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Development of trading system (XI) -- Introduction to quickfix
2022-06-25 04:02:00 【Tianshan old demon】
One 、QuickFIX brief introduction
1、QuickFIX brief introduction
QuickFIX Is a C++ Open source implementation FIX engine , At the same time provide Python、Ruby Language implementation .
QuickFIX Official website ：
http://www.quickfixengine.org
Github Address ：
https://github.com/quickfix/quickfix
2、QuickFIX compile
Compilation options configuration ：
configure
compile ：
make
Check ：
make check
install ：
sudo make install
Two 、FIX Application mode
1、FIX Introduction to application mode
FIX Applications include initiator and acceptor Two modes .
initiator yes TCP The initiator of the connection ,acceptor yes TCP Connect listener . standard FIX application ( Such as CTS FIX gateway ） Can support at the same time initiator and acceptor Two modes , You can initiate a connection , You can also accept connection requests .
Development FIX When applied , You need to make sure FIX Application mode , Then choose the corresponding QuickFIX Class object .
initiator Mode FIX Applications can use SocketInitiator、SSLSocketInitiator、ThreadedSocketInitiator、ThreadedSSLSocketInitiator establish FIX Initiator application .
acceptor Mode FIX Applications can use SocketAcceptor、SSLSocketAcceptor、ThreadedSocketAcceptor、ThreadedSSLSocketAcceptor establish FIX Acceptor application .
2、FIX signal communication
FIX The application business is realized through initiator And acceptor Build a FIX Session And exchange messages .FIX Business messages have a series of predefined types and formats , The current standard message types are 5、60 individual , The letter covers the transaction 、 The market 、 Settlement and other aspects of investment management .FIX Application development is basically about FIX Message programming .
Fix Session Can be made up of one or more Fix Connection composition , namely Fix Session Can log in multiple times .Fix Session Several important signs are usually used to distinguish , Such as Fix Version number string ( Such as :FIX.4.2), sender ID, The receiver ID,Fix Session Every time a message is sent , The message header BeginString、SenderCompID、TargetCompID Will be assigned . When the message passes FIX When the connection reaches the peer , The peer can find the local side according to the ID in the message header Fix Session To process messages .
FIX The communication parties include Initiator and Acceptor, They will maintain each other 2 Incremental serial numbers ( Send message serial number – Add... For each message sent 1, Receive message sequence number – Add... For each message received 1).
（1） Communication is first and foremost by Initiator Start to initiate TCP Connection request , Acceptor Receive network connection request , establish TCP Connect .
（2）Initiator Initiate login message request .
（3）Acceptor After receiving the login request , After a series of message checks , After being qualified , Return to login confirmation .
（4）Initiator After receiving the login confirmation , After a series of message checks , After being qualified , The two sides FIX Session Successful connection .
（5）Initiator and Acceptor Exchange messages .
（6）Initiator and Acceptor Either party sends an exit message .
3、FIX Session To configure
QuickFix in initiator or acceptor Will maintain multiple Fix Session.QuickFix Use in BeginString（Fix Version number ）、SenderCompID、TargetCompID A combination of Session,Session Identification is used to distinguish other different Session.
Session The configuration file contains [DEFAULT] and [SESSION] Two kinds of segmentation ,[SESSION] The subsection represents QuickFix Define a Session,[DEFAULT] Express all Session Configuration items used by default , If not provided QuickFix The required configuration ,QuickFix Will throw out ConfigError abnormal , Indicates that the configuration is missing or the format is incorrect .
If [DEFAULT] and [SESSION] All partitions contain the same configuration items , be [SESSION] The configuration items of the partition will overwrite [DEFAULT] Partition the corresponding configuration items .
QuickFix The configuration file sessions.ini as follows ：
[DEFAULT]
ConnectionType=initiator
ReconnectInterval=60
FileLogPath=log
FileStorePath=store
StartTime=00:00:00
EndTime=23:59:59
HeartBtInt=30
ResetOnDisconnect=Y
ResetOnLogout=Y
ResetOnLogon=Y
[SESSION]
BeginString=FIX.4.2
SenderCompID=CLIENT
TargetCompID=SERVER
SocketConnectPort=6666
SocketConnectHost=127.0.0.1
DataDictionary=FIX42.xml
3、 ... and 、QuickFIX Core class
1、FIX::Application
FIX The application needs to implement FIX::Application Interface ：
class Application
{
public:
virtual ~Application() {};
/// Notification of a session begin created
virtual void onCreate( const SessionID& ) = 0;
/// Notification of a session successfully logging on
virtual void onLogon( const SessionID& ) = 0;
/// Notification of a session logging off or disconnecting
virtual void onLogout( const SessionID& ) = 0;
/// Notification of admin message being sent to target
virtual void toAdmin( Message&, const SessionID& ) = 0;
/// Notification of app message being sent to target
virtual void toApp( Message&, const SessionID& )
EXCEPT ( DoNotSend ) = 0;
/// Notification of admin message being received from target
virtual void fromAdmin( const Message&, const SessionID& )
EXCEPT ( FieldNotFound, IncorrectDataFormat, IncorrectTagValue, RejectLogon ) = 0;
/// Notification of app message being received from target
virtual void fromApp( const Message&, const SessionID& )
EXCEPT ( FieldNotFound, IncorrectDataFormat, IncorrectTagValue, UnsupportedMessageType ) = 0;
};
onCreate： When one Fix Session Call .
onLogon： When one Fix Session When the login succeeds, call .
onLogout： When one Fix Session Call... On exit .
fromAdmin： When you receive a message , After a series of checks , After being qualified , Belong to Admin Called on type .
fromApp： When you receive a message , After a series of checks , After being qualified , Do not belong to Admin Call when type .
toAdmin： When sending a admin Type message call .
toApp： When sending a non admin( Business types ) Message call .
