Overview

This article describes how to validate FIX messages in FIX Antenna HFT in case of FIX protocol violation.

How to validate FIX messages within the user code in FIX Antenna HFT

When the incoming FIX message violates FIX protocol there is a need to validate such message. If the message contains validation errors, an exception should be generated and a Reject message should be sent to the counterparty.

The Utils::Exception is a base class so the more specific exception from a parser is needed here.

Instead of Utils::Exception the ParserException is needed to obtain information for the Reject message.

The header file \include\fixantenna\engine\src\parser\src\ParserException.h for the ParserException class contains all the needed information, including the reject reason.

The following piece of code shows how to validate messages:

void validateLiteMsg( Engine::MsgPipeElem* poolElem )
{
	try
 	{
 		int size;
  		const char* ptr = elem->msg.toRaw(&size);
  		std::auto_ptr<Engine::FIXMessage> nonLiteMsg( Engine::FIXMsgProcessor::singleton()->parse(ptr, size, NULL, false, false ) ); //parse() can throw
  		// validate the message values
 		nonLiteMsg->checkFields();
 		//validate the message structure
 		Parser::Options opts; // set the opts as required
 		opts.verifyTagsValues = false; //already done 
 		nonLiteMsg->checkRequired(opts);
	}
	catch (Parser::ParserException const& e)
 	{
  		sendReject(elem->msg, e.refSeqNum(), e.refTagID(), e.refMsgType(), e.getRejReason(), e.what() );
	}
 	catch (std::exception const &e)
	{
  		logError(e.what());
 	}
}

FIX Antenna HFT Parser exceptions

Here is the list of Parser exceptions thrown by all public methods of Fix Antenna HFT: