Click here to Skip to main content
15,615,155 members
Articles / Programming Languages / C#
Technical Blog
Posted 19 Feb 2012

Tagged as


8 bookmarked

Retrieve MarketPrice from FixServer using QuickFix

Rate me:
Please Sign up or sign in to vote.
5.00/5 (3 votes)
5 Aug 2012CPOL2 min read
Retrieve MarketPrice from FixServer using QuickFix (FIX)

This is in continuation to the previous post on QuickFix which explains how to connect to FIX Server and send order to Fix Server.

I don’t have any environment to test now. I just want to give an idea about how can we get market price from FIX server if broker/exchange is sending market price in FIX messages.

I am assuming session has been setup with Fix Server. You can go thorough the previous post to understand the steps to setup the session.


Once session has setup, Fix Initiator application needs to send MarketDataRequest message to FIX server.

Response can be different messages:

  • MarketDataRequestReject

    This is reject response of MarketDataRequest message.

  • Market Data – Incremental Refresh (MarketDataIncrementalRefresh)

    This message contain incremental update of market price. It’s real time message for MarketDataRequest.

  • Market Data – Snapshot / Full Refresh (MarketDataSnapshotFullRefresh)

    This message will be one per MarketDataRequest message. It contains snapshot of market prices.

Fix Initiator

Source Code

var marketDataRequest = new MarketDataRequest();
            marketDataRequest.set(new QuickFix.MDReqID(Utility.GetNewUniqueId()));
            marketDataRequest.set(new QuickFix.SubscriptionRequestType('1'));
            //if market depth require
            marketDataRequest.set(new QuickFix.MarketDepth(1));
            marketDataRequest.set(new QuickFix.MDUpdateType(1));
            marketDataRequest.set(new QuickFix.AggregatedBook(true));
            var noMDEntryTypes = new MarketDataRequest.NoMDEntryTypes();
            var mdEntryType_bid = new QuickFix.MDEntryType('0');
            var mdEntryType_offer = new QuickFix.MDEntryType('1');
            var relatedSymbol = new MarketDataRequest.NoRelatedSym();
            relatedSymbol.set(new QuickFix.Symbol(instrument));
//Send message
Session.sendToTarget(marketDataRequest, _admin.TradeSessionId);

MarketDataRequest Message Fields

  • NoRelatedSym: This is a list of instruments for which you want to receive market prices.
  • MarketDepth: If you want market depth in price, then set it to 1.
  • MDEntryType: Type of Market Data prices like Bid, Offer, Trade Price, Open price, etc.

You can read more about each field here:

Capture MarketData Response

Once Marketdatarequest message is sent to FixServer, fix initiator expects marketdata response in:

  • MarketDataIncrementalRefresh
  • MarketDataSnapshotFullRefresh
  • MarketDataRequestReject


You can read more about this message:

Source Code

public override void onMessage(MarketDataIncrementalRefresh message, SessionID session)
                MDReqID mdreqid = new MDReqID();
                NoMDEntries nomdentries = new NoMDEntries();
                QuickFix42.MarketDataIncrementalRefresh.NoMDEntries group
                    = new QuickFix42.MarketDataIncrementalRefresh.NoMDEntries();
                MDUpdateAction mdupdateaction = new MDUpdateAction();
                DeleteReason deletereason = new DeleteReason();
                MDEntryType mdentrytype = new MDEntryType();
                MDEntryID mdentryid = new MDEntryID();
                Symbol symbol = new Symbol();
                MDEntryOriginator mdentryoriginator = new MDEntryOriginator();
                MDEntryPx mdentrypx = new MDEntryPx();
                Currency currency = new Currency();
                MDEntrySize mdentrysize = new MDEntrySize();
                ExpireDate expiredate = new ExpireDate();
                ExpireTime expiretime = new ExpireTime();
                NumberOfOrders numberoforders = new NumberOfOrders();
                MDEntryPositionNo mdentrypositionno = new MDEntryPositionNo();


                message.getGroup(1, group);

                int list = nomdentries.getValue();

                for (uint i = 0; i < list; i++)
                    message.getGroup(i + 1, group);
                    if (mdupdateaction.getValue() == '2')
                    if (mdupdateaction.getValue() == '0')
                    if (mdupdateaction.getValue() == '0')

                Console.WriteLine("Got Symbol {0} Price {1}", 
            symbol.getValue(), mdentrypx.getValue());
            catch (Exception ex)


This message will be one per MarketDataRequest message. It contains snapshot of market prices.