If needed QuickFIX Development FIX application , You need to achieve FIX::Application Interface , And reload different FIX Protocol version MessageCracker::OnMessage Interface , Such as FIX42::MessageCracker.
FIX Businesses are handled asynchronously , The basic object of business processing is message .OnMessage Is the message receiving callback function , There are multiple overloaded versions , Developers only need to overload one FIX Version can .
For those who support trading business FIX Initiator application , Usually you have to rewrite 4 A basic message , namely OnMessage(NewOrderSingle）、OnMessage(CancelRequest)、 OnMessage(ExecutionReport)、 OnMessage(CancelReject), They are used separately for delegation 、 cancel the order 、 Execution return （ Including the rejection of entrustment ） And rejection of cancellation, etc 4 Business .
#include "quickfix/Application.h"
#include "quickfix/MessageCracker.h"
class FIXApplication: public FIX::Application, public FIX::MessageCracker
{
public:
/**************************************************
* reimplementation from Application
* ***********************************************/
/// Notification of a session begin created
virtual void onCreate( const SessionID& )
{
}
/// Notification of a session successfully logging on
virtual void onLogon( const SessionID& )
{
}
/// Notification of a session logging off or disconnecting
virtual void onLogout( const SessionID& )
{
}
/// Notification of admin message being sent to target
virtual void toAdmin( Message&, const SessionID& )
{
}
/// Notification of app message being sent to target
void fromApp( const FIX::Message& message, const FIX::SessionID& sessionID )
throw( FIX::FieldNotFound&, FIX::IncorrectDataFormat&, FIX::IncorrectTagValue&,
FIX::UnsupportedMessageType& )
{
crack(message, sessionID);
}
/// Notification of admin message being received from target
virtual void fromAdmin( const Message&, const SessionID& )
throw ( FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue,
FIX::RejectLogon )
{
}
/// Notification of app message being received from target
virtual void fromApp( const Message&, const SessionID& )
throw ( FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue,
FIX::UnsupportedMessageType )
{
}
/**************************************************
* reimplementation from FIX42::MessageCracker
* ***********************************************/
virtual void onMessage( const FIX42::NewOrderSingle& message, const FIX::SessionID& )
{
}
virtual void onMessage( const FIX42::OrderCancelRequest& message, const FIX::SessionID& )
{
}
virtual void onMessage( ExecutionReport&, const FIX::SessionID& )
{
}
virtual void onMessage( OrderCancelReject&, const FIX::SessionID& )
{
}
};
2、FIX::SessionSettings
FIX Application configuration uses FIX::SessionSettings Read FIX Session Configure the file and pass it to QuickFIX frame . One FIX Applications can manage multiple FIX Session, Every Session The same... Can be used FIX Protocol version , You can also use different versions . Even if the same FIX Protocol version , Different FIX Session There can also be FIX Differences in agreement details , By binding FIX Session And FIX Protocol dictionary , That is to say Session In profile [Session] Used in configuration items DataDictionary Option specifies the corresponding FIX Dictionary file .
FIX::SessionSettings settings("sessionConfig.ini");
3、FIX::FileStoreFactory
QuickFIX Provides classes for storing messages to files FIX::FileLogFactory. The path of message file storage is Session Specified in configuration .
FIX::FileStoreFactory storeFactory(settings);
4、FIX::MessageStoreFactory
QuickFIX Provide for Fix Session Persistence type ( Such as file storage 、 data storage , The stored contents include status 、 Creation time 、 The message and its own maintained sending sequence number and receiving sequence number ）.
If the developer wants to customize the persistence method , You can define yourself MessageStoreFactory Realization , And customize one MessageStore.
5、FIX::FileLogFactory
QuickFIX Provides a class that stores all log events to a file FIX::FileLogFactory.
6、FIX::ScreenLogFactory
QuickFIX A class that displays all message events to standard output is provided in ScreenLogFactory.
FIX::ScreenLogFactory logFactory(settings);
7、FIX::Message
QuickFIX Different... Are defined in FIX Base class for protocol version messages FIX::Message, Used for definition FIX The general structure of messages , Different FIX Message versions of messages are defined in different FIX Namespace , Such as FIX42::Message.FIX::MessageCracker Inherited all the differences FIX Protocol version MessageCracker class , After receiving the message, a specific message is generated FIX agreement Message Object implementation handles messages .
8、FIX::Session
Whether it's FIX Initiator Application or FIX Acceptor application , stay Fix Session On initialization , That is to say FIX::SessionFactory establish Fix Session Will check after Fix Session Time range . If Fix Session Start is not valid for the day Session, Will reset Fix Session Send serial number and receive serial number of .(FIX Specify a Fix Session Generally not more than 24 Hours ）.
