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fix_client.cpp
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#ifdef _MSC_VER
#pragma warning(disable : 4503 4355 4786 26444)
#endif
#include "pch.h"
#include "fix_client.h"
#include "quickfix/config.h"
#include "quickfix/Session.h"
#include "magic_enum/magic_enum.hpp"
#include "spdlog/spdlog.h"
#include "common/time_utils.h"
#include "zorro_common/log.h"
//#define FIX_MSG_TRACE_LOG
namespace zorro {
using namespace common;
constexpr int dl0 = 0;
constexpr int dl1 = 1;
constexpr int dl2 = 2;
constexpr int dl3 = 3;
constexpr int dl4 = 4;
constexpr int dl5 = 5;
#ifdef FIX_MSG_TRACE_LOG
std::shared_ptr<spdlog::logger> fix_msg_trace_log;
#endif
std::string fix_string(const FIX::Message& msg) {
auto s = msg.toString();
std::replace(s.begin(), s.end(), '\x1', '|');
return s;
}
std::string fix_string_masked(const FIX::Message& msg) {
FIX::Message msg_copy = msg;
FIX::SenderCompID sender_comp_id;
auto is_data = msg_copy.getHeader().getField(sender_comp_id).getString().starts_with("MD");
auto masked_sender_comp_id = is_data ? "MDataSenderCompID_Masked" : "TExecSenderCompID_Masked";
msg_copy.getHeader().setField(FIX::SenderCompID(masked_sender_comp_id));
msg_copy.setField(FIX::Account("Account_Masked"));
auto s = msg_copy.toString();
std::replace(s.begin(), s.end(), '\x1', '|');
return s;
}
template<class T>
inline T get_or_else(const ServiceMessage& map, const std::string_view& key, const T& other) {
auto it = map.find(std::string(key));
if (it != map.end()) {
return std::get<T>(it->second);
}
else {
return other;
}
}
template<typename G>
inline std::chrono::nanoseconds parse_date_and_time(const G& g, int date_field = FIX::FIELD::MDEntryDate, int time_field = FIX::FIELD::MDEntryTime) {
std::stringstream in;
in << g.getField(date_field) << "-" << g.getField(time_field);
std::chrono::time_point<std::chrono::system_clock> tp;
in >> std::chrono::parse("%Y%m%d-%T", tp);
return std::chrono::duration_cast<std::chrono::nanoseconds>(tp.time_since_epoch());
}
inline std::chrono::nanoseconds parse_datetime(const std::string& datetime) {
std::stringstream in; in << datetime;
std::chrono::time_point<std::chrono::system_clock> tp;
in >> std::chrono::parse("%Y%m%d-%T", tp);
return std::chrono::duration_cast<std::chrono::nanoseconds>(tp.time_since_epoch());
}
FXCMMarginCallStatus parse_fxcm_margin_call_status(const std::string& status) {
if (status == "N")
return FXCMMarginCallStatus::MarginCallStatus_Fine;
if (status == "W")
return FXCMMarginCallStatus::MarginCallStatus_MaintenanceMarginAleart;
if (status == "Y")
return FXCMMarginCallStatus::MarginCallStatus_LiquidationReached;
if (status == "A")
return FXCMMarginCallStatus::MarginCallStatus_EquityAlert;
if (status == "Q")
return FXCMMarginCallStatus::MarginCallStatus_EquityStop;
throw std::runtime_error("unknown margin call status " + status);
}
std::string FXCMSecurityInformation::to_string() const {
std::stringstream ss;
ss << "FXCMSecurityInformation["
<< "symbol=" << symbol << ", "
<< "currency=" << currency << ", "
<< "product=" << product << ", "
<< "pip_size=" << pip_size << ", "
<< "point_size=" << point_size << ", "
<< "max_quanity=" << max_quanity << ", "
<< "min_quantity=" << min_quantity << ", "
<< "round_lots=" << round_lots << ", "
<< "factor=" << factor << ", "
<< "contract_multiplier=" << contract_multiplier << ", "
<< "prod_id=" << magic_enum::enum_name(prod_id) << ", "
<< "interest_buy=" << interest_buy << ", "
<< "interest_sell=" << interest_sell << ", "
<< "subscription_status=" << subscription_status << ", "
<< "sort_order=" << sort_order << ", "
<< "cond_dist_stop=" << cond_dist_stop << ", "
<< "cond_dist_limit=" << cond_dist_limit << ", "
<< "cond_dist_entry_stop=" << cond_dist_entry_stop << ", "
<< "cond_dist_entry_limit=" << cond_dist_entry_limit << ", "
<< "fxcm_trading_status=" << magic_enum::enum_name(fxcm_trading_status)
<< "]";
return ss.str();
}
std::string FXCMCollateralReport::to_string() const {
std::stringstream ss;
ss << "FXCMCollateralReport["
<< "balance=" << balance << ", "
<< "start_cash=" << start_cash << ", "
<< "end_cash=" << end_cash << ", "
<< "margin_ratio=" << margin_ratio << ", "
<< "margin=" << margin << ", "
<< "margin=" << margin << ", "
