QuickFix/C++ Documentation
with Python and Ruby

Installation

Dependencies

Required Dependencies

Run Build Test
Windows Microsoft Visual C++
Ruby
Linux glibc
gcc
gcc-c++
glibc-devel
gnu make
sstream
Ruby
Solaris glibc
gcc or SunPRO
gcc-c++
glibc-devel
gnu make
sstream
Ruby
FreeBSD Ruby
Mac OS X Xcode Tools


Optional Dependencies

Building

Windows

Open quickfix_vs12.sln, quickfix_vs14.sln, or quickfix_vs15.sln


Batch build all projects. lib\quickfix.lib and lib\debug\quickfix.lib can be linked into your application. Header files are copied to the include directory.


Compile time options are controlled from the config_windows.h file in the src directory. The following options are supported:

#define HAVE_STLPORT 1
Compile with stlport instead of standard visual c++ STL implementation.
#define HAVE_ODBC 1
Compiles ODBC support into QuickFIX.
#define HAVE_MYSQL 1
Compiles MySQL support into QuickFIX. If you enable this option, the mysql include and library directories must be in the Visual Studio search paths.
#define HAVE_POSTGRESQL 1
Compiles PostgreSQL support into QuickFIX. If you enable this option, the postgres include and library directories must be in the Visual Studio search paths.

Linux / Solaris / FreeBSD / Mac OS X

./configure && ./make

sudo make install

You can also run configure with the --prefix=<base directory> option to install to a custom location.

./configure options:

--with-python2
Build the Python2 API
--with-python3
Build the Python3 API
--with-ruby
Build the Ruby API
--with-mysql
Compile in mysql support
--with-postgresql
Compile in postgresql support
--with-stlport=<base directory>
Compile with stlport instead of standard gcc STL implementation

When using the SUNPro compiler:

CC=<full path to SUNPro CC binary>
CFLAGS=-g -xs
CXX=<full path to SUNPro CC binary>
CXXFLAGS=-g -xs
LD=<full path to SUNPro CC binary>
LDFLAGS=-g -xs -lCstd
AR=<full path to SUNPro CC binary>
AR_FLAGS=-g -xs -xar -o

Generating Databases

MySQL

You must have MySQL installed with the deamon running.

Run the create script in src/sql/mysql. You must pass in a mysql user with permissions authorized to create a new database.

./create.sh mysql
create.bat mysql

MSSQL

You must have MySQL installed with the deamon running.

Run the create script in src/sql/mssql. You must pass in a mssql user with permissions authorized to create a new database.

create.bat sa

PostgreSQL

You must have PostgreSQL installed with the deamon running.

Run the create script in src/sql/postgresql. You must pass in a postgresql user with permissions authorized to create a new database.


./create.sh postgres
create.bat postgres

Testing

The development of QuickFIX has been driven by a suite of functional acceptance tests and unit tests.


Windows


Unit Tests

From the test directory:

runut release [port]

The port is used to test socket functionality. If you built QuickFIX with one of its supporting databases, you will need to update cfg/ut.cfg to reflect your database settings.


Acceptance Tests

From the test directory:

runat release [port]
runat_threaded release [port]

The port is used to listen for connections on a socket server.


Linux / Solaris / FreeBSD / Mac OS X


Unit Tests

From the test directory:

./runut.sh [port]

The port is used to test socket functionality. If you built QuickFIX with one of its supporting databases, you will need to update cfg/ut.cfg to reflect your database settings.


Acceptance Tests

From the test directory:

./runat.sh [port]
./runat_threaded.sh [port]

The port is used to listen for connections on a socket server.

Getting Started

Setting Up Your Project

Windows

Open project | properties in Microsoft Visual Studio.

  • C/C++ | Code Generation | Enable C++ Exceptions, should be Yes.
  • C/C++ | Code Generation | Runtime Library, should be set to Multithreaded DLL or Debug Multithreaded DLL.
  • C/C++ | General | Additional Include Directories add the root quickfix directory.
  • Linker | Input | Additional Dependencies, must contain quickfix.lib and ws2_32.lib.
  • Linker | General | Additional Library Directories, add the quickfix/lib directory.

Linux/Solaris

  • Exceptions must be enabled with -fexceptions
  • The -finline-functions optimization is recommended.
  • Quickfix library must be linked in with -lquickfix
  • Quickfix makes use of pthreads and libxml. These must be linked in with -lpthread, -lxml2 and -lz
  • On Solaris you must link with -lnsl and -lsocket
  • GNU ld is a one-pass linker. Put more generally useful libraries (libsocket) last on the command line.

Creating Your Application

Creating a FIX application is as easy as implementing the QuickFIX Application interface. The C++ interface is defined in the following code segment:



C++

namespace FIX
{
  class Application
  {
  public:
    virtual ~Application() {};
    virtual void onCreate( const SessionID& ) = 0;
    virtual void onLogon( const SessionID& ) = 0;
    virtual void onLogout( const SessionID& ) = 0;
    virtual void toAdmin( Message&, const SessionID& ) = 0;
    virtual void toApp( Message&, const SessionID& )
      throw( DoNotSend ) = 0;
    virtual void fromAdmin( const Message&, const SessionID& )
      throw( FieldNotFound, IncorrectDataFormat, IncorrectTagValue, RejectLogon ) = 0;
    virtual void fromApp( const Message&, const SessionID& )
      throw( FieldNotFound, IncorrectDataFormat, IncorrectTagValue, UnsupportedMessageType ) = 0;
  };
}

Python

class Application(_object):
        def onCreate(self, sessionID): return
        def onLogon(self, sessionID): return
        def onLogout(self, sessionID): return
        def toAdmin(self, message, sessionID): return
        def toApp(self, message, sessionID): return
        def fromAdmin(self, message, sessionID): return
        def fromApp(self, message, sessionID): return

Ruby

class Application < Quickfix::Application

        def onCreate(sessionID)
        end

        def onLogon(sessionID)
        end

        def onLogout(sessionID)
        end

        def toAdmin(sessionID, message)
        end

        def toApp(sessionID, message)
        end

        def fromAdmin(sessionID, message)
        end

        def fromApp(sessionID, message)
        end

end

These methods act as callbacks from your FIX sessions.

onCreate is called when quickfix creates a new session. A session comes into and remains in existence for the life of the application. Sessions exist whether or not a counter party is connected to it. As soon as a session is created, you can begin sending messages to it. If no one is logged on, the messages will be sent at the time a connection is established with the counterparty.

onLogon notifies you when a valid logon has been established with a counter party. This is called when a connection has been established and the FIX logon process has completed with both parties exchanging valid logon messages.

onLogout notifies you when an FIX session is no longer online. This could happen during a normal logout exchange or because of a forced termination or a loss of network connection.

toAdmin provides you with a peek at the administrative messages that are being sent from your FIX engine to the counter party. This is normally not useful for an application however it is provided for any logging you may wish to do. Notice that the FIX::Message is not const. This allows you to add fields to an adminstrative message before it is sent out.