FIX::Session Some interfaces are defined as follows ：
class Session
{
public:
static bool sendToTarget( Message& message,
const std::string& qualifier = "" )
EXCEPT ( SessionNotFound );
static bool sendToTarget( Message& message,
const SessionID& sessionID )
EXCEPT ( SessionNotFound );
static bool sendToTarget( Message&,
const SenderCompID& senderCompID,
const TargetCompID& targetCompID,
const std::string& qualifier = "" )
EXCEPT ( SessionNotFound );
static bool sendToTarget( Message& message,
const std::string& senderCompID,
const std::string& targetCompID,
const std::string& qualifier = "" )
EXCEPT ( SessionNotFound );
bool send( Message& );
void next();
void next( const UtcTimeStamp& timeStamp );
void next( const std::string&, const UtcTimeStamp& timeStamp, bool queued = false );
void next( const Message&, const UtcTimeStamp& timeStamp, bool queued = false );
};
next() Method is a method that runs regularly , It is mainly used to detect whether a heartbeat message needs to be sent , Whether it is necessary to send TEST news , Need to disconnect , Whether it is necessary to produce LOGON（Initiator）.
next( const Message&) Method for processing Session received FIX news .
9、FIX::Acceptor
FIX::Acceptor For from Session Configuration file reads information to create and manage this Acceptor Supported by FIX Session, Specifically FIX Session Of TCP Connection management 、 Data reading and writing are performed by specific SocketAcceptor、SSLSocketAcceptor、ThreadedSocketAcceptor、ThreadedSSLSocketAcceptor Realization .
FIX::Acceptor* acceptor = new FIX::SocketAcceptor(application, storeFactory, settings, logFactory);
10、FIX::Initiator
FIX::Initiator For from Session Configuration file reads information to create and manage this Initiator Supported by FIX Session, Specifically FIX Session Of TCP Connection management 、 Data reading and writing are performed by specific SocketInitiator、SSLSocketInitiator、ThreadedSocketInitiator、ThreadedSSLSocketInitiator Realization .
FIX::Initiator * initiator = new FIX::SocketInitiator(application, storeFactory, settings, logFactory);
Four 、FIX Acceptor application development
1、FIX Acceptor Application Introduction
FIX Acceptor Applications are usually used for FIX gateway , Deployed on the seller's side .
2、FIX Acceptor Application creation
（1） establish FIX Session Configuration object
FIX::SessionSettings settings(sessionFile);
（2） establish FIX application ：
Application application;
Create a log factory ：
LogFactory logFactory(settings);
Create a message store file factory ：
FIX::FileStoreFactory storeFactory(settings);
establish Acceptor Server side ：
FIX::Acceptor* acceptor = new SocketAcceptor(application, storeFactory, settings, logFactory);
start-up SocketAcceptor：
acceptor->start();
3、FIX Acceptor Application example
Executor The example demonstrates how to receive an order request and return a transaction receipt FIX Acceptor application .
Application.h file ：
#ifndef EXECUTOR_APPLICATION_H
#define EXECUTOR_APPLICATION_H
#include "quickfix/Application.h"
#include "quickfix/MessageCracker.h"
#include "quickfix/Values.h"
#include "quickfix/Utility.h"
#include "quickfix/Mutex.h"
#include "quickfix/fix40/NewOrderSingle.h"
#include "quickfix/fix41/NewOrderSingle.h"
#include "quickfix/fix42/NewOrderSingle.h"
#include "quickfix/fix43/NewOrderSingle.h"
#include "quickfix/fix44/NewOrderSingle.h"
#include "quickfix/fix50/NewOrderSingle.h"
class Application
: public FIX::Application, public FIX::MessageCracker
{
public:
Application() : m_orderID(0), m_execID(0) {}
// Application overloads
void onCreate( const FIX::SessionID& );
void onLogon( const FIX::SessionID& sessionID );
void onLogout( const FIX::SessionID& sessionID );
void toAdmin( FIX::Message&, const FIX::SessionID& );
void toApp( FIX::Message&, const FIX::SessionID& )
EXCEPT( FIX::DoNotSend );
void fromAdmin( const FIX::Message&, const FIX::SessionID& )
EXCEPT( FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::RejectLogon );
void fromApp( const FIX::Message& message, const FIX::SessionID& sessionID )
EXCEPT( FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType );
// MessageCracker overloads
void onMessage( const FIX40::NewOrderSingle&, const FIX::SessionID& );
void onMessage( const FIX41::NewOrderSingle&, const FIX::SessionID& );
void onMessage( const FIX42::NewOrderSingle&, const FIX::SessionID& );
void onMessage( const FIX43::NewOrderSingle&, const FIX::SessionID& );
void onMessage( const FIX44::NewOrderSingle&, const FIX::SessionID& );
void onMessage( const FIX50::NewOrderSingle&, const FIX::SessionID& );
