generic json for fix messages
This commit is contained in:
Ramiro Paz
@ -40,7 +40,8 @@ type Service struct {
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}
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type FIXConfig struct {
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SettingsFile string // path to fix.cfg file
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SettingsFile string // path to fix.cfg file
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DataDictionaryFile string // path to FIX data dictionary XML (e.g. spec/FIX50SP2.xml)
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}
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type ExtAuth struct {
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172
src/client/fix/builder.go
Normal file
172
src/client/fix/builder.go
Normal file
@ -0,0 +1,172 @@
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package fix
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import (
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"fmt"
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"quantex.com/qfixdpl/quickfix"
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"quantex.com/qfixdpl/quickfix/datadictionary"
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)
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// BuildFieldMap walks a quickfix.FieldMap and produces an enriched FieldMap
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// keyed by FixField (Name + Tag + Type) with values typed per the FIX
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// data dictionary. Repeating groups become []FieldMap; nested groups recurse.
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func BuildFieldMap(qfMap quickfix.FieldMap, dd *datadictionary.DataDictionary, fieldsByTag map[int]*datadictionary.FieldDef) FieldMap {
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out := FieldMap{}
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for _, t := range qfMap.Tags() {
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tagInt := int(t)
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rawValues := qfMap.RawValues(t)
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if len(rawValues) == 0 {
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continue
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}
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ff, fd := resolveField(dd, fieldsByTag, tagInt)
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if ff.Type == "NUMINGROUP" {
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if fd != nil && fd.IsGroup() {
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out[ff] = buildGroup(rawValues[1:], dd, fd.Fields)
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} else {
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// Count tag with no group structure available (dictionary lookup
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// failed, or quickfix didn't nest the inner fields). Emit an empty
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// group rather than an int so the consumer's type expectation holds.
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out[ff] = []FieldMap{}
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}
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continue
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}
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out[ff] = parseScalar(rawValues[0].Value(), ff.Type)
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}
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return out
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}
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// buildGroup splits a flat slice of TagValues (the inner values of a NUMINGROUP,
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// excluding the count) into per-repetition FieldMaps. The first element of
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// innerFields is the delimiter that marks the start of each repetition.
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func buildGroup(tvs []quickfix.TagValue, dd *datadictionary.DataDictionary, innerFields []*datadictionary.FieldDef) []FieldMap {
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if len(innerFields) == 0 || len(tvs) == 0 {
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return nil
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}
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delimiter := innerFields[0].Tag()
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fdByTag := make(map[int]*datadictionary.FieldDef, len(innerFields))
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for _, f := range innerFields {
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fdByTag[f.Tag()] = f
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}
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var (
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repetitions []FieldMap
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current FieldMap
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)
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i := 0
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for i < len(tvs) {
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tv := tvs[i]
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tagInt := int(tv.Tag())
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if tagInt == delimiter {
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current = FieldMap{}
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repetitions = append(repetitions, current)
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}
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if current == nil {
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// Field appeared before the first delimiter; skip.
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i++
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continue
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}
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fd, known := fdByTag[tagInt]
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if !known {
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current[FixField{Name: fmt.Sprintf("tag_%d", tagInt), Tag: tagInt, Type: "STRING"}] = string(tv.Value())
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i++
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continue
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}
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if fd.IsGroup() {
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nestedAllowed := allowedTags(fd.Fields)
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j := i + 1
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for j < len(tvs) && nestedAllowed[int(tvs[j].Tag())] {
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j++
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}
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nested := buildGroup(tvs[i+1:j], dd, fd.Fields)
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current[FixField{Name: fd.Name(), Tag: tagInt, Type: "NUMINGROUP"}] = nested
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i = j
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continue
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}
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current[FixField{Name: fd.Name(), Tag: tagInt, Type: fd.Type}] = parseScalar(tv.Value(), fd.Type)
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i++
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}
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return repetitions
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}
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// resolveField looks up the FixField metadata (name + type) for a tag.
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// Prefers the message-level FieldDef so group structure is preserved;
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// falls back to the global FieldTypeByTag, then to a synthetic "tag_<N>" STRING.
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func resolveField(dd *datadictionary.DataDictionary, fieldsByTag map[int]*datadictionary.FieldDef, tagInt int) (FixField, *datadictionary.FieldDef) {
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if fieldsByTag != nil {
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if fd, ok := fieldsByTag[tagInt]; ok {
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return FixField{Name: fd.Name(), Tag: tagInt, Type: fd.Type}, fd
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}
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}
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if dd != nil {
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if ft, ok := dd.FieldTypeByTag[tagInt]; ok {
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return FixField{Name: ft.Name(), Tag: tagInt, Type: ft.Type}, nil
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}
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}
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return FixField{Name: fmt.Sprintf("tag_%d", tagInt), Tag: tagInt, Type: "STRING"}, nil
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}
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// parseScalar converts raw FIX bytes into the Go type expected by the consumer
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// (GetKeyValue): bool for BOOLEAN, int for INT/SEQNUM, time.Time for UTCTIMESTAMP,
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// string for everything else.