toApp is a callback for application messages that are being sent to a counterparty. If you throw a DoNotSend exception in this function, the application will not send the message. This is mostly useful if the application has been asked to resend a message such as an order that is no longer relevant for the current market. Messages that are being resent are marked with the PossDupFlag in the header set to true; If a DoNotSend exception is thrown and the flag is set to true, a sequence reset will be sent in place of the message. If it is set to false, the message will simply not be sent. Notice that the FIX::Message is not const. This allows you to add fields to an application message before it is sent out.

fromAdmin notifies you when an administrative message is sent from a counterparty to your FIX engine. This can be usefull for doing extra validation on logon messages like validating passwords. Throwing a RejectLogon exception will disconnect the counterparty.

fromApp receives application level request. If your application is a sell-side OMS, this is where you will get your new order requests. If you were a buy side, you would get your execution reports here. If a FieldNotFound exception is thrown, the counterparty will receive a reject indicating a conditionally required field is missing. The Message class will throw this exception when trying to retrieve a missing field, so you will rarely need the throw this explicitly. You can also throw an UnsupportedMessageType exception. This will result in the counterparty getting a reject informing them your application cannot process those types of messages. An IncorrectTagValue can also be thrown if a field contains a value you do not support.


The sample code below shows how you might start up a FIX acceptor which listens on a socket. If you wanted an initiator, you would replace the acceptor in this code fragment with a SocketInitiator.

C++

#include "quickfix/FileStore.h"
#include "quickfix/FileLog.h"
#include "quickfix/SocketAcceptor.h"
#include "quickfix/Session.h"
#include "quickfix/SessionSettings.h"
#include "quickfix/Application.h"

int main( int argc, char** argv )
{
  try
  {
    if(argc < 2) return 1;
    std::string fileName = argv[1];

    FIX::SessionSettings settings(fileName);

    MyApplication application;
    FIX::FileStoreFactory storeFactory(settings);
    FIX::FileLogFactory logFactory(settings);
    FIX::SocketAcceptor acceptor
      (application, storeFactory, settings, logFactory /*optional*/);
    acceptor.start();
    // while( condition == true ) { do something; }
    acceptor.stop();
    return 0;
  }
  catch(FIX::ConfigError& e)
  {
    std::cout << e.what();
    return 1;
  }
}

Python

import quickfix

if len(sys.argv) < 2: return
fileName = sys.argv[1]

try:
        settings = quickfix.SessionSettings(fileName)
        application = quickfix.MyApplication()
        storeFactory = quickfix.FileStoreFactory(settings)
        logFactory = quickfix.FileLogFactory(settings)
        acceptor = quickfix.SocketAcceptor(application, storeFactory, settings, logFactory)
        acceptor.start()
        # while condition == true: do something
        acceptor.stop()
except quickfix.ConfigError, e:
        print e

Ruby

require 'quickfix_ruby'

return if ARGV.length < 2

fileName = ARGV[0]

begin
        settings = Quickfix::SessionSettings.new( fileName )
        application = MyApplication.new
        storeFactory = Quickfix::FileStoreFactory.new( settings )
        logFactory = Quickfix::ScreenLogFactory.new( settings )
        acceptor = Quickfix::SocketAcceptor.new( application, storeFactory, settings, logFactory )
        acceptor.start()
        # while condition == true: do something
        acceptor.stop()
rescue Quickfix::ConfigError => e
        print e
end

Configuration

A quickfix acceptor or initiator can maintain multiple FIX sessions. A FIX session is defined in QuickFIX as a unique combination of a BeginString (the FIX version number), a SenderCompID (your ID), and a TargetCompID (the ID of your counterparty). A SessionQualifier can also be use to disambiguate otherwise identical sessions.


The SessionSettings class has the ability to pull settings out of any c++ stream such as a file stream. You can also pass it a filename. If you decide to write your own components, (storage for a particular database, a new kind of connector etc...), you can also use this pass in settings.


A settings file is set up with two types of headings, a [DEFAULT] and a [SESSION] heading. [SESSION] tells QuickFIX that a new Session is being defined. [DEFAULT] is a where you can define settings that all sessions use by default. If you do not provide a setting that QuickFIX needs, it will throw a ConfigError telling you what setting is missing or improperly formatted.


Sample Settings File

# default settings for sessions
[DEFAULT]
ConnectionType=initiator
ReconnectInterval=60
SenderCompID=TW

# session definition
[SESSION]
# inherit ConnectionType, ReconnectInterval and SenderCompID from default
BeginString=FIX.4.1
TargetCompID=ARCA
StartTime=12:30:00
EndTime=23:30:00
HeartBtInt=20
SocketConnectPort=9823
SocketConnectHost=123.123.123.123
DataDictionary=somewhere/FIX41.xml

[SESSION]
BeginString=FIX.4.0
TargetCompID=ISLD
StartTime=12:00:00
EndTime=23:00:00
HeartBtInt=30
SocketConnectPort=8323
SocketConnectHost=23.23.23.23
DataDictionary=somewhere/FIX40.xml

[SESSION]
BeginString=FIX.4.2
TargetCompID=INCA
StartTime=12:30:00
EndTime=21:30:00
# overide default setting for RecconnectInterval
ReconnectInterval=30
HeartBtInt=30
SocketConnectPort=6523
SocketConnectHost=3.3.3.3
# (optional) alternate connection ports and hosts to cycle through on failover
SocketConnectPort1=8392
SocketConnectHost1=8.8.8.8
SocketConnectPort2=2932
SocketConnectHost2=12.12.12.12
DataDictionary=somewhere/FIX42.xml