Source Code

public override void onMessage(MarketDataSnapshotFullRefresh message, SessionID session)

            string Symbol = message.get(new Symbol()).getValue();

            NoMDEntries noMDEntries = new NoMDEntries();
            var group =
              new QuickFix42.MarketDataSnapshotFullRefresh.NoMDEntries();
            MDEntryType MDEntryType = new MDEntryType();
            MDEntryPx MDEntryPx = new MDEntryPx();
            MDEntrySize MDEntrySize = new MDEntrySize();

            message.getGroup(1, group);

            message.getGroup(2, group);

            Console.WriteLine("Symbol {0} Price {1}", Symbol, MDEntryPx);

Market Data Request Reject

It is used when the broker cannot honor the Market Data Request, due to business or technical reasons.


  • MDReqRejReason: Reject reason code
  • Text: Reject reason text

I hope this post gives an overview of how to capture Market Price from FIX server.


This article, along with any associated source code and files, is licensed under The Code Project Open License (CPOL)

Written By
Architect Saxo Bank A/S
Denmark Denmark
• Solution Architect /Principle Lead Developer with 12 years of IT experience with more emphasize on Capital Domain and Investment banking domain.
• Strong experience in Continuous Integration, Delivery and DevOps solutions.
• Strong experience in drafting solutions, stakeholder communications and risk management.
• Proved strong coding and designing skills with agile approaches (TDD, XP framework, Pair Programming).
• Delivered many projects with involvement from inception to delivery phase.
• Strong experience in high performance, multithreaded, low latency applications.
• Ability to communicate with the business and technical stake holders effectively.
• Have extensive experience in Capital Market Domain: Front Office & BackOffice (Algorithm Trading tools, messaging framework, Enterprise bus, integration of FIX APIs and many trading APIs).
• Functional knowledge of Portfolio/Wealth Management, Equities, Fixed Income, Derivatives, Forex.
• Practical knowledge of building and practicing agile delivery methodologies (SCRUM, TDD, Kanban).

Technical Skills

• Architectural: Solution Design, Architectural Presentations (Logical, Component, Physical, UML diagrams)
• Languages: C#, C++
• Server Technologies: WCF, Web API,
• Middle Ware: ActiveMQ, RabbitMQ, Enterprise Service Bus
• UI Technologies: Winforms and WPF
• Web Technologies: Asp.Net Mvc, KnockOutJS, JQuery, Advance Java Scripts Concepts
• Databases: Sql Server 2008 +, MySQL
• Tools/Frameworks: TFS, SVN, NUnit, Rhino Mocks, Unity, NAnt, QuickFix/n, Nhibernate, LINQ, JIRA,

Functional Skills

• Wealth Management System, Trade Life Cycle, Trading Components and their integrations
• Working knowledge of Stocks, Bonds, CFDs,Forex, Futures and Options
• Pricing Systems, Market Data Management,
• BackOffice Processes : Settlement Processes, Netting, Tax, Commissions, Corporate Actions Handling,
• Reporting Solutions : OLTP and OLAP Data model designing
• FIX Engine implementation and integration

Comments and Discussions

QuestionReceive market data over Fast Fix Pin
Sanket Joshi16-Dec-21 21:57
Sanket Joshi16-Dec-21 21:57 
QuestionLive streaming rate on web application Pin
Member 117176575-Aug-18 23:40
Member 117176575-Aug-18 23:40 
QuestionRequesting sample project Pin
Member 1327546223-Jun-17 1:29
Member 1327546223-Jun-17 1:29 
QuestionQuick side line job :) Pin
ccsalway3-Jun-13 9:48
ccsalway3-Jun-13 9:48 

General General    News News    Suggestion Suggestion    Question Question    Bug Bug    Answer Answer    Joke Joke    Praise Praise    Rant Rant    Admin Admin   

Use Ctrl+Left/Right to switch messages, Ctrl+Up/Down to switch threads, Ctrl+Shift+Left/Right to switch pages.