<< "margin_call_status=" << magic_enum::enum_name(margin_call_status) << ", "
<< "sending_time" << common::to_string(sending_time) << ", "
<< "party_sub_ids=[";
bool first = false;
for (const auto& psid : party_sub_ids) {
if (first) ss << ", ";
ss << "type=" << psid.first << ", " << "party_sub_id=" << psid.second;
first = true;
}
ss << "]]";
return ss.str();
}
std::string FXCMPositionReport::to_string() const {
std::stringstream ss;
ss << "FXCMPositionReport["
<< "account=" << account << ", "
<< "symbol=" << symbol << ", "
<< "currency=" << currency << ", "
<< "position_id=" << position_id << ", "
<< "settle_price=" << settle_price << ", "
<< "is_open=" << is_open << ", "
<< "interest=" << interest << ", "
<< "commission=" << commission << ", "
<< "open_time=" << common::to_string(open_time) << ", "
<< "used_margin=" << (used_margin.has_value() ? std::to_string(used_margin.value()) : "N/A") << ", "
<< "close_pnl=" << (close_pnl.has_value() ? std::to_string(close_pnl.value()) : "N/A") << ", "
<< "close_settle_price=" << (close_settle_price.has_value() ? std::to_string(close_settle_price.value()) : "N/A") << ", "
<< "close_time=" << (close_settle_price.has_value() ? common::to_string(close_time.value()) : "N/A") << ", "
<< "close_order_id=" << (close_order_id.has_value() ? close_order_id.value() : "N/A") << ", "
<< "close_cl_ord_id=" << (close_cl_ord_id.has_value() ? close_cl_ord_id.value() : "N/A")
<< "]";
return ss.str();
}
std::string FXCMPositionReports::to_string() const {
std::stringstream ss;
ss << "FXCMPositionReports[";
bool first = false;
for (const auto& report : reports) {
if (first) ss << ",";
ss << "\n ";
ss << report.to_string();
first = true;
}
ss << "\n]";
return ss.str();
}
std::string FXCMTradingSessionStatus::to_string() const {
std::stringstream ss;
ss << "FXCMTradingSessionStatus["
<< "security_informations=[";
bool first_s = false;
for (const auto& infos : security_informations) {
if (first_s) ss << ", ";
ss << infos.first << "=" << infos.second.to_string();
first_s = true;
}
ss << "], ";
ss
<< "trade_session_status=" << magic_enum::enum_name(trade_session_status) << ", "
<< "server_timezone_name=" << server_timezone_name << ", "
<< "server_timezone=" << server_timezone << ", "
<< "parameters=[";
bool first_p = false;
for (const auto& param : session_parameters) {
if (first_p) ss << ", ";
ss << param.first << "=" << param.second;
first_p = true;
}
ss << "]]";
return ss.str();
}
FixClient::FixClient(
const FIX::SessionSettings& session_settings,
unsigned int num_required_session_logins,
BlockingTimeoutQueue<ExecReport>& exec_report_queue,
BlockingTimeoutQueue<StatusExecReport>& status_exec_report_queue,
BlockingTimeoutQueue<TopOfBook>& top_of_book_queue,
BlockingTimeoutQueue<ServiceMessage>& service_message_queue,
BlockingTimeoutQueue<FXCMPositionReport>& position_report_queue,
BlockingTimeoutQueue<FXCMPositionReports>& position_snapshot_reports_queue,
BlockingTimeoutQueue<FXCMCollateralReport>& collateral_report_queue,
BlockingTimeoutQueue<FXCMTradingSessionStatus>& trading_session_status_queue
) : session_settings(session_settings)
, num_required_session_logins(num_required_session_logins)
, exec_report_queue(exec_report_queue)
, status_exec_report_queue(status_exec_report_queue)
, top_of_book_queue(top_of_book_queue)
, service_message_queue(service_message_queue)
, position_report_queue(position_report_queue)
, position_snapshot_reports_queue(position_snapshot_reports_queue)
, collateral_report_queue(collateral_report_queue)
, trading_session_status_queue(trading_session_status_queue)
, done(false)
{
if (session_settings.get().has("AccountId")) {
auto account = session_settings.get().getString("AccountId");
account_ids.insert(account);
log::debug<dl4, false>(
"FixClient::FixClient account id from session settings={}", account
);
}
#ifdef FIX_MSG_TRACE_LOG
fix_msg_trace_log = spdlog::basic_logger_mt("fix", std::format("fix_message_tracer_{}.log", common::timestamp_postfix()), true);
fix_msg_trace_log->set_level(spdlog::level::debug);
#endif
}
std::future<bool> FixClient::login_state() {
return login_promise.get_future();
}
unsigned int FixClient::get_session_logins() {
std::unique_lock<std::mutex> ul(mutex);
unsigned int count = 0;
for (const auto& [sess_id, logged_in] : session_login_status) {