QuickFIX Settings

ID Description Valid Values Default
Session
BeginString Version of FIX this session should use FIXT.1.1
FIX.4.4
FIX.4.3
FIX.4.2
FIX.4.1
FIX.4.0
SenderCompID Your ID as associated with this FIX session case-sensitive alpha-numeric string
TargetCompID Counter parties ID as associated with this FIX session case-sensitive alpha-numeric string
SessionQualifier Additional qualifier to disambiguate otherwise identical sessions case-sensitive alpha-numeric string
DefaultApplVerID Required only for FIXT 1.1 (and newer). Ignored for earlier transport versions. Specifies the default application version ID for the session. This can either be the ApplVerID enum (see the ApplVerID field) or the BeginString for the default version. FIX.5.0SP2
FIX.5.0SP1
FIX.5.0
FIX.4.4
FIX.4.3
FIX.4.2
FIX.4.1
FIX.4.0
9
8
7
6
5
4
3
2
ConnectionType Defines if session will act as an acceptor or an initiator initiator
acceptor
StartTime Time of day that this FIX session becomes activated time in the format of HH:MM:SS, time is represented in UTC
EndTime Time of day that this FIX session becomes deactivated time in the format of HH:MM:SS, time is represented in UTC
StartDay For week long sessions, the starting day of week for the session. Use in combination with StartTime. Day of week in English using any abbreviation (i.e. mo, mon, mond, monda, monday are all valid)
EndDay For week long sessions, the ending day of week for the session. Use in combination with EndTime. Day of week in English using any abbreviation (i.e. mo, mon, mond, monda, monday are all valid)
LogonTime Time of day that this session logs on time in the format of HH:MM:SS, time is represented in UTC SessionTime value
LogoutTime Time of day that this session logs out time in the format of HH:MM:SS, time is represented in UTC EndTime value
LogonDay For week long sessions, the day of week the session logs on. Use in combination with LogonTime. Day of week in English using any abbreviation (i.e. mo, mon, mond, monda, monday are all valid) StartDay value
LogoutDay For week long sessions, the day of week the session logs out. Use in combination with LogoutTime. Day of week in English using any abbreviation (i.e. mo, mon, mond, monda, monday are all valid) EndDay value
UseLocalTime Indicates StartTime and EndTime are expressed in localtime instead of UTC. Times in messages will still be set to UTC as this is required by the FIX specifications. Y
N
N
MillisecondsInTimeStamp Determines if milliseconds should be added to timestamps. Only available for FIX.4.2 and greater. Y
N
Y
TimestampPrecision Used to set the fractional part of timestamp. Allowable values are 0 to 9. If set, overrrides MillisecondsInTimeStamp. 0-9
SendRedundantResendRequests If set to Y, QuickFIX will send all necessary resend requests, even if they appear redundant. Some systems will not certify the engine unless it does this. When set to N, QuickFIX will attempt to minimize resend requests. This is particularly useful on high volume systems. Y
N
N
ResetOnLogon Determines if sequence numbers should be reset when recieving a logon request. Acceptors only. Y
N
N
ResetOnLogout Determines if sequence numbers should be reset to 1 after a normal logout termination. Y
N
N
ResetOnDisconnect Determines if sequence numbers should be reset to 1 after an abnormal termination. Y
N
N
RefreshOnLogon Determines if session state should be restored from persistence layer when logging on. Useful for creating hot failover sessions. Y
N
N
ID Description Valid Values Default
Validation
UseDataDictionary Tell session whether or not to expect a data dictionary. You should always use a DataDictionary if you are using repeating groups. Y
N
Y
DataDictionary XML definition file for validating incoming FIX messages. If no DataDictionary is supplied, only basic message validation will be done

This setting should only be used with FIX transport versions older than FIXT.1.1. See TransportDataDictionary and AppDataDictionary for FIXT.1.1 settings.
valid XML data dictionary file, QuickFIX comes with the following defaults in the spec directory

FIX44.xml
FIX43.xml
FIX42.xml
FIX41.xml
FIX40.xml
TransportDataDictionary XML definition file for validating admin (transport) messages. This setting is only valid for FIXT.1.1 (or newer) sessions.

See DataDictionary for older transport versions (FIX.4.0 - FIX.4.4) for additional information.
valid XML data dictionary file, QuickFIX comes with the following defaults in the spec directory

FIXT1.1.xml
AppDataDictionary XML definition file for validating application messages. This setting is only valid for FIXT.1.1 (or newer) sessions.

See DataDictionary for older transport versions (FIX.4.0 - FIX.4.4) for additional information.

This setting supports the possibility of a custom application data dictionary for each session. This setting would only be used with FIXT 1.1 and new transport protocols. This setting can be used as a prefix to specify multiple application dictionaries for the FIXT transport. For example:
DefaultApplVerID=FIX.4.2
# For default application version ID
AppDataDictionary=FIX42.xml
# For nondefault application version ID
# Use BeginString suffix for app version
AppDataDictionary.FIX.4.4=FIX44.xml
valid XML data dictionary file, QuickFIX comes with the following defaults in the spec directory

FIX50SP2.xml
FIX50SP1.xml
FIX50.xml
FIX44.xml
FIX43.xml
FIX42.xml
FIX41.xml
FIX40.xml
ValidateLengthAndChecksum If set to N, messages with incorrect length or checksum fields will not be rejected. You can also use this to force acceptance of repeating groups without a data dictionary. In this scenario you will not be able to access all repeating groups. Y
N
Y
ValidateFieldsOutOfOrder If set to N, fields that are out of order (i.e. body fields in the header, or header fields in the body) will not be rejected. Useful for connecting to systems which do not properly order fields. Y
N
Y
ValidateFieldsHaveValues If set to N, fields without values (empty) will not be rejected. Useful for connecting to systems which improperly send empty tags. Y
N
Y
ValidateUserDefinedFields If set to N, user defined fields will not be rejected if they are not defined in the data dictionary, or are present in messages they do not belong to. Y
N
Y
PreserveMessageFieldsOrder Should the order of fields in the main outgoing message body be preserved or not (as defined in the configuration file). Default: only groups specified order is preserved. Y
N
N
CheckCompID If set to Y, messages must be received from the counterparty with the correct SenderCompID and TargetCompID. Some systems will send you different CompIDs by design, so you must set this to N. Y
N
Y
CheckLatency If set to Y, messages must be received from the counterparty within a defined number of seconds (see MaxLatency). It is useful to turn this off if a system uses localtime for it's timestamps instead of GMT. Y
N
Y
MaxLatency If CheckLatency is set to Y, this defines the number of seconds latency allowed for a message to be processed. Default is 120. positive integer 120

Miscellaneous

ID Description Valid Values Default
HttpAcceptPort Port to listen to HTTP requests. Pointing a browser to this port will bring up a control panel. Must be in DEFAULT section. positive integer

