示例#1
0
// 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
}
示例#2
0
func newExecutor() *executor {
	e := &executor{MessageRouter: quickfix.NewMessageRouter()}
	e.AddRoute(fix40nos.Route(e.OnFIX40NewOrderSingle))
	e.AddRoute(fix41nos.Route(e.OnFIX41NewOrderSingle))
	e.AddRoute(fix42nos.Route(e.OnFIX42NewOrderSingle))
	e.AddRoute(fix43nos.Route(e.OnFIX43NewOrderSingle))
	e.AddRoute(fix44nos.Route(e.OnFIX44NewOrderSingle))
	e.AddRoute(fix50nos.Route(e.OnFIX50NewOrderSingle))

	return e
}
示例#3
0
func newApplication() *Application {
	app := &Application{
		MessageRouter: quickfix.NewMessageRouter(),
		OrderMatcher:  NewOrderMatcher(),
	}
	app.AddRoute(newordersingle.Route(app.onNewOrderSingle))
	app.AddRoute(ordercancelrequest.Route(app.onOrderCancelRequest))
	app.AddRoute(marketdatarequest.Route(app.onMarketDataRequest))

	return app
}
示例#4
0
package main

import (
	"fmt"
	"io/ioutil"
	"log"
	"os"
	"os/signal"

	"github.com/quickfixgo/quickfix"
	"github.com/quickfixgo/quickfix/enum"
	"github.com/quickfixgo/quickfix/field"
	"github.com/quickfixgo/quickfix/tag"
)

var router *quickfix.MessageRouter = quickfix.NewMessageRouter()

type EchoApplication struct {
	log      *log.Logger
	OrderIds map[string]bool
}

func (e EchoApplication) OnCreate(sessionID quickfix.SessionID) {
	e.log.Printf("OnCreate %v\n", sessionID.String())
}
func (e *EchoApplication) OnLogon(sessionID quickfix.SessionID) {
	e.log.Printf("OnLogon %v\n", sessionID.String())
	e.OrderIds = make(map[string]bool)
}
func (e *EchoApplication) OnLogout(sessionID quickfix.SessionID) {
	e.log.Printf("OnLogout %v\n", sessionID.String())