void Application::onLogon( const FIX::SessionID& sessionID )
{
//std::cout << std::endl << "Logon - " << sessionID << std::endl;
this->senderCompID = sessionID.getSenderCompID();
this->targetCompID = sessionID.getTargetCompID();
this->resetFlags();
}
void FixProviderImpl::unsubscribe(std::vector<std::string> symbols) {
std::string uuid = FreeQuant::toGuidString();
FIX::MDReqID mdReqId(uuid);
FIX::SubscriptionRequestType subType(FIX::SubscriptionRequestType_DISABLE_PREVIOUS_SNAPSHOT_PLUS_UPDATE_REQUEST);
FIX::MarketDepth marketDepth(1);
FIX44::MarketDataRequest message(mdReqId, subType, marketDepth);
message.set(FIX::MDUpdateType(FIX::MDUpdateType_INCREMENTAL_REFRESH));
message.set(FIX::AggregatedBook(true));
std::string s;
s.append(1, FIX::Scope_LOCAL);
FIX::Scope scope(s);
message.set(scope);
message.set(FIX::MDImplicitDelete(false));
FIX44::MarketDataRequest::NoMDEntryTypes typeGroup;
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_OPENING_PRICE));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_CLOSING_PRICE));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_TRADING_SESSION_HIGH_PRICE));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_TRADING_SESSION_LOW_PRICE));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_BID));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_OFFER));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_TRADE_VOLUME));
message.addGroup(typeGroup);
typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_OPEN_INTEREST));
message.addGroup(typeGroup);
FIX44::MarketDataRequest::NoRelatedSym symGroup;
symGroup.set(FIX::Symbol("GOOG"));
message.addGroup(symGroup);
symGroup.set(FIX::Symbol("IF1210"));
message.addGroup(symGroup);
FIX::SessionID sessionID;
sessionID.fromString(_sessionString);
try {
FIX::Session::sendToTarget(message, sessionID);
} catch (FIX::SessionNotFound&) {}
}
void RequestApplication::onMessage ( const FIX42::OrderCancelReplaceRequest &replaceOrder, const FIX::SessionID &sessionId )
{
FIX::Side lSide ;
replaceOrder.getField( lSide ) ;
FIX::OrdType lOrdType ;
replaceOrder.getField( lOrdType ) ;
FIX::OrderQty lOrderQty ;
replaceOrder.getField( lOrderQty ) ;
ReplaceOrderPtr order( new ReplaceOrder(
replaceOrder.getField( FIX::FIELD::OrderID ),
replaceOrder.getField( FIX::FIELD::OrigClOrdID ),
replaceOrder.getField( FIX::FIELD::SecurityID ),
replaceOrder.getField( FIX::FIELD::ClOrdID ),
sessionId.toString(),
FromFix::convert( lSide ),
FromFix::convert( lOrdType ),
lOrderQty ) ) ;
try
{
FIX::TimeInForce lTimeInForce;
if( replaceOrder.isSetField( lTimeInForce ) )
{
replaceOrder.getField( lTimeInForce );
order->setTimeInForce( FromFix::convert( lTimeInForce ) ) ;
}
}catch( std::exception &e ) {}
FIX::MaxFloor lMaxFloor ;
if( replaceOrder.isSetField( lMaxFloor ) )
{
replaceOrder.getField( lMaxFloor ) ;
order->setDisclosedQty( lMaxFloor ) ;
}
switch( order->getOrderType() )
{
case OrderType_LIMIT :
{ FIX::Price lPrice ; replaceOrder.getField( lPrice ) ; order->setPrice( lPrice ) ; }
break ;
case OrderType_STOP_LIMIT :
{ FIX::Price lPrice ; replaceOrder.getField( lPrice ) ; order->setPrice( lPrice ) ; }
// No break here
case OrderType_STOP :
{ FIX::StopPx lStopPx ; replaceOrder.getField( lStopPx ) ; order->setStopPrice( lStopPx ) ; }
break ;
case OrderType_MARKET :
break ;
}
FIX::CumQty lCumQty ;
replaceOrder.getField( lCumQty ) ;
order->addOrderQty( lCumQty ) ;
_market.replace( order ) ;
}