Initiator

ID Description Valid Values Default
ReconnectInterval Time between reconnection attempts in seconds. Only used for initiators positive integer 30
HeartBtInt Heartbeat interval in seconds. Only used for initiators. positive integer
LogonTimeout Number of seconds to wait for a logon response before disconnecting. positive integer 10
LogoutTimeout Number of seconds to wait for a logout response before disconnecting. positive integer 2
SocketConnectPort Socket port for connecting to a session. Only used with a SocketInitiator positive integer
SocketConnectHost Host to connect to. Only used with a SocketInitiator valid IP address in the format of x.x.x.x or a domain name
SocketConnectPort<n> Alternate socket ports for connecting to a session for failover, where n is a positive integer. (i.e.) SocketConnectPort1, SocketConnectPort2... must be consecutive and have a matching SocketConnectHost[n] positive integer
SocketConnectHost<n> Alternate socket hosts for connecting to a session for failover, where n is a positive integer. (i.e.) SocketConnectHost1, SocketConnectHost2... must be consecutive and have a matching SocketConnectPort[n] valid IP address in the format of x.x.x.x or a domain name
SocketNodelay Indicates a socket should be created with TCP_NODELAY. Currently, this must be defined in the [DEFAULT] section. Y
N
N
SocketSendBufferSize Indicates the size of SO_SNDBUF. Currently, this must be defined in the [DEFAULT] section. positive integer 0
SocketReceiveBufferSize Indicates the size of SO_RCVBUF. Currently, this must be defined in the [DEFAULT] section. positive integer 0
ID Description Valid Values Default
Acceptor
SocketAcceptPort Socket port for listening to incoming connections, Only used with a SocketAcceptor positive integer, valid open socket port. Currently, this must be defined in the [DEFAULT] section.
SocketReuseAddress Indicates a socket should be created with SO_REUSADDR, Only used with a SocketAcceptor Y
N
Y
SocketNodelay Indicates a socket should be created with TCP_NODELAY. Currently, this must be defined in the [DEFAULT] section. Y
N
N
ID Description Valid Values Default
Storage
PersistMessages If set to N, no messages will be persisted. This will force QuickFIX to always send GapFills instead of resending messages. Use this if you know you never want to resend a message. Useful for market data streams. Y
Y
N
File
FileStorePath Directory to store sequence number and message files. valid directory for storing files, must have write access
MYSQL
MySQLStoreDatabase Name of MySQL database to access for storing messages and session state. valid database for storing files, must have write access and correct DB shema quickfix
MySQLStoreUser User name logging in to MySQL database. valid user with read/write access to appropriate tables in database root
MySQLStorePassword Users password. correct MySQL password for user empty password
MySQLStoreHost Address of MySQL database. valid IP address in the format of x.x.x.x or a domain name localhost
MySQLStorePort Port of MySQL database. positive integer standard MySQL port
MySQLStoreUseConnectionPool Use database connection pools. When possible, sessions will share a single database connection. Otherwise each session gets its own connection. Y
N
N
POSTGRESQL
PostgreSQLStoreDatabase Name of PostgreSQL database to access for storing messages and session state. valid database for storing files, must have write access and correct DB shema quickfix
PostgreSQLStoreUser User name logging in to PostgreSQL database. valid user with read/write access to appropriate tables in database postgres
PostgreSQLStorePassword Users password. correct PostgreSQL password for user empty password
PostgreSQLStoreHost Address of MySQL database. valid IP address in the format of x.x.x.x or a domain name localhost
PostgreSQLStorePort Port of PostgreSQL database. positive integer standard PostgreSQL port
PostgreSQLStoreUseConnectionPool Use database connection pools. When possible, sessions will share a single database connection. Otherwise each session gets its own connection. Y
N
N
ODBC
OdbcStoreUser User name logging in to ODBC database. valid user with read/write access to appropriate tables in database. Ignored if UID is in the OdbcStoreConnectionString. sa
OdbcStorePassword Users password. correct ODBC password for user. Ignored if PWD is in the OdbcStoreConnectionString. empty password
OdbcStoreConnectionString ODBC connection string for database Valid ODBC connection string DATABASE=quickfix;DRIVER={SQL Server};SERVER=(local);
ID Description Valid Values Default
Logging
File
FileLogPath Directory to store logs. valid directory for storing files, must have write access
FileLogBackupPath Directory to store backup logs. valid directory for storing backup files, must have write access
Screen
ScreenLogShowIncoming Print incoming messages to standard out. Y
N
Y
ScreenLogShowOutgoing Print outgoing messages to standard out. Y
N
Y
ScreenLogShowEvents Print events to standard out. Y
N
Y
MYSQL
MySQLLogDatabase Name of MySQL database to access for logging. valid database for storing files, must have write access and correct DB shema quickfix
MySQLLogUser User name logging in to MySQL database. valid user with read/write access to appropriate tables in database root
MySQLLogPassword Users password. correct MySQL password for user empty password
MySQLLogHost Address of MySQL database. valid IP address in the format of x.x.x.x or a domain name localhost
MySQLLogPort Port of MySQL database. positive integer standard MySQL port
MySQLLogUseConnectionPool Use database connection pools. When possible, sessions will share a single database connection. Otherwise each session gets its own connection. Y
N
N
MySQLLogIncomingTable Name of table where incoming messages will be logged. Valid table with correct schema. messages_log
MySQLLogOutgoingTable Name of table where outgoing messages will be logged. Valid table with correct schema. messages_log
MySQLLogEventTable Name of table where events will be logged. Valid table with correct schema. event_log
POSTGRESQL
PostgreSQLLogDatabase Name of PostgreSQL database to access for logging. valid database for storing files, must have write access and correct DB shema quickfix
PostgreSQLLogUser User name logging in to PostgreSQL database. valid user with read/write access to appropriate tables in database postgres
PostgreSQLLogPassword Users password. correct PostgreSQL password for user empty password
PostgreSQLLogHost Address of PostgreSQL database. valid IP address in the format of x.x.x.x or a domain name localhost
PostgreSQLLogPort Port of PostgreSQL database. positive integer standard PostgreSQL port
PostgreSQLLogUseConnectionPool Use database connection pools. When possible, sessions will share a single database connection. Otherwise each session gets its own connection. Y
N
N
PostgresSQLLogIncomingTable Name of table where incoming messages will be logged. Valid table with correct schema. messages_log
PostgresSQLLogOutgoingTable Name of table where outgoing messages will be logged. Valid table with correct schema. messages_log
PostgresSQLLogEventTable Name of table where events will be logged. Valid table with correct schema. event_log
ODBC
OdbcLogUser User name logging in to ODBC database. valid user with read/write access to appropriate tables in database sa
OdbcLogPassword Users password. correct ODBC password for user. Ignored if UID is in the OdbcLogConnectionString. empty password
OdbcLogConnectionString ODBC connection string for database Valid ODBC connection string. Ignored if PWD is in the OdbcStoreConnectionString. DATABASE=quickfix;DRIVER={SQL Server};SERVER=(local);
OdbcLogIncomingTable Name of table where incoming messages will be logged. Valid table with correct schema. messages_log
OdbcLogOutgoingTable Name of table where outgoing messages will be logged. Valid table with correct schema. messages_log
OdbcLogEventTable Name of table where events will be logged. Valid table with correct schema. event_log
ID Description Valid Values Default
SSL
Parameters have to be defined in the DEFAULT section.
SSLProtocol This directive can be used to control the SSL protocol flavors the application should use when establishing its environment.

The available (case-insensitive) protocols are:

SSLv2
This is the Secure Sockets Layer (SSL) protocol, version 2.0. It is the original SSL protocol as designed by Netscape Corporation.

SSLv3
This is the Secure Sockets Layer (SSL) protocol, version 3.0. It is the successor to SSLv2 and the currently (as of February 1999) de-facto standardized SSL protocol from Netscape Corporation. It's supported by almost all popular browsers.

TLSv1
This is the Transport Layer Security (TLS) protocol, version 1.0.

TLSv1_1
This is the Transport Layer Security (TLS) protocol, version 1.1.

TLSv1_2
This is the Transport Layer Security (TLS) protocol, version 1.2.

all
This is a shortcut for +SSLv2 +SSLv3 +TLSv1 +TLSv1_1 +TLSv1_2 and a convenient way for enabling all protocols except one when used in combination with the minus sign on a protocol as the example above shows.

Example:
enable all but not SSLv2
SSL_PROTOCOL = all -SSLv2
all -SSLv2
SSLCipherSuite This complex directive uses a colon-separated cipher-spec string consisting of OpenSSL cipher specifications to configure the Cipher Suite the client is permitted to negotiate in the SSL handshake phase. Notice that this directive can be used both in per-server and per-directory context. In per-server context it applies to the standard SSL handshake when a connection is established. In per-directory context it forces a SSL renegotation with the reconfigured Cipher Suite after the HTTP request was read but before the HTTP response is sent.

