// Create a FIXClient with common routes for market connectors
func NewFIXClient(c common.Config) *FIXClient {
app := &FIXClient{
MessageRouter: quickfix.NewMessageRouter(),
marketConnectorName: c.MarketConnectorName,
}
// Initiate message bus listening for requests
if msgbus, err := messagebus.Connect(c.MessageBusURL); err != nil {
log.Fatalf("error: Cannot connect to order message bus @ %v", c.MessageBusURL)
} else {
app.MessageBus = msgbus
}
// Connect to database storage driver
if storage, err := database.NewOrderStore(c.DatabaseDriver, c.DatabaseUrl, nil); err != nil {
log.Fatalf("error: Cannot connect to database driver %v @ %v", c.DatabaseDriver, c.DatabaseUrl)
} else {
app.OrderStore = storage
}
// QuickFIX settings from config
appSettings := quickfix.NewSettings()
var settings *quickfix.SessionSettings
settings = appSettings.GlobalSettings()
settings.Set("SocketConnectHost", "127.0.0.1")
settings.Set("SocketConnectPort", "5001")
settings.Set("HeartBtInt", "30")
settings.Set("SenderCompID", "CYAN")
settings.Set("TargetCompID", "CORP")
settings.Set("ResetOnLogon", "Y")
settings.Set("FileLogPath", "tmp")
settings = quickfix.NewSessionSettings()
settings.Set("BeginString", "FIX.4.4")
if session, err := appSettings.AddSession(settings); err != nil {
log.WithError(err).Fatal("FIX Session Error")
} else {
app.Session = session
}
// FIX routes
app.AddRoute(fix44er.Route(app.onFIX44ExecutionReport))
app.AddRoute(fix44ocj.Route(app.onFIX44OrderCancelReject))
// FIX logging
logFactory := quickfix.NewNullLogFactory() // quickfix.NewScreenLogFactory()
// Create initiator
if initiator, err := quickfix.NewInitiator(app, quickfix.NewMemoryStoreFactory(), appSettings, logFactory); err != nil {
log.WithError(err).Fatal("FIX NewInitiator Error")
} else {
app.Initiator = initiator
}
return app
}
func main() {
flag.Parse()
if *cpuprofile != "" {
f, err := os.Create(*cpuprofile)
if err != nil {
log.Fatal(err)
}
pprof.StartCPUProfile(f)
defer pprof.StopCPUProfile()
}
log.Print("NumCPU: ", runtime.NumCPU())
log.Print("GOMAXPROCS: ", runtime.GOMAXPROCS(-1))
metrics = make(stat.IntSlice, *sampleSize)
cfg, err := os.Open(*fixconfig)
if err != nil {
log.Fatal(err)
}
appSettings, err := quickfix.ParseSettings(cfg)
if err != nil {
log.Fatal(err)
}
logFactory := quickfix.NewNullLogFactory()
storeFactory := quickfix.NewMemoryStoreFactory()
acceptor, err := quickfix.NewAcceptor(app, storeFactory, appSettings, logFactory)
if err != nil {
log.Fatal(err)
}
if err = acceptor.Start(); err != nil {
log.Fatal(err)
}
<-allDone
elapsed := time.Since(t0)
metricsUS := make(stat.Float64Slice, *sampleSize)
for i, durationNS := range metrics {
metricsUS[i] = float64(durationNS) / 1000.0
}
mean := stat.Mean(metricsUS)
max, maxIndex := stat.Max(metricsUS)
stdev := stat.Sd(metricsUS)
log.Printf("Sample mean is %g us", mean)
log.Printf("Sample max is %g us (%v)", max, maxIndex)
log.Printf("Standard Dev is %g us", stdev)
log.Printf("Processed %d msg in %v [effective rate: %.4f msg/s]", count, elapsed, float64(count)/float64(elapsed)*float64(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.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)
}
func main() {
flag.Parse()
if *cpuprofile != "" {
defer pprof.StopCPUProfile()
}
log.Print("NumCPU: ", runtime.NumCPU())
log.Print("GOMAXPROCS: ", runtime.GOMAXPROCS(-1))
metrics = make(stat.IntSlice, *sampleSize)
cfg, err := os.Open(*fixconfig)
if err != nil {
log.Fatal(err)
}
appSettings, err := quickfix.ParseSettings(cfg)
if err != nil {
log.Fatal(err)
}
logFactory := quickfix.NewNullLogFactory()
acceptor, err := quickfix.NewAcceptor(app, appSettings, logFactory)
if err != nil {
log.Fatal(err)
}
if err = acceptor.Start(); err != nil {
log.Fatal(err)
}
<-allDone
metricsUS := make(stat.Float64Slice, *sampleSize)
for i, durationNS := range metrics {
metricsUS[i] = float64(durationNS) / 1000.0
}
mean := stat.Mean(metricsUS)
max, maxIndex := stat.Max(metricsUS)
stdev := stat.Sd(metricsUS)
log.Printf("Sample mean is %g us", mean)
log.Printf("Sample max is %g us (%v)", max, maxIndex)
log.Printf("Standard Dev is %g us", stdev)
}
func NewSellSideSimulator(logger string) *SellSideSimulator {
mc := &SellSideSimulator{}
// QuickFIX settings
appSettings := quickfix.NewSettings()
var settings *quickfix.SessionSettings
settings = appSettings.GlobalSettings()
settings.Set("SocketAcceptPort", "5001")
settings.Set("SenderCompID", "CORP")
settings.Set("TargetCompID", "CYAN")
settings.Set("ResetOnLogon", "Y")
settings.Set("FileLogPath", "tmp")
settings = quickfix.NewSessionSettings()
settings.Set("BeginString", "FIX.4.4")
appSettings.AddSession(settings)
app := NewExecutor()
var logFactory quickfix.LogFactory
switch logger {
case "console":
logFactory = quickfix.NewScreenLogFactory()
default:
logFactory = quickfix.NewNullLogFactory()
}
acceptor, err := quickfix.NewAcceptor(app, quickfix.NewMemoryStoreFactory(), appSettings, logFactory)
if err != nil {
log.Panic(err)
}
mc.acceptor = acceptor
return mc
}