public void Setup()
{
Message = new FIXMessage();
Heartbeat =
System.Text.Encoding.ASCII.GetBytes(
("8=FIX.4.2|9=72|35=0|34=000008059|52=20170531-08:18:01.768|49=SENDER..|56=RECEIVER....." +
"|10=202|")
.Replace("|", "\u0001"));
ExecutionReport =
System.Text.Encoding.ASCII.GetBytes(
("8=FIX.4.2|9=352|35=8|34=000008059|52=20170531-08:18:01.768|49=SENDER..|56=RECEIVER.....|20=0|39=2|150=2" +
"|17=U201:053117:00000079:B|40=2|55=EUR/CAD|54=1|38=000900000.00|151=000000000.00|14=000900000.00|32=000100000.00|31=00001.503850" +
"|6=00001.503940|64=20170602|60=20170531-08:18:01.767|75=20170531|9200=S|9300=0647|9500=00000.000000|37=0804188884|15=EUR|44=00001.504200" +
"|10=197|")
.Replace("|", "\u0001"));
MarketDataIncrementalRefresh =
System.Text.Encoding.ASCII.GetBytes(
("8=FIX.4.2|9=963|35=X|34=53677|52=20170525-00:55:16.153|49=SENDER..|56=RECEIVER.....|262=c6424b19-af74-4c17-8266-9c52ca583ad2" +
"|268=8" +
"|279=2|55=GBP/JPY|269=0|278=1211918436|270=144.808000|271=1000000.000000|110=0.000000|15=GBP|282=290" +
"|279=2|55=GBP/JPY|269=0|278=1211918437|270=144.802000|271=2000000.000000|110=0.000000|15=GBP|282=290" +
"|279=0|55=GBP/JPY|269=0|278=1211918501|270=144.809000|271=1000000.000000|110=0.000000|15=GBP|282=290|735=1|695=5" +
"|279=0|55=GBP/JPY|269=0|278=1211918502|270=144.803000|271=2000000.000000|110=0.000000|15=GBP|282=290|735=1|695=5" +
"|279=2|55=GBP/JPY|269=1|278=1211918438|270=144.826000|271=1000000.000000|110=0.000000|15=GBP|282=290" +
"|279=2|55=GBP/JPY|269=1|278=1211918439|270=144.833000|271=2000000.000000|110=0.000000|15=GBP|282=290" +
"|279=0|55=GBP/JPY|269=1|278=1211918503|270=144.828000|271=1000000.000000|110=0.000000|15=GBP|282=290|735=1|695=5" +
"|279=0|55=GBP/JPY|269=1|278=1211918504|270=144.834000|271=2000000.000000|110=0.000000|15=GBP|282=290|735=1|695=5" +
"|10=070|")
.Replace("|", "\u0001"));
}
public void GetFIXTagFromMessage()
{
StringBuilder sb = new StringBuilder();
FileStream fileStream = new FileStream("./Application/FIXClientSpec/TestData/simplefix.txt", FileMode.Create);
FIXMessage message = new FIXMessage();
message.BeginString = "FIX 4.2";
message.AvgPx = 12.21F;
Type type = message.GetType();
foreach (var pi in type.GetProperties())
{
var value = pi.GetValue(message);
var attr = pi.GetCustomAttribute <FIXTagAttribute>();
if (attr != null)
{
sb.AppendFormat("{0:d}={1}\u0001", attr.Tag, value);
var rawData = Encoding.UTF8.GetBytes(string.Format("{0:d}={1}\u0001", attr.Tag, value));
Console.WriteLine(attr.Tag);
fileStream.Write(rawData, 0, rawData.Length);
}
}
Console.WriteLine(sb.ToString());
fileStream.Flush();
}
public ExecutionReport this[int index]
{
get
{
FIXMessage message = this.messages[index];
return(new ExecutionReport(message));
}
}
public void writes_the_whole_message_to_the_given_buffer_starting_at_the_correct_offset()
{
var message = new FIXMessage();
var logon = "8=FIX.4.2|9=70|35=A|34=1|52=20170607-12:17:52.355|49=DAEV|56=TARGET|98=0|108=5|141=Y|10=231|".Replace("|", "\u0001");
var bytes = logon.AsBytes();
var target = new byte[100];
message
.Parse(bytes, 0, bytes.Length)
.WriteTo(target, 3);
var result = System.Text.Encoding.ASCII.GetString(target);
result.Should().Be("\0\0\0" + logon + "\0\0\0\0\0");
}
public void Setup()
{
Message = new FIXMessage();
Heartbeat =
System.Text.Encoding.ASCII.GetBytes(
("8=FIX.4.2|9=72|35=0|34=000008059|52=20170531-08:18:01.768|49=SENDER..|56=RECEIVER....." +
"|10=202|")
.Replace("|", "\u0001"));
ExecutionReport =
System.Text.Encoding.ASCII.GetBytes(