An SSL cipher specification in cipher-spec is composed of 4 major attributes plus a few extra minor ones.

Key Exchange Algorithm:
RSA or Diffie-Hellman variants.

Authentication Algorithm:
RSA, Diffie-Hellman, DSS or none.

Cipher/Encryption Algorithm:
DES, Triple-DES, RC4, RC2, IDEA or none.

MAC Digest Algorithm:
MD5, SHA or SHA1.

For more details refer to mod_ssl documentation.

Example: RC4+RSA:+HIGH:
HIGH:!RC4
CertificationAuthoritiesFile This directive sets the all-in-one file where you can assemble the Certificates of Certification Authorities (CA) whose clients you deal with.
CertificationAuthoritiesDirectory This directive sets the directory where you keep the Certificates of Certification Authorities (CAs) whose clients you deal with.
Acceptor
ServerCertificateFile This directive points to the PEM-encoded Certificate file and optionally also to the corresponding RSA or DSA Private Key file for it (contained in the same file).
ServerCertificateKeyFile This directive points to the PEM-encoded Private Key file. If the Private Key is not combined with the Certificate in the server certificate file, use this additional directive to point to the file with the stand-alone Private Key.
CertificateVerifyLevel This directive sets the Certificate verification level. It applies to the authentication process used in the standard SSL handshake when a connection is established. 0 implies do not verify. 1 implies verify.
CertificateRevocationListFile This directive sets the all-in-one file where you can assemble the Certificate Revocation Lists (CRL) of Certification Authorities (CA) whose clients you deal with.
CertificateRevocationListDirectory This directive sets the directory where you keep the Certificate Revocation Lists (CRL) of Certification Authorities (CAs) whose clients you deal with.
Initiator
ClientCertificateFile This directive points to the PEM-encoded Certificate file and optionally also to the corresponding RSA or DSA Private Key file for it (contained in the same file).
ClientCertificateKeyFile This directive points to the PEM-encoded Private Key file. If the Private Key is not combined with the Certificate in the server certificate file, use this additional directive to point to the file with the stand-alone Private Key.

Validation

QuickFIX will validate and reject any poorly formed messages before they can reach your application. An XML file defines what messages, fields, and values a session supports.


Several standard files are in included in the spec directory.


The skeleton of a definition file looks like this.


<fix type="FIX" major="4" minor="1">
  <header>
    <field name="BeginString" required="Y"/>
    ...
  </header>
  <trailer>
    <field name="CheckSum" required="Y"/>
    ...
  </trailer>
  <messages>
    <message name="Heartbeat" msgtype="0" msgcat="admin">
      <field name="TestReqID" required="N"/>
    </message>
    ...
    <message name="NewOrderSingle" msgtype="D" msgcat="app">
      <field name="ClOrdID" required="Y"/>
      ...
    </message>
    ...
  </messages>
  <fields>
    <field number="1" name="Account" type="CHAR" />
    ...
    <field number="4" name="AdvSide" type="CHAR">
     <value enum="B" description="BUY" />
     <value enum="S" description="SELL" />
     <value enum="X" description="CROSS" />
     <value enum="T" description="TRADE" />
   </field>
   ...
  </fields>
</fix>

The validator will not reject conditionally required fields because the rules for them are not clearly defined. Using a conditionally required field that is not preset will cause a message to be rejected.

Working With Messages

Receiving Messages

Most of the messages you will be interested in looking at will be arriving in your overloaded fromApp function of your application. All messages have a header and a trailer. If you want to see those fields, you must call getHeader() or getTrailer() on the message to access them.



Type Safe Messages And Fields

QuickFIX has a class for all messages defined in the standard spec.


C++


void fromApp( const FIX::Message& message, const FIX::SessionID& sessionID )
  throw( FIX::FieldNotFound&, FIX::IncorrectDataFormat&, FIX::IncorrectTagValue&, FIX::UnsupportedMessageType& )
{
  crack(message, sessionID);
}

void onMessage( const FIX42::NewOrderSingle& message, const FIX::SessionID& )
{
  FIX::ClOrdID clOrdID;
  message.get(clOrdID);

  FIX::ClearingAccount clearingAccount;
  message.get(clearingAccount);
}

void onMessage( const FIX41::NewOrderSingle& message, const FIX::SessionID& )
{
  FIX::ClOrdID clOrdID;
  message.get(clOrdID);

  // compile time error!! field not defined in FIX41
  FIX::ClearingAccount clearingAccount;
  message.get(clearingAccount);
}

void onMessage( const FIX42::OrderCancelRequest& message, const FIX::SessionID& )
{
  FIX::ClOrdID clOrdID;
  message.get(clOrdID);

  // compile time error!! field not defined for OrderCancelRequest
  FIX::Price price;
  message.get(price);
}

In order to use this you must use the MessageCracker as a mixin to your application. This will provide you with the crack function and allow you to overload specific message functions. Any function you do not overload will by default throw an UnsupportedMessageType exception

Define your application like this:


C++


#include "quickfix/Application.h"
#include "quickfix/MessageCracker.h"

class MyApplication
: public FIX::Application,
  public FIX::MessageCracker


Type Safe Fields Only

Use the getField method to get any field from any message.


C++

void fromApp( const FIX::Message& message, const FIX::SessionID& sessionID )
  throw( FIX::FieldNotFound&, FIX::IncorrectDataFormat&, FIX::IncorrectTagValue&, FIX::UnsupportedMessageType& )
{
  // retrieve value into field class
  FIX::Price price;
  message.getField(price);

  // another field...
  FIX::ClOrdID clOrdID;
  message.getField(clOrdID);
}

Python


import quickfix

def fromApp(self, message, sessionID):
        price = quickfix.Price()
        message.getField(price)

        clOrdID = quickfix.ClOrdID()
        message.getField(clOrdID)

Ruby


require 'quickfix_ruby'

def fromApp(message, sessionID):
        price = Quickfix::Price.new()
        message.getField(price)

        clOrdID = Quickfix::ClOrdID.new()
        message.getField(clOrdID)
end



No Type Safety

Create your own fields using tag numbers.

C++

void fromApp( const FIX::Message& message, const FIX::SessionID& sessionID )
  throw( FIX::FieldNotFound&, FIX::IncorrectDataFormat&, FIX::IncorrectTagValue&, FIX::UnsupportedMessageType& )
{
  // retreive value into string with integer field ID
  std::string value;
  value = message.getField(44);

  // retrieve value into a field base with integer field ID
  FIX::FieldBase field(44, "");
  message.getField(field);

  // retreive value with an enumeration, a little better
  message.getField(FIX::FIELD::Price);
}

Python

import quickfix

def fromApp(self, message, sessionID):
        field = quickfix.StringField(44)
        message.getField(field)

Ruby

require 'quickfix_ruby'

def fromApp(message, sessionID):
        field = Quickfix::StringField.new(44)
        message.getField(field)
end

Sending Messages

Messages can be sent to a counter party with the static Session::sendToTarget methods.


