Exchanging Messages

Sending Messages

To send a message to a counterparty, use the OnixS::CME::iLink3::Session::send method. The Handler sets all session-level fields automatically (e.g., SeqNum, SendingTimeEpoch).

Note

The session should be fully established before sending application-level messages.

Receiving Messages

To receive messages, override corresponding methods of the OnixS::CME::iLink3::SessionListener class and pass the instance of the descendant class to the OnixS::CME::iLink3::Session's constructor.

Example

using namespace OnixS::CME::iLink3;
using namespace OnixS::CME::iLink3::Messaging;

class MyListener : public SessionListener
{
public:
    void onExecutionReportNew(const ExecutionReportNew522& msg, Session* /*sn*/) override
    {
        std::clog << msg << std::endl;
    }
};

const int MarketSegmentId = 54;
const std::string CounterpartyHost = "Localhost";
const int CounterpartyPort = 64124;

SessionSettings settings;

settings.licenseStore("../../license")
    .sessionId("SessionId")
    .secretKey("secretKey")
    .accessKey("accessKey")
    .firmId("firmId");

MyListener listener;

Session session(settings, MarketSegmentId, &listener);

session.connect(CounterpartyHost, CounterpartyPort);

typedef MessageHolder<NewOrderSingle514> NewOrderSingle;
NewOrderSingle order;

order->setSide(SideReq::Buy)
    .setSenderId("SomeSenderId")
    .setClOrdId("SomeOrderID")
    .setTimeInForce(TimeInForce::Day)
    .setOrderQty(1000)
    .setPrice(PRICE9(10));

session.send(order);

// ...

session.disconnect();