com.paritytrading.philadelphia.FIXMessage Java Examples

@Test
public void sign() {
    FIXMessage message = new FIXMessage(64, 64);

    message.addField(SenderCompID).setString("foo");
    message.addField(TargetCompID).setString("Coinbase");
    message.addField(MsgSeqNum).setInt(1);
    message.addField(SendingTime).setString("20160118-09:30:00.000");
    message.addField(EncryptMethod).setInt(EncryptMethodValues.None);
    message.addField(HeartBtInt).setInt(30);
    message.addField(Password).setString("bar");

    String secret = "baz";

    Coinbase.sign(message, secret);

    assertNotNull(message.valueOf(RawData));
}
 

static Message get(FIXMessage message) {
    List<Field> fields = new ArrayList<>();

    String msgType = null;

    for (int i = 0; i < message.getFieldCount(); i++) {
        int    tag   = message.tagAt(i);
        String value = message.valueAt(i).asString();

        if (tag == MsgType)
            msgType = value;
        else
            fields.add(new Field(tag, value));
    }

    if (msgType == null)
        throw new IllegalArgumentException("MsgType(35) missing");

    return new Message(msgType, fields);
}
 

@Override
public void logon(FIXConnection connection, FIXMessage message) throws IOException {
    FIXValue username = message.valueOf(Username);
    FIXValue password = message.valueOf(Password);

    if (requiredTagMissing(message, username, "Username(553)"))
        return;

    if (requiredTagMissing(message, password, "Password(554)"))
        return;

    fix.updateCompID(message);

    ASCII.putLeft(loginRequest.username, username.asString());
    ASCII.putLeft(loginRequest.password, password.asString());
    ASCII.putRight(loginRequest.requestedSession, "");
    ASCII.putLongRight(loginRequest.requestedSequenceNumber, 0);

    orderEntry.login(loginRequest);
}
 

void sendAndReceive(FIXMessage message, FIXValue clOrdId, int orders) throws IOException {
    for (long sentAtNanoTime = System.nanoTime(); receiveCount < orders; connection.receive()) {
        if (System.nanoTime() >= sentAtNanoTime) {
            clOrdId.setInt(sentAtNanoTime);

            connection.update(message);
            connection.send(message);

            sentAtNanoTime += intervalNanos;
        }
    }
}
 

private boolean requiredTagMissing(FIXMessage message, FIXValue value, String tag) throws IOException {
    if (value != null)
        return false;

    fix.sendReject(message.getMsgSeqNum(), SessionRejectReasonValues.RequiredTagMissing, tag + " missing");

    return true;
}
 

private static void appendField(FIXMessage message, int tag, String fieldName, StringBuilder s) {
    FIXValue value = message.valueOf(tag);
    if (value == null)
        throw new IllegalStateException(fieldName + " not found");

    value.asString(s);
}
 

@Override
public void logout(FIXConnection connection, FIXMessage message) {
    add(message);
}
 

private void add(FIXMessage message) {
    add(Message.get(message));
}
 

@Override
public void logon(FIXConnection connection, FIXMessage message) {
    add(message);
}
 

private void orderCancel(FIXMessage message, char msgType) throws IOException {
    FIXValue clOrdIdValue     = null;
    FIXValue origClOrdIdValue = null;
    FIXValue orderQtyValue    = null;

    for (int i = 0; i < message.getFieldCount(); i++) {
        switch (message.tagAt(i)) {
        case ClOrdID:
            clOrdIdValue = message.valueAt(i);
            break;
        case OrigClOrdID:
            origClOrdIdValue = message.valueAt(i);
            break;
        case OrderQty:
            orderQtyValue = message.valueAt(i);
            break;
        }
    }

    if (requiredTagMissing(message, origClOrdIdValue, "OrigClOrdID(41)"))
        return;

    if (requiredTagMissing(message, clOrdIdValue, "ClOrdID(11)"))
        return;

    if (msgType == OrderCancelReplaceRequest) {
        if (requiredTagMissing(message, orderQtyValue, "OrderQty(38)"))
            return;
    }

    char cxlRejResponseTo = CxlRejResponseToValues.OrderCancelRequest;

    if (msgType == OrderCancelReplaceRequest)
        cxlRejResponseTo = CxlRejResponseToValues.OrderCancel;

    String origClOrdId = origClOrdIdValue.asString();
    String clOrdId     = clOrdIdValue.asString();

    Order order = orders.findByClOrdID(origClOrdId);
    if (order == null) {
        sendOrderCancelReject(clOrdId, origClOrdId, cxlRejResponseTo);

        return;
    } else if (order.isInPendingStatus()) {
        sendOrderCancelReject(order, clOrdId, cxlRejResponseTo,
                CxlRejReasonValues.OrderAlreadyInPendingStatus);

        return;
    }

    if (orders.findByClOrdID(clOrdId) != null) {
        sendOrderCancelReject(order, clOrdId, cxlRejResponseTo,
                CxlRejReasonValues.DuplicateClOrdID);
        return;
    }

    double orderQty = 0.0;

    if (msgType == OrderCancelReplaceRequest) {
        try {
            orderQty = orderQtyValue.asFloat();
        } catch (FIXValueFormatException e) {
            incorrectDataFormatForValue(message, "Expected 'float' in OrderQty(38)");
            return;
        }
    }

    double qty = Math.max(orderQty - order.getCumQty(), 0);

    Instrument config = instruments.get(order.getSymbol());

    order.setNextClOrdID(clOrdId);
    order.setCxlRejResponseTo(cxlRejResponseTo);

    ASCII.putLongLeft(cancelOrder.orderId, order.getOrderEntryID());
    cancelOrder.quantity = (long)(qty * config.getSizeFactor());

    send(cancelOrder);

    char execType  = ExecTypeValues.PendingCancel;
    char ordStatus = OrdStatusValues.PendingCancel;

    if (msgType == OrderCancelReplaceRequest) {
        execType  = ExecTypeValues.PendingReplace;
        ordStatus = OrdStatusValues.PendingReplace;
    }

    sendOrderCancelAcknowledgement(order, execType, ordStatus);
}
 

@Override
public void reject(FIXConnection connection, FIXMessage message) {
    add(message);
}
 

@Override
public void logout(FIXConnection connection, FIXMessage message) throws IOException {
    fix.sendLogout();

    orderEntry.logout();
}
 

@Override
public void reject(FIXConnection connection, FIXMessage message) {
}
 

private void invalidMsgType(FIXMessage message) throws IOException {
    fix.sendReject(message.getMsgSeqNum(), SessionRejectReasonValues.InvalidMsgType,
            "Invalid MsgType(35)");
}
 

void put(FIXMessage message) {
    for (Field field : fields)
        message.addField(field.getTag()).setString(field.getValue());
}
 

private void valueIsIncorrect(FIXMessage message, String text) throws IOException {
    fix.sendReject(message.getMsgSeqNum(), SessionRejectReasonValues.ValueIsIncorrect, text);
}
 

private void incorrectDataFormatForValue(FIXMessage message, String text) throws IOException {
    fix.sendReject(message.getMsgSeqNum(), SessionRejectReasonValues.IncorrectDataFormatForValue, text);
}