func (e *EchoApplication) processMsg(msg *quickfix.Message, sessionID quickfix.SessionID) quickfix.MessageRejectError {
var possResend field.PossResendField
msg.Header.Get(&possResend)
if msg.Body.Has(tag.ClOrdID) {
var orderID field.ClOrdIDField
if err := msg.Body.Get(&orderID); err != nil {
return err
}
sessionOrderID := sessionID.String() + orderID.String()
if possResend.FIXBoolean {
if e.OrderIds[sessionOrderID] {
return nil
}
}
e.OrderIds[sessionOrderID] = true
}
reply := copyMessage(msg)
if possResend.FIXBoolean {
reply.Header.Set(possResend)
}
quickfix.SendToTarget(reply, sessionID)
return nil
}
func (e *Executor) OnFIX50NewOrderSingle(msg fix50nos.Message, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
symbol, err := msg.Symbol()
if err != nil {
return
}
side, err := msg.Side()
if err != nil {
return
}
orderQty, err := msg.OrderQty()
if err != nil {
return
}
ordType, err := msg.OrdType()
if err != nil {
return
}
if ordType.Value != enum.OrdType_LIMIT {
err = quickfix.ValueIsIncorrect(ordType.Tag())
return
}
price, err := msg.Price()
if err != nil {
return
}
clOrdID, err := msg.ClOrdID()
if err != nil {
return
}
execReport := fix50er.Builder(
field.NewOrderID(e.genOrderID()),
field.NewExecID(e.genExecID()),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
side,
field.NewLeavesQty(0),
field.NewCumQty(orderQty.Value))
execReport.Body().Set(clOrdID)
execReport.Body().Set(symbol)
execReport.Body().Set(orderQty)
execReport.Body().Set(field.NewLastQty(orderQty.Value))
execReport.Body().Set(field.NewLastPx(price.Value))
execReport.Body().Set(field.NewAvgPx(price.Value))
if acct, err := msg.Account(); err != nil {
execReport.Body().Set(acct)
}
quickfix.SendToTarget(execReport.MessageBuilder, sessionID)
return
}
func (e *Executor) OnFIX44NewOrderSingle(msg fix44nos.Message, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
if msg.OrdType != enum.OrdType_LIMIT {
err = quickfix.ValueIsIncorrect(tag.OrdType)
return
}
execReport := fix44er.Message{
ClOrdID: &msg.ClOrdID,
Account: msg.Account,
OrderID: e.genOrderID(),
ExecID: e.genExecID(),
ExecType: enum.ExecType_FILL,
OrdStatus: enum.OrdStatus_FILLED,
Side: msg.Side,
Instrument: msg.Instrument,
OrderQtyData: &msg.OrderQtyData,
LeavesQty: 0,
LastQty: msg.OrderQtyData.OrderQty,
CumQty: *msg.OrderQtyData.OrderQty,
AvgPx: *msg.Price,
LastPx: msg.Price,
LastMkt: stringPtr("SIM"),
}
quickfix.SendToTarget(execReport, sessionID)
return
}
func (e *executor) OnFIX41NewOrderSingle(msg fix41nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
ordType, err := msg.GetOrdType()
if err != nil {
return
}
if ordType != enum.OrdType_LIMIT {
return quickfix.ValueIsIncorrect(tag.OrdType)
}
symbol, err := msg.GetSymbol()
if err != nil {
return
}
side, err := msg.GetSide()
if err != nil {
return
}
orderQty, err := msg.GetOrderQty()
if err != nil {
return
}
price, err := msg.GetPrice()
if err != nil {
return
}
execReport := fix41er.New(
e.genOrderID(),
e.genExecID(),
field.NewExecTransType(enum.ExecTransType_NEW),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
field.NewSymbol(symbol),
field.NewSide(side),
field.NewOrderQty(orderQty, 2),
field.NewLastShares(orderQty, 2),
field.NewLastPx(price, 2),
field.NewLeavesQty(decimal.Zero, 2),
field.NewCumQty(orderQty, 2),
field.NewAvgPx(price, 2),
)
clOrdID, err := msg.GetClOrdID()
if err != nil {
return
}
execReport.SetClOrdID(clOrdID)
quickfix.SendToTarget(execReport, sessionID)
return
}
func (e *executor) OnFIX41NewOrderSingle(msg fix41nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
var ordType field.OrdTypeField
if ordType, err = msg.GetOrdType(); err != nil {
return err
}
if ordType.String() != enum.OrdType_LIMIT {
return quickfix.ValueIsIncorrect(tag.OrdType)
}
var symbol field.SymbolField
if symbol, err = msg.GetSymbol(); err != nil {
return
}
var side field.SideField
if side, err = msg.GetSide(); err != nil {
return
}
var orderQty field.OrderQtyField
if orderQty, err = msg.GetOrderQty(); err != nil {
return
}
var price field.PriceField
if price, err = msg.GetPrice(); err != nil {
return
}
execReport := fix41er.New(
