Fix Antenna C++ processes messages in Incremental Feed with tag SecuritID (48) and calls callbacks from Bovespa::InstrumentListener.
In case of Security Status (35=f) messages it will be called Bovespa::InstrumentListener::process( BovespaSubscriptionItem const& subsItem, Engine::FIXMessage const* msg ) callback.
Bovespa Exchange can send Security Status for groups of Instrument using SecurityGrpoup (1151) tag as well, in this case FixAntenna doesn't call InstrumentListener callbacks.
Further step-by-step guide describes how to process this kind of messages.
Step-by-step guide
- Create map where SecurityIDs are associated with SecurityGroup.
Fill this map on interested SecurityIDs using Bovespa::InstrumentListener::onSecurityDefinition callback:
Code Block language cpp bool MyInstrumentListener::onSecurityDefinition( BovespaSubscriptionItem const& subsItem, Engine::FIXMessage const& dMsg ) { //. . . Engine::TagValue const* entry = msg.getGroup( FIXFields::NoRelatedSym )->getEntry( 0 ); if(entry->isSupported( FIXFields::SecurityGroup ) && entry->hasValue(FIXFields::SecurityGroup)) { std::string securityGroup_ = entry->getAsString( FIXFields::SecurityGroup ).toStdString(); std::string securityID = entry->getAsString( FIXFields::SecurityID ).toStdString(); // fill map SecurityIDs by SecurityGroup //. . . } //. . . }
Create MyFeedListener implementing Bovespa::FeedListener interface.
Subscribe to feed with MyFeedListener to get Security Status messages using any of this methods:
Code Block language cpp /// subscribe to all messages on specified by feedId feed /// @note tcp recovery feed is not supported for subscription, but you can enable TCP recovery for incremental feeds to recovery missed messegs void Bovespa::BovespaApplication::subscribeToFeed( FeedListener* feedListener, std::string const& feedID ); /// subscribe to all messages on specified from incremental feed on specified by channel_id /// @note tcp recovery feed is not supported for subscription /// @note set channel_id = "", to subscribe to all incrementall feeds /// @note onSubscribe and onUnsubscribe method will be called for each channel /// @note you can enable TCP recovery for incremental feeds to recovery missed messegs void Bovespa::BovespaApplication::subscribeToIncrementalFeed( FeedListener* feedListener, std::string const& channel_id = 0 );
Process Security Status messages in MyFeedListener ::onMessage() callback:
Code Block language cpp void MyFeedListener::onMessage( std::string const& channelId, std::string const& feedId, Engine::FIXMessage const& dMsg ) { if (dMsg.type() == "f") { if(dMsg.isSupported(FIXFields::SecurityGroup) && dMsg.hasValue(FIXFields::SecurityGroup)) { std::string securityGroup_ = dMsg.getAsString( FIXFields::SecurityGroup ).toStdString(); // process status message for Security Group // . . . } } }
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Note: One message may be the cause of two callbacks:
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