Getting Started

Prerequisites

The OnixS CME iLink 2 Audit Trail Generator library depends on the OnixS C++ FIX Engine library. To start using the OnixS CME iLink 2 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 iLink 2 Audit Trail Generator install directory.

All classes of the OnixS CME iLink 2 Audit Trail Generator are encapsulated into the OnixS::CME::Trading namespace.

How to use generator?

The typical way of using the OnixS CME iLink 2 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 iLink 2 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();