std::string genOrderID() {
std::stringstream stream;
stream << ++m_orderID;
return stream.str();
}
std::string genExecID() {
std::stringstream stream;
stream << ++m_execID;
return stream.str();
}
private:
int m_orderID, m_execID;
};
#endif
Application.cpp file ：
#include "config.h"
#include "Application.h"
#include "quickfix/Session.h"
#include "quickfix/fix40/ExecutionReport.h"
#include "quickfix/fix41/ExecutionReport.h"
#include "quickfix/fix42/ExecutionReport.h"
#include "quickfix/fix43/ExecutionReport.h"
#include "quickfix/fix44/ExecutionReport.h"
#include "quickfix/fix50/ExecutionReport.h"
void Application::onCreate( const FIX::SessionID& sessionID ) {}
void Application::onLogon( const FIX::SessionID& sessionID ) {}
void Application::onLogout( const FIX::SessionID& sessionID ) {}
void Application::toAdmin( FIX::Message& message,
const FIX::SessionID& sessionID ) {}
void Application::toApp( FIX::Message& message,
const FIX::SessionID& sessionID )
EXCEPT( FIX::DoNotSend ) {}
void Application::fromAdmin( const FIX::Message& message,
const FIX::SessionID& sessionID )
EXCEPT( FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::RejectLogon ) {}
void Application::fromApp( const FIX::Message& message,
const FIX::SessionID& sessionID )
EXCEPT( FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType )
{ crack( message, sessionID ); }
void Application::onMessage( const FIX40::NewOrderSingle& message,
const FIX::SessionID& sessionID )
{
FIX::Symbol symbol;
FIX::Side side;
FIX::OrdType ordType;
FIX::OrderQty orderQty;
FIX::Price price;
FIX::ClOrdID clOrdID;
FIX::Account account;
message.get( ordType );
if ( ordType != FIX::OrdType_LIMIT )
throw FIX::IncorrectTagValue( ordType.getField() );
message.get( symbol );
message.get( side );
message.get( orderQty );
message.get( price );
message.get( clOrdID );
FIX40::ExecutionReport executionReport = FIX40::ExecutionReport
( FIX::OrderID( genOrderID() ),
FIX::ExecID( genExecID() ),
FIX::ExecTransType( FIX::ExecTransType_NEW ),
FIX::OrdStatus( FIX::OrdStatus_FILLED ),
symbol,
side,
orderQty,
FIX::LastShares( orderQty ),
FIX::LastPx( price ),
FIX::CumQty( orderQty ),
FIX::AvgPx( price ) );
executionReport.set( clOrdID );
if( message.isSet(account) )
executionReport.setField( message.get(account) );
try
{
FIX::Session::sendToTarget( executionReport, sessionID );
}
catch ( FIX::SessionNotFound& ) {}
}
void Application::onMessage( const FIX41::NewOrderSingle& message,
const FIX::SessionID& sessionID )
{
FIX::Symbol symbol;
FIX::Side side;
FIX::OrdType ordType;
FIX::OrderQty orderQty;
FIX::Price price;
FIX::ClOrdID clOrdID;
FIX::Account account;
message.get( ordType );
if ( ordType != FIX::OrdType_LIMIT )
throw FIX::IncorrectTagValue( ordType.getField() );
message.get( symbol );
message.get( side );
message.get( orderQty );
message.get( price );
message.get( clOrdID );
FIX41::ExecutionReport executionReport = FIX41::ExecutionReport
( FIX::OrderID( genOrderID() ),
FIX::ExecID( genExecID() ),
FIX::ExecTransType( FIX::ExecTransType_NEW ),
FIX::ExecType( FIX::ExecType_FILL ),
FIX::OrdStatus( FIX::OrdStatus_FILLED ),
symbol,
side,
orderQty,
FIX::LastShares( orderQty ),
FIX::LastPx( price ),
FIX::LeavesQty( 0 ),
FIX::CumQty( orderQty ),
FIX::AvgPx( price ) );
executionReport.set( clOrdID );
if( message.isSet(account) )
executionReport.setField( message.get(account) );
try
{
FIX::Session::sendToTarget( executionReport, sessionID );
}
catch ( FIX::SessionNotFound& ) {}
}
void Application::onMessage( const FIX42::NewOrderSingle& message,
const FIX::SessionID& sessionID )
{
FIX::Symbol symbol;
FIX::Side side;
FIX::OrdType ordType;
FIX::OrderQty orderQty;
FIX::Price price;
FIX::ClOrdID clOrdID;
FIX::Account account;
message.get( ordType );
if ( ordType != FIX::OrdType_LIMIT )
throw FIX::IncorrectTagValue( ordType.getField() );
message.get( symbol );
message.get( side );
message.get( orderQty );
message.get( price );
message.get( clOrdID );
FIX42::ExecutionReport executionReport = FIX42::ExecutionReport
( FIX::OrderID( genOrderID() ),
FIX::ExecID( genExecID() ),
FIX::ExecTransType( FIX::ExecTransType_NEW ),
FIX::ExecType( FIX::ExecType_FILL ),
FIX::OrdStatus( FIX::OrdStatus_FILLED ),
symbol,
side,
FIX::LeavesQty( 0 ),
FIX::CumQty( orderQty ),
FIX::AvgPx( price ) );
executionReport.set( clOrdID );
executionReport.set( orderQty );
executionReport.set( FIX::LastShares( orderQty ) );
executionReport.set( FIX::LastPx( price ) );
if( message.isSet(account) )
executionReport.setField( message.get(account) );
try
{
FIX::Session::sendToTarget( executionReport, sessionID );
}