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func parseScalar(raw []byte, fixType string) interface{} {
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s := string(raw)
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switch fixType {
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case "INT", "SEQNUM", "LENGTH", "DAYOFMONTH":
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var v quickfix.FIXInt
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if err := v.Read(raw); err == nil {
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return int(v)
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}
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return s
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case "BOOLEAN":
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var v quickfix.FIXBoolean
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if err := v.Read(raw); err == nil {
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return bool(v)
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}
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return s
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case "UTCTIMESTAMP":
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var v quickfix.FIXUTCTimestamp
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if err := v.Read(raw); err == nil {
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return v.Time
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}
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return s
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default:
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return s
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}
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}
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// allowedTags returns the set of all tags valid inside a group (including
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// nested-group counts and their descendants), used to detect where a flat
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// nested-group slice ends within its parent.
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func allowedTags(fields []*datadictionary.FieldDef) map[int]bool {
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out := make(map[int]bool, len(fields))
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var visit func(fs []*datadictionary.FieldDef)
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visit = func(fs []*datadictionary.FieldDef) {
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for _, f := range fs {
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out[f.Tag()] = true
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if f.IsGroup() {
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visit(f.Fields)
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}
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}
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}
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visit(fields)
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return out
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}
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113
src/client/fix/dict.go
Normal file
113
src/client/fix/dict.go
Normal file
@ -0,0 +1,113 @@
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package fix
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import (
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"log/slog"
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"time"
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"quantex.com/qfixdpl/src/common/tracerr"
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)
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// FixField identifies a single FIX field by its dictionary metadata.
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type FixField struct {
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Name string
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Tag int
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Type string
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}
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// FieldValue is the typed value for a FIX field.
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type FieldValue interface{}
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// FieldMap is the enriched representation of a FIX FieldMap (header, body, or trailer).
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type FieldMap map[FixField]FieldValue
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// GetMap converts a FieldMap into a JSON-friendly map keyed by field name.
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func GetMap(fieldMap FieldMap) map[string]interface{} {
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result := map[string]interface{}{}
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for f, v := range fieldMap {
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k, val := GetKeyValue(f, v)
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result[k] = val
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}
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return result
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}
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//nolint:funlen,gocyclo,cyclop //it's long but easy to read
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func GetKeyValue(f FixField, value FieldValue) (key string, val interface{}) {
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key = f.Name
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switch f.Type {
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case "NUMINGROUP":
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var groups []map[string]interface{}
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fMapLst, ok := value.([]FieldMap)
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if !ok {
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err := tracerr.Errorf("could not parse as []FieldMap, value: %+v", value)
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slog.Error(err.Error())
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}
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for _, fieldMap := range fMapLst {
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groups = append(groups, GetMap(fieldMap))
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}
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val = groups
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case "BOOLEAN":
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b, ok := value.(bool)
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if !ok {
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err := tracerr.Errorf("could not parse as bool, value: %+v", value)
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slog.Error(err.Error())
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}
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val = b
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case "INT":
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i, ok := value.(int)
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if !ok {
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err := tracerr.Errorf("could not parse as int, value: %+v", value)
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slog.Error(err.Error())
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}
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val = i
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case "SEQNUM":
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i, ok := value.(int)
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if !ok {
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err := tracerr.Errorf("could not parse as int, value: %+v", value)
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slog.Error(err.Error())
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}
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val = i
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case "UTCTIMESTAMP":
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t, ok := value.(time.Time)
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if !ok {
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err := tracerr.Errorf("could not parse as Time, value: %+v", value)
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slog.Error(err.Error())
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}
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val = t
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case "STRING":
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s, ok := value.(string)
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if !ok {
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err := tracerr.Errorf("could not parse as string, value: %+v", value)
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slog.Error(err.Error())
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}
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val = s
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case "CHAR":
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s, ok := value.(string)
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if !ok {
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err := tracerr.Errorf("could not parse as string, value: %+v", value)
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slog.Error(err.Error())
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}
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val = s
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default:
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s, ok := value.(string)
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if !ok {
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err := tracerr.Errorf("could not parse as string, value: %+v", value)
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slog.Error(err.Error())
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}
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val = s
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}
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return key, val
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}
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@ -10,6 +10,7 @@ import (
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"github.com/shopspring/decimal"
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"quantex.com/qfixdpl/quickfix"
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"quantex.com/qfixdpl/quickfix/datadictionary"
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"quantex.com/qfixdpl/quickfix/gen/enum"
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"quantex.com/qfixdpl/quickfix/gen/field"
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"quantex.com/qfixdpl/quickfix/gen/fix50sp2/executionack"
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@ -27,18 +28,10 @@ import (
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)
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type listTrade struct {
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QuoteReqID string
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ListID string
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Symbol string
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SecurityIDSrc enum.SecurityIDSource
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Currency string
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Side enum.Side
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OrderQty decimal.Decimal
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SettlDate string
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Price decimal.Decimal
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OwnerTraderID string
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SessionID quickfix.SessionID
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Quoted bool
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QuoteRequest domain.FixMessageJSON
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SessionID quickfix.SessionID
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Quoted bool
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Price decimal.Decimal
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}
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// Manager wraps the QuickFIX initiator and implements domain.FIXSender.