void RequestApplication::onMessage ( const FIX42::OrderCancelRequest &cancelOrder, const FIX::SessionID &sessionId )
{
FIX::Side lSide ;
cancelOrder.getField( lSide ) ;
FIX::OrdType lOrdType ;
cancelOrder.getField( lOrdType ) ;
FIX::OrderQty lOrderQty ;
cancelOrder.getField( lOrderQty ) ;
CancelOrderPtr order( new CancelOrder(
cancelOrder.getField( FIX::FIELD::OrderID ),
cancelOrder.getField( FIX::FIELD::OrigClOrdID ),
cancelOrder.getField( FIX::FIELD::SecurityID ),
cancelOrder.getField( FIX::FIELD::ClOrdID ),
sessionId.toString(),
FromFix::convert( lSide ),
FromFix::convert( lOrdType ),
lOrderQty ) ) ;
_market.cancel( order ) ;
}
void FixProviderImpl::subscribe(std::vector<std::string> symbols) {
std::cout << __FUNCTION__ << std::endl;
FIX44::MarketDataRequest message;
message.set(FIX::MDReqID(FreeQuant::createGuid()));
message.set(FIX::SubscriptionRequestType(FIX::SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES));
message.set(FIX::MarketDepth(0));
message.set(FIX::MDUpdateType(FIX::MDUpdateType_FULL_REFRESH));
std::vector<char> types;
types.push_back(FIX::MDEntryType_OPENING_PRICE);
types.push_back(FIX::MDEntryType_CLOSING_PRICE);
for (auto i = types.begin(); i != types.end(); ++i) {
FIX44::MarketDataRequest::NoMDEntryTypes group;
FIX::MDEntryType type(*i);
group.set(type);
message.addGroup(group);
}
for (auto i = symbols.begin(); i != symbols.end(); i++) {
FIX44::MarketDataRequest::NoRelatedSym group;
group.set(FIX::Symbol(*i));
message.addGroup(group);
}
// std::string uuid = FreeQuant::toGuidString();
// FIX::MDReqID mdReqId(uuid);
// FIX::SubscriptionRequestType subType(FIX::SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES);
// FIX::MarketDepth marketDepth(1);
// FIX44::MarketDataRequest message(mdReqId, subType, marketDepth);
// message.set(FIX::MDUpdateType(FIX::MDUpdateType_INCREMENTAL_REFRESH));
// message.set(FIX::AggregatedBook(true));
// string s;
// s.append(1, FIX::Scope_LOCAL);
// FIX::Scope scope(s);
// message.set(scope);
// message.set(FIX::MDImplicitDelete(false));
// FIX44::MarketDataRequest::NoMDEntryTypes typeGroup;
// typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_OPENING_PRICE));
// message.addGroup(typeGroup);
// typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_CLOSING_PRICE));
// message.addGroup(typeGroup);
// typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_TRADING_SESSION_HIGH_PRICE));
// message.addGroup(typeGroup);
// typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_TRADING_SESSION_LOW_PRICE));
// message.addGroup(typeGroup);
// typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_BID));
// message.addGroup(typeGroup);
// typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_OFFER));
// message.addGroup(typeGroup);
// typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_TRADE_VOLUME));
// message.addGroup(typeGroup);
// typeGroup.set(FIX::MDEntryType(FIX::MDEntryType_OPEN_INTEREST));
// message.addGroup(typeGroup);
// FIX44::MarketDataRequest::NoRelatedSym symGroup;
// symGroup.set(FIX::Symbol("GOOG"));
// message.addGroup(symGroup);
// symGroup.set(FIX::Symbol("IF1210"));
// message.addGroup(symGroup);
FIX::SessionID sessionID;
sessionID.fromString(_sessionString);
try {
FIX::Session::sendToTarget(message, sessionID);
} catch (FIX::SessionNotFound&) {}
}
void FixProviderImpl::onCreate(const FIX::SessionID& sessionID) {
_sessionString = sessionID.toString();
std::cout << __FUNCTION__ << ": " << sessionID << std::endl;
}