catch ( FIX::SessionNotFound& ) {}
}
void Application::onMessage( const FIX43::NewOrderSingle& message,
const FIX::SessionID& sessionID )
{
FIX::Symbol symbol;
FIX::Side side;
FIX::OrdType ordType;
FIX::OrderQty orderQty;
FIX::Price price;
FIX::ClOrdID clOrdID;
FIX::Account account;
message.get( ordType );
if ( ordType != FIX::OrdType_LIMIT )
throw FIX::IncorrectTagValue( ordType.getField() );
message.get( symbol );
message.get( side );
message.get( orderQty );
message.get( price );
message.get( clOrdID );
FIX43::ExecutionReport executionReport = FIX43::ExecutionReport
( FIX::OrderID( genOrderID() ),
FIX::ExecID( genExecID() ),
FIX::ExecType( FIX::ExecType_FILL ),
FIX::OrdStatus( FIX::OrdStatus_FILLED ),
side,
FIX::LeavesQty( 0 ),
FIX::CumQty( orderQty ),
FIX::AvgPx( price ) );
executionReport.set( clOrdID );
executionReport.set( symbol );
executionReport.set( orderQty );
executionReport.set( FIX::LastQty( orderQty ) );
executionReport.set( FIX::LastPx( price ) );
if( message.isSet(account) )
executionReport.setField( message.get(account) );
try
{
FIX::Session::sendToTarget( executionReport, sessionID );
}
catch ( FIX::SessionNotFound& ) {}
}
void Application::onMessage( const FIX44::NewOrderSingle& message,
const FIX::SessionID& sessionID )
{
FIX::Symbol symbol;
FIX::Side side;
FIX::OrdType ordType;
FIX::OrderQty orderQty;
FIX::Price price;
FIX::ClOrdID clOrdID;
FIX::Account account;
message.get( ordType );
if ( ordType != FIX::OrdType_LIMIT )
throw FIX::IncorrectTagValue( ordType.getField() );
message.get( symbol );
message.get( side );
message.get( orderQty );
message.get( price );
message.get( clOrdID );
FIX44::ExecutionReport executionReport = FIX44::ExecutionReport
( FIX::OrderID( genOrderID() ),
FIX::ExecID( genExecID() ),
FIX::ExecType( FIX::ExecType_TRADE ),
FIX::OrdStatus( FIX::OrdStatus_FILLED ),
side,
FIX::LeavesQty( 0 ),
FIX::CumQty( orderQty ),
FIX::AvgPx( price ) );
executionReport.set( clOrdID );
executionReport.set( symbol );
executionReport.set( orderQty );
executionReport.set( FIX::LastQty( orderQty ) );
executionReport.set( FIX::LastPx( price ) );
if( message.isSet(account) )
executionReport.setField( message.get(account) );
try
{
FIX::Session::sendToTarget( executionReport, sessionID );
}
catch ( FIX::SessionNotFound& ) {}
}
void Application::onMessage( const FIX50::NewOrderSingle& message,
const FIX::SessionID& sessionID )
{
FIX::Symbol symbol;
FIX::Side side;
FIX::OrdType ordType;
FIX::OrderQty orderQty;
FIX::Price price;
FIX::ClOrdID clOrdID;
FIX::Account account;
message.get( ordType );
if ( ordType != FIX::OrdType_LIMIT )
throw FIX::IncorrectTagValue( ordType.getField() );
message.get( symbol );
message.get( side );
message.get( orderQty );
message.get( price );
message.get( clOrdID );
FIX50::ExecutionReport executionReport = FIX50::ExecutionReport
( FIX::OrderID( genOrderID() ),
FIX::ExecID( genExecID() ),
FIX::ExecType( FIX::ExecType_TRADE ),
FIX::OrdStatus( FIX::OrdStatus_FILLED ),
side,
FIX::LeavesQty( 0 ),
FIX::CumQty( orderQty ) );
executionReport.set( clOrdID );
executionReport.set( symbol );
executionReport.set( orderQty );
executionReport.set( FIX::LastQty( orderQty ) );
executionReport.set( FIX::LastPx( price ) );
executionReport.set( FIX::AvgPx( price ) );
if( message.isSet(account) )
executionReport.setField( message.get(account) );
try
{
FIX::Session::sendToTarget( executionReport, sessionID );
}
catch ( FIX::SessionNotFound& ) {}
}
main.cpp file ：
#include "config.h"
#include "quickfix/FileStore.h"
#include "quickfix/SocketAcceptor.h"
#include "quickfix/Log.h"
#include "quickfix/SessionSettings.h"
#include "Application.h"
#include <string>
#include <iostream>
#include <fstream>
void wait()
{
std::cout << "Type Ctrl-C to quit" << std::endl;
while(true)
{
FIX::process_sleep(1);
}
}
int main( int argc, char** argv )
{
if ( argc < 2 )
{
std::cout << "usage: " << argv[ 0 ]
<< " FILE." << std::endl;
return 0;
}
std::string file = argv[ 1 ];
FIX::Acceptor * acceptor = 0;
try
{
FIX::SessionSettings settings( file );
Application application;
FIX::FileStoreFactory storeFactory( settings );
FIX::ScreenLogFactory logFactory( settings );
acceptor = new FIX::SocketAcceptor ( application, storeFactory, settings, logFactory );
acceptor->start();
wait();
acceptor->stop();
delete acceptor;
return 0;
}
catch ( std::exception & e )
{
std::cout << e.what() << std::endl;
delete acceptor;
return 1;
}
}
5、 ... and 、FIX Initiator application development
1、FIX Initiator Application Introduction
FIX Initiator Applications are usually used for trading clients , Deployed on the buyer's side .