count += logged_in ? 1 : 0;
}
return count;
}
std::set<std::string> FixClient::get_account_ids() {
std::unique_lock<std::mutex> ul(mutex);
return account_ids;
}
bool FixClient::is_trading_session(const FIX::SessionID& sess_id) const {
return !sess_id.getSenderCompID().getString().starts_with("MD_");
}
bool FixClient::is_market_data_session(const FIX::SessionID& sess_id) const {
return sess_id.getSenderCompID().getString().starts_with("MD_");
}
void FixClient::onCreate(const FIX::SessionID& sess_id) {
// FIX Session created - QuickFIX will automatically send the Logon(A) message
bool is_trading;
if (is_market_data_session(sess_id)) {
market_data_session_id = sess_id;
is_trading = false;
}
else {
trading_session_id = sess_id;
is_trading = true;
}
session_login_status.insert_or_assign(sess_id.toString(), false);
log::debug<dl2, false>(
"FixClient::onCreate is trading={}, sessionID={}", is_trading, sess_id.toString()
);
}
ServiceMessage FixClient::logon_service_message() const {
ServiceMessage service_msg{
{std::string(SERVICE_MESSAGE_TYPE), std::string(SERVICE_MESSAGE_LOGON_STATUS)}
};
unsigned int session_logins = 0;
for (const auto& [sess_id, logged_in] : session_login_status) {
session_logins += logged_in ? 1 : 0;
service_msg.emplace(sess_id, logged_in);
}
service_msg.emplace(SERVICE_MESSAGE_LOGON_STATUS_SESSION_LOGINS, session_logins);
service_msg.emplace(SERVICE_MESSAGE_LOGON_STATUS_READY, session_logins == num_required_session_logins);
return service_msg;
}
ServiceMessage FixClient::reject_service_message(const std::string& reject_type, const std::string& reject_text, const std::string& raw) const {
ServiceMessage service_msg{
{std::string(SERVICE_MESSAGE_TYPE), std::string(SERVICE_MESSAGE_REJECT)}
};
service_msg.emplace(SERVICE_MESSAGE_REJECT_TYPE, reject_type);
service_msg.emplace(SERVICE_MESSAGE_REJECT_TEXT, reject_text);
service_msg.emplace(SERVICE_MESSAGE_REJECT_RAW_MESSAGE, raw);
return service_msg;
}
void FixClient::onLogon(const FIX::SessionID& sess_id)
{
std::unique_lock<std::mutex> ul(mutex);
session_login_status.insert_or_assign(sess_id.toString(), true);
auto service_msg = logon_service_message();
auto session_logins = sm_get_or_else<unsigned int>(service_msg, SERVICE_MESSAGE_LOGON_STATUS_SESSION_LOGINS, 0);
log::debug<dl0, false>(
"FixClient::onLogon sessionID={} login count={} status={}",
sess_id.toString(), session_logins, session_logins == num_required_session_logins ? "ready" : "waiting"
);
service_message_queue.push(service_msg);
}
void FixClient::onLogout(const FIX::SessionID& sess_id)
{
std::unique_lock<std::mutex> ul(mutex);
session_login_status.insert_or_assign(sess_id.toString(), false);
log::debug<dl0, false>("FixClient::onLogout sessionID={}", sess_id.toString());
auto service_msg = logon_service_message();
service_message_queue.push(service_msg);
}
void FixClient::fromAdmin(
const FIX::Message& message, const FIX::SessionID& sessionID
) EXCEPT(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::RejectLogon)
{
log::debug<dl2, false>("FixClient::fromAdmin IN <{}> {}", sessionID.toString(), fix_string(message));
#ifdef FIX_MSG_TRACE_LOG
fix_msg_trace_log->debug("Admin IN {}", fix_string_masked(message));
#endif
}
void FixClient::toAdmin(FIX::Message& message, const FIX::SessionID& sessionID)
{
// Logon (A) requires to set the Username and Password fields
const auto& msg_type = message.getHeader().getField(FIX::FIELD::MsgType);
if (msg_type == FIX::MsgType_Logon) {
// get both username and password from settings file
auto user = session_settings.get().getString("Username");
auto pass = session_settings.get().getString("Password");
message.setField(FIX::Username(user));
message.setField(FIX::Password(pass));
}
// all messages sent to FXCM must contain the TargetSubID field (both Administrative and Application messages)
auto sub_id = session_settings.get().getString("TargetSubID");
message.getHeader().setField(FIX::TargetSubID(sub_id));
log::debug<dl2, false>("Admin OUT <{}> {}", sessionID.toString(), fix_string(message));
#ifdef FIX_MSG_TRACE_LOG
fix_msg_trace_log->debug("Admin OUT {}", fix_string_masked(message));
#endif
}
void FixClient::fromApp(const FIX::Message& message, const FIX::SessionID& sessionID)
EXCEPT(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType)
