How to migrate MD application from FA C++ to MD C++ library

Headers

To avoid potential conflicts between FA headers and MD headers in one application we removed B2BITS_ part from MD headers, instead we put new files into b2bits subdirectory.

There is only one exception - header files that belong to a particular handler, e.g. B2BITS_BovespaApplication.h remain unchanged.

Namespaces

For the same reason - to avoid potential conflicts between FA and MD libraries - namespaces has also been changed. in MD C++ library there 2 main C++ namespaces:

namespace B2bits - for common code, not related only to market data, e.g.
basic integer types - u32, i32, etc
FIX related types - Decimal, UTCTimestamp, etc
namespace B2bits::MD - for market data related stuff, e.g
Engine, FIXMessage

Legacy per-handler namespaces remain unchanged, e.g. - Bovespa, Mit, Spectra.

Init, cleanup & basic use cases

MD C++ library uses exactly the same approach FA library does. Instead of FixEngine there is MD::Engine, which must be initialized first with init function, and destroyed with destroy method.

MD::Engine provides exactly the same set of methods to create MD handlers FA engine does.

See the examples below, first using Bovespa MD handler with FA, seconds - with MD library. The only changes required - different engine C++ header and namespace.

FA C++

// assuming include directory - FA-2.24/headers

// FA engine header
#include <B2BITS_FixEngine.h>

// MD handler includes
#include <B2BITS_BovespaApplication.h>
#include <B2BITS_BovespaApplicationListeners.h>

// initialize FIX engine first
Engine::FixEngine::init("engine.properties");

// create MD handler
Bovespa::BovespaApplicationParams params;
auto application = Engine::FixEngine::singleton()->createBovespaApplication( params );

// use application to subscribe and listen to market data
Bovespa::BovespaSubscriptionItem instument;
application->subscribeToInstrument(instument);
...

// release the application
application->release();

// destroy FIX engine
Engine::FixEngine::destroy();

MD C++

// assuming include directory - Bovespa-2.24/include

// new engine header
#include <b2bits/Engine.h>

// legacy MD handler includes
#include <B2BITS_BovespaApplication.h>
#include <B2BITS_BovespaApplicationListeners.h>

// initialize MD engine first
B2bits::MD::Engine::init("engine.properties");

// create MD handler
Bovespa::BovespaApplicationParams params;
auto application = B2bits::MD::Engine::singleton()->createBovespaApplication( params );

// use application to subscribe and listen to market data
Bovespa::BovespaSubscriptionItem instument;
application->subscribeToInstrument(instument);
...

// release the application
application->release();

// destroy FIX engine
B2bits::MD::Engine::destroy();

FIX interface

MD C++ library provides its own FIX interface which is very similar to FIX interface in FA.

FIX interface contains same old FIXMessage, TagValue, FIXGroup classes in B2bits::MD namespace. Main differences are as follows:

MD FIX interface provides read-only access to messages(getters only).
No FIXFields and FIXField namespaces, replacement - B2bits::FIXTag
getEntry and getGroup methods return values instead of pointers:

const TagValue getEntry(int index) const;

const FIXGroup getGroup(int tag) const;

see examples below - using FIX interface with FA and MD C++ libraries

FA C++

// reading market data snapshot using FA FIX interface
void readSnapshot(const Engine::FIXMessage& msg)
{
 	const Engine::FIXGroup& gr = msg.getAsGroup( FIXFields::NoMDEntries );
	for( int i = 0; i < gr.size(); ++i ) 
	{
		const Engine::TagValue& entry = *gr.getEntry(i); // returns pointer
		switch( gr.getAsChar( FIXFields::MDEntryType, j ) ) 
		{
		}
	}
}

MD C++

// reading market data snapshot using MD FIX interface
void readSnapshot(const B2bits::MD::FIXMessage& msg)
{
	using namespace B2bits;

	const MD::FIXGroup& gr = msg.getAsGroup( FIXTag::NoMDEntries );

	for( int i = 0; i < gr.size(); ++i ) 
	{
		const MD::TagValue& entry = gr.getEntry(j); // returns const value

  		switch( gr.getAsChar( FIXTag::MDEntryType, j ) ) 
		{
		}
	}
}

engine.licence

No changes required, FA license will work with MD C++ library