2、FIX Initiator Application creation
（1） establish FIX Session Configuration object
FIX::SessionSettings settings(sessionFile);
（2） establish FIX application ：
Application application;
Create a log factory ：
LogFactory logFactory(settings);
Create a message store file factory ：
FIX::FileStoreFactory storeFactory(settings);
establish Acceptor Server side ：
FIX::Initiator* client= new SocketInitiator(application, storeFactory,settings, logFactory);
start-up SocketInitiator：
client->start();
3、FIX Initiator Application example
tradeclient Trading Client
Application.h file ：
#ifndef TRADECLIENT_APPLICATION_H
#define TRADECLIENT_APPLICATION_H
#include "quickfix/Application.h"
#include "quickfix/MessageCracker.h"
#include "quickfix/Values.h"
#include "quickfix/Mutex.h"
#include "quickfix/fix40/NewOrderSingle.h"
#include "quickfix/fix40/ExecutionReport.h"
#include "quickfix/fix40/OrderCancelRequest.h"
#include "quickfix/fix40/OrderCancelReject.h"
#include "quickfix/fix40/OrderCancelReplaceRequest.h"
#include "quickfix/fix41/NewOrderSingle.h"
#include "quickfix/fix41/ExecutionReport.h"
#include "quickfix/fix41/OrderCancelRequest.h"
#include "quickfix/fix41/OrderCancelReject.h"
#include "quickfix/fix41/OrderCancelReplaceRequest.h"
#include "quickfix/fix42/NewOrderSingle.h"
#include "quickfix/fix42/ExecutionReport.h"
#include "quickfix/fix42/OrderCancelRequest.h"
#include "quickfix/fix42/OrderCancelReject.h"
#include "quickfix/fix42/OrderCancelReplaceRequest.h"
#include "quickfix/fix43/NewOrderSingle.h"
#include "quickfix/fix43/ExecutionReport.h"
#include "quickfix/fix43/OrderCancelRequest.h"
#include "quickfix/fix43/OrderCancelReject.h"
#include "quickfix/fix43/OrderCancelReplaceRequest.h"
#include "quickfix/fix43/MarketDataRequest.h"
#include "quickfix/fix44/NewOrderSingle.h"
#include "quickfix/fix44/ExecutionReport.h"
#include "quickfix/fix44/OrderCancelRequest.h"
#include "quickfix/fix44/OrderCancelReject.h"
#include "quickfix/fix44/OrderCancelReplaceRequest.h"
#include "quickfix/fix44/MarketDataRequest.h"
#include "quickfix/fix50/NewOrderSingle.h"
#include "quickfix/fix50/ExecutionReport.h"
#include "quickfix/fix50/OrderCancelRequest.h"
#include "quickfix/fix50/OrderCancelReject.h"
#include "quickfix/fix50/OrderCancelReplaceRequest.h"
#include "quickfix/fix50/MarketDataRequest.h"
#include <queue>
class Application :
public FIX::Application,
public FIX::MessageCracker
{
public:
void run();
private:
void onCreate( const FIX::SessionID& ) {}
void onLogon( const FIX::SessionID& sessionID );
void onLogout( const FIX::SessionID& sessionID );
void toAdmin( FIX::Message&, const FIX::SessionID& ) {}
void toApp( FIX::Message&, const FIX::SessionID& )
EXCEPT( FIX::DoNotSend );
void fromAdmin( const FIX::Message&, const FIX::SessionID& )
EXCEPT( FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::RejectLogon ) {}
void fromApp( const FIX::Message& message, const FIX::SessionID& sessionID )
EXCEPT( FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType );
void onMessage( const FIX42::ExecutionReport&, const FIX::SessionID& );
void onMessage( const FIX42::OrderCancelReject&, const FIX::SessionID& );
void queryEnterOrder();
void queryCancelOrder();
void queryReplaceOrder();
FIX42::NewOrderSingle queryNewOrderSingle42();
FIX42::OrderCancelRequest queryOrderCancelRequest42();
FIX42::OrderCancelReplaceRequest queryCancelReplaceRequest42();
void queryHeader( FIX::Header& header );
char queryAction();
int queryVersion();
bool queryConfirm( const std::string& query );
FIX::SenderCompID querySenderCompID();
FIX::TargetCompID queryTargetCompID();
FIX::TargetSubID queryTargetSubID();
FIX::ClOrdID queryClOrdID();
FIX::OrigClOrdID queryOrigClOrdID();
FIX::Symbol querySymbol();
FIX::Side querySide();
FIX::OrderQty queryOrderQty();
FIX::OrdType queryOrdType();
FIX::Price queryPrice();
FIX::StopPx queryStopPx();
FIX::TimeInForce queryTimeInForce();
};
#endif
Application.cpp file ：
#include "config.h"
#include "Application.h"
#include "quickfix/Session.h"
#include <iostream>
void Application::onLogon( const FIX::SessionID& sessionID )
{
std::cout << std::endl << "Logon - " << sessionID << std::endl;
}
void Application::onLogout( const FIX::SessionID& sessionID )
{
std::cout << std::endl << "Logout - " << sessionID << std::endl;
}
void Application::fromApp( const FIX::Message& message, const FIX::SessionID& sessionID )
EXCEPT( FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType )
{
