// 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 }