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Overview
This article will be of interest to those who are coming face to face with FIX Antenna for the first time, and want to get a hands-on understanding of it.
It will help those building their first FIX Antenna-based application be aware of the possibilities FIX Antenna provides.
Application
Typically, the FIX application provides FIX connectivity to multiple clients through transport protocols and offers possibilities to install, configure, administer and monitor trading information flows.
For example, assume that a user needs to build an app that will be able to establish and terminate sessions, and support a simple Order Flow, presented below:
The main steps that need to be implemented in order to cover these functionalities are:
- Initialize the FIX Engine
- Create a session (initiator or acceptor)
- Send messages
- Process incoming messages
- Close the session
- Destroy the Engine (release resources)
The following section describes how to create the application step-by-step with code examples. Follow the instructions below to write, compile, and run your first application with FIX Antenna C++.
Engine initialization
Use the instruction below to initialize FIX Engine.
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// Initialize engine. FixEngine::init(); |
The "engine.properties" file contains common FIX Engine configuration parameters. If the full path is not specified, the FIX Engine is looking in the current directory. Otherwise, the FIX Engine uses the full path to locate the properties file.
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// Initializes engine. FixEngine::init("engine.properties"); |
If an error occurs during initialization (for example, the properties file cannot not be found, or a required property is missing, etc.), the exception is thrown.
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// Initialize engine. try { FixEngine::init("engine.properties"); } catch( const Utils::Exception& ex ) { cout << "ERROR: " << ex.what() << endl; } |
For more information about FIX Engine description, refer to the section Engine description.
Session creation
Creation of session-acceptor
You can create a session acceptor in three steps:
- Create the application object (an observer entity for a session to receive events; see Processingincomingmessage for details)
- Create the Engine::Session object
- Call the Engine::Session::connect session method
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// Declare Application - FIX session observer class MyApplication : public Engine::Application { // Override several virtual methods virtual bool process(const Engine::FIXMessage& msg, const Engine::Session& sn) { return true; } virtual bool onResend(const Engine::FIXMessage& msg, const Engine::Session& sn) { return true; } virtual void onLogonEvent(const Engine::LogonEvent* event, const Engine::Session& sn) {} virtual void onLogoutEvent(const Engine::LogoutEvent* event, const Engine::Session& sn) {} virtual void onUnexpectedMessageEvent(const Engine::UnexpectedMessageEvent* apEvent, const Engine::Session& aSn) {} virtual void onSequenceGapEvent(const Engine::SequenceGapEvent* event, const Engine::Session& sn) {} virtual void onSessionLevelRejectEvent(const Engine::SessionLevelRejectEvent* event, const Engine::Session& sn) {} virtual void onMsgRejectEvent(const Engine::MsgRejectEvent* event, const Engine::Session& sn) {} virtual void onHeartbeatWithTestReqIDEvent(const Engine::HeartbeatWithTestReqIDEvent& event, const Engine::Session& sn) {} virtual void onResendRequestEvent(const Engine::ResendRequestEvent& event, const Engine::Session& sn) {} virtual void onNewStateEvent(const Engine::NewStateEvent& event, const Engine::Session& sn) {} virtual void onUnableToRouteMessage(const Engine::UnableToRouteMessageEvent& event, const Engine::Session& sn) {} }; // Create instance of Application MyApplication application; // Create instance of FIX session Engine::Session* pSA = Engine::FixEngine::singleton()->createSession(&application, "Sender", "Target", Engine::FIX44); // Connect session as acceptor pSA->connect(); |
The sample below shows how to create a session acceptor if you need to use a custom FIX protocol version. Please note, that the same logic could be applied to a session initiator creation.
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{
Engine::Application* pApp = nullptr;
// Set pApp to the app instance pointer
Engine::SessionExtraParameters params;
params.sessionRole_ = Engine::ACCEPTOR_SESSION_ROLE;
Utils::ReferenceCounterSharedPtr<Engine::Session> pSession;
int method = 4;
switch (method)
{
case 0:
// Use the engine created standard FIXT11 parser created with the dictionaries provided with DictionariesFilesList property inside engine.properties file.
// Here are Engine::FIXT11 - scp version and Engine::FIX50SP2 default application version to use.
pSession = FixEngine::singleton()->createSession(pApp, "Sender", "Target", Engine::FIXT11, ¶ms, Engine::default_storageType, Engine::FIX50SP2);
break;
case 1:
// The same as 0 but chooses parser with its name.
pSession = FixEngine::singleton()->createSession(pApp, "Sender", "Target", "FIXT11", ¶ms, Engine::default_storageType, Engine::FIX50SP2);
break;
case 3:
// engine.properties contains parameter: AdditionalParsersList= MyParser@FIXT11:FIX50SP2.