e.genOrderID(),
e.genExecID(),
field.NewExecTransType(enum.ExecTransType_NEW),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
symbol,
side,
orderQty,
field.NewLastShares(orderQty.Float64()),
field.NewLastPx(price.Float64()),
field.NewLeavesQty(0),
field.NewCumQty(orderQty.Float64()),
field.NewAvgPx(price.Float64()),
)
quickfix.SendToTarget(execReport, sessionID)
return
}
// Common Order FIX client routines serving requests from order router
// if a market connector has special case it will need to implement its own start routine like below
func (app FIXClient) Start() error {
err := app.Initiator.Start()
// Subscribe to order flow topics
// NEW
app.MessageBus.Subscribe("order.NewOrderRequest.MC."+app.marketConnectorName, func(m *messagebus.Msg) {
request := new(proto.NewOrderRequest)
if err := request.Unmarshal(m.Data); err == nil {
order := request.Order
//TODO: this is only prototype, migrate common tasks: instruments / limits processing
fixmsg := fix44nos.Message{
ClOrdID: strconv.Itoa(int(order.OrderKey)) + "." + strconv.Itoa(int(order.Version)),
Side: util.ProtoEnumToFIXEnum(int(order.Side)),
TransactTime: time.Now(),
OrdType: util.ProtoEnumToFIXEnum(int(order.OrderType)),
}
// Instrument specific
fixmsg.Instrument.Symbol = &order.Symbol
fixmsg.OrderQty = &order.Quantity
if order.OrderType == proto.OrderType_LIMIT || order.OrderType == proto.OrderType_LIMIT_ON_CLOSE {
fixmsg.Price = &order.LimitPrice
}
// Broker specific
fixmsg.Account = &order.BrokerAccount
fixmsg.HandlInst = stringPtr(util.ProtoEnumToFIXEnum(int(order.HandleInst)))
// 142 SenderLocationID
// Mandatory for CME exchanges. It contains a 2-character country. For the US and Canada, the state/province is included.
fixmsg.SenderLocationID = stringPtr("UK")
log.Info("MC->FIX FIX44NewOrderSingle")
if err := quickfix.SendToTarget(fixmsg, app.Session); err != nil {
log.WithError(err).Fatal("FIX quickfix.SendToTarget Error")
}
}
})
// TODO: CANCEL
// TODO: REPLACE
return err
}
func main() {
flag.Parse()
cfg, err := os.Open(*fixconfig)
if err != nil {
log.Fatal(err)
}
appSettings, err := quickfix.ParseSettings(cfg)
if err != nil {
log.Fatal(err)
}
// logFactory, err := quickfix.NewFileLogFactory(appSettings)
logFactory := quickfix.NewNullLogFactory()
if err != nil {
log.Fatal(err)
}
storeFactory := quickfix.NewMemoryStoreFactory()
initiator, err := quickfix.NewInitiator(app, storeFactory, appSettings, logFactory)
if err != nil {
log.Fatal(err)
}
if err = initiator.Start(); err != nil {
log.Fatal(err)
}
<-start
for i := 0; i < *sampleSize; i++ {
order := newordersingle.Builder(
field.NewClOrdID("100"),
field.NewHandlInst("1"),
field.NewSymbol("TSLA"),
field.NewSide(enum.Side_BUY),
&field.TransactTimeField{},
field.NewOrdType(enum.OrdType_MARKET))
quickfix.SendToTarget(order, SessionID)
// time.Sleep(1 * time.Millisecond)
}
time.Sleep(2 * time.Second)
}
func main() {
flag.Parse()
cfg, err := os.Open(*fixconfig)
if err != nil {
log.Fatal(err)
}
appSettings, err := quickfix.ParseSettings(cfg)
if err != nil {
log.Fatal(err)
}
// logFactory, err := quickfix.NewFileLogFactory(appSettings)
logFactory := quickfix.NewNullLogFactory()
if err != nil {
log.Fatal(err)
}
storeFactory := quickfix.NewMemoryStoreFactory()
initiator, err := quickfix.NewInitiator(app, storeFactory, appSettings, logFactory)
if err != nil {
log.Fatal(err)
}
if err = initiator.Start(); err != nil {
log.Fatal(err)
}
<-start
for i := 0; i < *sampleSize; i++ {
order := newordersingle.Message{}
order.ClOrdID = "100"
order.HandlInst = "1"
order.Symbol = "TSLA"
order.Side = enum.Side_BUY
order.TransactTime = time.Now()
order.OrdType = enum.OrdType_MARKET
quickfix.SendToTarget(order, SessionID)
// time.Sleep(1 * time.Millisecond)
}
time.Sleep(2 * time.Second)
}
//START OMIT
func (i *InitiatorApp) OnLogon(sessionID quickfix.SessionID) {
log.Print("OnLogon ", sessionID)
go func() {
for i := 0; i < 100; i++ {
order := newordersingle.Message{
ClOrdID: strconv.Itoa(i),
HandlInst: "1",
Symbol: "TSLA",
Side: enum.Side_BUY,
TransactTime: time.Now(),
OrdType: enum.OrdType_MARKET,
}
log.Print("Sending Order...")