{
auto mkt = fix::is_market_data_message(message);
auto exec = fix::is_exec_report_message(message);
if (exec) {
log::debug<dl0, false>("FixClient::fromApp IN <{}> {}", sessionID.toString(), fix_string(message));
}
else if (mkt) {
log::debug<dl5, false>("FixClient::fromApp IN <{}> {}", sessionID.toString(), fix_string(message));
}
else {
log::debug<dl1, false>("FixClient::fromApp IN <{}> {}", sessionID.toString(), fix_string(message));
}
#ifdef FIX_MSG_TRACE_LOG
fix_msg_trace_log->debug("App IN {}", fix_string_masked(message));
#endif
crack(message, sessionID);
}
void FixClient::toApp(FIX::Message& message, const FIX::SessionID& sessionID) EXCEPT(FIX::DoNotSend)
{
try
{
FIX::PossDupFlag possDupFlag;
message.getHeader().getField(possDupFlag);
if (possDupFlag) throw FIX::DoNotSend();
}
catch (FIX::FieldNotFound&) {}
auto sub_ID = session_settings.get().getString("TargetSubID");
message.getHeader().setField(FIX::TargetSubID(sub_ID));
log::debug<dl0, false>("FixClient::toApp OUT <{}> {}", sessionID.toString(), fix_string(message));
#ifdef FIX_MSG_TRACE_LOG
fix_msg_trace_log->debug("App OUT {}", fix_string_masked(message));
#endif
}
void FixClient::onMessage(const FIX44::Heartbeat& hb, const FIX::SessionID&) {
}
// The TradingSessionStatus message is used to provide an update on the status of the market. Furthermore,
// this message contains useful system parameters as well as information about each trading security (embedded SecurityList).
// TradingSessionStatus should be requested upon successful Logon and subscribed to. The contents of the
// TradingSessionStatus message, specifically the SecurityList and system parameters, should dictate how fields
// are set when sending messages to FXCM.
// ** Note on Text(58) **
// You will notice that Text(58) field is always set to "Market is closed. Any trading
// functionality is not available." This field is always set to this value; therefore, do not
// use this field value to determine if the trading desk is open. As stated above, use TradSesStatus for this purpose
void FixClient::onMessage(const FIX44::TradingSessionStatus& message, const FIX::SessionID& session_ID)
{
try {
FXCMTradingSessionStatus status;
// parse TradingSessionStatus message embeded in SecurityList
int num_symbols = FIX::IntConvertor::convert(message.getField(FIX::FIELD::NoRelatedSym));
for (int i = 1; i <= num_symbols; i++) {
// 55=LINK/USD|460=12|228=1|231=1|9001=3|9002=0.01|9005=8027|9080=9|15=USD|561=1|
// 9003=-0.027|9004=0|9076=D|9090=0|9091=0|9092=0|9093=0|9094=1000|9095=1|9096=O|
FIX44::SecurityList::NoRelatedSym group;
message.getGroup(i, group);
try {
const auto& symbol = group.getField(FIX::FIELD::Symbol);
int product = FIX::IntConvertor::convert(group.getField(FIX::FIELD::Product));
int factor = FIX::IntConvertor::convert(group.getField(FIX::FIELD::Factor));
double contract_multiplier = FIX::DoubleConvertor::convert(group.getField(FIX::FIELD::ContractMultiplier));
int pip_size = FIX::IntConvertor::convert(group.getField(FXCM_SYM_PRECISION));
double point_size = FIX::DoubleConvertor::convert(group.getField(FXCM_SYM_POINT_SIZE));
FXCMProductId prod_id = static_cast<FXCMProductId>(FIX::IntConvertor::convert(group.getField(FXCM_PRODUCT_ID)));
const auto& currency = group.getField(FIX::FIELD::Currency);
int round_lots = FIX::IntConvertor::convert(group.getField(FIX::FIELD::RoundLot));
double interest_buy = FIX::DoubleConvertor::convert(group.getField(FXCM_SYM_INTEREST_BUY));
double interest_sell = FIX::DoubleConvertor::convert(group.getField(FXCM_SYM_INTEREST_SELL));
const auto& subscription_status = group.getField(FXCM_SUBSCRIPTION_STATUS);
int sort_order = FIX::IntConvertor::convert(group.getField(FXCM_SYM_SORT_ORDER));
double cond_dist_stop = FIX::DoubleConvertor::convert(group.getField(FXCM_COND_DIST_STOP));
double cond_dist_limit = FIX::DoubleConvertor::convert(group.getField(FXCM_COND_DIST_LIMIT));
double cond_dist_entry_stop = FIX::DoubleConvertor::convert(group.getField(FXCM_COND_DIST_ENTRY_STOP));
double cond_dist_entry_limit = FIX::DoubleConvertor::convert(group.getField(FXCM_COND_DIST_ENTRY_LIMIT));
double max_quanity = FIX::DoubleConvertor::convert(group.getField(FXCM_MAX_QUANTITY));
double min_quantity = FIX::DoubleConvertor::convert(group.getField(FXCM_MIN_QUANTITY));