crack( message, sessionID );
std::cout << std::endl << "IN: " << message << std::endl;
}
void Application::toApp( FIX::Message& message, const FIX::SessionID& sessionID )
EXCEPT( FIX::DoNotSend )
{
try
{
FIX::PossDupFlag possDupFlag;
message.getHeader().getField( possDupFlag );
if ( possDupFlag ) throw FIX::DoNotSend();
}
catch ( FIX::FieldNotFound& ) {}
std::cout << std::endl
<< "OUT: " << message << std::endl;
}
void Application::onMessage
( const FIX42::ExecutionReport&, const FIX::SessionID& ) {}
void Application::onMessage
( const FIX42::OrderCancelReject&, const FIX::SessionID& ) {}
void Application::run()
{
while ( true )
{
try
{
char action = queryAction();
if ( action == '1' )
queryEnterOrder();
else if ( action == '2' )
queryCancelOrder();
else if ( action == '3' )
queryReplaceOrder();
else if ( action == '5' )
break;
}
catch ( std::exception & e )
{
std::cout << "Message Not Sent: " << e.what();
}
}
}
void Application::queryEnterOrder()
{
int version = queryVersion();
std::cout << "\nNewOrderSingle\n";
FIX::Message order;
switch ( version ) {
case 42:
order = queryNewOrderSingle42();
break;
default:
std::cerr << "No test for version " << version << std::endl;
break;
}
if ( queryConfirm( "Send order" ) )
FIX::Session::sendToTarget( order );
}
void Application::queryCancelOrder()
{
int version = queryVersion();
std::cout << "\nOrderCancelRequest\n";
FIX::Message cancel;
switch ( version ) {
case 42:
cancel = queryOrderCancelRequest42();
break;
default:
std::cerr << "No test for version " << version << std::endl;
break;
}
if ( queryConfirm( "Send cancel" ) )
FIX::Session::sendToTarget( cancel );
}
void Application::queryReplaceOrder()
{
int version = queryVersion();
std::cout << "\nCancelReplaceRequest\n";
FIX::Message replace;
switch ( version ) {
case 42:
replace = queryCancelReplaceRequest42();
break;
default:
std::cerr << "No test for version " << version << std::endl;
break;
}
if ( queryConfirm( "Send replace" ) )
FIX::Session::sendToTarget( replace );
}
FIX42::NewOrderSingle Application::queryNewOrderSingle42()
{
FIX::OrdType ordType;
FIX42::NewOrderSingle newOrderSingle(
queryClOrdID(), FIX::HandlInst( '1' ), querySymbol(), querySide(),
FIX::TransactTime(), ordType = queryOrdType() );
newOrderSingle.set( queryOrderQty() );
newOrderSingle.set( queryTimeInForce() );
if ( ordType == FIX::OrdType_LIMIT || ordType == FIX::OrdType_STOP_LIMIT )
newOrderSingle.set( queryPrice() );
if ( ordType == FIX::OrdType_STOP || ordType == FIX::OrdType_STOP_LIMIT )
newOrderSingle.set( queryStopPx() );
queryHeader( newOrderSingle.getHeader() );
return newOrderSingle;
}
FIX42::OrderCancelRequest Application::queryOrderCancelRequest42()
{
FIX42::OrderCancelRequest orderCancelRequest( queryOrigClOrdID(),
queryClOrdID(), querySymbol(), querySide(), FIX::TransactTime() );
orderCancelRequest.set( queryOrderQty() );
queryHeader( orderCancelRequest.getHeader() );
return orderCancelRequest;
}
FIX42::OrderCancelReplaceRequest Application::queryCancelReplaceRequest42()
{
FIX42::OrderCancelReplaceRequest cancelReplaceRequest(
queryOrigClOrdID(), queryClOrdID(), FIX::HandlInst( '1' ),
querySymbol(), querySide(), FIX::TransactTime(), queryOrdType() );
if ( queryConfirm( "New price" ) )
cancelReplaceRequest.set( queryPrice() );
if ( queryConfirm( "New quantity" ) )
cancelReplaceRequest.set( queryOrderQty() );
queryHeader( cancelReplaceRequest.getHeader() );
return cancelReplaceRequest;
}
void Application::queryHeader( FIX::Header& header )
{
header.setField( querySenderCompID() );
header.setField( queryTargetCompID() );
if ( queryConfirm( "Use a TargetSubID" ) )
header.setField( queryTargetSubID() );
}
char Application::queryAction()
{
char value;
std::cout << std::endl
<< "1) Enter Order" << std::endl
<< "2) Cancel Order" << std::endl
<< "3) Replace Order" << std::endl
<< "4) Market data test" << std::endl
<< "5) Quit" << std::endl
<< "Action: ";
std::cin >> value;
switch ( value )
{
case '1': case '2': case '3': case '4': case '5': break;
default: throw std::exception();
}
return value;
}
int Application::queryVersion()
{
char value;
std::cout << std::endl
<< "1) FIX.4.0" << std::endl
<< "2) FIX.4.1" << std::endl
<< "3) FIX.4.2" << std::endl
<< "4) FIX.4.3" << std::endl
<< "5) FIX.4.4" << std::endl
<< "6) FIXT.1.1 (FIX.5.0)" << std::endl
<< "BeginString: ";
std::cin >> value;
switch ( value )
{
case '1': return 40;
case '2': return 41;
case '3': return 42;
case '4': return 43;
case '5': return 44;
