quickfix市场数据请求

Question

我试图在MarketDataRequest中复制一个，但找不到任何代码示例。有没有使用Python和Quickfix的经验？

Java代码如下所示：

MarketDataRequest mdr = new MarketDataRequest();

if (subscribed)
{
    mdr.set(new SubscriptionRequestType(SubscriptionRequestType.DISABLE_PREVIOUS_SNAPSHOT_PLUS_UPDATE_REQUEST));
    Session.sendToTarget(mdr, sessionId);
}

mdr.set(new MDReqID("1"));
mdr.set(new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES));
mdr.set(new MarketDepth(0));
mdr.set(new MDUpdateType(MDUpdateType.INCREMENTAL_REFRESH));

mdr.set(new NoMDEntryTypes(2));

MarketDataRequest.NoMDEntryTypes entries = new MarketDataRequest.NoMDEntryTypes();
entries.set(new MDEntryType(MDEntryType.BID));
mdr.addGroup(entries);
entries.set(new MDEntryType(MDEntryType.OFFER));
mdr.addGroup(entries);

mdr.set(new NoRelatedSym(pairs.size()));

MarketDataRequest.NoRelatedSym symbols = new MarketDataRequest.NoRelatedSym();

for (String pair : pairs)
{
    symbols.set(new Instrument(new Symbol(pair)));
    mdr.addGroup(symbols);
}

Session.sendToTarget(mdr, sessionId);

到目前为止，在Python中我有以下内容：

mdr = fix.Message()
mdr.getHeader().setField(fix.BeginString(fix.BeginString_FIX44))
mdr.getHeader().setField(fix.MsgType(fix.MsgType_MarketDataRequest))

mdr.setField(fix.MDReqID('1'))
mdr.setField(fix.SubscriptionRequestType(fix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
mdr.setField(fix.MarketDepth(0))
mdr.setField(fix.NoMDEntryTypes(2))
mdr.setField(fix.MDUpdateType(fix.MDUpdateType_INCREMENTAL_REFRESH))

Answer 1

哇哦！解决我自己的问题

mdr = fix.Message()
mdr.getHeader().setField(fix.BeginString(fix.BeginString_FIX44))
mdr.getHeader().setField(fix.MsgType(fix.MsgType_MarketDataRequest))

mdr.setField(fix.MDReqID('1'))
mdr.setField(fix.SubscriptionRequestType(fix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
mdr.setField(fix.MarketDepth(0))
mdr.setField(fix.NoMDEntryTypes(2))
mdr.setField(fix.MDUpdateType(fix.MDUpdateType_INCREMENTAL_REFRESH))

group = fixnn.MarketDataRequest().NoMDEntryTypes()
group.setField(fix.MDEntryType(fix.MDEntryType_BID))
mdr.addGroup(group)
group.setField(fix.MDEntryType(fix.MDEntryType_OFFER))
mdr.addGroup(group)

mdr.setField(fix.NoRelatedSym(len(new_pairs)))

symbol = fixnn.MarketDataRequest().NoRelatedSym()
for pair in new_pairs:
    symbol.setField(fix.Symbol(pair))
    mdr.addGroup(symbol)

fix.Session.sendToTarget(mdr, sessionID)