const auto& fxcm_trading_status = group.getField(FXCM_TRADING_STATUS);
auto trade_status = FXCMTradingStatus::UnknownTradingStatus;
if (fxcm_trading_status == "O")
trade_status = FXCMTradingStatus::TradingOpen;
else if (fxcm_trading_status == "C")
trade_status = FXCMTradingStatus::TradingClosed;
struct FXCMSecurityInformation security_info{
.symbol = symbol,
.currency = currency,
.product = product,
.pip_size = pip_size,
.point_size = point_size,
.max_quanity = max_quanity,
.min_quantity = min_quantity,
.round_lots = round_lots,
.factor = factor,
.contract_multiplier = contract_multiplier,
.prod_id = prod_id,
.interest_buy = interest_buy,
.interest_sell = interest_sell,
.subscription_status = subscription_status,
.sort_order = sort_order,
.cond_dist_stop = cond_dist_stop,
.cond_dist_limit = cond_dist_limit,
.cond_dist_entry_stop = cond_dist_entry_stop,
.cond_dist_entry_limit = cond_dist_entry_limit,
.fxcm_trading_status = trade_status,
};
status.security_informations.emplace(symbol, std::move(security_info));
}
catch (FIX::FieldNotFound& error) {
log::error<false>(
"FixClient::onMessage[FIX44::TradingSessionStatus]: security info field not found {}",
error.what()
);
}
catch (...) {
log::error<false>(
"FixClient::onMessage[FIX44::TradingSessionStatus]: security info error"
);
}
}
status.trade_session_status = static_cast<common::fix::TradeSessionStatus>(
FIX::IntConvertor::convert(message.getField(FIX::FIELD::TradSesStatus))
);
status.server_timezone = FIX::IntConvertor::convert(message.getField(FXCM_SERVER_TIMEZONE));
status.server_timezone_name = message.getField(FXCM_SERVER_TIMEZONE);
int params_count = FIX::IntConvertor::convert(message.getField(FXCM_NO_PARAMS));
for (int i = 1; i <= params_count; i++) {
FIX::FieldMap field_map = message.getGroupRef(i, FXCM_NO_PARAMS);
status.session_parameters.emplace(
field_map.getField(FXCM_PARAM_NAME),
field_map.getField(FXCM_PARAM_VALUE)
);
}
log::debug<dl4, false>(
"FixClient::onMessage[FIX44::TradingSessionStatus]: publish trading session status {}",
status.to_string()
);
trading_session_status_queue.push(status);
}
catch(FIX::FieldNotFound &error) {
log::error<false>(
"FixClient::onMessage[FIX44::TradingSessionStatus]: field not found {}",
error.what()
);
}
}
void FixClient::onMessage(const FIX44::CollateralInquiryAck& message, const FIX::SessionID& session_ID)
{
}
// CollateralReport is a message containing important information for each account under the login. It is returned
// as a response to CollateralInquiry. You will receive a CollateralReport for each account under your login.
// Notable fields include Account(1) which is the AccountID and CashOutstanding(901) which is the account balance
void FixClient::onMessage(const FIX44::CollateralReport& message, const FIX::SessionID& session_ID)
{
try {
const auto& account = message.getField(FIX::FIELD::Account);
account_ids.insert(account);
log::debug<dl0, false>("FixClient::onMessage[FIX44::CollateralReport]: inserted account={}", account);
// account balance, which is the cash balance in the account, not including any profit or losses on open trades
double balance = FIX::DoubleConvertor::convert(message.getField(FIX::FIELD::CashOutstanding));
double start_cash = FIX::DoubleConvertor::convert(message.getField(FIX::FIELD::StartCash));
double end_cash = FIX::DoubleConvertor::convert(message.getField(FIX::FIELD::EndCash));
double margin_ratio = FIX::DoubleConvertor::convert(message.getField(FIX::FIELD::MarginRatio));
double margin = FIX::DoubleConvertor::convert(message.getField(FXCM_USED_MARGIN));
double maintenance_margin = FIX::DoubleConvertor::convert(message.getField(FXCM_USED_MARGIN3));
double cash_daily = FIX::DoubleConvertor::convert(message.getField(FXCM_CASH_DAILY));
auto margin_call_status = parse_fxcm_margin_call_status(message.getField(FXCM_MARGIN_CALL));
auto sending_time = parse_datetime(message.getHeader().getField(FIX::FIELD::SendingTime));
// CollateralReport NoPartyIDs group can be inspected for additional account information such as AccountName or HedgingStatus
FIX44::CollateralReport::NoPartyIDs group;
message.getGroup(1, group); // CollateralReport will only have 1 NoPartyIDs group
// Get the number of NoPartySubIDs repeating groups
