Documentation for QuickFIX/n

Receiving Messages

Receiving messages in QuickFIX/n is type safe and simple:

public void OnMessage(
    QuickFix.FIX44.NewOrderSingle order,
    SessionID sessionID)
{
    ProcessOrder(order.Price, order.OrderQty, order.Account);
}

Receiving Type Safe Messages

The best way to write an app is with the specific, strongly typed Message and Field classes, which we'll mixin with MessageCracker. We import the MessageCracker class, inherit from it, then call Crack inside FromApp:

using QuickFix;

public class MyApplication : MessageCracker, IApplication
{
    public void FromApp(Message msg, SessionID sessionID)
    {
        Crack(msg, sessionID);
    }
    //...
}

Crack will then call the appropriate overloaded OnMessage callback. This example receives orders and security definitions:

public void OnMessage(
    QuickFix.FIX44.NewOrderSingle ord,
    SessionID sessionID)
{
    ProcessOrder(ord.Price, ord.OrderQty, ord.Account);
}

public void OnMessage(
    QuickFix.FIX44.SecurityDefinition secDef,
    SessionID sessionID)
{
    GotSecDef(secDef);
}

Example Message Cracker

Putting it all together, a full application with type safe orders looks like this:

public class MyApplication : MessageCracker, IApplication
{
    public void OnMessage(
        QuickFix.FIX42.NewOrderSingle ord,
        SessionID sessionID)
    {
        ProcessOrder(ord.Price, ord.OrderQty, ord.Account);
    }

    protected void ProcessOrder(
        Price price,
        OrderQty quantity,
        Account account)
    {
        //...
    }

    #region Application Methods

    public void FromApp(Message msg, SessionID sessionID)
    {
        Crack(msg, sessionID);
    }
    public void OnCreate(SessionID sessionID) { }
    public void OnLogout(SessionID sessionID) { }
    public void OnLogon(SessionID sessionID) { }
    public void FromAdmin(Message msg, SessionID sessionID)
    { }
    public void ToAdmin(Message msg, SessionID sessionID)
    { }
    public void ToApp(Message msg, SessionID sessionID)
    { }

    #endregion
}

Less Type Safe

It is possible to receive message callbacks with only the base class Message.

This is not recommended! We lose the type safe Group and Field properties and extra boilerplate logic is required:

// NOT RECOMMENDED
public class MyApplication : IApplication
{
    public void FromApp(Message msg, SessionID sessionID)
    {
        string msgType = msg.Header.GetString(Tags.MsgType);
        if (msgType.Equals(MsgType.EXECUTION_REPORT))
        {
          string account = msg.GetString(Tags.Account);
          decimal price = msg.GetDecimal(Tags.Price);
        }
    }
    // ...same Application callbacks as above
}