int testFileStoreNewOrderSingle( int count )
{
FIX::BeginString beginString( FIX::BeginString_FIX42 );
FIX::SenderCompID senderCompID( "SENDER" );
FIX::TargetCompID targetCompID( "TARGET" );
FIX::SessionID id( beginString, senderCompID, targetCompID );
FIX::ClOrdID clOrdID( "ORDERID" );
FIX::HandlInst handlInst( '1' );
FIX::Symbol symbol( "LNUX" );
FIX::Side side( FIX::Side_BUY );
FIX::TransactTime transactTime;
FIX::OrdType ordType( FIX::OrdType_MARKET );
FIX42::NewOrderSingle message
( clOrdID, handlInst, symbol, side, transactTime, ordType );
message.getHeader().set( FIX::MsgSeqNum( 1 ) );
std::string messageString = message.toString();
FIX::FileStore store( "store", id );
store.reset();
count = count - 1;
int start = GetTickCount();
for ( int i = 0; i <= count; ++i )
{
store.set( ++i, messageString );
}
int end = GetTickCount();
store.reset();
return end - start;
}
int testSerializeToStringNewOrderSingle( int count )
{
FIX::ClOrdID clOrdID( "ORDERID" );
FIX::HandlInst handlInst( '1' );
FIX::Symbol symbol( "LNUX" );
FIX::Side side( FIX::Side_BUY );
FIX::TransactTime transactTime;
FIX::OrdType ordType( FIX::OrdType_MARKET );
FIX42::NewOrderSingle message
( clOrdID, handlInst, symbol, side, transactTime, ordType );
count = count - 1;
int start = GetTickCount();
for ( int i = 0; i <= count; ++i )
{
message.toString();
}
return GetTickCount() - start;
}
long testSerializeFromStringAndValidateNewOrderSingle( int count )
{
FIX::ClOrdID clOrdID( "ORDERID" );
FIX::HandlInst handlInst( '1' );
FIX::Symbol symbol( "LNUX" );
FIX::Side side( FIX::Side_BUY );
FIX::TransactTime transactTime;
FIX::OrdType ordType( FIX::OrdType_MARKET );
FIX42::NewOrderSingle message
( clOrdID, handlInst, symbol, side, transactTime, ordType );
std::string string = message.toString();
count = count - 1;
long start = GetTickCount();
for ( int i = 0; i <= count; ++i )
{
message.setString( string, VALIDATE, s_dataDictionary.get() );
}
return GetTickCount() - start;
}
void Application::onMessage( const FIX42::NewOrderSingle& message,
const FIX::SessionID& sessionID )
{
FIX::Symbol symbol;
FIX::Side side;
FIX::OrdType ordType;
FIX::OrderQty orderQty;
FIX::Price price;
FIX::ClOrdID clOrdID;
FIX::Account account;
message.get( ordType );
if ( ordType != FIX::OrdType_LIMIT )
throw FIX::IncorrectTagValue( ordType.getField() );
message.get( symbol );
message.get( side );
message.get( orderQty );
message.get( price );
message.get( clOrdID );
FIX42::ExecutionReport executionReport = FIX42::ExecutionReport
( FIX::OrderID( genOrderID() ),
FIX::ExecID( genExecID() ),
FIX::ExecTransType( FIX::ExecTransType_NEW ),
FIX::ExecType( FIX::ExecType_FILL ),
FIX::OrdStatus( FIX::OrdStatus_FILLED ),
symbol,
side,
FIX::LeavesQty( 0 ),
FIX::CumQty( orderQty ),
FIX::AvgPx( price ) );
executionReport.set( clOrdID );
executionReport.set( orderQty );
executionReport.set( FIX::LastShares( orderQty ) );
executionReport.set( FIX::LastPx( price ) );
if( message.isSet(account) )
executionReport.setField( message.get(account) );
try
{
FIX::Session::sendToTarget( executionReport, sessionID );
}
catch ( FIX::SessionNotFound& ) {}
}
long testValidateDictNewOrderSingle( int count )
{
FIX::ClOrdID clOrdID( "ORDERID" );
FIX::HandlInst handlInst( '1' );
FIX::Symbol symbol( "LNUX" );
FIX::Side side( FIX::Side_BUY );
FIX::TransactTime transactTime;
FIX::OrdType ordType( FIX::OrdType_MARKET );
FIX42::NewOrderSingle message
