Getting Started

Prerequisites

The OnixS CME Audit Trail Generator library depends on the OnixS C++ FIX Engine library. To start using the OnixS CME Audit Trail Generator library, it is required to download the OnixS C++ FIX Engine and extract headers and libraries to the corresponding include and lib directories of the OnixS CME Audit Trail Generator install directory.

All classes of the OnixS CME Audit Trail Generator are encapsulated into the OnixS::CME::Trading namespace.

How to use generator?

The typical way of using the OnixS CME Audit Trail Generator is:

• Create an instance of the OnixS::FIX::EngineSettings class to adjust FIX Engine settings.
• Set a path to a FIX Dictionary file using OnixS::FIX::EngineSettings::dictionaryFile. Our standard name for CME Trading dictionary file is CmeTradingFixDialect.xml.
• Initialize FIX Engine using OnixS::FIX::Engine::init.
• Create an instance of the OnixS::FIX::Timestamp class.
• Set CME trade day start time in UTC.
• Set output filename extension and field delimiter (if needed).
• Create an instance of the OnixS::CME::Trading::AuditTrailGenerator class.
• Call OnixS::CME::Trading::AuditTrailGenerator::generate to generate a report.

Example

The following C++ code snippet illustrates basic usage of the OnixS CME Audit Trail Generator.

OnixS::FIX::EngineSettings settings;

settings.listenPort(-1);
settings.dictionaryFile("CmeTradingFixDialect.xml");
settings.licenseStore("../../license");

OnixS::FIX::Engine::init(settings);

// Default time is 4:45 CST - 9:45 UTC
unsigned int hour = 9;
unsigned int minute = 45;

OnixS::FIX::Timestamp cmeTradeDayStartTimeUtc(1U, Month::January, 1U, hour, minute, 0);

OnixS::CME::Trading::AuditTrailGenerator generator("Sender-CME-FIX_4_2_2016111808291264111111.summary", cmeTradeDayStartTimeUtc);

generator.generate();