("8=FIX.4.2|9=352|35=8|34=000008059|52=20170531-08:18:01.768|49=SENDER..|56=RECEIVER.....|20=0|39=2|150=2" +
"|17=U201:053117:00000079:B|40=2|55=EUR/CAD|54=1|38=000900000.00|151=000000000.00|14=000900000.00|32=000100000.00|31=00001.503850" +
"|6=00001.503940|64=20170602|60=20170531-08:18:01.767|75=20170531|9200=S|9300=0647|9500=00000.000000|37=0804188884|15=EUR|44=00001.504200" +
"|10=197|")
.Replace("|", "\u0001"));
MarketDataIncrementalRefresh =
System.Text.Encoding.ASCII.GetBytes(
("8=FIX.4.2|9=963|35=X|34=53677|52=20170525-00:55:16.153|49=SENDER..|56=RECEIVER.....|262=c6424b19-af74-4c17-8266-9c52ca583ad2" +
"|268=8" +
"|279=2|55=GBP/JPY|269=0|278=1211918436|270=144.808000|271=1000000.000000|110=0.000000|15=GBP|282=290" +
"|279=2|55=GBP/JPY|269=0|278=1211918437|270=144.802000|271=2000000.000000|110=0.000000|15=GBP|282=290" +
"|279=0|55=GBP/JPY|269=0|278=1211918501|270=144.809000|271=1000000.000000|110=0.000000|15=GBP|282=290|735=1|695=5" +
"|279=0|55=GBP/JPY|269=0|278=1211918502|270=144.803000|271=2000000.000000|110=0.000000|15=GBP|282=290|735=1|695=5" +
"|279=2|55=GBP/JPY|269=1|278=1211918438|270=144.826000|271=1000000.000000|110=0.000000|15=GBP|282=290" +
"|279=2|55=GBP/JPY|269=1|278=1211918439|270=144.833000|271=2000000.000000|110=0.000000|15=GBP|282=290" +
"|279=0|55=GBP/JPY|269=1|278=1211918503|270=144.828000|271=1000000.000000|110=0.000000|15=GBP|282=290|735=1|695=5" +
"|279=0|55=GBP/JPY|269=1|278=1211918504|270=144.834000|271=2000000.000000|110=0.000000|15=GBP|282=290|735=1|695=5" +
"|10=070|")
.Replace("|", "\u0001"));
Configuration = new Configuration
{
Version = "FIX.4.2",
Sender = "RECEIVER.....",
Target = "SENDER..",
HeartbeatInterval = 5000,
OutboundSeqNum = 1,
InboundSeqNum = 1
};
Transport = new Canned();
Session = new Session(Configuration, new RealTimeClock(), Transport, null, 65536, 4096, 1024);
}
protected void ConvertMessage(QuickFix.Message srcMessage, FIXMessage dstMessage)
{
foreach (Field field1 in srcMessage)
{
int field2 = field1.getField();
switch (EFIXFieldTypes.GetFIXType(field2))
{
case FIXType.Bool:
dstMessage.SetBoolValue(field2, srcMessage.getBoolean(field2));
continue;
case FIXType.Int:
dstMessage.SetIntValue(field2, srcMessage.getInt(field2));
continue;
case FIXType.Double:
dstMessage.SetDoubleValue(field2, srcMessage.getDouble(field2));
continue;
case FIXType.Char:
dstMessage.SetCharValue(field2, srcMessage.getChar(field2));
continue;
case FIXType.String:
dstMessage.SetStringValue(field2, srcMessage.getString(field2));
continue;
case FIXType.DateTime:
DateTime? nullable = new DateTime?();
if (!nullable.HasValue)
{
try
{
nullable = new DateTime?(srcMessage.getUtcTimeStamp(field2));
}
catch
{
}
}
if (!nullable.HasValue)
{
try
{
nullable = new DateTime?(srcMessage.getUtcDateOnly(field2));
}
catch
{
}
}
if (!nullable.HasValue)
{
try
{
nullable = new DateTime?(srcMessage.getUtcTimeOnly(field2));
}
catch
{
}
}
if (nullable.HasValue)
{
dstMessage.SetDateTimeValue(field2, nullable.Value);
continue;
}
else
continue;
default:
continue;
}
}
}
/// <summary>
/// Apply ticker defaults
/// </summary>
/// <param name="sExchange"></param>
/// <param name="message"></param>
public void ApplyDefaults(string sExchange, FIXMessage message)
{
int iClientID;
if (!message.GetNumber(out iClientID, MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESAccountID) && m_nAccountID.HasValue)
message.set_AsNumber(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESAccountID, (int)m_nAccountID.Value);
TickerDefaults tickerDefaults = GetTickerDefaults(sExchange);
if (tickerDefaults != null)