C++

// send a message that already contains a BeginString, SenderCompID, and a TargetCompID
static bool sendToTarget( Message&, const std::string& qualifier = "" )
  throw(SessionNotFound&);

// send a message based on the sessionID, convenient for use
// in fromApp since it provides a session ID for incoming
// messages
static bool sendToTarget( Message&, const SessionID& )
  throw(SessionNotFound&);

// append a SenderCompID and TargetCompID before sending
static bool sendToTarget( Message&, const SenderCompID&, const TargetCompID&, const std::string& qualifier = "" )
  throw(SessionNotFound&);

// pass SenderCompID and TargetCompID in as strings
static bool sendToTarget( Message&, const std::string&, const std::string&, const std::string& qualifier = "" )
  throw(SessionNotFound&);

Python

def sendToTarget(message):

def sendToTarget(message, qualifier):

def sendToTarget(message, sessionID):

def sendToTarget(message, senderCompID, targetCompID):

def sendToTarget(message, senderCompID, targetCompID, qualifier):

Ruby

def sendToTarget(message)

def sendToTarget(message, qualifier)

def sendToTarget(message, sessionID)

def sendToTarget(message, senderCompID, targetCompID)

def sendToTarget(message, senderCompID, targetCompID, qualifier)


Type Safe Messages And Fields

Message constructors take in all required fields and adds the correct MsgType and BeginString for you. With the set method, the compiler will not let you add a field that is not a part of a message as defined by the spec.


C++

void sendOrderCancelRequest()
{
  FIX41::OrderCancelRequest message(
    FIX::OrigClOrdID("123"),
    FIX::ClOrdID("321"),
    FIX::Symbol("LNUX"),
    FIX::Side(FIX::Side_BUY));

  message.set(FIX::Text("Cancel My Order!"));

  FIX::Session::sendToTarget(message, SenderCompID("TW"), TargetCompID("TARGET"));
}


Type Safe Field Only

The setField method allows you to add any field to any message.

C++

void sendOrderCancelRequest()
{
  FIX::Message message;
  FIX::Header header& = message.getHeader();

  header.setField(FIX::BeginString("FIX.4.2"));
  header.setField(FIX::SenderCompID(TW));
  header.setField(FIX::TargetCompID("TARGET"));
  header.setField(FIX::MsgType(FIX::MsgType_OrderCancelRequest));
  message.setField(FIX::OrigClOrdID("123"));
  message.setField(FIX::ClOrdID("321"));
  message.setField(FIX::Symbol("LNUX"));
  message.setField(FIX::Side(FIX::Side_BUY));
  message.setField(FIX::Text("Cancel My Order!"));

  FIX::Session::sendToTarget(message);
}

Python

from quickfix import *

def sendOrderCancelRequest:
        message = quickfix.Message();
        header = message.getHeader();

        header.setField(quickfix.BeginString("FIX.4.2"))
        header.setField(quickfix.SenderCompID(TW))
        header.setField(quickfix.TargetCompID("TARGET"))
        header.setField(quickfix.MsgType("D"))
        message.setField(quickfix.OrigClOrdID("123"))
        message.setField(quickfix.ClOrdID("321"))
        message.setField(quickfix.Symbol("LNUX"))
        message.setField(quickfix.Side(Side_BUY))
        message.setField(quickfix.Text("Cancel My Order!"))

        Session.sendToTarget(message)

Ruby

require 'quickfix_ruby'

def sendOrderCancelRequest
        message = Quickfix::Message.new();
        header = message.getHeader();

        header.setField(Quickfix::BeginString.new("FIX.4.2"))
        header.setField(Quickfix::SenderCompID.new(TW))
        header.setField(Quickfix::TargetCompID.new("TARGET"))
        header.setField(Quickfix::MsgType.new("D"))
        message.setField(Quickfix::OrigClOrdID.new("123"))
        message.setField(Quickfix::ClOrdID.new("321"))
        message.setField(Quickfix::Symbol.new("LNUX"))
        message.setField(Quickfix::Side.new(Side.BUY))
        message.setField(Quickfix::Text.new("Cancel My Order!"))

        Quickfix::Session.sendToTarget(message)
end


No Type Safety

You can also use setField to pass in primitives.


C++

void sendOrderCancelRequest()
{
  FIX::Message message;
  // BeginString
  message.getHeader().setField(8, "FIX.4.2");
  // SenderCompID
  message.getHeader().setField(49, "TW");
  // TargetCompID, with enumeration
  message.getHeader().setField(FIX::FIELD::TargetCompID, "TARGET");
  // MsgType
  message.getHeader().setField(35, 'F');
  // OrigClOrdID
  message.setField(41, "123");
  // ClOrdID
  message.setField(11, "321");
  // Symbol
  message.setField(55, "LNUX");
  // Side, with value enumeration
  message.setField(54, FIX::Side_BUY);
  // Text
  message.setField(58, "Cancel My Order!");

  FIX::Session::sendToTarget(message);
}

Python

from quickfix import *

def sendOrderCancelRequest:
        message = quickfix.Message()
        # BeginString
        message.getHeader().setField(quickfix.StringField(8, "FIX.4.2"))
        # SenderCompID
        message.getHeader().setField(quickfix.StringField(49, "TW"))
        # TargetCompID, with enumeration
        message.getHeader().setField(quickfix.StringField(56, "TARGET"))
        # MsgType
        message.getHeader().setField(quickfix.CharField(35, 'F'))
        # OrigClOrdID
        message.setField(quickfix.StringField(41, "123"))
        # ClOrdID
        message.setField(quickfix.StringField(11, "321"))
        # Symbol
        message.setField(quickfix.StringField(55, "LNUX"))
        # Side, with value enumeration
        message.setField(quickfix.CharField(54, quickfix.Side_BUY))
        # Text
        message.setField(quickfix.StringField(58, "Cancel My Order!"))

        Session.sendToTarget(message);

Ruby

require 'quickfix_ruby'

def sendOrderCancelRequest
        message = Quickfix::Message.new()
        # BeginString
        message.getHeader().setField(Quickfix::StringField.new(8, "FIX.4.2"))
        # SenderCompID
        message.getHeader().setField(Quickfix::StringField.new(49, "TW"))
        # TargetCompID, with enumeration
        message.getHeader().setField(Quickfix::StringField.new(56, "TARGET"))
        # MsgType
        message.getHeader().setField(Quickfix::CharField.new(35, 'F'))
        # OrigClOrdID
        message.setField(Quickfix::StringField.new(41, "123"))
        # ClOrdID
        message.setField(Quickfix::StringField.new(11, "321"))
        # Symbol
        message.setField(Quickfix::StringField.new(55, "LNUX"))
        # Side, with value enumeration
        message.setField(Quickfix::CharField.new(54, quickfix.Side_BUY))
        # Text
        message.setField(Quickfix::StringField.new(58, "Cancel My Order!"))

        Quickfix::Session.sendToTarget(message)
end

Repeating Groups

QuickFIX has the ability to send messages containing repeating groups and even recursive repeating groups. All repeating groups begin with a field that indicates how many repeating groups are in a set. A group can be created by referencing a class named after this field scoped within the parent message or group.