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@ -52,6 +45,7 @@ type Manager struct {
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store domain.PersistenceStore
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notify domain.Notifier
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cfg app.FIXConfig
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dict *datadictionary.DataDictionary
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}
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func NewManager(cfg app.FIXConfig, store domain.PersistenceStore, notify domain.Notifier) *Manager {
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@ -76,6 +70,15 @@ func (m *Manager) Start() error {
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fixApp.onRawMessage = m.handleRawMessage
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m.app = fixApp
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dict, err := datadictionary.Parse(m.cfg.DataDictionaryFile)
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if err != nil {
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err = tracerr.Errorf("error parsing FIX data dictionary %q: %w", m.cfg.DataDictionaryFile, err)
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slog.Error(err.Error())
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return err
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}
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m.dict = dict
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if err := m.loadActiveTrades(); err != nil {
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err = tracerr.Errorf("failed to load active trades from DB, starting with empty state: %w", err)
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slog.Error(err.Error())
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@ -191,13 +194,15 @@ func (m *Manager) sendExecutionAck(orderID, clOrdID, execID string, sessionID qu
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return quickfix.SendToTarget(bn, sessionID)
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}
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// handleQuoteRequest auto-responds to an incoming QuoteRequest with a QuoteStatusReport (acknowledge) followed by a Quote at price 99.6.
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// handleQuoteRequest auto-responds to an incoming QuoteRequest with a QuoteStatusReport (acknowledge).
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// The Quote (35=S) is sent later via the REST endpoint when the dealer prices it.
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func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID quickfix.SessionID) {
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quoteReqID, err := msg.GetQuoteReqID()
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if err != nil {
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err := tracerr.Errorf("handleQuoteRequest: missing QuoteReqID: %w", err)
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slog.Error(err.Error())
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parsed := parseQuoteRequest(msg, m.dict)
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quoteReqID := parsed.QuoteReqID
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if quoteReqID == "" {
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err := tracerr.Errorf("handleQuoteRequest: missing QuoteReqID")
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slog.Error(err.Error())
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return
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}
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@ -207,26 +212,22 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
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return
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}
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var (
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symbol, currency, ownerTraderID, settlDate, listID, negotiationType string
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side enum.Side
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secIDSource enum.SecurityIDSource
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orderQty decimal.Decimal
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)
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relatedSyms, relErr := msg.GetNoRelatedSym()
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if relErr == nil && relatedSyms.Len() > 0 {
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sym := relatedSyms.Get(0)
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symbol, _ = sym.GetSecurityID()
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secIDSource, _ = sym.GetSecurityIDSource()
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currency, _ = sym.GetCurrency()
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side, _ = sym.GetSide()
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ownerTraderID, _ = sym.GetOwnerTraderID()
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orderQty, _ = sym.GetOrderQty()
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settlDate, _ = sym.GetSettlDate()
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listID, _ = sym.GetListID()
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negotiationType, _ = sym.GetNegotiationType()
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bodyKeys := make([]string, 0, len(parsed.Body))
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for k := range parsed.Body {
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bodyKeys = append(bodyKeys, k)
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}
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slog.Info("handleQuoteRequest: parsed body keys", "quoteReqID", quoteReqID, "keys", bodyKeys)
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relSym := firstGroup(parsed.Body, "NoRelatedSym")
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relSymKeys := make([]string, 0, len(relSym))
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for k := range relSym {
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relSymKeys = append(relSymKeys, k)
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}
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slog.Info("handleQuoteRequest: NoRelatedSym keys", "quoteReqID", quoteReqID, "keys", relSymKeys)
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listID := getString(relSym, "ListID")
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negotiationType := getString(relSym, "NegotiationType")
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ownerTraderID := getString(relSym, "OwnerTraderID")
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if listID == "" {
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slog.Warn("handleQuoteRequest: missing ListID", "quoteReqID", quoteReqID)
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@ -246,33 +247,20 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
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}
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slog.Info("QuoteStatusReport sent", "quoteReqID", quoteReqID)
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sIDSource := enum.SecurityIDSource_ISIN_NUMBER
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if secIDSource == enum.SecurityIDSource_CUSIP {
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sIDSource = enum.SecurityIDSource_CUSIP
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}
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// Store trade state as pending; Quote (35=S) is sent later via REST endpoint.
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m.tradesMu.Lock()
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m.trades[quoteReqID] = &listTrade{
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QuoteReqID: quoteReqID,
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ListID: listID,
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Symbol: symbol,
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SecurityIDSrc: sIDSource,
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Currency: currency,
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Side: side,
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OrderQty: orderQty,
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SettlDate: settlDate,
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OwnerTraderID: ownerTraderID,
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SessionID: sessionID,
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Quoted: false,
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QuoteRequest: parsed,
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SessionID: sessionID,
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Quoted: false,
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}
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m.tradesMu.Unlock()
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// Persist structured message (outside mutex).
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m.persistMessage(quoteReqID, parseQuoteRequest(msg))
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// Persist incoming QuoteRequest.
