{{Quickfixn}} QuickFIXn starting point

[Чингиз Шакенов]

Hi guys,
I'm new to FIX protocol. I was using one of the brokers application to develop trading algorithms, but I wasn't happy with their billing policy and overheads. So, I decided to implement my own.

I were able to login and logout to a test server, but from this point I don't know where to start from.
Right now the need is a little: receive current transactions (price, time, quantity, sell/buy), history of transactions for a given time, history of bars of any time intervals for a given time, place limit-market-stop orders.
As I can understand, for transactions I need to use Market Data message, but there are 3 of them: MarketDataIncrementalRefresh, MarketDataRequest, MarketDataSnapshotFullRefresh. And for orders there are 4: NewOrderCross, NewOrderList, NewOrderMultileg, NewOrderSingle. I don't know which one of them should I send to achieve my needs.
Where is the first place to look for informations about all of this? Is there any documentations that explains terminology as well?

Thanks in advance!
-- 
Чингиз Шакенов
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