Creating Messages With Repeating Groups

When a message is created the required field declaring the number of repeating groups is set to zero. QuickFIX will automatically increment field for you as you add groups.

C++

    // create a market data message
    FIX42::MarketDataSnapshotFullRefresh message(FIX::Symbol("QF"));

    // repeating group in the form of MessageName::NoField
    FIX42::MarketDataSnapshotFullRefresh::NoMDEntries group;
    group.set(FIX::MDEntryType('0'));
    group.set(FIX::MDEntryPx(12.32));
    group.set(FIX::MDEntrySize(100));
    group.set(FIX::OrderID("ORDERID"));
    message.addGroup(group);

    // no need to create a new group class if we are reusing the fields
    group.set(FIX::MDEntryType('1'));
    group.set(FIX::MDEntryPx(12.32));
    group.set(FIX::MDEntrySize(100));
    group.set(FIX::OrderID("ORDERID"));
    message.addGroup(group);

Python

import quickfix
import quickfix42

message = quickfix42.MarketDataSnapshotFullRefresh()
group = quickfix42.MarketDataSnapshotFullRefresh().NoMDEntries()

group.setField(quickfix.MDEntryType('0'))
group.setField(quickfix.MDEntryPx(12.32))
group.setField(quickfix.MDEntrySize(100))
group.setField(quickfix.OrderID("ORDERID"))
message.addGroup( group )

group.setField(quickfix.MDEntryType('1'))
group.setField(quickfix.MDEntryPx(12.32))
group.setField(quickfix.MDEntrySize(100))
group.setField(quickfix.OrderID("ORDERID"))
message.addGroup( group )

Ruby

require 'quickfix_ruby'
require 'quickfix42'

message = Quickfix42::MarketDataSnapshotFullRefresh.new()
group = Quickfix42::MarketDataSnapshotFullRefresh::NoMDEntries.new();

group.setField(Quickfix::MDEntryType.new('0'))
group.setField(Quickfix::MDEntryPx.new(12.32))
group.setField(Quickfix::MDEntrySize.new(100))
group.setField(Quickfix::OrderID.new("ORDERID"))
message.addGroup( group )

group.setField(Quickfix::MDEntryType.new('1'))
group.setField(Quickfix::MDEntryPx.new(12.32))
group.setField(Quickfix::MDEntrySize.new(100))
group.setField(Quickfix::OrderID.new("ORDERID"))
message.addGroup( group )


Reading Messages With Repeating Groups

To pull a group out of a message you need to supply the group object you wish to pull out. You should first inspect the number of entries field (which the group is named after) to get the total number of groups. The message that was created above is now parsed in this example.


C++

    // should be 2
    FIX::NoMDEntries noMDEntries;
    message.get(noMDEntries);

    FIX42::MarketDataSnapshotFullRefresh::NoMDEntries group;
    FIX::MDEntryType MDEntryType;
    FIX::MDEntryPx MDEntryPx;
    FIX::MDEntrySize MDEntrySize;
    FIX::OrderID orderID;

    message.getGroup(1, group);
    group.get(MDEntryType);
    group.get(MDEntryPx);
    group.get(MDEntrySize);
    group.get(orderID);

    message.getGroup(2, group);
    group.get(MDEntryType);
    group.get(MDEntryPx);
    group.get(MDEntrySize);
    group.get(orderID);

Python

import quickfix
import quickfix42

noMDEntries = quickfix.NoMDEntries()
message.getField(noMDEntries)

group = quickfix42.MarketDataSnapshotFullRefresh.NoMDEntries()
MDEntryType = quickfix.MDEntryType()
MDEntryPx = quickfix.MDEntryPx()
MDEntrySize = quickfix.MDEntrySize()
orderID = quickfix.OrderID();

message.getGroup(1, group);
group.getField(MDEntryType);
group.getField(MDEntryPx);
group.getField(MDEntrySize);
group.getField(orderID);

message.getGroup(2, group);
group.getField(MDEntryType);
group.getField(MDEntryPx);
group.getField(MDEntrySize);
group.getField(orderID);

Ruby

require 'quickfix_ruby'
require 'quickfix42'

noMDEntries = Quickfix::NoMDEntries.new()
message.getField(noMDEntries)

group = Quickfix42::MarketDataSnapshotFullRefresh.NoMDEntries.new()
MDEntryType = Quickfix::MDEntryType.new()
MDEntryPx = Quickfix::MDEntryPx.new()
MDEntrySize = Quickfix::MDEntrySize.new()
orderID = Quickfix::OrderID.new();

message.getGroup(1, group);
group.getField(MDEntryType);
group.getField(MDEntryPx);
group.getField(MDEntrySize);
group.getField(orderID);

message.getGroup(2, group);
group.getField(MDEntryType);
group.getField(MDEntryPx);
group.getField(MDEntrySize);
group.getField(orderID);

User Defined Fields

FIX allows users to define fields not defined in the specifications. How can QuickFIX be used to set and get user defined fields? Well one answer would be to use the non-type safe set and get fields like so:


C++

message.setField(6123, "value");
message.getField(6123);

Python

message.setField(quickfix.StringField(6123, "value"))
field = message.getField(quickfix.StringField(6123)

Ruby

message.setField(Quickfix::StringField.new(6123, "value"))
field = message.getField(Quickfix::StringField(6123).new())

QuickFIX also provides supplies macros for creating typesafe field objects.

C++

#include "quickfix/Field.h"

namespace FIX
{
  USER_DEFINE_STRING(MyStringField, 6123);
  USER_DEFINE_PRICE(MyPriceField, 8756);
}

Python

from quickfix import *

class MyStringField(quickfix.StringField):
        def __init__(self, data = None)
                if data == None:
                        quickfix.StringField.__init__(self, 6123)
                else:
                        quickfix.StringField.__init__(self, 6123, data)

class MyPriceField(quickfix.DoubleField):
        def __init__(self, data = None)
                if data == None:
                        quickfix.DoubleField.__init__(self, 8756)
                else:
                        quickfix.DoubleField.__init__(self, 8756, data)

Ruby

require 'quickfix_ruby'

class MyStringField < Quickfix::StringField
        def initialize( data = nil )
                if( data == nil )
                        super(6123)
                else
                        super(6123, data)
                end
        end
end

class MyDoubleField < Quickfix::DoubleField
        def initialize( data = nil )
                if( data == nil )
                        super(8756)
                else
                        super(8756, data)
                end
        end
end

User defined fields must be declared within the FIX namespace. Now, elsewhere in your application, you can write code like this:


C++

MyStringField stringField("string");
MyPriceField priceField(14.54);

message.setField(stringField);
message.setField(priceField);

message.getField(stringField);
message.getField(priceField);

Ruby

stringField = MyStringField("string")
priceField = MyPriceField(14.54)

message.setField(stringField)
message.setField(priceField)

message.getField(stringField)
message.getField(priceField)

Python

stringField = MyStringField.new("string")
priceField = MyPriceField.new(14.54)

message.setField(stringField)
message.setField(priceField)

message.getField(stringField)
message.getField(priceField)

These macros allow you to define fields of all supported FIX types. Keep in mind you can write fields of any type types as long as you supply a new macro and convertor that can convert your type to and from a string.