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m.persistMessage(quoteReqID, parsed)
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// Persist outgoing QuoteStatusReport.
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m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]interface{}{
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m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]any{
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"QuoteReqID": quoteReqID,
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"QuoteStatus": string(enum.QuoteStatus_ACCEPTED),
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"OwnerTraderID": ownerTraderID,
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@ -285,7 +273,7 @@ func (m *Manager) handleQuoteAck(msg quoteack.QuoteAck, sessionID quickfix.Sessi
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status, _ := msg.GetQuoteAckStatus()
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text, _ := msg.GetText()
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m.persistMessage(quoteReqID, parseQuoteAck(msg))
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m.persistMessage(quoteReqID, parseQuoteAck(msg, m.dict))
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if status != enum.QuoteAckStatus_ACCEPTED {
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err := tracerr.Errorf("handleQuoteAck: quote rejected by TW (quoteReqID=%s, quoteAckStatus=%s, text=%s)", quoteReqID, string(status), text)
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@ -331,10 +319,10 @@ func (m *Manager) handleQuoteResponse(msg quoteresponse.QuoteResponse, sessionID
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slog.Info("QuoteResponse ACK sent", "quoteReqID", quoteReqID, "quoteRespID", quoteRespID)
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|
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// Persist incoming QuoteResponse.
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m.persistMessage(quoteReqID, parseQuoteResponse(msg))
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m.persistMessage(quoteReqID, parseQuoteResponse(msg, m.dict))
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// Persist outgoing ACK.
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m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]interface{}{
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||||
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]any{
|
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"QuoteReqID": quoteReqID,
|
||||
"QuoteRespID": quoteRespID,
|
||||
"QuoteStatus": string(enum.QuoteStatus_ACCEPTED),
|
||||
@ -394,10 +382,10 @@ func (m *Manager) handleExecutionReport(msg executionreport.ExecutionReport, ses
|
||||
}
|
||||
|
||||
// Persist incoming ExecutionReport.
|
||||
m.persistMessage(clOrdID, parseExecutionReport(msg))
|
||||
m.persistMessage(clOrdID, parseExecutionReport(msg, m.dict))
|
||||
|
||||
// Persist outgoing ExecutionAck.
|
||||
m.persistMessage(clOrdID, buildOutgoingMessageJSON("BN", clOrdID, map[string]interface{}{
|
||||
m.persistMessage(clOrdID, buildOutgoingMessageJSON("BN", clOrdID, map[string]any{
|
||||
"OrderID": orderID,
|
||||
"ExecID": execID,
|
||||
"ClOrdID": clOrdID,
|
||||
@ -439,18 +427,14 @@ func (m *Manager) GetPendingQuoteRequests() []domain.ListTrade {
|
||||
}
|
||||
|
||||
func toDomainListTrade(t *listTrade) domain.ListTrade {
|
||||
return domain.ListTrade{
|
||||
QuoteReqID: t.QuoteReqID,
|
||||
ListID: t.ListID,
|
||||
Symbol: t.Symbol,
|
||||
SecurityIDSrc: string(t.SecurityIDSrc),
|
||||
Currency: t.Currency,
|
||||
Side: string(t.Side),
|
||||
OrderQty: t.OrderQty.String(),
|
||||
SettlDate: t.SettlDate,
|
||||
Price: t.Price.String(),
|
||||
OwnerTraderID: t.OwnerTraderID,
|
||||
out := domain.ListTrade{
|
||||
QuoteRequest: t.QuoteRequest,
|
||||
Quoted: t.Quoted,
|
||||
}
|
||||
if !t.Price.IsZero() {
|
||||
out.Price = t.Price.String()
|
||||
}
|
||||
return out
|
||||
}
|
||||
|
||||
// SendQuote builds and sends a Quote (35=S) for an existing pending QuoteRequest at the given price.
|
||||
@ -481,15 +465,20 @@ func (m *Manager) SendQuote(quoteReqID string, price decimal.Decimal) error {
|
||||
}
|
||||
}
|
||||
|
||||
symbol := t.Symbol
|
||||
sIDSource := t.SecurityIDSrc
|
||||
currency := t.Currency
|
||||
side := t.Side
|
||||
orderQty := t.OrderQty
|
||||
settlDate := t.SettlDate
|
||||
ownerTraderID := t.OwnerTraderID
|
||||
relSym := firstGroup(t.QuoteRequest.Body, "NoRelatedSym")
|
||||
symbol := getString(relSym, "SecurityID")
|
||||
sIDSource := enum.SecurityIDSource(getString(relSym, "SecurityIDSource"))
|
||||
currency := getString(relSym, "Currency")
|
||||
side := enum.Side(getString(relSym, "Side"))
|
||||
orderQty := getDecimal(relSym, "OrderQty")
|
||||
settlDate := getString(relSym, "SettlDate")
|
||||
ownerTraderID := getString(relSym, "OwnerTraderID")
|
||||
m.tradesMu.Unlock()
|
||||
|
||||
if sIDSource != enum.SecurityIDSource_CUSIP {
|
||||
sIDSource = enum.SecurityIDSource_ISIN_NUMBER
|
||||
}
|
||||
|
||||
quoteID := quoteReqID
|
||||
q := quote.New(
|
||||
field.NewQuoteID(quoteID),
|
||||
@ -545,7 +534,7 @@ func (m *Manager) SendQuote(quoteReqID string, price decimal.Decimal) error {
|
||||
|
||||
slog.Info("Quote sent", "quoteReqID", quoteReqID, "quoteID", quoteID, "symbol", symbol, "price", price.String())
|
||||
|
||||
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("S", quoteReqID, map[string]interface{}{
|
||||
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("S", quoteReqID, map[string]any{
|
||||
"QuoteReqID": quoteReqID,
|
||||
"QuoteID": quoteID,
|
||||
"Symbol": symbol,
|
||||
@ -559,6 +548,45 @@ func (m *Manager) SendQuote(quoteReqID string, price decimal.Decimal) error {
|
||||
return nil
|
||||
}
|
||||
|
||||
// firstGroup returns the first repetition of a NUMINGROUP field, or nil.
