TCPDirect Buy Side Sample

This sample connects to the pre-defined host and port (acts as a FIX Initiator). When the session is established, the SingleOrder - New FIX message is sent to the counterparty. This is done using Solarflare TCPDirect© technology.

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Source code:

• TcpDirectListener.h
• TCPDirectBuySide.cpp

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TcpDirectListener.h:

#include <OnixS/FIXEngine/FIX/ISessionListener.h>

#include "../Common/Settings.h"
#include "../Common/Helpers.h"

using namespace Settings;

class TcpDirectListener : public OnixS::FIX::ISessionListener
{
public:
    TcpDirectListener() ONIXS_FIXENGINE_NOTHROW : started_(false), finished_(false) {}
    ~TcpDirectListener() ONIXS_FIXENGINE_OVERRIDE ONIXS_FIXENGINE_DEFAULT;

    bool started() const ONIXS_FIXENGINE_NOTHROW
    {
        return started_;
    }

    bool finished() const ONIXS_FIXENGINE_NOTHROW
    {
        return finished_;
    }

    /// Is called when the application-level message is received from the counterparty.
    void onInboundApplicationMsg(OnixS::FIX::Message & msg, OnixS::FIX::Session * sn) ONIXS_FIXENGINE_FINAL
    {
        std::clog << "\nIncoming application-level message:\n" << msg << std::endl;

        try
        {
            if(msg.type() == OnixS::FIX::FIX44::Values::MsgType::NewOrderSingle)
            { // New Order - Single
                const OnixS::FIX::Message & order = msg;
                OnixS::FIX::Message execReport(OnixS::FIX::FIX44::Values::MsgType::ExecutionReport, FixProtocolVersion);

                execReport.set(OnixS::FIX::FIX44::Tags::OrderID, order.get(OnixS::FIX::FIX44::Tags::ClOrdID).toString())
                    .set(OnixS::FIX::FIX44::Tags::ExecType, "0")
                    .set(OnixS::FIX::FIX44::Tags::ExecTransType, "0")  // New
                    .set(OnixS::FIX::FIX44::Tags::OrdStatus,  "0")  // New
                    .set(OnixS::FIX::FIX44::Tags::Symbol, order.get(OnixS::FIX::FIX44::Tags::Symbol).toString())
                    .set(OnixS::FIX::FIX44::Tags::Side, order.get(OnixS::FIX::FIX44::Tags::Side).toString())
                    .set(OnixS::FIX::FIX44::Tags::OrderQty, order.get(OnixS::FIX::FIX44::Tags::OrderQty).toString())
                    .set(OnixS::FIX::FIX44::Tags::CumQty, order.get(OnixS::FIX::FIX44::Tags::OrderQty).toString())
                    .set(OnixS::FIX::FIX44::Tags::AvgPx, 100.0)
                    .set(OnixS::FIX::FIX44::Tags::LastPx, 0)
                    .set(OnixS::FIX::FIX44::Tags::LeavesQty, order.get(OnixS::FIX::FIX44::Tags::OrderQty).toString());

                sn->send(&execReport);
                std::clog << "\nSent to the counterparty:\n" << execReport << std::endl;
            }
        }
        catch(const std::exception & ex)
        {
            std::clog << "Exception during the processing of incoming message: " << ex.what() << std::endl;
        }
    }

    /// Is called when the session-level message is received from the counterparty.
    void onInboundSessionMsg(OnixS::FIX::Message & msg, OnixS::FIX::Session *) ONIXS_FIXENGINE_FINAL
    {
        std::clog << "\nIncoming session-level message:\n" << msg << std::endl;
    }

    void onStateChange(OnixS::FIX::SessionState::Enum newState, OnixS::FIX::SessionState::Enum prevState, OnixS::FIX::Session *) ONIXS_FIXENGINE_FINAL
    {
        std::clog
            << "\nSession's state is changed, prevState="
            << OnixS::FIX::SessionState::toString(prevState)
            << ", newState="
            << OnixS::FIX::SessionState::toString(newState)
            << std::endl;

        if(newState == OnixS::FIX::SessionState::Active)
            started_ = true;
        else if(newState == OnixS::FIX::SessionState::Disconnected)
            finished_ = true;
    }

    void onError(OnixS::FIX::ErrorReason::Enum, const std::string & description, OnixS::FIX::Session *) ONIXS_FIXENGINE_FINAL
    {
        std::cerr << "\nSession-level error:" << description << std::endl;
        finished_ = true;
    }

    void onWarning(OnixS::FIX::WarningReason::Enum, const std::string & description, OnixS::FIX::Session *) ONIXS_FIXENGINE_FINAL
    {
        std::cerr << "\nSession-level warning:" << description << std::endl;
    }

private:
    bool started_;
    bool finished_;
};

TCPDirectBuySide.cpp:

#include <OnixS/FIXEngine.h>

#include "../../Common/TcpDirectListener.h"

using namespace Settings;
using namespace OnixS::FIX;
using namespace OnixS::FIX::FIX44;

int main()
{
    std::clog << "TCPDirect BuySide sample." << std::endl << std::endl;

    const std::string counterpartyHost = "";
    const std::string networkInterfaceName = "";

    if(counterpartyHost.empty() || networkInterfaceName.empty())
    {
        std::cerr << "Please perform the setup." << std::endl;
        return 1;
    }

    try
    {
        manageLinuxSignals();

        EngineSettings settings;
        settings.licenseStore(LicenseStore);
        Engine::init(settings);

        TCPDirect::Attributes attr;
        attr.networkInterface(networkInterfaceName);

        TCPDirect::Stack stack(attr);

        TcpDirectListener listener;
        Session session(&stack, SenderCompId, TargetCompId, FixProtocolVersion, &listener);

        const bool setResetSeqNumFlagOnLogon = true;
        const int counterpartyPort = ListenPort;
        const int heartBtInt = 30;

        session.logonAsInitiatorAsync(counterpartyHost, counterpartyPort, heartBtInt, ONIXS_FIXENGINE_NULLPTR, setResetSeqNumFlagOnLogon);

        std::clog << "Press any key to send the order..." << std::endl;

        // The TCPDirect middleware is NOT thread-safe.
        // Therefore, the event dispatching and message sending should be performed from the same thread.
        while(!listener.finished() && !keyPressed())
            stack.dispatchEvents();

        Message order(Values::MsgType::NewOrderSingle, FixProtocolVersion);
        setOrderFields(&order);

        session.send(&order);

        std::clog << "The order " << std::endl << order << std::endl << " was sent" << std::endl;

        std::clog << "Press any key to disconnect the session and terminate the application." << std::endl;

        // The TCPDirect middleware is NOT thread-safe.
        // Therefore, the event dispatching and message sending should be performed from the same thread.
        while(!listener.finished() && !keyPressed())
            stack.dispatchEvents();

        session.logoutAsync("The session is disconnected by TCPDirect");

        while(!listener.finished())
            stack.dispatchEvents();

        session.shutdown();
        Engine::shutdown();

        while(!stack.isQuiescent())
            stack.dispatchEvents();
    }
    catch(const std::exception & ex)
    {
        processSampleException(ex.what());
        return 1;
    }

    return 0;
}