C++

USER_DEFINE_STRING( NAME, NUM )
USER_DEFINE_CHAR( NAME, NUM )
USER_DEFINE_PRICE( NAME, NUM )
USER_DEFINE_INT( NAME, NUM )
USER_DEFINE_AMT( NAME, NUM )
USER_DEFINE_QTY( NAME, NUM )
USER_DEFINE_CURRENCY( NAME, NUM )
USER_DEFINE_MULTIPLEVALUESTRING( NAME, NUM )
USER_DEFINE_EXCHANGE( NAME, NUM )
USER_DEFINE_UTCTIMESTAMP( NAME, NUM )
USER_DEFINE_BOOLEAN( NAME, NUM )
USER_DEFINE_LOCALMKTDATE( NAME, NUM )
USER_DEFINE_DATA( NAME, NUM )
USER_DEFINE_FLOAT( NAME, NUM )
USER_DEFINE_PRICEOFFSET( NAME, NUM )
USER_DEFINE_MONTHYEAR( NAME, NUM )
USER_DEFINE_DAYOFMONTH( NAME, NUM )
USER_DEFINE_UTCDATE( NAME, NUM )
USER_DEFINE_UTCTIMEONLY( NAME, NUM )
USER_DEFINE_NUMINGROUP( NAME, NUM )
USER_DEFINE_SEQNUM( NAME, NUM )
USER_DEFINE_LENGTH( NAME, NUM )
USER_DEFINE_PERCENTAGE( NAME, NUM )
USER_DEFINE_COUNTRY( NAME, NUM )

Example Applications

QuickFIX comes with several example applications in the quickfix/examples directory.


ordermatch is a c++ server that will match and execute limit orders


tradeclient is a little c++ console based trading client.


banzai is a Java GUI based trading client.

executor is a server that fills every limit order it receives.

Executor has been implemented in C++, Python and Ruby.

Testing

Unit Tests

QuickFIX comes with a comprehensive suite of automated unit tests. These tests are run by a framework called UnitTest++. UnitTest++ allows developers to test C++ code by writing code that calls functions on objects and asserting correct behavior. These test verifies not only that the code works correctly, but also that it works the same on all platforms.


This sample shows the setup and execution of the test that verifies the Parser object can correctly extract messages from a stream.


struct readFixMessageFixture
{
  readFixMessageFixture()
  {
    fixMsg1 = "8=FIX.4.2\0019=12\00135=A\001108=30\00110=31\001";
    fixMsg2 = "8=FIX.4.2\0019=17\00135=4\00136=88\001123=Y\00110=34\001";
    fixMsg3 = "8=FIX.4.2\0019=19\00135=A\001108=30\0019710=8\00110=31\001";

    object.addToStream( fixMsg1 + fixMsg2 + fixMsg3 );
  }

  std::string fixMsg1;
  std::string fixMsg2;
  std::string fixMsg3;
  Parser object;
};

TEST_FIXTURE(readFixMessageFixture, readFixMessage)
{
  std::string readFixMsg1;
  CHECK( object.readFixMessage( readFixMsg1 ) );
  CHECK_EQUAL( fixMsg1, readFixMsg1 );

  std::string readFixMsg2;
  CHECK( object.readFixMessage( readFixMsg2 ) );
  CHECK_EQUAL( fixMsg2, readFixMsg2 );

  std::string readFixMsg3;
  CHECK( object.readFixMessage( readFixMsg3 ) );
  CHECK_EQUAL( fixMsg3, readFixMsg3 );
}

Acceptance Tests

QuickFIX also has a scriptable test runner that comes with a series of automated acceptance test. The basic tests that come with QuickFIX are based off of the FIX Session-level Test Cases and Expected Behaviors document produced by the FIX protocol organization. These tests verify that QuickFIX adheres to the FIX specifications. The automated nature of these tests guarantees that future releases of QuickFIX will not break any current functionality.


Perhaps even more importantly is how these test are used to drive the development of QuickFIX. Before a line of code is written in support of a protocol feature, one of these tests is written. This test first approach sets up a goal for developers who will have objective verification that they correctly implemented the standard.

Below is an example of a test script that tests the engines behavior when it receives a NewSeqNo value that is less than the expected MsgSeqNum.

iCONNECT
I8=FIX.4.235=A34=149=TW52=>TIME>56=ISLD98=0108=30
E8=FIX.4.29=5735=A34=149=ISLD52=00000000-00:00:0056=TW98=0108=3010=0

# sequence reset without gap fill flag (default to N)
I8=FIX.4.235=434=049=TW52=>TIME>56=ISLD36=1
E8=FIX.4.29=11235=334=249=ISLD52=00000000-00:00:0056=TW45=058=Value is incorrect (out of range) for this tag372=4373=510=0

I8=FIX.4.235=134=249=TW52=>TIME>56=ISLD112=HELLO
E8=FIX.4.29=5535=034=349=ISLD52=00000000-00:00:0056=TW112=HELLO10=0

# sequence reset without gap fill flag (default to N)
I8=FIX.4.235=434=049=TW52=>TIME>56=ISLD36=1123=N
E8=FIX.4.29=11235=334=449=ISLD52=00000000-00:00:0056=TW45=058=Value is incorrect (out of range) for this tag372=4373=510=0

I8=FIX.4.235=134=349=TW52=>TIME>56=ISLD112=HELLO
E8=FIX.4.29=5535=034=549=ISLD52=00000000-00:00:0056=TW112=HELLO10=0
iDISCONNECT

In these script there are two types of commands, action commands and messages commands. Action commands begin with lowercase letters while message command begin with uppercase letters.


Action Commands

i<ACTION> - initiates an action
e<ACTION> - expect (wait for) an action

Supported actions are:

iCONNECT - initiate connection to a FIX acceptor
eCONNECT - expect a connection from a FIX initiator
iDISCONNECT - initiate a disconnect
eDISCONNECT - expect a disconnect

Message Commands

I<MESSAGE> - initiate (send) a message
E<MESSAGE> - expect (wait for) a message

When using the I command, you do not need to add the Length(9) or the CheckSum(10) fields, they will be added for you with the correct values in the appropriate locations. The only time you would add these fields is if you intentionally wish to make them incorrect.


The I command also provides a TIME macro for fields. By setting a field equal to <TIME>, the current system time will be placed in the field. (i.e. 52=>TIME>). You can also use offsets such as 52=<TIME-120> or 52=<TIME+15> in order to set the time plus or minus some seconds from the current time.


The E command verifies that you have received the correct message. This command will compare the values of each field to make sure they are correct. Some fields cannot be verified deterministically before run-time such as the SendingTime and CheckSum fields. These fields can be added to the fields.fmt file where a regular expression can be defined to at least verify the field is in the correct format. For example:


10=\d{3}, checksum must be exactly three digits
52=\d{8}-\d{2}:\d{2}:\d{2}, sending time must be in the form of DDDDDDDD-DD:DD:DD where D is a digit.


Either command can contain a FILE macro which puts the contents of a file into a field (i.e. 58=<FILE:test.txt>)