JarCastingTHIS IS THE IG US CUSTOMIZATION OF QUICKFIXJ
If you are looking for the quickfixj project look in the quickfj github project
This is the canonical customization of quickfixj in compliance with IG US Rules of engagement (ROE in ig-orchestrations). This project is temporary until quickfixj supports fixLatest out of the box.
Contact IG for the right version and credentials to use.
This product includes software developed by quickfixengine.org (http://www.quickfixengine.org/).
The names "QuickFIX" and "quickfixengine.org" are not used to endorse or promote this product.
Original README
QuickFIX/J
This is the official QuickFIX/J project repository.
intro
QuickFIX/J is a full featured messaging engine for the FIX protocol (FIX versions 4.0 - 5.0SP2/FIXT1.1). It is a 100% Java open source implementation of the popular C++ QuickFIX engine.
The Financial Information eXchange (FIX) protocol is a messaging standard developed specifically for the real-time electronic exchange of securities transactions. FIX is a public-domain specification owned and maintained by FIX Protocol, Ltd (FPL).
For more information see the project website at http://www.quickfixj.org.
release notes
Check out the wiki: https://github.com/quickfix-j/quickfixj/wiki
questions
For asking questions please either use the mailing list https://lists.sourceforge.net/lists/listinfo/quickfixj-users or ask on Stack Overflow https://stackoverflow.com/questions/ask?tags=quickfixj .
issues
Please report issues here: https://github.com/quickfix-j/quickfixj/issues
security
QuickFIX/J welcomes and appreciates responsible disclosure. Contributors are given appropriate credit in release notes and Git logs.
For security issues in QuickFIX/J itself contact the project maintainer: christoph.john-at-macd.com
For security issues in libraries used by QuickFIX/J contact the relevant project team (e.g. for Apache MINA: https://www.apache.org/security/ ). If you feel they are particularly exploitable via QuickFIX/J also feel free to follow up with the project maintainer as above so that we upgrade to the new version in a timely fashion.
Once a security issue is fixed in QuickFIX/J it will be communicated via the user mailing list and other appropriate channels.
contributions
Pull requests are always welcome! Best is if you added a unit test to show that a certain bug has been fixed or a new feature works as expected.
build instructions
Fastest: clone the repo and issue the following command.
$ mvn clean package -Dmaven.javadoc.skip=true -DskipTests -PskipBundlePlugin
Slower: if you only want to skip the acceptance test suite:
$ mvn clean package -Dmaven.javadoc.skip=true -DskipAT=true -PskipBundlePlugin
Slow: if you want to run all tests:
$ mvn clean package -Dmaven.javadoc.skip=true -PskipBundlePlugin
NB: If you want to use the resulting JARs in an OSGi environment you'll have to omit the -PskipBundlePlugin option.
configuration options
basics
Creating a QuickFIX/J application
Implement the quickfix.Application interface.
By implementing these interface methods in your derived class, you are requesting to be notified of events that occur on the FIX engine. The function that you should be most aware of is fromApp.
Here are explanations of what these functions provide for you.
onCreate is called when QFJ creates a new session. A session comes into and remains in existence for the life of the application. Sessions exist whether or not a counter party is connected to it. As soon as a session is created, you can begin sending messages to it. If no one is logged on, the messages will be sent at the time a connection is established with the counterparty.
onLogon notifies you when a valid logon has been established with a counter party. This is called when a connection has been established and the FIX logon process has completed with both parties exchanging valid logon messages.
onLogout notifies you when an FIX session is no longer online. This could happen during a normal logout exchange or because of a forced termination or a loss of network connection.
toAdmin provides you with a peek at the administrative messages that are being sent from your FIX engine to the counter party. This is normally not useful for an application however it is provided for any logging you may wish to do. Notice that the quickfix.Message is mutable. This allows you to add fields before an adminstrative message before it is sent out.
toApp is a callback for application messages that are being sent to a counterparty. If you throw a DoNotSend exception in this method, the application will not send the message. This is mostly useful if the application has been asked to resend a message such as an order that is no longer relevant for the current market. Messages that are being resent are marked with the PossDupFlag in the header set to true; If a DoNotSend exception is thrown and the flag is set to true, a sequence reset will be sent in place of the message. If it is set to false, the message will simply not be sent. Notice that the quickfix.Message is mutable. This allows you to add fields to an application message before it is sent out.
fromAdmin notifies you when an administrative message is sent from a counterparty to your FIX engine. This can be useful for doing extra validation on Logon messages such as for checking passwords. Throwing a RejectLogon exception will disconnect the counterparty.
fromApp is one of the core entry points for your FIX application. Every application level request will come through here. If, for example, your application is a sell-side OMS, this is where you will get your new order requests. If you were a buy side, you would get your execution reports here. If a FieldNotFound exception is thrown, the counterparty will receive a reject indicating a conditionally required field is missing. The Message class will throw this exception when trying to retrieve a missing field, so you will rarely need the throw this explicitly. You can also throw an UnsupportedMessageType exception. This will result in the counterparty getting a reject informing them your application cannot process those types of messages. An IncorrectTagValue can also be thrown if a field contains a value that is out of range or you do not support.