|
||||
func firstGroup(body map[string]any, name string) map[string]any {
|
||||
if body == nil {
|
||||
return nil
|
||||
}
|
||||
groups, ok := body[name].([]map[string]any)
|
||||
if !ok || len(groups) == 0 {
|
||||
return nil
|
||||
}
|
||||
return groups[0]
|
||||
}
|
||||
|
||||
// getString reads a string value from a body map, tolerating nil maps and missing keys.
|
||||
func getString(body map[string]any, name string) string {
|
||||
if body == nil {
|
||||
return ""
|
||||
}
|
||||
if v, ok := body[name].(string); ok {
|
||||
return v
|
||||
}
|
||||
return ""
|
||||
}
|
||||
|
||||
// getDecimal reads a decimal value from a body map. Numeric FIX types come through
|
||||
// as strings (e.g. "10000"); INT-typed counts may be int. Both are accepted.
|
||||
func getDecimal(body map[string]any, name string) decimal.Decimal {
|
||||
if body == nil {
|
||||
return decimal.Decimal{}
|
||||
}
|
||||
switch v := body[name].(type) {
|
||||
case string:
|
||||
d, _ := decimal.NewFromString(v)
|
||||
return d
|
||||
case int:
|
||||
return decimal.NewFromInt(int64(v))
|
||||
}
|
||||
return decimal.Decimal{}
|
||||
}
|
||||
|
||||
func (m *Manager) anyActiveSessionID() quickfix.SessionID {
|
||||
m.sessionsMu.RLock()
|
||||
defer m.sessionsMu.RUnlock()
|
||||
@ -608,84 +636,38 @@ func (m *Manager) loadActiveTrades() error {
|
||||
continue
|
||||
}
|
||||
|
||||
body := msg.JMessage.Body
|
||||
|
||||
nt, _ := body["NegotiationType"].(string)
|
||||
if nt != "RFQ" {
|
||||
relSym := firstGroup(msg.JMessage.Body, "NoRelatedSym")
|
||||
if getString(relSym, "NegotiationType") != "RFQ" {
|
||||
continue
|
||||
}
|
||||
if getString(relSym, "ListID") == "" {
|
||||
continue
|
||||
}
|
||||
|
||||
listID, _ := body["ListID"].(string)
|
||||
if listID == "" {
|
||||
continue
|
||||
activeTrades[msg.QuoteReqID] = &listTrade{
|
||||
QuoteRequest: msg.JMessage,
|
||||
}
|
||||
|
||||
trade := &listTrade{
|
||||
QuoteReqID: msg.QuoteReqID,
|
||||
ListID: listID,
|
||||
}
|
||||
|
||||
if v, ok := body["SecurityID"].(string); ok {
|
||||
trade.Symbol = v
|
||||
}
|
||||
|
||||
if v, ok := body["SecurityIDSource"].(string); ok {
|
||||
trade.SecurityIDSrc = enum.SecurityIDSource(v)
|
||||
}
|
||||
|
||||
if v, ok := body["Currency"].(string); ok {
|
||||
trade.Currency = v
|
||||
}
|
||||
|
||||
if v, ok := body["Side"].(string); ok {
|
||||
trade.Side = enum.Side(v)
|
||||
}
|
||||
|
||||
if v, ok := body["OrderQty"].(string); ok {
|
||||
trade.OrderQty, _ = decimal.NewFromString(v)
|
||||
}
|
||||
|
||||
if v, ok := body["SettlDate"].(string); ok {
|
||||
trade.SettlDate = v
|
||||
}
|
||||
|
||||
if v, ok := body["OwnerTraderID"].(string); ok {
|
||||
trade.OwnerTraderID = v
|
||||
}
|
||||
|
||||
activeTrades[msg.QuoteReqID] = trade
|
||||
|
||||
case "S": // Outgoing Quote — dealer has already quoted this trade
|
||||
if t, ok := activeTrades[msg.QuoteReqID]; ok {
|
||||
t.Quoted = true
|
||||
if v, ok := msg.JMessage.Body["Price"].(string); ok {
|
||||
t.Price, _ = decimal.NewFromString(v)
|
||||
}
|
||||
t.Price = getDecimal(msg.JMessage.Body, "Price")
|
||||
}
|
||||
|
||||
case "CW": // QuoteAck — if rejected, trade is dead
|
||||
body := msg.JMessage.Body
|
||||
quoteAckStatus, _ := body["QuoteAckStatus"].(string)
|
||||
|
||||
if quoteAckStatus != string(enum.QuoteAckStatus_ACCEPTED) {
|
||||
if getString(msg.JMessage.Body, "QuoteAckStatus") != string(enum.QuoteAckStatus_ACCEPTED) {
|
||||
delete(activeTrades, msg.QuoteReqID)
|
||||
}
|
||||
|
||||