quickfix.SendToTarget(order, sessionID)
time.Sleep(1 * time.Second)
}
i.complete <- sessionID
}()
}
func (e *executor) OnFIX50NewOrderSingle(msg fix50nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
ordType, err := msg.GetOrdType()
if err != nil {
return err
}
if ordType != enum.OrdType_LIMIT {
return quickfix.ValueIsIncorrect(tag.OrdType)
}
symbol, err := msg.GetSymbol()
if err != nil {
return
}
side, err := msg.GetSide()
if err != nil {
return
}
orderQty, err := msg.GetOrderQty()
if err != nil {
return
}
price, err := msg.GetPrice()
if err != nil {
return
}
clOrdID, err := msg.GetClOrdID()
if err != nil {
return
}
execReport := fix50er.New(
e.genOrderID(),
e.genExecID(),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
field.NewSide(side),
field.NewLeavesQty(decimal.Zero, 2),
field.NewCumQty(orderQty, 2),
)
execReport.SetClOrdID(clOrdID)
execReport.SetSymbol(symbol)
execReport.SetOrderQty(orderQty, 2)
execReport.SetLastQty(orderQty, 2)
execReport.SetLastPx(price, 2)
execReport.SetAvgPx(price, 2)
if msg.HasAccount() {
acct, err := msg.GetAccount()
if err != nil {
return err
}
execReport.SetAccount(acct)
}
quickfix.SendToTarget(execReport, sessionID)
return
}
func (e *EchoApplication) OnFIX50SP2SecurityDefinition(msg fix50sp2secdef.Message, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
reply := copyMessageToBuilder(msg.Message)
quickfix.SendToTarget(reply, sessionID)
return
}
func (e *executor) OnFIX50NewOrderSingle(msg fix50nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
var ordType field.OrdTypeField
if ordType, err = msg.GetOrdType(); err != nil {
return err
}
if ordType.String() != enum.OrdType_LIMIT {
return quickfix.ValueIsIncorrect(tag.OrdType)
}
var symbol field.SymbolField
if symbol, err = msg.GetSymbol(); err != nil {
return
}
var side field.SideField
if side, err = msg.GetSide(); err != nil {
return
}
var orderQty field.OrderQtyField
if orderQty, err = msg.GetOrderQty(); err != nil {
return
}
var price field.PriceField
if price, err = msg.GetPrice(); err != nil {
return
}
var clOrdID field.ClOrdIDField
if clOrdID, err = msg.GetClOrdID(); err != nil {
return
}
execReport := fix50er.New(
e.genOrderID(),
e.genExecID(),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
side,
field.NewLeavesQty(0),
field.NewCumQty(orderQty.Float64()),
)
execReport.Set(clOrdID)
execReport.Set(symbol)
execReport.Set(orderQty)
execReport.SetLastQty(orderQty.Float64())
execReport.SetLastPx(price.Float64())
execReport.SetAvgPx(price.Float64())
if msg.HasAccount() {
var acct field.AccountField
if acct, err = msg.GetAccount(); err != nil {
return err
}
execReport.Set(acct)
}
quickfix.SendToTarget(execReport, sessionID)
return
}