The sample code below shows how you might start up a FIX acceptor which listens on a socket. If you wanted an initiator, you would simply replace the acceptor in this code fragment with a SocketInitiator. ThreadedSocketInitiator and ThreadedSocketAcceptor classes are also available. These will supply a thread to each session that is created. If you use these you must make sure your application is thread safe.
import quickfix.*;
import java.io.FileInputStream;
public class MyClass {
public static void main(String args[]) throws Exception {
if (args.length != 1) return;
String fileName = args[0];
// FooApplication is your class that implements the Application interface
Application application = new FooApplication();
SessionSettings settings = new SessionSettings(new FileInputStream(fileName));
MessageStoreFactory storeFactory = new FileStoreFactory(settings);
LogFactory logFactory = new FileLogFactory(settings);
MessageFactory messageFactory = new DefaultMessageFactory();
Acceptor acceptor = new SocketAcceptor
(application, storeFactory, settings, logFactory, messageFactory);
acceptor.start();
// while(condition == true) { do something; }
acceptor.stop();
}
}
Receiving messages
Most of the messages you will be interested in looking at will be arriving in your overloaded fromApp method of your application. You can get fields out of messages with different degrees of type safety. The type in question here is the FIX message type.
When the application passes you a Message class, the Java type checker has no idea what specific FIX message it is, you must determine that dynamically. There is, however, a way we can make Java aware of this type information.
Keep in mind that all messages have a header and a trailer. If you want to see fields in them, you must first call getHeader() or getTrailer() to get access to them. Otherwise you access them just like in the message body.
QuickFIX/J has message classes that correlate to all the messages defined in the spec. They are, just like the field classes, generated directly off of the FIX specifications. To take advantage of this, you must break the messages out with the supplied MessageCracker.
import quickfix.*;
import quickfix.field.*;
public void fromApp(Message message, SessionID sessionID)
throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
crack(message, sessionID);
}
public void onMessage(quickfix.fix42.NewOrderSingle message, SessionID sessionID)
throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
ClOrdID clOrdID = new ClOrdID();
message.get(clOrdID);
ClearingAccount clearingAccount = new ClearingAccount();
message.get(clearingAccount);
}
public void onMessage(quickfix.fix42.OrderCancelRequest message, SessionID sessionID)
throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
ClOrdID clOrdID = new ClOrdID();
message.get(clOrdID);
// compile time error!! field not defined for OrderCancelRequest
ClearingAccount clearingAccount = new ClearingAccount();
message.get(clearingAccount);
}
In order to use this you must use the MessageCracker as a mixin to your application. This will provide you with the crack method and allow you to overload specific message functions.
Any function you do not overload will by default throw an UnsupportedMessageType exception
Define your application like this:
import quickfix.Application;
import quickfix.MessageCracker;
public class MyApplication extends MessageCracker implements quickfix.Application {
public void fromApp(Message message, SessionID sessionID)
throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
crack(message, sessionID);
}
// Using annotation
@Handler
public void myEmailHandler(quickfix.fix50.Email email, SessionID sessionID) {
// handler implementation
}
// By convention (notice different version of FIX. It's an error to have two handlers for the same message)
// Convention is "onMessage" method with message object as first argument and SessionID as second argument
public void onMessage(quickfix.fix44.Email email, SessionID sessionID) {
// handler implementation
}
}
If you'd rather use composition rather than inheritance of the MessageCracker you can construct a message cracker with a delegate object. The delegate message handler methods will be automatically discovered.
Message crackers for each FIX version are still generated for backward compatibility but it's more efficient to define the specific handlers you need.
The generated classes define handlers for all messages defined by that version of FIX. This requires the JVM to load those classes when the cracker is loaded. Most applications only need to handle a small subset of the messages defined by a FIX version so loading all the messages classes is excessive overhead in those cases.
Functional interfaces for receiving messages
If you prefer using lambda expressions in handling received messages, then ApplicationFunctionalAdapter or ApplicationExtendedFunctionalAdapter can be used to register reactions to events the application is interested in.
They also allow registering the interests in a given message type in a type-safe manner.
import quickfix.ApplicationFunctionalAdapter;
import quickfix.SessionID;
public class EmailForwarder {
public void init(ApplicationFunctionalAdapter adapter) {
adapter.addOnLogonListener(this::captureUsername);
adapter.addFromAppListener(quickfix.fix44.Email.class, (e , s) -> forward(e));
}
private void forward(quickfix.fix44.Email email) {
// implementation
}
private void captureUsername(SessionID sessionID) {
// implementation
}
}
ApplicationFunctionalAdapter and ApplicationExtendedFunctionalAdapter support multiple registration to the same event, and the registered callbacks are invoked in the FIFO manner.
However FIFO cannot be guaranteed between registration with specific message type (e.g. quickfix.fix44.Email) and that without specific message type. For example, there is no invocation order guarantee between the following two callbacks:
adapter.addFromAppListener((e , s) -> handleGeneral(e));
adapter.addFromAppListener(quickfix.fix44.Email.class, (e , s) -> handleSpecific(e));
Sending messages
Messages can be sent to a counter party with one of the static Session.sendToTarget methods. This method has several signatures. They are:
package quickfix;
public static boolean sendToTarget(Message message)
throws SessionNotFound
public static boolean sendToTarget(Message message, SessionID sessionID)
throws SessionNotFound
public static boolean sendToTarget
(Message message, String senderCompID, String targetCompID)
throws SessionNotFound
The highly recommended method is to use the type safe message classes. This should typically be the only way you should ever have to create messages.
Here the constructor takes in all the required fields and adds the correct MsgType and BeginString for you. What's more, by using the set method instead of setField, the compiler will not let you add a field that is not a part of a OrderCancelRequest based on the FIX4.1 specs. Keep in mind that you can still use setField if you want to force any field you want into the message.
import quickfix.*;
void sendOrderCancelRequest() throws SessionNotFound {
quickfix.fix41.OrderCancelRequest message = new quickfix.fix41.OrderCancelRequest(
new OrigClOrdID("123"),
new ClOrdID("321"),
new Symbol("LNUX"),
new Side(Side.BUY));
message.set(new Text("Cancel My Order!"));
Session.sendToTarget(message, "TW", "TARGET");
}
