  
Old 12-18-2008, 02:31 AM
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This is my subscribe ().


bool ListenerEg::subscribe(IUserSession *aSession)
{
bool ret = false;
IMessage *msg = ConnectionManagerEx::getMessageFactory()->createMessage((char *)(aSession->getSessionID()),(char *)IFixDefs::MSGTYPE_MARKETDATAREQUEST);
msg->setValue(IFixDefs::FLDTAG_MDREQID, aSession->getNextRequestID()); //request id
msg->setValue(IFixDefs::FLDTAG_SUBSCRIPTIONREQUESTTYPE , IFixDefs::SUBSCRIPTIONREQUESTTYPE_SUBSCRIBE); //request type
msg->setValueLong(IFixDefs::FLDTAG_MARKETDEPTH, (int)0); // required field
msg->setValueLong(IFixDefs::FLDTAG_MDUPDATETYPE, (int)0); // required field

IFieldGroupList* grl = ConnectionManagerEx::getMessageFactory()->createFieldGroupList();

// that is for TICKs
IFieldGroup *gr;
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BID);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);

gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_ASK);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);

gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_LOW);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);

gr = ConnectionManagerEx::getMessageFactory ()->createFieldGroup ();
gr->setValue (IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_HIGH);
grl->put (gr);
ConnectionManagerEx::freeObject (gr);

// -----------------
/*

// that is for bars
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BIDOPEN);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BIDCLOSE);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BIDHIGH);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BIDLOW);
grl->put(gr);

gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_ASKOPEN);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_ASKCLOSE);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_ASKHIGH);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_ASKLOW);
grl->put(gr);

*/

msg->setValue(IFixDefs::FLDTAG_NOMDENTRYTYPES, grl);
ConnectionManagerEx::freeObject(grl);
grl = ConnectionManagerEx::getMessageFactory()->createFieldGroupList();

for (int i = 0; i < gCurrCount; ++i)
{
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_SYMBOL, gCurrencies[i]);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);
}

msg->setValue(IFixDefs::FLDTAG_NORELATEDSYM, grl);
ConnectionManagerEx::freeObject(grl);

grl = ConnectionManagerEx::getMessageFactory()->createFieldGroupList();
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_TRADINGSESSIONID,"FXCM" );
gr->setValue(IFixDefs::FLDTAG_TRADINGSESSIONSUBID, "PriceServer");
grl->put(gr);
ConnectionManagerEx::freeObject(gr);
msg->setValue(IFixDefs::FLDTAG_NOTRADINGSESSIONS, grl);
ConnectionManagerEx::freeObject(grl);

msg->setValueLong(IFixDefs::FLDTAG_FXCMTIMINGINTERVAL, IFixDefs::FXCMTIMINGINTERVAL_TICK);
// msg->setValueLong(IFixDefs::FLDTAG_FXCMTIMINGINTERVAL, IFixDefs::FXCMTIMINGINTERVAL_MIN30);

CUTCDate udt;

// Obtain coordinated universal time:
char szDate[40], szTime[40];
udt.toString(szDate, 40);
SYSTEMTIME st;
GetSystemTime(&st);
st.wMinute = 0;
st.wSecond = 0;
CUTCTimeOnly utm(&st);
utm.toString(szTime, 40);

// fill out UTC date
msg->setValue(IFixDefs::FLDTAG_FXCMSTARTDATE, szDate);
// fill out UTC time
msg->setValue(IFixDefs::FLDTAG_FXCMSTARTTIME, szTime);

try
{
const char *status = aSession->send(msg);
char str[256];
sprintf(str, "Message 2 sent. Request DateTime is %s-%s\nReturn Status='%s'\n", szDate, szTime, status ? status : "NULL");
ListenerEg:rint(str);
ret = true;
}
catch (GenericException& e)
{
ListenerEg:rint ("Send method fails\n");
ListenerEg:rint (e.getMessage());
ListenerEg:rint ("\n");
ret = false;
}