( clOrdID, handlInst, symbol, side, transactTime, ordType );
message.getHeader().set( FIX::SenderCompID( "SENDER" ) );
message.getHeader().set( FIX::TargetCompID( "TARGET" ) );
message.getHeader().set( FIX::MsgSeqNum( 1 ) );
count = count - 1;
long start = GetTickCount();
for ( int i = 0; i <= count; ++i )
{
s_dataDictionary->validate( message );
}
return GetTickCount() - start;
}
void Application::onMessage( const FIX42::NewOrderSingle& message, const FIX::SessionID& )
{
FIX::SenderCompID senderCompID;
FIX::TargetCompID targetCompID;
FIX::ClOrdID clOrdID;
FIX::Symbol symbol;
FIX::Side side;
FIX::OrdType ordType;
FIX::Price price;
FIX::OrderQty orderQty;
FIX::TimeInForce timeInForce( FIX::TimeInForce_DAY );
message.getHeader().get( senderCompID );
message.getHeader().get( targetCompID );
message.get( clOrdID );
message.get( symbol );
message.get( side );
message.get( ordType );
if ( ordType == FIX::OrdType_LIMIT )
message.get( price );
message.get( orderQty );
if ( message.isSetField( timeInForce ) )
message.get( timeInForce );
try
{
if ( timeInForce != FIX::TimeInForce_DAY )
throw std::logic_error( "Unsupported TIF, use Day" );
Order order( clOrdID, symbol, senderCompID, targetCompID,
convert( side ), convert( ordType ),
price, (long)orderQty );
processOrder( order );
}
catch ( std::exception & e )
{
rejectOrder( senderCompID, targetCompID, clOrdID, symbol, side, e.what() );
}
}
void Application::sendOrder(SimpleOrder order){
if(order.orderQty > 0.0 && order.price > 0.0){
FIX42::NewOrderSingle newOrderSingle;
newOrderSingle.set( order.clOrdID );
newOrderSingle.set(FIX::HandlInst( '1' ));
newOrderSingle.set( order.symbol );
newOrderSingle.set( order.side );
newOrderSingle.set(FIX::TransactTime());
newOrderSingle.set( FIX::OrdType( FIX::OrdType_LIMIT ) );
newOrderSingle.set( order.orderQty );
newOrderSingle.set( FIX::TimeInForce( FIX::TimeInForce_DAY ) );
newOrderSingle.set( order.price );
setHeader( newOrderSingle.getHeader() );
FIX::Session::sendToTarget( newOrderSingle );
}else{
//std::cout << "[Application::sendOrder] NOT SENT!!!"<<std::endl;
}
}
void RequestApplication::onMessage ( const FIX42::NewOrderSingle &newOrder, const FIX::SessionID &sessionId )
{
FIX::Side lSide ;
newOrder.getField( lSide ) ;
FIX::OrdType lOrdType ;
newOrder.getField( lOrdType ) ;
FIX::OrderQty lOrderQty ;
newOrder.getField( lOrderQty ) ;
NewOrderPtr order( new NewOrder( newOrder.getField( FIX::FIELD::SecurityID ),
newOrder.getField( FIX::FIELD::ClOrdID ),
sessionId.toString(),
FromFix::convert( lSide ),
FromFix::convert( lOrdType ),
lOrderQty ) ) ;
try
{
FIX::TimeInForce lTimeInForce;
if( newOrder.isSetField( lTimeInForce ) )
{
newOrder.getField( lTimeInForce );
order->setTimeInForce( FromFix::convert( lTimeInForce ) ) ;
}
}catch( std::exception &e ) {}
FIX::MaxFloor lMaxFloor ;
if( newOrder.isSetField( lMaxFloor ) )
{
newOrder.getField( lMaxFloor ) ;
order->setDisclosedQty( lMaxFloor ) ;
}
switch( order->getOrderType() )
{
case OrderType_LIMIT :
{ FIX::Price lPrice ; newOrder.getField( lPrice ) ; order->setPrice( lPrice ) ; }
break ;
case OrderType_STOP_LIMIT :
{ FIX::Price lPrice ; newOrder.getField( lPrice ) ; order->setPrice( lPrice ) ; }
// No break here
case OrderType_STOP :
{ FIX::StopPx lStopPx ; newOrder.getField( lStopPx ) ; order->setStopPrice( lStopPx ) ; }
break ;
case OrderType_MARKET :
break ;
}
_market.insert( order ) ;
}