case "AJ": // QuoteResponse — _TRDSUMM means trade is done (flow 8.6)
|
||||
body := msg.JMessage.Body
|
||||
quoteRespID, _ := body["QuoteRespID"].(string)
|
||||
|
||||
if strings.HasSuffix(quoteRespID, "_TRDSUMM") {
|
||||
if strings.HasSuffix(getString(msg.JMessage.Body, "QuoteRespID"), "_TRDSUMM") {
|
||||
delete(activeTrades, msg.QuoteReqID)
|
||||
}
|
||||
|
||||
case "8": // ExecutionReport — _TRDSUMM means trade is done (flow 8.4)
|
||||
body := msg.JMessage.Body
|
||||
execID, _ := body["ExecID"].(string)
|
||||
clOrdID, _ := body["ClOrdID"].(string)
|
||||
|
||||
if strings.Contains(execID, "_TRDSUMM") {
|
||||
delete(activeTrades, clOrdID)
|
||||
if strings.Contains(getString(body, "ExecID"), "_TRDSUMM") {
|
||||
delete(activeTrades, getString(body, "ClOrdID"))
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
@ -4,6 +4,7 @@ import (
|
||||
"time"
|
||||
|
||||
"quantex.com/qfixdpl/quickfix"
|
||||
"quantex.com/qfixdpl/quickfix/datadictionary"
|
||||
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/executionreport"
|
||||
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoteack"
|
||||
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoterequest"
|
||||
@ -12,188 +13,56 @@ import (
|
||||
"quantex.com/qfixdpl/src/domain"
|
||||
)
|
||||
|
||||
func extractHeader(msg *quickfix.Message) map[string]interface{} {
|
||||
header := make(map[string]interface{})
|
||||
// buildFixMessageJSON walks the full FIX message (header + body + trailer)
|
||||
// using the data dictionary and returns a fully populated FixMessageJSON.
|
||||
func buildFixMessageJSON(direction, msgType, quoteReqID string, msg *quickfix.Message, dd *datadictionary.DataDictionary) domain.FixMessageJSON {
|
||||
var (
|
||||
headerFields map[int]*datadictionary.FieldDef
|
||||
trailerFields map[int]*datadictionary.FieldDef
|
||||
bodyFields map[int]*datadictionary.FieldDef
|
||||
)
|
||||
|
||||
if v, err := msg.Header.GetBytes(tag.BeginString); err == nil {
|
||||
header["BeginString"] = string(v)
|
||||
}
|
||||
if v, err := msg.Header.GetBytes(tag.MsgType); err == nil {
|
||||
header["MsgType"] = string(v)
|
||||
}
|
||||
if v, err := msg.Header.GetBytes(tag.SenderCompID); err == nil {
|
||||
header["SenderCompID"] = string(v)
|
||||
}
|
||||
if v, err := msg.Header.GetBytes(tag.TargetCompID); err == nil {
|
||||
header["TargetCompID"] = string(v)
|
||||
}
|
||||
if v, err := msg.Header.GetBytes(tag.MsgSeqNum); err == nil {
|
||||
header["MsgSeqNum"] = string(v)
|
||||
}
|
||||
if v, err := msg.Header.GetBytes(tag.SendingTime); err == nil {
|
||||
header["SendingTime"] = string(v)
|
||||
}
|
||||
|
||||
return header
|
||||
}
|
||||
|
||||
func parseQuoteRequest(msg quoterequest.QuoteRequest) domain.FixMessageJSON {
|
||||
quoteReqID, _ := msg.GetQuoteReqID()
|
||||
body := map[string]interface{}{"QuoteReqID": quoteReqID}
|
||||
|
||||
if relSyms, err := msg.GetNoRelatedSym(); err == nil && relSyms.Len() > 0 {
|
||||
sym := relSyms.Get(0)
|
||||
if v, e := sym.GetSecurityID(); e == nil {
|
||||
body["SecurityID"] = v
|
||||
if dd != nil {
|
||||
if dd.Header != nil {
|
||||
headerFields = dd.Header.Fields
|
||||
}
|
||||
if v, e := sym.GetSecurityIDSource(); e == nil {
|
||||
body["SecurityIDSource"] = string(v)
|
||||
if dd.Trailer != nil {
|
||||
trailerFields = dd.Trailer.Fields
|
||||
}
|
||||
if v, e := sym.GetCurrency(); e == nil {
|
||||
body["Currency"] = v
|
||||
}
|
||||
if v, e := sym.GetSide(); e == nil {
|
||||
body["Side"] = string(v)
|
||||
}
|
||||
if v, e := sym.GetOrderQty(); e == nil {
|
||||