// Use the engine on load created parser named 'MyParser' that has FIXT11 as scp and FIX50SP2 as a single application protocol.
pSession = FixEngine::singleton()->createSession(pApp, "Sender", "Target", "MyParser", ¶ms, Engine::default_storageType, Engine::FIX50SP2);
break;
case 4:
{
// Create parser manually which is named 'MyFIXT11Parser' and has FIXT11 as scp and FIX50SP2 as a single application protocol.
// Here are:
// "MyFIXT11Parser" is name of the parser being created,
// "FIXT11" is id (id attribute in xml) of the scp(session control protocol) to be used,
// "FIX50SP2" is id (id attribute in xml) of the application protocol to be used.
auto parserID = FixEngine::singleton()->createFixParser("MyFIXT11Parser", "FIXT11", "FIX50SP2");
pSession = FixEngine::singleton()->createSession(pApp, "Sender", "Target", parserID, ¶ms, Engine::default_storageType, Engine::FIX50SP2/*base protocol version FIX50SP2EP is based on FIX50SP2 in this case*/);
break;
}
case 5:
// Pass desired protocols configuration via SessionExtraPrameters.
// The engine tries to find out suitable parser among already existing and chooses the first matching the requirements.
// The default application protocol is the first one declared, FIX50SP2 in this case.
params.parserVersion_ = "FIXT11:FIX50SP2";
pSession = FixEngine::singleton()->createSession(pApp, "Sender", "Target", Engine::NA, ¶ms);
break;
case 6:
// The same as 5 but with two possible application protocols FIX50SP2 and FIX44
params.parserVersion_ = "FIXT11:FIX50SP2,FIX44";
pSession = FixEngine::singleton()->createSession(pApp, "Sender", "Target", Engine::NA, ¶ms);
break;
case 7:
// The same as 3 but pass parser name via SessionExtraPrameters, plesae note @ at the end, it indicate that it is parser name but not protocols configuration.
// The default application protocol is the first one declared for the 'MyParser', FIX50SP2 in this case.
params.parserVersion_ = "MyParser@";
pSession = FixEngine::singleton()->createSession(pApp, "Sender", "Target", Engine::NA, ¶ms);
break;
case 8:
// Get session parameters from engine.properties
pSession = FixEngine::singleton()->createSession(pApp, "Sender", "Target", Engine::NA);
break;
}
pSession->connect();
} |
For more information about FIX sessions in general and a FIX session acceptor description, refer to the sections: Session description and Creating FIX session acceptor.
Creation of session-initiator
You can create a session initiator in three steps:
- Create the application object (observer entity for session to receive events, see Processingincomingmessage for details)
- Create the Engine::Session object
- Call the Engine::Session::connect session method passing the initiator's specific parameters
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// Declare Application - FIX session observer class MyApplication : public Engine::Application { // Override several virtual methods virtual bool process(const Engine::FIXMessage& msg, const Engine::Session& sn) { return true; } virtual bool onResend(const Engine::FIXMessage& msg, const Engine::Session& sn) { return true; } virtual void onLogonEvent(const Engine::LogonEvent* event, const Engine::Session& sn) {} virtual void onLogoutEvent(const Engine::LogoutEvent* event, const Engine::Session& sn) {} virtual void onUnexpectedMessageEvent(const Engine::UnexpectedMessageEvent* apEvent, const Engine::Session& aSn) {} virtual void onSequenceGapEvent(const Engine::SequenceGapEvent* event, const Engine::Session& sn) {} virtual void onSessionLevelRejectEvent(const Engine::SessionLevelRejectEvent* event, const Engine::Session& sn) {} virtual void onMsgRejectEvent(const Engine::MsgRejectEvent* event, const Engine::Session& sn) {} virtual void onHeartbeatWithTestReqIDEvent(const Engine::HeartbeatWithTestReqIDEvent& event, const Engine::Session& sn) {} virtual void onResendRequestEvent(const Engine::ResendRequestEvent& event, const Engine::Session& sn) {} virtual void onNewStateEvent(const Engine::NewStateEvent& event, const Engine::Session& sn) {} virtual void onUnableToRouteMessage(const Engine::UnableToRouteMessageEvent& event, const Engine::Session& sn) {} }; // Create instance of Application MyApplication application; // Create instance of FIX session Engine::Session* pSI = Engine::FixEngine::singleton()->createSession(&application, "Sender", "Target", Engine::FIX44); // Connect session as initiator pSI->connect(30, "127.0.0.1", 9106); |
For more information about FIX sessions in general and a FIX session initiator description, refer to the sections: Session description and Creating FIX session initiator.
Creating new order
FIX Antenna provides two interfaces for FIX message manipulations:
- Flat model
- Object model
The flat model is based on a simple get/set FIX Message interface and demonstrates high performance.
