Typed FIX Messages

Message class represents a generic model of any FIX message, in order to manipulate such a message, you need to check the message type and know what fields exist in this message, all of this is not safe and creates some development complexity, so to simplify the FIX message handling and make this more safe you can use strongly typed message classes instead of the generic Message class. Such typed message classes can be generated by the generator tool which is included in the FIX Engine distribution package.

Typed messages generator

There are two modes in the typed messages generator:

• Generation from a standard protocol version:

<version> <output_file_path> [options]

• Generation from an XML dictionary file:

<filename> <output_file_path> [options]

Note

The typed messages generator supports QuickFIX dictionaries. Therefore, one can use the QuickFIX XML dictionary files directly in the typed messages generator.

Command line arguments description:

• <Input> The input for the generator, the dialect file or the FIX Protocol version <Fix40|Fix41|Fix42|Fix43|Fix44|Fix50|Fix50sp1|Fix50sp2>.
• <Output> The file where typed message classes will be saved.

Additional options:

• --headerTrailer The header and trailer fields generation is required.
• -n, --namespace <namespace name> The root namespace.
• --timestampFormat <NotSet|YYYYMMDD|YYYYMMDDHHMMSS|YYYYMMDDHHMMSSMsec|YYYYMMDDHHMMSSNsec|YYYYMMDDHHMMSSPsec|YYYYMMDDHHMMSSUsec> Timestamp format.

Example:

dotnet OnixS.Fix.TypedMessagesGenerator.dll Fix44 TypedMessages.cs --headerTrailer false

Note

To generate typed messages from an XML dictionary file, please make sure that each message node has the "name" attribute, please see the current Dictionary XML schema.

Sending and receiving typed messages

You can send typed messages in a similar way to the Message class. To receive typed messages please use the TypedMessageListener class, which is generated along with typed messages classes. Also, the example shows how to create and process repeating groups of typed messages.

const string senderCompID = "Acceptor";
const string targetCompID = "Initiator";
const ProtocolVersion version = ProtocolVersion.Fix42;
const string host = "localhost";
const int port = 4500;

Engine engine = Engine.Init(port);
using (Session acceptor = new Session(senderCompID, targetCompID, version))
{
    Fix42.TypedMessageListener typedMessageListener = new Fix42.TypedMessageListener(acceptor);
    typedMessageListener.OrderSingleReceived += new Action<OrderSingle>((order) =>
    {
        Console.WriteLine("Order Single message received:  ClOrdID=" + order.ClOrdID + "; Msg(" + ((Message)order) + ")\n");
        Console.WriteLine("NoAllocs group size: " + order.NoAllocs.Count);

        foreach (Fix42.OrderSingleNoAllocsInstance instance in order.NoAllocs)
        {
            Console.WriteLine("AllocAccount=" + instance.AllocAccount + "; AllocShares=" + instance.AllocShares);
        }

        Console.WriteLine("\n");
    });

    acceptor.LogonAsAcceptor();
    using (Session initiator = new Session(targetCompID, senderCompID, version))
    {
        initiator.LogonAsInitiator(host, port);

        OrderSingle order = new OrderSingle();

        order.ClOrdID = "Unique identifier for Order as assigned by the buy-side";
        order.HandlInst = Fix42.HandlInst.AutomatedExecutionNoIntervention;
        order.Symbol = "Ticker symbol";
        order.Side = Fix42.Side.Buy;
        order.TransactTime = HighResolutionTimestamp.Now;
        order.OrdType = Fix42.OrdType.Market;
        order.OrderQty = 10000;
        // NoAllocs repeating group addition.
        Fix42.OrderSingleNoAllocsInstance orderSingleNoAllocsInstance1 = order.NoAllocs.CreateNew();
        orderSingleNoAllocsInstance1.AllocAccount = "AllocAccount1";
        orderSingleNoAllocsInstance1.AllocShares = 10;
        Fix42.OrderSingleNoAllocsInstance orderSingleNoAllocsInstance2 = order.NoAllocs.CreateNew();
        orderSingleNoAllocsInstance2.AllocAccount = "AllocAccount2";
        orderSingleNoAllocsInstance2.AllocShares = 20;

        ((Message)order).Validate();

        initiator.Send(order);

        // Continues the message exchange..
        // Done with messaging.
        initiator.Logout();
    }
    acceptor.Logout();
}
Engine.Shutdown();

See Also

• The TypedMessages sample from the FIX Engine distribution package