Throttling BuySide Sample

This sample demonstrates the throttling of outgoing messages on the initiator's side.

Source code

• Listener.h
• Listener.cpp
• ThrottlingBuySide.cpp

Listener.h

 
#include <OnixS/FIXEngine/FIX/ISessionListener.h>
#include <OnixS/FIXEngine/Threading/Semaphore.h>
#include <OnixS/FIXEngine/Threading/Guard.h>
 
class Listener : public OnixS::FIX::ISessionListener
{
public:
    Listener() : orderHandlingComplete_(0), totalOrdersHandled_(0), totalMessagesRejected_(0), failed_(false) {}

    void onInboundApplicationMsg(OnixS::FIX::Message & msg, OnixS::FIX::Session * sn) final;

    void onInboundSessionMsg(OnixS::FIX::Message & msg, OnixS::FIX::Session * sn) final;
 
    void onStateChange(OnixS::FIX::SessionState::Enum newState, OnixS::FIX::SessionState::Enum prevState, OnixS::FIX::Session * sn) final;
 
    void onError(OnixS::FIX::ErrorReason::Enum reason, const std::string & description, OnixS::FIX::Session * sn) final;
    void onWarning(OnixS::FIX::WarningReason::Enum reason, const std::string & description, OnixS::FIX::Session * sn) final;
 
    bool failed() const;
 
    OnixS::Threading::Semaphore orderHandlingComplete_;
    size_t totalOrdersHandled_;
    size_t totalMessagesRejected_;
 
private:
    void recordFailure();
 
    mutable OnixS::Threading::Mutex failureMutex_;
    bool failed_;
};
 

Listener.cpp

 
#include "Listener.h"
 
#include <OnixS/FIXEngine/FIX/Message.h>
 
#include "../../Common/Helpers.h"
 
#include <iostream>
#include <string>
 
using namespace OnixS::FIX;
using namespace OnixS::FIX::FIX44;
using namespace OnixS::FIX::FIX44::Values;
 
bool Listener::failed() const
{
    OnixS::Threading::MutexGuard guard(failureMutex_);
    return failed_;
}
 
void Listener::recordFailure()
{
    OnixS::Threading::MutexGuard guard(failureMutex_);
    failed_ = true;
}
 
void Listener::onInboundApplicationMsg(Message & msg, Session * )
{
    std::clog << "\nIncoming application-level message:\n" << msg << std::endl;
 
    if(msg.type() == MsgType::ExecutionReport)
    {
        ++totalOrdersHandled_;
        orderHandlingComplete_.release();
    }
}
 
void Listener::onInboundSessionMsg(Message & msg, Session * )
{
    std::clog << "\nIncoming session-level message:\n" << msg << std::endl;
 
    if(msg.type() == MsgType::Reject)
    {
        ++totalMessagesRejected_;
        std::clog << "Rejection " << totalMessagesRejected_ << ": message " << msg.get(Tags::RefSeqNum).toString() << " rejected." << std::endl;
        orderHandlingComplete_.release();
    }
}
 
void Listener::onStateChange(SessionState::Enum newState, SessionState::Enum prevState,
                             Session * )
{
    std::clog
            << "\nSession's state is changed, prevState="
            << SessionState::toString(prevState)
            << ", newState="
            << SessionState::toString(newState)
            << std::endl;
}
 
void Listener::onError(ErrorReason::Enum , const std::string & description, Session * )
{
    recordFailure();
    orderHandlingComplete_.release();
    std::cerr << "\nSession-level error:" << description << std::endl;
}
 
void Listener::onWarning(WarningReason::Enum , const std::string & description,
                         Session * )
{
    std::cerr << "\nSession-level warning:" << description << std::endl;
}
 

ThrottlingBuySide.cpp

#include <OnixS/FIXEngine.h>
 
#include "Listener.h"
 
#include "../../Common/Helpers.h"
#include "../../Common/Settings.h"
 
using namespace Settings;
using namespace OnixS::FIX;
using namespace OnixS::FIX::FIX44;
using namespace OnixS::FIX::FIX44::Values;
 
int main()
{
    std::clog << "ThrottlingBuySide sample." << std::endl << std::endl;
 
    try
    {
        EngineSettings settings;
        settings.licenseStore(LicenseStore);
        Engine::init(settings);
        EngineShutdownGuard engineShutdownGuard;
 
        Listener listener;
        Session session(SenderCompId, TargetCompId, FixProtocolVersion, &listener);
 
        const std::string CounterpartyHost = "localhost";
        const int CounterpartyPort = ListenPort;
        const int HeartBtInt = 5;
 
        const size_t MessagesPerSecondLimitDelta = 3;
        const size_t MessagesPerSecondLimit = 10 - MessagesPerSecondLimitDelta;
        const size_t ThrottlingIntervalMillisecond = 1000;
 
        session.throttlingLimit(MessagesPerSecondLimit, ThrottlingIntervalMillisecond);
 
        session.logonAsInitiator(CounterpartyHost, CounterpartyPort, HeartBtInt);
 
        std::clog << "Press any key to send throttled orders..." << std::endl;
 
        waitForAnyKey();
 
        Message order(MsgType::NewOrderSingle, FixProtocolVersion);
        setOrderFields(&order);
 
        const int NumOfMessages = 100;
 
        for(int msgCounter = 0; msgCounter < NumOfMessages; ++msgCounter)
        {
            session.throttle();
            session.send(&order);
            listener.orderHandlingComplete_.acquire();
 
            if(listener.failed())
                throw std::runtime_error("Throttling session failed.");
        }
 
        std::clog << "Orders handled: " << listener.totalOrdersHandled_ << ", messages rejected: " << listener.totalMessagesRejected_ << std::endl;
        std::clog << "Press any key to disconnect the session and terminate the application." << std::endl;
 
        waitForAnyKey();
 
        session.logout("The session is disconnected by ThrottlingBuySide").shutdown();
 
        if(listener.failed())
            return 1;
    }
    catch(const std::exception & ex)
    {
        processSampleException(ex.what());
        return 1;
    }
 
    return 0;
}