{
tickerDefaults.ApplyTickerDefaults(message);
}
}
internal ExecutionReport(FIXMessage message)
{
this.message = message;
}
/// <summary>
/// Apply ticker defaults
/// </summary>
/// <param name="sExchange"></param>
/// <param name="message"></param>
public void ApplyDefaults(string sExchange, FIXMessage message,Hashtable map)
{
TickerDefaults tickerDefaults = GetTickerDefaults(sExchange);
if (tickerDefaults != null)
{
tickerDefaults.ApplyTickerDefaults(message,map);
}
}
/// <summary>
/// Apply order details
/// </summary>
/// <param name="message"></param>
/// <returns></returns>
public bool ApplyOrderDetails(FIXMessage message)
{
bool bRetVal = true;
//add details
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESTickerMnemonic,m_sESTickerMnemonic);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESTickerSymbol,m_sESTickerSymbol);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESExchange, ESExchange);
message.set_AsNumber(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESPriceFormatCode,m_lESPriceFormatCode);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagSecurityExchange, SecurityExchange);
message.set_AsNumber(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagPutOrCall, m_nOptionType);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagSecurityType, CommodityType);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagSymbol,m_sSymbol);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESStrategyCode,m_sStrategyCode);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagSecurityID,m_sSecurityID);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagIDSource,m_sIDSource);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagCFICode,m_sCFICode);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagCurrency,m_sCurrency);
message.set_AsNumber(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESDecimalPlaces,m_nESDecimalPlaces);
message.set_AsDouble(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESUnitTickValue,m_dUnitTickValue);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESCombinedCommodityCode, m_sCombinedCommodityCode);
message.set_AsString(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESClearingHouse, m_sClearingHouse);
message.set_AsDouble(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESCompositeDelta, m_dCompositeDelta);
message.set_AsDouble(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESShortOptAdjust, m_dESShortOptAdjust);
ApplyRiskArray(message);
return bRetVal;
}
//to do
/// <summary>
/// Basic defaults that are hard coded and not required
/// </summary>
/// <param name="message"></param>
private void AddConstants(FIXMessage message)
{
//cannot be arsed as eurex does not care for this fields :) - TO DO
message.set_AsString(FIXTagConstants.esFIXTagOpenClose, MESSAGEFIX3Lib.FIXOpenCloseConstants.esFIXOpen);
message.set_AsNumber(FIXTagConstants.esFIXTagStopPx, 0);
//Confusion in eat
message.set_AsString(FIXTagConstants.esFIXTagTradingSessionID, MESSAGEFIX3Lib.FIXSessionConstants.esFIXSessionNormal);
if(m_nPrimaryBOID != 0)
{
message.set_AsNumber(FIXTagConstants.esFIXTagESBOIDPrimary,m_nPrimaryBOID);
}
}
public void Setup()
{
Message = new FIXMessage();
Logon = "8=FIX.4.2|9=70|35=A|34=1|52=20170607-12:17:52.355|49=DAEV|56=TARGET|98=0|108=5|141=Y|10=231|".Replace("|", "\u0001");
}
/// <summary>
/// Apply risk array
/// </summary>
/// <param name="message"></param>
public void ApplyRiskArray(FIXMessage message)
{
ApplyRiskArray(message,m_nFIXTagESPreferredRiskArrayType);