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// create FIX 4.4 New Order Single skeleton Engine::FIXMessage* pOrder = Engine::FIXMsgFactory::singleton()->newSkel(Engine::FIX44, "D"); // set ClOrdID pOrder->set( FIXField::ClOrdID, "USR20000101" ); // get ClOrdID Engine::FIXFieldValue clOrdID; bool isPresent = pOrder->set( FIXField::ClOrdID, &clOrdID ); assert( isPresent ); // set trading session // create repeating group with 1 entry pOrder->set( FIXField::NoTradingSessions, 1 ); // get pointer to the repeating group Engine::FIXGroup *pGroup = pOrder->getGroup(FIXFields::NoTradingSessions); // set trading session ID for the 1st entry pGroup->set( FIXField::TradingSessionID, "PRE-OPEN", 0 ); // set all required fields ... |
The object model is a typified interface that is less efficient but more user-friendly than the flat one.
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// create FIX 4.4 New Order Single FIX44::NewOrderSingle order( Engine::FIXMsgFactory::singleton()->newSkel(Engine::FIX44, "D") ); // set ClOrdID order.ClOrdID().set( "USR20000101" ); // get ClOrdID bool isPresent = !order.ClOrdID().isEmpty(); string clOrdID = order.ClOrdID(); |
For more information about FIX messages and repeating groups, refer to the sections Message description, Repeating Groups description and FIX Message.
Sending order
To send a message to a session you should call on the Engine::Session::put method. This method does not send a message but instead puts it in a queue, from which the message will be sent out via a separate thread. The method in its turn returns immediately. In other words, sending is an asynchronous process in FIX Antenna, which also means that after the method returns the message it is not necessarily sent yet.
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// Send order (flat model) to session initiator pSI->put( pOrder); // Send order (object model) to session acceptor pSA->put( order.get() ); |
For more information about sending messages, refer to the sections Send acceptor message and Send initatior message.
Processing incoming message
The application class is responsible for:
- Processing incoming messages from a remote FIX Engine
Code Block language bash virtual bool Engine::Application::process(const Engine::FIXMessage &, const Engine::Session &aSn)
- Processing session events (required only if default behavior is not suitable)
Code Block language bash virtual void Engine::Application::onResendRequestEvent(const Engine::ResendRequestEvent &,const Engine::Session &) ...
To process incoming messages, create a new class derived from the Application class and override the Application::process method. If an incoming message is successfully processed, the method should return "true". If a message cannot be processed at the moment, it should return "false". If the Engine::Application::process method does not return "true" (i.e. returns "false" or throws an exception), the engine passes the same incoming message to the Application::process again and again until either the Engine::Application::process returns "true", or the permitted number of attempts is exceeded (DelayedProcessing.MaxDeliveryTries, refer to Common parameters for more information). The interval between attempts is specified by the DelayedProcessing.DeliveryTriesInterval property (refer to Common parameters for more information). If the number of unsuccessful attempts exceeds the amount specified by MaxDeliveryTries, a Logout message stating "Application is not available" is sent to the counter-party and the session is closed.
Other useful methods to override are: Engine::Application::onLogonEvent, Engine::Application::onLogoutEvent,Engine::Application::onSequenceGapEvent, Engine::Application::onSessionLevelRejectEvent, etc. These are the callback methods called on to notify about the corresponding session-level events. Note that all pure virtual methods of Application must be overridden (implementation can just be empty body). The Engine::Application::process method is called only when an application-level message is received. All session-level messages (Heartbeats, Test Requests, Resend Requests, etc.) are handled by FIX Antenna. However, you can modify default behavior and override callback methods in Application and provide your own logic.
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If you need to keep a FIX message for future processing, create and save a copy of the message instead of saving the original message. (Refer to the Engine::FIXMsgProcessor::clone method). Below is an example of a custom implementation of the Engine::Application interface:
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Do not delete the registered Application until you unregister it. For more information about processing incoming messages and the Application class, refer to the section with the Application description. |
Closing session
Use the following methods to close the session:
Code Block language bash Engine::Session::disconnect( bool forcefullyMarkAsTerminated = false )
Code Block language bash Engine::Session::disconnect( const std::string &logoutText, bool forcefullyMarkAsTerminated = false )
For more information about disconnecting, refer to the sections: Session description, Disconnect, and Disconnect.
Full sample
The sample below illustrates all instructions mentioned above, combined into one application.
