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;
}
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;
}
}