}
protected void ConvertMessage(QuickFix.Message srcMessage, FIXMessage dstMessage)
{
foreach (Field field1 in srcMessage)
{
int field2 = field1.getField();
switch (EFIXFieldTypes.GetFIXType(field2))
{
case FIXType.Bool:
dstMessage.SetBoolValue(field2, srcMessage.getBoolean(field2));
continue;
case FIXType.Int:
dstMessage.SetIntValue(field2, srcMessage.getInt(field2));
continue;
case FIXType.Double:
dstMessage.SetDoubleValue(field2, srcMessage.getDouble(field2));
continue;
case FIXType.Char:
dstMessage.SetCharValue(field2, srcMessage.getChar(field2));
continue;
case FIXType.String:
dstMessage.SetStringValue(field2, srcMessage.getString(field2));
continue;
case FIXType.DateTime:
DateTime?nullable = new DateTime?();
if (!nullable.HasValue)
{
try
{
nullable = new DateTime?(srcMessage.getUtcTimeStamp(field2));
}
catch
{
}
}
if (!nullable.HasValue)
{
try
{
nullable = new DateTime?(srcMessage.getUtcDateOnly(field2));
}
catch
{
}
}
if (!nullable.HasValue)
{
try
{
nullable = new DateTime?(srcMessage.getUtcTimeOnly(field2));
}
catch
{
}
}
if (nullable.HasValue)
{
dstMessage.SetDateTimeValue(field2, nullable.Value);
continue;
}
else
{
continue;
}
default:
continue;
}
}
}
protected void SetUserDefinedFields(FIXMessage Message, QuickFix.Message message)
{
foreach (FIXField fixField in Message.Fields)
{
if (fixField.Tag >= 500)
{
switch (fixField.FIXType)
{
case FIXType.Bool:
message.setField(new BooleanField(fixField.Tag, ((FIXBoolField)fixField).Value));
continue;
case FIXType.Int:
message.setField(new IntField(fixField.Tag, ((FIXIntField)fixField).Value));
continue;
case FIXType.Double:
message.setField(new DoubleField(fixField.Tag, ((FIXDoubleField)fixField).Value));
continue;
case FIXType.Char:
message.setField(new CharField(fixField.Tag, ((FIXCharField)fixField).Value));
continue;
case FIXType.String:
message.setField(new StringField(fixField.Tag, ((FIXStringField)fixField).Value));
continue;
case FIXType.DateTime:
message.setField((UtcDateOnlyField)new UtcDateField(fixField.Tag, ((FIXDateTimeField)fixField).Value));
continue;
default:
continue;
}
}
}
}
/// <summary>
/// Apply risk array to fix order message
/// </summary>
/// <param name="message"></param>
/// <param name="riskArray"></param>
public void ApplyRiskArray(FIXMessage message,string[] riskArray)
{
if(riskArray.Length > 0)
{
FIXGroup group = message.AddGroup(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESNoRiskArrays);
if (group != null)
{
for (int i = 0; i < riskArray.Length; i++)
{
if (riskArray[i].Length > 0)
{
try
{
FIXGroup subgroup = group.AddGroup(null);
if (subgroup != null)
{
subgroup.set_AsString(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESRiskArrayValue, riskArray[i]);
}
}
catch (Exception e)
{
System.Diagnostics.Debug.WriteLine(e.ToString());
}
}
}
}
}
}
/// <summary>
/// Apply risk array to fix order message
/// </summary>
/// <param name="message"></param>
/// <param name="nFIXTagESPreferredRiskArrayType"></param>
public void ApplyRiskArray(FIXMessage message,int nFIXTagESPreferredRiskArrayType )
{
//MESSAGEFIX3Lib.FIXESRiskArrayTypeConstants
if (m_RiskMap.ContainsKey(nFIXTagESPreferredRiskArrayType))
{
ApplyRiskArray(message, (string[])m_RiskMap[nFIXTagESPreferredRiskArrayType]);
}
else
{
if(m_RiskMap.ContainsKey((int)MESSAGEFIX3Lib.FIXESRiskArrayTypeConstants.esFIXESRiskArrayTypeESExternalFeed))
{
ApplyRiskArray(message, (string[])m_RiskMap[(int)MESSAGEFIX3Lib.FIXESRiskArrayTypeConstants.esFIXESRiskArrayTypeESExternalFeed]);
}