case '6': return 50;
default: throw std::exception();
}
}
bool Application::queryConfirm( const std::string& query )
{
std::string value;
std::cout << std::endl << query << "?: ";
std::cin >> value;
return toupper( *value.c_str() ) == 'Y';
}
FIX::SenderCompID Application::querySenderCompID()
{
std::string value;
std::cout << std::endl << "SenderCompID: ";
std::cin >> value;
return FIX::SenderCompID( value );
}
FIX::TargetCompID Application::queryTargetCompID()
{
std::string value;
std::cout << std::endl << "TargetCompID: ";
std::cin >> value;
return FIX::TargetCompID( value );
}
FIX::TargetSubID Application::queryTargetSubID()
{
std::string value;
std::cout << std::endl << "TargetSubID: ";
std::cin >> value;
return FIX::TargetSubID( value );
}
FIX::ClOrdID Application::queryClOrdID()
{
std::string value;
std::cout << std::endl << "ClOrdID: ";
std::cin >> value;
return FIX::ClOrdID( value );
}
FIX::OrigClOrdID Application::queryOrigClOrdID()
{
std::string value;
std::cout << std::endl << "OrigClOrdID: ";
std::cin >> value;
return FIX::OrigClOrdID( value );
}
FIX::Symbol Application::querySymbol()
{
std::string value;
std::cout << std::endl << "Symbol: ";
std::cin >> value;
return FIX::Symbol( value );
}
FIX::Side Application::querySide()
{
char value;
std::cout << std::endl
<< "1) Buy" << std::endl
<< "2) Sell" << std::endl
<< "3) Sell Short" << std::endl
<< "4) Sell Short Exempt" << std::endl
<< "5) Cross" << std::endl
<< "6) Cross Short" << std::endl
<< "7) Cross Short Exempt" << std::endl
<< "Side: ";
std::cin >> value;
switch ( value )
{
case '1': return FIX::Side( FIX::Side_BUY );
case '2': return FIX::Side( FIX::Side_SELL );
case '3': return FIX::Side( FIX::Side_SELL_SHORT );
case '4': return FIX::Side( FIX::Side_SELL_SHORT_EXEMPT );
case '5': return FIX::Side( FIX::Side_CROSS );
case '6': return FIX::Side( FIX::Side_CROSS_SHORT );
case '7': return FIX::Side( 'A' );
default: throw std::exception();
}
}
FIX::OrderQty Application::queryOrderQty()
{
long value;
std::cout << std::endl << "OrderQty: ";
std::cin >> value;
return FIX::OrderQty( value );
}
FIX::OrdType Application::queryOrdType()
{
char value;
std::cout << std::endl
<< "1) Market" << std::endl
<< "2) Limit" << std::endl
<< "3) Stop" << std::endl
<< "4) Stop Limit" << std::endl
<< "OrdType: ";
std::cin >> value;
switch ( value )
{
case '1': return FIX::OrdType( FIX::OrdType_MARKET );
case '2': return FIX::OrdType( FIX::OrdType_LIMIT );
case '3': return FIX::OrdType( FIX::OrdType_STOP );
case '4': return FIX::OrdType( FIX::OrdType_STOP_LIMIT );
default: throw std::exception();
}
}
FIX::Price Application::queryPrice()
{
double value;
std::cout << std::endl << "Price: ";
std::cin >> value;
return FIX::Price( value );
}
FIX::StopPx Application::queryStopPx()
{
double value;
std::cout << std::endl << "StopPx: ";
std::cin >> value;
return FIX::StopPx( value );
}
FIX::TimeInForce Application::queryTimeInForce()
{
char value;
std::cout << std::endl
<< "1) Day" << std::endl
<< "2) IOC" << std::endl
<< "3) OPG" << std::endl
<< "4) GTC" << std::endl
<< "5) GTX" << std::endl
<< "TimeInForce: ";
std::cin >> value;
switch ( value )
{
case '1': return FIX::TimeInForce( FIX::TimeInForce_DAY );
case '2': return FIX::TimeInForce( FIX::TimeInForce_IMMEDIATE_OR_CANCEL );
case '3': return FIX::TimeInForce( FIX::TimeInForce_AT_THE_OPENING );
case '4': return FIX::TimeInForce( FIX::TimeInForce_GOOD_TILL_CANCEL );
case '5': return FIX::TimeInForce( FIX::TimeInForce_GOOD_TILL_CROSSING );
default: throw std::exception();
}
}
main.cpp file ：
#include "config.h"
#include "quickfix/FileStore.h"
#include "quickfix/SocketInitiator.h"
#include "quickfix/SessionSettings.h"
#include "quickfix/Log.h"
#include "Application.h"
#include <string>
#include <iostream>
#include <fstream>
int main( int argc, char** argv )
{
if ( argc < 2 )
{
std::cout << "usage: " << argv[ 0 ]
<< " FILE." << std::endl;
return 0;
}
std::string file = argv[ 1 ];
FIX::Initiator * initiator = 0;
try
{
FIX::SessionSettings settings( file );
Application application;
FIX::FileStoreFactory storeFactory( settings );
FIX::ScreenLogFactory logFactory( settings );
initiator = new FIX::SocketInitiator( application, storeFactory, settings, logFactory );
initiator->start();
application.run();
initiator->stop();
delete initiator;
return 0;
}
catch ( std::exception & e )
{
std::cout << e.what();
delete initiator;
return 1;
}
}
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