// For each group, get both the PartySubIDType and the PartySubID (the value)
std::vector<std::pair<int, std::string>> party_sub_ids;
int num_sub_id = FIX::IntConvertor::convert(group.getField(FIX::FIELD::NoPartySubIDs));
for (int u = 1; u <= num_sub_id; u++) {
FIX44::CollateralReport::NoPartyIDs::NoPartySubIDs sub_group;
group.getGroup(u, sub_group);
int sub_type = FIX::IntConvertor::convert(sub_group.getField(FIX::FIELD::PartySubIDType));
const auto& sub_value = sub_group.getField(FIX::FIELD::PartySubID);
party_sub_ids.emplace_back(std::make_pair(sub_type, sub_value));
}
FXCMCollateralReport collateral_report{
.account = account,
.sending_time = sending_time,
.balance = balance,
.start_cash = start_cash,
.end_cash = end_cash,
.margin_ratio = margin_ratio,
.margin = margin,
.maintenance_margin = maintenance_margin,
.cash_daily = cash_daily,
.margin_call_status = margin_call_status,
.party_sub_ids = party_sub_ids
};
log::debug<dl4, false>(
"FixClient::onMessage[FIX44::CollateralReport]: publish collateral report for account={} balance={}",
account, balance
);
collateral_report_queue.push(collateral_report);
}
catch (FIX::FieldNotFound& error) {
log::error<false>(
"FixClient::onMessage[FIX44::CollateralReport]: field not found {}",
error.what()
);
}
}
void FixClient::onMessage(const FIX44::RequestForPositionsAck& message, const FIX::SessionID& session_ID)
{
FIX::PosReqStatus pos_req_status;
FIX::PosReqResult pos_req_result;
FIX::TotalNumPosReports total_num_reports;
message.get(pos_req_status);
message.get(pos_req_result);
message.get(total_num_reports);
if (pos_req_status == FIX::PosReqStatus_REJECTED) {
log::error<false>(
"FixClient::onMessage[FIX44::RequestForPositionsAck]: request for position rejected text={}",
message.getField(FIX::FIELD::Text)
);
}
// if a PositionReport is requested and no positions exist for that request, the Text field will
// indicate that no positions matched the requested criteria
if (pos_req_result == FIX::PosReqResult_NO_POSITIONS_FOUND_THAT_MATCH_CRITERIA) {
log::debug<dl1, false>(
"FixClient::onMessage[FIX44::RequestForPositionsAck]: publish empty position report list text={}",
message.getField(FIX::FIELD::Text)
);
position_snapshot_reports_queue.push(FXCMPositionReports());
}
}
void FixClient::onMessage(const FIX44::PositionReport& message, const FIX::SessionID& session_ID)
{
try {
FIX::Symbol symbol;
FIX::Account account;
FIX::Currency currency;
FIX::PosReqType pos_req_type;
FIX::SettlPrice settle_price;
FIX::SettlPriceType settle_price_type;
FIX::UnsolicitedIndicator unsoliciated_ind;
// valid for open and closed positions
std::string position_id;
double interest = 0;
double commission = 0;
std::chrono::nanoseconds open_time;
// valid only for open positions
double used_margin = 0;
// valid only for closed positions
double close_pnl = 0;
double close_settle_price = 0;
std::chrono::nanoseconds close_time;
std::string close_order_id;
std::string close_cl_ord_id;
message.get(symbol);
message.get(account);
message.get(currency);
message.get(pos_req_type);
message.get(settle_price);
message.get(settle_price_type);
position_id = message.getField(FXCM_POS_ID);
interest = FIX::DoubleConvertor::convert(message.getField(FXCM_POS_INTEREST));
commission = FIX::DoubleConvertor::convert(message.getField(FXCM_POS_COMMISSION));
open_time = parse_datetime(message.getField(FXCM_POS_OPEN_TIME));
int num_net_positions = FIX::IntConvertor::convert(message.getField(FIX::FIELD::NoPositions));
if (num_net_positions > 1) {
log::error<false>("FixClient::onMessage[FIX44::PositionReport] error: num_net_positions={} > 1 not expected", num_net_positions);
}
FIX44::PositionReport::NoPositions group;
message.getGroup(1, group);
int position_qty = 0;
if (group.isSetField(FIX::FIELD::LongQty)) {
position_qty = FIX::IntConvertor::convert(group.getField(FIX::FIELD::LongQty));
}
else if (group.isSetField(FIX::FIELD::ShortQty)) {
position_qty = -std::abs(FIX::IntConvertor::convert(group.getField(FIX::FIELD::ShortQty)));
}
else {
log::error<false>("FixClient::onMessage[FIX44::PositionReport] error: neither LongQty nor ShortQty defined");
}
bool is_open = true;
if (pos_req_type == 0) { // 0 - Open Position (positions)
is_open = true;
used_margin = FIX::DoubleConvertor::convert(message.getField(FXCM_USED_MARGIN));