body["OrderQty"] = v.String()
|
||||
}
|
||||
if v, e := sym.GetSettlDate(); e == nil {
|
||||
body["SettlDate"] = v
|
||||
}
|
||||
if v, e := sym.GetListID(); e == nil {
|
||||
body["ListID"] = v
|
||||
}
|
||||
if v, e := sym.GetOwnerTraderID(); e == nil {
|
||||
body["OwnerTraderID"] = v
|
||||
}
|
||||
if v, e := sym.GetNegotiationType(); e == nil {
|
||||
body["NegotiationType"] = v
|
||||
if md, ok := dd.Messages[msgType]; ok {
|
||||
bodyFields = md.Fields
|
||||
}
|
||||
}
|
||||
|
||||
return domain.FixMessageJSON{
|
||||
Direction: "IN",
|
||||
MsgType: "R",
|
||||
Direction: direction,
|
||||
MsgType: msgType,
|
||||
QuoteReqID: quoteReqID,
|
||||
Header: extractHeader(msg.Message),
|
||||
Body: body,
|
||||
Header: GetMap(BuildFieldMap(msg.Header.FieldMap, dd, headerFields)),
|
||||
Body: GetMap(BuildFieldMap(msg.Body.FieldMap, dd, bodyFields)),
|
||||
Trailer: GetMap(BuildFieldMap(msg.Trailer.FieldMap, dd, trailerFields)),
|
||||
ReceiveTime: time.Now(),
|
||||
}
|
||||
}
|
||||
|
||||
func parseQuoteAck(msg quoteack.QuoteAck) domain.FixMessageJSON {
|
||||
func parseQuoteRequest(msg quoterequest.QuoteRequest, dd *datadictionary.DataDictionary) domain.FixMessageJSON {
|
||||
quoteReqID, _ := msg.GetQuoteReqID()
|
||||
body := map[string]interface{}{"QuoteReqID": quoteReqID}
|
||||
|
||||
if v, e := msg.GetQuoteID(); e == nil {
|
||||
body["QuoteID"] = v
|
||||
}
|
||||
if v, e := msg.GetQuoteAckStatus(); e == nil {
|
||||
body["QuoteAckStatus"] = string(v)
|
||||
}
|
||||
if v, e := msg.GetText(); e == nil {
|
||||
body["Text"] = v
|
||||
}
|
||||
|
||||
return domain.FixMessageJSON{
|
||||
Direction: "IN",
|
||||
MsgType: "CW",
|
||||
QuoteReqID: quoteReqID,
|
||||
Header: extractHeader(msg.Message),
|
||||
Body: body,
|
||||
ReceiveTime: time.Now(),
|
||||
}
|
||||
return buildFixMessageJSON("IN", "R", quoteReqID, msg.Message, dd)
|
||||
}
|
||||
|
||||
func parseQuoteResponse(msg quoteresponse.QuoteResponse) domain.FixMessageJSON {
|
||||
func parseQuoteAck(msg quoteack.QuoteAck, dd *datadictionary.DataDictionary) domain.FixMessageJSON {
|
||||
quoteReqID, _ := msg.GetQuoteReqID()
|
||||
body := map[string]interface{}{"QuoteReqID": quoteReqID}
|
||||
|
||||
if v, e := msg.GetQuoteRespID(); e == nil {
|
||||
body["QuoteRespID"] = v
|
||||
}
|
||||
if v, e := msg.GetQuoteRespType(); e == nil {
|
||||
body["QuoteRespType"] = string(v)
|
||||
}
|
||||
if v, e := msg.GetSide(); e == nil {
|
||||
body["Side"] = string(v)
|
||||
}
|
||||
if v, e := msg.GetPrice(); e == nil {
|
||||
body["Price"] = v.String()
|
||||
}
|
||||
if v, e := msg.GetOrderQty(); e == nil {
|
||||
body["OrderQty"] = v.String()
|
||||
}
|
||||
if v, e := msg.GetClOrdID(); e == nil {
|
||||
body["ClOrdID"] = v
|
||||
}
|
||||
|
||||
return domain.FixMessageJSON{
|
||||
Direction: "IN",
|
||||
MsgType: "AJ",
|
||||
QuoteReqID: quoteReqID,
|
||||
Header: extractHeader(msg.Message),
|
||||
Body: body,
|
||||
ReceiveTime: time.Now(),
|
||||
}
|
||||
return buildFixMessageJSON("IN", "CW", quoteReqID, msg.Message, dd)
|
||||
}
|
||||
|
||||
func parseExecutionReport(msg executionreport.ExecutionReport) domain.FixMessageJSON {
|
||||
func parseQuoteResponse(msg quoteresponse.QuoteResponse, dd *datadictionary.DataDictionary) domain.FixMessageJSON {
|
||||
quoteReqID, _ := msg.GetQuoteReqID()
|
||||
return buildFixMessageJSON("IN", "AJ", quoteReqID, msg.Message, dd)
|
||||
}
|
||||
|
||||
func parseExecutionReport(msg executionreport.ExecutionReport, dd *datadictionary.DataDictionary) domain.FixMessageJSON {
|
||||