ConnectionManagerEx::freeObject(msg);
return ret;
}
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  #6 (permalink)  
Old 12-18-2008, 02:38 AM
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Join Date: Dec 2008
Posts: 25
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This is my subscribe ()

bool ListenerEg::subscribe(IUserSession *aSession)
{
bool ret = false;
IMessage *msg = ConnectionManagerEx::getMessageFactory()->createMessage((char *)(aSession->getSessionID()),(char *)IFixDefs::MSGTYPE_MARKETDATAREQUEST);
msg->setValue(IFixDefs::FLDTAG_MDREQID, aSession->getNextRequestID()); //request id
msg->setValue(IFixDefs::FLDTAG_SUBSCRIPTIONREQUESTTYPE , IFixDefs::SUBSCRIPTIONREQUESTTYPE_SUBSCRIBE); //request type
msg->setValueLong(IFixDefs::FLDTAG_MARKETDEPTH, (int)0); // required field
msg->setValueLong(IFixDefs::FLDTAG_MDUPDATETYPE, (int)0); // required field

IFieldGroupList* grl = ConnectionManagerEx::getMessageFactory()->createFieldGroupList();

// that is for TICKs
IFieldGroup *gr;
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BID);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);

gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_ASK);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);

gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_LOW);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);

gr = ConnectionManagerEx::getMessageFactory ()->createFieldGroup ();
gr->setValue (IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_HIGH);
grl->put (gr);
ConnectionManagerEx::freeObject (gr);

// -----------------
/*

// that is for bars
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BIDOPEN);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BIDCLOSE);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BIDHIGH);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BIDLOW);
grl->put(gr);

gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_ASKOPEN);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_ASKCLOSE);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_ASKHIGH);
grl->put(gr);
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_ASKLOW);
grl->put(gr);

*/

msg->setValue(IFixDefs::FLDTAG_NOMDENTRYTYPES, grl);
ConnectionManagerEx::freeObject(grl);
grl = ConnectionManagerEx::getMessageFactory()->createFieldGroupList();

for (int i = 0; i < gCurrCount; ++i)
{
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_SYMBOL, gCurrencies[i]);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);
}

msg->setValue(IFixDefs::FLDTAG_NORELATEDSYM, grl);
ConnectionManagerEx::freeObject(grl);

grl = ConnectionManagerEx::getMessageFactory()->createFieldGroupList();
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_TRADINGSESSIONID,"FXCM" );
gr->setValue(IFixDefs::FLDTAG_TRADINGSESSIONSUBID, "PriceServer");
grl->put(gr);
ConnectionManagerEx::freeObject(gr);
msg->setValue(IFixDefs::FLDTAG_NOTRADINGSESSIONS, grl);
ConnectionManagerEx::freeObject(grl);

msg->setValueLong(IFixDefs::FLDTAG_FXCMTIMINGINTERVAL, IFixDefs::FXCMTIMINGINTERVAL_TICK);
// msg->setValueLong(IFixDefs::FLDTAG_FXCMTIMINGINTERVAL, IFixDefs::FXCMTIMINGINTERVAL_MIN30);

CUTCDate udt;

// Obtain coordinated universal time:
char szDate[40], szTime[40];
udt.toString(szDate, 40);
SYSTEMTIME st;
GetSystemTime(&st);
st.wMinute = 0;
st.wSecond = 0;
CUTCTimeOnly utm(&st);
utm.toString(szTime, 40);

// fill out UTC date
msg->setValue(IFixDefs::FLDTAG_FXCMSTARTDATE, szDate);
// fill out UTC time
msg->setValue(IFixDefs::FLDTAG_FXCMSTARTTIME, szTime);

try
{
const char *status = aSession->send(msg);
char str[256];
sprintf(str, "Message 2 sent. Request DateTime is %s-%s\nReturn Status='%s'\n", szDate, szTime, status ? status : "NULL");
ListenerEg:rint(str);
ret = true;
}
catch (GenericException& e)
{
ListenerEg:rint ("Send method fails\n");
ListenerEg:rint (e.getMessage());
ListenerEg:rint ("\n");
ret = false;
}