} else if (pos_req_type == 1) { // 1 - Closed Position (trades)
is_open = false;
close_pnl = FIX::DoubleConvertor::convert(message.getField(FXCM_CLOSE_PNL));
close_settle_price = FIX::DoubleConvertor::convert(message.getField(FXCM_CLOSE_SETTLE_PRICE));
close_time = parse_datetime(message.getField(FXCM_POS_CLOSE_TIME));
close_order_id = message.getField(FXCM_CLOSE_ORDER_ID);
close_cl_ord_id = message.getField(FXCM_CLOSE_CL_ORD_ID);
}
else {
log::error<false>("FixClient::onMessage[FIX44::PositionReport] error: unexpected pos_req_type={}", pos_req_type.getValue());
}
bool is_closed = !is_open;
FXCMPositionReport position_report{
.account = account.getValue(),
.symbol = symbol.getValue(),
.currency = currency.getValue(),
.position_id = position_id,
.settle_price = settle_price.getValue(),
.is_open = is_open,
.interest = interest,
.commission = commission,
.open_time = open_time,
.used_margin = is_open ? used_margin : std::optional<double>(),
.close_pnl = is_closed ? close_pnl : std::optional<double>(),
.close_settle_price = is_closed ? close_pnl : std::optional<double>(),
.close_time = is_closed ? close_time : std::optional<std::chrono::nanoseconds>(),
.close_order_id = is_closed ? close_order_id : std::optional<std::string>(),
.close_cl_ord_id = is_closed ? close_cl_ord_id : std::optional<std::string>(),
};
message.get(unsoliciated_ind);
if (unsoliciated_ind.getValue()) { // this message is result of a subscription
log::debug<dl1, false>("FixClient::onMessage[FIX44::PositionReport]: publish position subscription report");
position_report_queue.push(position_report);
}
else { // 325=N (snapshot request)
FIX::TotalNumPosReports total_num_reports;
message.get(total_num_reports);
bool last = false;
if (message.isSetField(FIX::FIELD::LastRptRequested)) {
last = message.getField(FIX::FIELD::LastRptRequested) == "Y";
}
position_report_list.emplace_back(position_report);
bool is_last = total_num_reports.getValue() == position_report_list.size();
if (is_last) {
log::debug<dl1, false>(
"FixClient::onMessage[FIX44::PositionReport]: publish {} position snapshot reports, last={}",
position_report_list.size(), (last ? "true" : "false")
);
position_snapshot_reports_queue.push(
FXCMPositionReports{.reports=std::move(position_report_list)}
);
position_report_list = std::vector<FXCMPositionReport>();
}
}
}
catch (FIX::FieldNotFound& error) {
log::error<false>(
"FixClient::onMessage[FIX44::PositionReport]: field not found {}",
error.what()
);
}
}
void FixClient::onMessage(const FIX44::MarketDataSnapshotFullRefresh& message, const FIX::SessionID& session_ID)
{
auto& symbol = message.getField(FIX::FIELD::Symbol);
auto& top_of_book = top_of_books.insert_or_assign(symbol, TopOfBook(symbol)).first->second;
double session_high_price;
double session_low_price;
std::chrono::nanoseconds timestamp;
FIX::MDEntryType entry_type;
FIX::MDEntrySize size;
FIX::MDEntryPx price;
int entry_count = FIX::IntConvertor::convert(message.getField(FIX::FIELD::NoMDEntries));
for (int i = 1; i <= entry_count; i++) {
FIX44::MarketDataSnapshotFullRefresh::NoMDEntries group;
message.getGroup(i, group);
if (i == 1) {
timestamp = parse_date_and_time(group);
top_of_book.timestamp = timestamp;
}
group.get(entry_type);
group.get(price);
if (entry_type == FIX::MDEntryType_BID) {
top_of_book.bid_price = price;
if (group.getIfSet(size)) {
top_of_book.bid_volume = size;
}
}
else if (entry_type == FIX::MDEntryType_OFFER) {
top_of_book.ask_price = price;
if (group.getIfSet(size)) {
top_of_book.ask_volume = size;
}
}
else if (entry_type == FIX::MDEntryType_TRADING_SESSION_HIGH_PRICE) {
session_high_price = price;
}
else if (entry_type == FIX::MDEntryType_TRADING_SESSION_LOW_PRICE) {
session_low_price = price;
}
else {
log::error<false>(
"FixClient::onMessage[FIX44::MarketDataSnapshotFullRefresh]: unexpected md entry type={} price={}",
entry_type.getValue(), price.getValue()
);
}
}
log::debug<dl5, false>("FixClient::onMessage[FIX44::MarketDataSnapshotFullRefresh]: top={}", top_of_book.to_string());
top_of_book_queue.push(top_of_book); // publish snapshot related top of book
if (subscribe_after_snapshot) {
subscribe_market_data(symbol, true, false);
subscribe_after_snapshot = false;
}
}
void FixClient::onMessage(const FIX44::MarketDataIncrementalRefresh& message, const FIX::SessionID&)