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#include <iostream> #include <memory> #include <B2BITS_V12.h> using namespace std; class MyApp : public Engine::Application { public: MyApp() {} virtual bool process(const Engine::FIXMessage& fixMsg, const Engine::Session& aSn) { cout << *fixMsg.toString('|') << endl; return true; } virtual void onLogonEvent(const Engine::LogonEvent* apEvent, const Engine::Session& aSn) { cout << "onLogonEvent" << endl; } virtual void onLogoutEvent(const Engine::LogoutEvent* apEvent, const Engine::Session& aSn) { cout << "onLogoutEvent" << endl; } virtual void onMsgRejectEvent(const Engine::MsgRejectEvent* event, const Engine::Session& sn) { cout << "onMsgRejectEvent" << endl; } virtual void onSequenceGapEvent(const Engine::SequenceGapEvent* apEvent, const Engine::Session& aSn) { cout << "onSequenceGapEvent" << endl; } virtual void onSessionLevelRejectEvent(const Engine::SessionLevelRejectEvent* apEvent, const Engine::Session& aSn) { cout << "onSessionLevelRejectEvent" << endl; } virtual void onHeartbeatWithTestReqIDEvent(const Engine::HeartbeatWithTestReqIDEvent& event, const Engine::Session& sn) { cout << "onHeartbeatWithTestReqIDEvent" << endl; } virtual void onResendRequestEvent(const Engine::ResendRequestEvent& event, const Engine::Session& sn) { cout << "onResendRequestEvent" << endl; } virtual void onNewStateEvent(const Engine::NewStateEvent& event, const Engine::Session& sn) { cout << "onNewStateEvent" << endl; } virtual void onUnableToRouteMessage(const Engine::UnableToRouteMessageEvent& event, const Engine::Session& sn) { cout << "onUnableToRouteMessage" << endl; } virtual bool onResend(const Engine::FIXMessage& msg, const Engine::Session& sn) { cout << "onResend" << endl; return true; } }; int main( int argc, char* argv[] ) { try { // Initialize engine. Engine::FixEngine::init(); // Create Application instance MyApp application; // Create FIX session instance Engine::Session* pSA = Engine::FixEngine::singleton()->createSession(&application, "Sender", "Target", Engine::FIX44); // Connect session as acceptor pSA->connect(); // Create FIX session instance Engine::Session* pSI = Engine::FixEngine::singleton()->createSession(&application, "Target", "Sender", Engine::FIX44); // Connect session as initiator pSI->connect(30, "127.0.0.1", Engine::FixEngine::singleton()->getListenPort()); // create FIX 4.4 New Order Single auto_ptr<Engine::FIXMessage> pOrder(pSI->newSkel("D")); // set ClOrdID pOrder->set(FIXField::ClOrdID, "USR20000101" ); pOrder->set(FIXField::HandlInst, "2"); pOrder->set(FIXField::Symbol, "IBM"); pOrder->set(FIXField::OrderQty, "200"); pOrder->set(FIXField::Side, "1"); pOrder->set(FIXField::OrdType, "5"); pOrder->set(FIXField::TimeInForce, "0"); //+++++++++++++++++++++ // Send order to session initiator pSI->put(pOrder.get()); // Close sessions pSI->disconnect(); pSA->disconnect(); // release resources pSA->registerApplication(NULL); pSI->release(); pSA->registerApplication(NULL); pSA->release(); Engine::FixEngine::destroy(); } catch(std::exception const& ex) { cout << " ERROR: " << ex.what() << endl; return -1; } } |
Scheduler QuickStart Guide
FIX Antenna Scheduler is a main events execution component to carry out scheduled actions, usually periodic ones (for example, every day at 9:30 AM), that defines the timeline of events. This component schedules events as required and notifies schedules when needed about the events that have occurred (refer to the Scheduler section of the FA Programmer's Guide).
The sample below shows how a FIX Antenna C++ user can create and configure the FIX Scheduler.
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// Initialize FE ... // Get engine's maintained scheduler instance. Scheduler* pScheduler = FixEngine::singleton()->getScheduler(); // Get configured sessions list. Engine::FAProperties::ConfiguredSessionsMap sessions = FixEngine::singleton()->getProperties()->getConfiguredSessions(); // Iterate over sessions configured and bind them to schedules defined. for(Engine::FAProperties::ConfiguredSessionsMap::const_iterator it = sessions.begin(); it != sessions.end(); ++it) { // Find Schedule SessionsSchedulePtr pSchedule; try { pSchedule = SessionsSchedulePtr(pScheduler->getSchedule(it->second.scheduleId_)); }catch(const System::SchedulerException&) { // Not found continue; } if(!pSchedule) { // The schedule is not Sessions schedule derived instance. continue; } //Get session controller FixEngineSessionsControllerPtr pSessionController = FixEngineSessionsControllerPtr (pSchedule->getSessonsController()); if(!pSessionController) { // Sessions controller is not FixEngineSessionsController derived instance. So we can't use it. continue; } // Register the session within controller // myApp - instance of Engine::Application derived class that handles session callbacks. pSessionController->registerSession(it->first, myApp, it->second); } |
For more details see: Programmers Guide