ConnectionManagerEx::freeObject(msg);
return ret;
}
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  #7 (permalink)  
Old 12-18-2008, 02:39 AM
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Join Date: Dec 2008
Posts: 25
Richard.Yan is on a distinguished road
This is my subscribe ()

bool ListenerEg::subscribe(IUserSession *aSession)
{
bool ret = false;
IMessage *msg = ConnectionManagerEx::getMessageFactory()->createMessage((char *)(aSession->getSessionID()),(char *)IFixDefs::MSGTYPE_MARKETDATAREQUEST);
msg->setValue(IFixDefs::FLDTAG_MDREQID, aSession->getNextRequestID()); //request id
msg->setValue(IFixDefs::FLDTAG_SUBSCRIPTIONREQUESTTYPE , IFixDefs::SUBSCRIPTIONREQUESTTYPE_SUBSCRIBE); //request type
msg->setValueLong(IFixDefs::FLDTAG_MARKETDEPTH, (int)0); // required field
msg->setValueLong(IFixDefs::FLDTAG_MDUPDATETYPE, (int)0); // required field

IFieldGroupList* grl = ConnectionManagerEx::getMessageFactory()->createFieldGroupList();

// that is for TICKs
IFieldGroup *gr;
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BID);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);

msg->setValue(IFixDefs::FLDTAG_NOMDENTRYTYPES, grl);
ConnectionManagerEx::freeObject(grl);
grl = ConnectionManagerEx::getMessageFactory()->createFieldGroupList();

for (int i = 0; i < gCurrCount; ++i)
{
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_SYMBOL, gCurrencies[i]);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);
}

msg->setValue(IFixDefs::FLDTAG_NORELATEDSYM, grl);
ConnectionManagerEx::freeObject(grl);

grl = ConnectionManagerEx::getMessageFactory()->createFieldGroupList();
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_TRADINGSESSIONID,"FXCM" );
gr->setValue(IFixDefs::FLDTAG_TRADINGSESSIONSUBID, "PriceServer");
grl->put(gr);
ConnectionManagerEx::freeObject(gr);
msg->setValue(IFixDefs::FLDTAG_NOTRADINGSESSIONS, grl);
ConnectionManagerEx::freeObject(grl);

msg->setValueLong(IFixDefs::FLDTAG_FXCMTIMINGINTERVAL, IFixDefs::FXCMTIMINGINTERVAL_TICK);
// msg->setValueLong(IFixDefs::FLDTAG_FXCMTIMINGINTERVAL, IFixDefs::FXCMTIMINGINTERVAL_MIN30);

CUTCDate udt;

// Obtain coordinated universal time:
char szDate[40], szTime[40];
udt.toString(szDate, 40);
SYSTEMTIME st;
GetSystemTime(&st);
st.wMinute = 0;
st.wSecond = 0;
CUTCTimeOnly utm(&st);
utm.toString(szTime, 40);

// fill out UTC date
msg->setValue(IFixDefs::FLDTAG_FXCMSTARTDATE, szDate);
// fill out UTC time
msg->setValue(IFixDefs::FLDTAG_FXCMSTARTTIME, szTime);
}
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  #8 (permalink)  
Old 12-18-2008, 02:40 AM
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Posts: 25
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IFieldGroupList* grl = ConnectionManagerEx::getMessageFactory()->createFieldGroupList();

// that is for TICKs
IFieldGroup *gr;
gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_BID);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);

gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
gr->setValue(IFixDefs::FLDTAG_MDENTRYTYPE, IFixDefs::MDENTRYTYPE_ASK);
grl->put(gr);
ConnectionManagerEx::freeObject(gr);

gr = ConnectionManagerEx::getMessageFactory()->createFieldGroup();
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