{
// TODO currently session high and low price is not transmitted to any consumer or queue
double session_high_price;
double session_low_price;
std::chrono::nanoseconds timestamp = common::get_current_system_clock();
FIX::MDEntryType entry_type;
FIX::MDEntrySize size;
FIX::MDEntryPx price;
std::set<TopOfBook*> change_set;
int entry_count = FIX::IntConvertor::convert(message.getField(FIX::FIELD::NoMDEntries));
for (int i = 1; i <= entry_count; i++) {
FIX44::MarketDataIncrementalRefresh::NoMDEntries group;
message.getGroup(i, group);
auto& symbol = group.getField(FIX::FIELD::Symbol);
auto it = top_of_books.find(symbol);
if (it == top_of_books.end()) {
log::error<false>("FixClient::onMessage[FIX44::MarketDataIncrementalRefresh]: did not find symbol={} in top of books", symbol);
continue;
}
if (i == 1) {
if (group.isSetField(FIX::FIELD::MDEntryDate) && group.isSetField(FIX::FIELD::MDEntryTime)) {
timestamp = parse_date_and_time(group, FIX::FIELD::MDEntryDate, FIX::FIELD::MDEntryTime);
}
}
group.get(entry_type);
group.get(price);
if (entry_type == FIX::MDEntryType_BID) {
it->second.bid_price = price;
if (group.getIfSet(size)) {
it->second.bid_volume = size;
}
it->second.timestamp = timestamp;
change_set.insert(&it->second);
}
else if (entry_type == FIX::MDEntryType_OFFER) {
it->second.ask_price = price;
if (group.getIfSet(size)) {
it->second.ask_volume = size;
}
it->second.timestamp = timestamp;
change_set.insert(&it->second);
}
else if (entry_type == FIX::MDEntryType_TRADING_SESSION_HIGH_PRICE) {
session_high_price = price;
}
else if (entry_type == FIX::MDEntryType_TRADING_SESSION_LOW_PRICE) {
session_low_price = price;
}
else {
log::error<false>(
"FixClient::onMessage[FIX44::MarketDataIncrementalRefresh]: unexpected md entry type={} price={}",
entry_type.getValue(), price.getValue()
);
}
}
for (auto top_of_book : change_set) {
log::debug<dl5, false>("FixClient::onMessage[FIX44::MarketDataIncrementalRefresh]: top={}", top_of_book->to_string());
top_of_book_queue.push(*top_of_book); // publish snapshot related top of book
}
}
void FixClient::onMessage(const FIX44::ExecutionReport& message, const FIX::SessionID&)
{
try {
FIX::Symbol symbol;
FIX::ExecID exec_id;
FIX::ExecType exec_type;
FIX::OrderID ord_id;
FIX::ClOrdID cl_ord_id;
FIX::OrdStatus ord_status;
FIX::OrdType ord_type;
FIX::Side side;
FIX::TimeInForce tif;
FIX::Price price;
FIX::OrderQty order_qty;
FIX::LastQty last_qty;
FIX::LastPx last_px;
FIX::LeavesQty leaves_qty;
FIX::CumQty cum_qty;
FIX::AvgPx avg_px;
FIX::Text text;
FIX::LastRptRequested last_rpt_requested;
FIX::MassStatusReqID mass_status_req_id;
message.get(exec_type);
if (exec_type != FIX::ExecType_ORDER_STATUS) {
message.get(symbol);
message.get(exec_id);
message.get(ord_id);
message.get(cl_ord_id);
message.get(ord_status);
message.getIfSet(ord_type);
message.get(side);
message.get(tif);
message.get(price);
message.get(avg_px);
message.get(order_qty);
message.get(last_qty);
message.get(leaves_qty);
message.get(last_px);
message.get(cum_qty);
message.getIfSet(text);
std::string position_id;
if (message.isSetField(FXCM_FIX_FIELDS::FXCM_POS_ID)) {
position_id = message.getField(FXCM_FIX_FIELDS::FXCM_POS_ID);
}
else {
log::error<false>("FixClient::on_message[ExecutionReport]: no position id set {}", fix_string(message));
}
ExecReport report(
symbol.getString(),
ord_id.getString(),
cl_ord_id.getString(),
exec_id.getString(),
exec_type.getValue(),
ord_type.getValue(),
ord_status.getValue(),
side.getValue(),
tif.getValue(),
price.getValue(),
avg_px.getValue(),
order_qty.getValue(),
last_qty.getValue(),
last_px.getValue(),
cum_qty.getValue(),
leaves_qty.getValue(),
text.getString(),
position_id
);
log::debug<dl0, false>("FixClient::on_message[ExecutionReport]: {}", report.to_string("position_id"));
exec_report_queue.push(report);
}
else {
message.get(ord_status);
if (ord_status != FIX::OrdStatus_REJECTED) {
message.get(symbol);
message.get(exec_id);
message.get(ord_id);
message.getIfSet(cl_ord_id);
message.getIfSet(ord_type);
message.get(side);
message.get(tif);
message.get(price);
message.get(avg_px);
message.get(order_qty);
message.get(last_qty);
message.get(leaves_qty);
message.get(last_px);
message.get(cum_qty);
message.getIfSet(text);