else if(m_RiskMap.ContainsKey((int)MESSAGEFIX3Lib.FIXESRiskArrayTypeConstants.esFIXESRiskArrayTypeESIntraday))
{
ApplyRiskArray(message, (string[])m_RiskMap[(int)MESSAGEFIX3Lib.FIXESRiskArrayTypeConstants.esFIXESRiskArrayTypeESIntraday]);
}
else if(m_RiskMap.ContainsKey((int)MESSAGEFIX3Lib.FIXESRiskArrayTypeConstants.esFIXESRiskArrayTypeESSettlement))
{
ApplyRiskArray(message, (string[])m_RiskMap[(int)MESSAGEFIX3Lib.FIXESRiskArrayTypeConstants.esFIXESRiskArrayTypeESSettlement]);
}
}
}
/// <summary>
/// Add Custom Ticker Defaults Tag
/// </summary>
/// <param name="message"></param>
/// <param name="map"></param>
public void ApplyTickerDefaults(FIXMessage message,Hashtable map)
{
IDictionaryEnumerator it = map.GetEnumerator();
while (it.MoveNext())
{
if(this.ContainsKey(it.Key))
if (it.Value.ToString() != string.Empty)
message.set_AsString((MESSAGEFIX3Lib.FIXTagConstants)it.Key, it.Value.ToString());
}
}
/// <summary>
/// Function to process data off the tcp stream - called from the worker thread
/// </summary>
public void ReadStream()
{
try
{
MESSAGEFIX3Lib.FIXMessage msg = new FIXMessage();
char[] message = new char[1024];
while (m_bContinue)
{
int nSize = m_StreamIn.ReadBlock(message, 0, 1024);
if (nSize <= 0)
continue;
#if DEBUG
System.Diagnostics.Trace.WriteLine("In Buffer" + nSize);
#endif
m_sTCPBuffer.Append(message, 0, nSize);
#if DEBUG
System.Diagnostics.Trace.WriteLine(m_sTCPBuffer.ToString());
#endif
bool bContinue = true;
while(bContinue)
{
string sData = m_sTCPBuffer.ToString();
int nheader = sData.IndexOf("8=");
int nTail = sData.IndexOf("10=");
if (nTail <= 0)
{
bContinue = false;
continue;
}
int nEnd = sData.IndexOf("!", nTail);
int nEnd1 = sData.IndexOf("8=", nTail);
if (nEnd1 == -1)
{
bContinue = false;
}
else
{
sData = sData.Substring(nheader, nEnd1 - nheader);
#if DEBUG
System.Diagnostics.Trace.WriteLine("Buffer Current" + m_sTCPBuffer.Length);
#endif
m_sTCPBuffer.Remove(0, nEnd1);
#if DEBUG
System.Diagnostics.Trace.WriteLine("Buffer Data Remainder" + m_sTCPBuffer.Length);
#endif
//find the specific string
string sTemp = string.Empty;
//parse fix messagge
bool bSuccess = msg.Parse(sData, m_sDelimiter, false);
if (bSuccess)
{
if (DataEvent != null)
{
DataEvent(this, new FIXMessageEventArgs(msg));
}
}
else
{
//Failed to parse data
#if DEBUG
System.Diagnostics.Trace.WriteLine("Parse Error = " + sTemp);
#endif
}
//clear the object
msg.Clear();
}
}
}
}
catch (Exception e)
{
//Log - raise an event
if (DisconnectEvent != null)
DisconnectEvent(new ErrorEventArgs(e));
}
}
internal ExecutionReport(FIXMessage message)
{
this.message = message;
}
//TODO: [16/04/07] YKC - Hack as i donot care about order types etc
/// <summary>
/// Generate a fix message
/// </summary>
/// <param name="MsgType"></param>
/// <returns></returns>
public FIXMessage CreateFixMessage(MESSAGEFIX3Lib.FIXMsgConstants MsgType)
{
FIXMessage message = new FIXMessage();
if (Instrument != null)
{
message.MsgType = MsgType;
Instrument.ApplyOrderDetails(message);
AddConstants(message);
//Add order details
if (m_dPrice.HasValue)
message.set_AsDouble(FIXTagConstants.esFIXTagPrice, m_dPrice.Value);
message.set_AsNumber(FIXTagConstants.esFIXTagOrderQty, (int)m_nOrderQty);
message.set_AsString(FIXTagConstants.esFIXTagSide, m_sSide);
message.set_AsString(FIXTagConstants.esFIXTagTimeInForce, GetFIXTimeInForce());
message.set_AsString(FIXTagConstants.esFIXTagOrdType, GetFIXOrderType());
if (m_iAccountID.HasValue)
message.set_AsNumber(FIXTagConstants.esFIXTagESAccountID, (int)m_iAccountID.Value);
return message;
}
return null;
}