clOrdID, _ := msg.GetClOrdID()
|
||||
body := map[string]interface{}{"ClOrdID": clOrdID}
|
||||
|
||||
if v, e := msg.GetExecID(); e == nil {
|
||||
body["ExecID"] = v
|
||||
}
|
||||
if v, e := msg.GetOrderID(); e == nil {
|
||||
body["OrderID"] = v
|
||||
}
|
||||
if v, e := msg.GetExecType(); e == nil {
|
||||
body["ExecType"] = string(v)
|
||||
}
|
||||
if v, e := msg.GetOrdStatus(); e == nil {
|
||||
body["OrdStatus"] = string(v)
|
||||
}
|
||||
if v, e := msg.GetListID(); e == nil {
|
||||
body["ListID"] = v
|
||||
}
|
||||
if v, e := msg.GetSide(); e == nil {
|
||||
body["Side"] = string(v)
|
||||
}
|
||||
if v, e := msg.GetSymbol(); e == nil {
|
||||
body["Symbol"] = v
|
||||
}
|
||||
if v, e := msg.GetSecurityID(); e == nil {
|
||||
body["SecurityID"] = v
|
||||
}
|
||||
if v, e := msg.GetCurrency(); e == nil {
|
||||
body["Currency"] = v
|
||||
}
|
||||
if v, e := msg.GetPrice(); e == nil {
|
||||
body["Price"] = v.String()
|
||||
}
|
||||
if v, e := msg.GetLastPx(); e == nil {
|
||||
body["LastPx"] = v.String()
|
||||
}
|
||||
if v, e := msg.GetLastQty(); e == nil {
|
||||
body["LastQty"] = v.String()
|
||||
}
|
||||
if v, e := msg.GetOrderQty(); e == nil {
|
||||
body["OrderQty"] = v.String()
|
||||
}
|
||||
if v, e := msg.GetSettlDate(); e == nil {
|
||||
body["SettlDate"] = v
|
||||
}
|
||||
|
||||
return domain.FixMessageJSON{
|
||||
Direction: "IN",
|
||||
MsgType: "8",
|
||||
QuoteReqID: clOrdID,
|
||||
Header: extractHeader(msg.Message),
|
||||
Body: body,
|
||||
ReceiveTime: time.Now(),
|
||||
}
|
||||
return buildFixMessageJSON("IN", "8", clOrdID, msg.Message, dd)
|
||||
}
|
||||
|
||||
// extractIdentifier extracts the trade identifier from a parsed FIX message.
|
||||
@ -218,7 +87,7 @@ func extractIdentifier(msg *quickfix.Message) string {
|
||||
return ""
|
||||
}
|
||||
|
||||
func buildOutgoingMessageJSON(msgType, quoteReqID string, body map[string]interface{}) domain.FixMessageJSON {
|
||||
func buildOutgoingMessageJSON(msgType, quoteReqID string, body map[string]any) domain.FixMessageJSON {
|
||||
return domain.FixMessageJSON{
|
||||
Direction: "OUT",
|
||||
MsgType: msgType,
|
||||
|
||||
@ -5,26 +5,20 @@ import "time"
|
||||
|
||||
// ListTrade es la representacion exportada de un trade de List Trading.
|
||||
type ListTrade struct {
|
||||
QuoteReqID string
|
||||
ListID string
|
||||
Symbol string
|
||||
SecurityIDSrc string
|
||||
Currency string
|
||||
Side string
|
||||
OrderQty string
|
||||
SettlDate string
|
||||
Price string
|
||||
OwnerTraderID string
|
||||
QuoteRequest FixMessageJSON `json:"quote_request"`
|
||||
Quoted bool `json:"quoted"`
|
||||
Price string `json:"price,omitempty"`
|
||||
}
|
||||
|
||||
// FixMessageJSON es la representacion estructurada de un mensaje FIX para almacenamiento.
|
||||
type FixMessageJSON struct {
|
||||
Direction string `json:"direction"`
|
||||
MsgType string `json:"msg_type"`
|
||||
QuoteReqID string `json:"quote_req_id"`
|
||||
Header map[string]interface{} `json:"header"`
|
||||
Body map[string]interface{} `json:"body"`
|
||||
ReceiveTime time.Time `json:"receive_time"`
|
||||
Direction string `json:"direction"`
|
||||
MsgType string `json:"msg_type"`
|
||||
QuoteReqID string `json:"quote_req_id"`
|
||||
Header map[string]any `json:"header"`
|
||||
Body map[string]any `json:"body"`
|
||||
Trailer map[string]any `json:"trailer"`
|
||||
ReceiveTime time.Time `json:"receive_time"`
|
||||
}
|
||||
|
||||
// TradeMessage es una fila de qfixdpl_messages.
|
||||
|
||||
Reference in New Issue
Block a user