These chapters describe the creation of a simple CME application step-by step with samples.

Follow these instructions to get it to work:

Initialize FIX engine
Create MDApplication
Subscribe to symbol
Process incoming market data
Unsubscribe from symbol
Destroy MDApplication
Destroy engine (release resources)

Engine initialization

Execute the following instruction to initialize FIX engine.

// Initializes engine.
Engine::FixEngine::init();

The engine.properties file is required to read the engine configuration parameters. It must, by default, be present in the current directory. If the file is located elsewhere or has a different name specify the properties file name and path explicitly.

// Initializes engine.
Engine::FixEngine::init ("engine.properties");

If an error occurs during initialization (the properties file is not found, a required property is missing etc.) the exception will be thrown.

// Initializes engine.
try {
   Engine::FixEngine::init("engine.properties");
} 
catch( const Utils::Exception& ex ) {
   cout << "ERROR: " << ex.what() << endl;
}

MDApplication creation

You can create an MDApplication in three steps:

Create Listener
Configure MDApplications parameters
Create an MDApplication object

// Class Listener implements a MDApplicationListener interfaces
class Listener : public Globex::MDApplicationListener
{
   Globex::MDApplication* application_;
public:
   Listener() : application_(NULL) 
   {  
      // Initialize parameters   
      Globex::MDApplicationParams params;
      params.templatesFn_ = "templates.xml"; 
      params.configXml_ = "config.xml";  
      // Create MDApplication object    
      application_ = Engine::FixEngine::singleton()->createMDApplication( listener, params );
   }  
   // MDApplicationListener interface implementation
   // ...
};

MDApplicationParams::templatesFn_ - Path to the CME FAST templates file. Should be downloaded from ftp://ftp.cmegroup.com
MDApplicationParams::configXml_ - Path to the CME configuration file. Should be downloaded from ftp://ftp.cmegroup.com

Prior to calling createMDApplication, create a Listener, a class that implements Globex::MDApplicationListener interface. Usually this interface is implemented by classes that aggregate an MDApplication.

Subscribing and unsubscribing

You will start receiving market data from CME only after you subscribe to a symbol you want to receive. Use the MDApplication::subscribe(Symbol const& symbol) method for that:

application_->subscribe("ESZ8");

The Listener will be notified about subscription by calling the MDApplicationListener::onSubscribed callback:

Listner::onSubscribed( Globex::Symbol const& symbol ) {
   std::cout << "Subscribed on " << symbol << std::endl;
}

Use MDApplication::unsubscribe(Symbol const& symbol) method to unsubscribe from symbol:

application_->unsubscribe("ESZ8");

When you unsubscribe from symbol, the engine calls the MDApplicationListener::onUnsubscribed( Globex::Symbol const& symbol ) notification method.

Listner::onUnsubscribed( Globex::Symbol const& symbol ) {
   std::cout << "Unsubscribed from " << symbol  << std::endl;
}

MDApplication::subscribeAll() and MDApplication::unsubscribeAll() methods are not implemented in the current version of FIX Antenna.

Processing incoming marketdata:

When MDApplication receives a message with market data, it calls one of the callback functions of the Listener object. A class should implement Globex::MDApplicationListener interface to be used as Listener:

class MDApplicationListener
{
public:
    virtual void onSubscribed( Symbol const& symbol );
    virtual void onUnsubscribed( Symbol const& symbol );
    virtual void process( Engine::FIXMessage const& msg );
    virtual void onIncrement( Symbol const& symbol, Engine::TagValue const& entry ) = 0;
    virtual void onSnapshot( Symbol const& symbol, Engine::FIXMessage const& msg ) = 0;
    virtual void onSecurityDefinition( Symbol const& symbol, Engine::FIXMessage const& msg ) = 0;
    virtual ~MDApplicationListener();
};

void onSubscribed() - called when successfully subscribed to symbol
void onUnsubscribed() - called when successfully unsubscribed from symbol
void onSnapshot() - called when a Market Data Snapshot Full Refresh (35=W) FIX message received.
void onIncrement() - called when a Market Data Incremental Refresh (35=X) FIX Message received. According to FIX Messages specification, each incremental message can include information about several instruments. MDApplicationListener::onIncrement will be called separately for each instrument received.
void onSecurityDefinition() - called when a Security Definition (35=d) FIX Message received.
process() - called when any other FIX Message type received.

The Listener must be destroyed after MDApplication. It is recommended to turn a class-holder for MDApplication into the Listener. That will ensure a correct destruction order.

Releasing resources

Use the MDApplication::release() method to release the resources consumed by MDApplication. Calling MDApplication::unsubscribe(const std::string& symbol) is optional.

Full sample

The sample below illustrates all above mentioned instructions combined in one application.

#include <iostream>
#include <string>
#include <B2BITS_FixEngine.h>
#include <B2BITS_MDApplication.h>
class CmeClient : public Globex::MDApplicationListener {
Globex::MDApplication* application_;
CmeClient() 
    : application_( NULL )
{
    Globex::MDApplicationParams params;
    params.templatesFn_ = "templates.xml"; 
    params.configXml_ = "config.xml";      
    application_ = Engine::FixEngine::singleton()->createMDApplication( this, params );
}
void subscribe( std::string const& symbol )
{
    application_->subscribe( symbol );
}
void unsubscribe( std::string const& symbol )
{
    application_->unsubscribe( symbol );
}
CmeClient::~CmeClient()
{
    application_->release();
    application_ = NULL;
}
void onSubscribed( Globex::Symbol const& symbol ) 
{
    std::cerr << "Subscribed to " << symbol << std::endl;
}
void onUnsubscribed( Globex::Symbol const& symbol ) 
{
    std::cerr << "Unsubscribed from " << symbol << std::endl;
}
void process( Engine::FIXMessage const& msg ) 
{
        std::cerr << "Incoming message " << msg.type().toString() << std::endl;
        std::cerr << std::endl;
}
void onSecurityDefinition( Globex::Symbol const& symbol, Engine::FIXMessage const& msg )
{
    std::cerr << "SecurityDefinition for '" << symbol << "' received" << std::endl;
}
void onSnapshot( Globex::Symbol const& symbol, Engine::FIXMessage const& W_msg )
{
    std::cerr << "Snapshot for '" << symbol << "' received" << std::endl;
}
void onIncrement( Globex::Symbol const& symbol, Engine::TagValue const& entry )
{
    std::cerr << "Increment for '" << symbol << "' received" << std::endl;
}
};
int main( int argc, char* argv[] ) 
{
  try
  {
     // Initialize engine.
     Engine::FixEngine::init();
     // Create Application instance
     CmeClient application;
     // Subscribe for symbol
     application.subscribe("ESZ8");
     // Waiting
     char c;
     std::cin >> c;
     // Unsubscribe from symbol
     application.unsubscribe("ESZ8");
     // release resources
     application.release();
     Engine::FixEngine::destroy();
  }
catch( const Utils::Exception& ex ) 
  {
      cout << " ERROR: " << ex.what() << endl;
      return -1;
  }
return 0;
}