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generic json for fix messages

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This commit is contained in:
Ramiro Paz
2026-05-07 17:37:17 -03:00
parent 36b841fc66
commit 45fad9de6c
10 changed files with 794 additions and 318 deletions
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4
fix.cfg
View File

@ -5,6 +5,10 @@ SenderCompID=QUANTEX
ResetOnLogon=Y ResetOnLogon=Y
FileStorePath=fix_store FileStorePath=fix_store
FileLogPath=fix_logs FileLogPath=fix_logs
TransportDataDictionary=spec/FIXT11.xml
AppDataDictionary=spec/FIX50SP2.xml
AllowUnknownMessageFields=Y
RejectInvalidMessage=N
[SESSION] [SESSION]
BeginString=FIXT.1.1 BeginString=FIXT.1.1

18
quickfix/field_map.go
View File

@ -89,6 +89,24 @@ func (m FieldMap) Get(parser Field) MessageRejectError {
return m.GetField(parser.Tag(), parser) return m.GetField(parser.Tag(), parser)
} }
// RawValues returns a copy of the underlying TagValue slice for a tag.
// For repeating groups, the first entry is the count and the remaining
// entries are the flattened inner-field values across all repetitions.
func (m FieldMap) RawValues(tag Tag) []TagValue {
m.rwLock.RLock()
defer m.rwLock.RUnlock()
f, ok := m.tagLookup[tag]
if !ok {
return nil
}
out := make([]TagValue, len(f))
copy(out, f)
return out
}
// Has returns true if the Tag is present in this FieldMap. // Has returns true if the Tag is present in this FieldMap.
func (m FieldMap) Has(tag Tag) bool { func (m FieldMap) Has(tag Tag) bool {
m.rwLock.RLock() m.rwLock.RLock()

10
quickfix/tag_value.go
View File

@ -86,6 +86,16 @@ func (tv TagValue) String() string {
return string(tv.bytes) return string(tv.bytes)
} }
// Tag returns the FIX tag for this TagValue.
func (tv TagValue) Tag() Tag {
return tv.tag
}
// Value returns the raw FIX value bytes for this TagValue.
func (tv TagValue) Value() []byte {
return tv.value
}
func bytesTotal(bytes []byte) (total int) { func bytesTotal(bytes []byte) (total int) {
for _, b := range bytes { for _, b := range bytes {
total += int(b) total += int(b)

313
spec/FIXT11.xml Normal file
View File

@ -0,0 +1,313 @@
<?xml version='1.0' encoding='UTF-8'?>
<fix type='FIXT' major='1' minor='1' servicepack='0'>
<header>
<field name='BeginString' required='Y'/>
<field name='BodyLength' required='Y'/>
<field name='MsgType' required='Y'/>
<field name='SenderCompID' required='Y'/>
<field name='TargetCompID' required='Y'/>
<field name='OnBehalfOfCompID' required='N'/>
<field name='DeliverToCompID' required='N'/>
<field name='SecureDataLen' required='N'/>
<field name='SecureData' required='N'/>
<field name='MsgSeqNum' required='Y'/>
<field name='SenderSubID' required='N'/>
<field name='SenderLocationID' required='N'/>
<field name='TargetSubID' required='N'/>
<field name='TargetLocationID' required='N'/>
<field name='OnBehalfOfSubID' required='N'/>
<field name='OnBehalfOfLocationID' required='N'/>
<field name='DeliverToSubID' required='N'/>
<field name='DeliverToLocationID' required='N'/>
<field name='PossDupFlag' required='N'/>
<field name='PossResend' required='N'/>
<field name='SendingTime' required='Y'/>
<field name='OrigSendingTime' required='N'/>
<field name='XmlDataLen' required='N'/>
<field name='XmlData' required='N'/>
<field name='MessageEncoding' required='N'/>
<field name='LastMsgSeqNumProcessed' required='N'/>
<component name='HopGrp' required='N'/>
<field name='ApplVerID' required='N'/>
<field name='CstmApplVerID' required='N'/>
</header>
<trailer>
<field name='SignatureLength' required='N'/>
<field name='Signature' required='N'/>
<field name='CheckSum' required='Y'/>
</trailer>
<messages>
<message msgcat='admin' msgtype='0' name='Heartbeat'>
<field name='TestReqID' required='N'/>
</message>
<message msgcat='admin' msgtype='1' name='TestRequest'>
<field name='TestReqID' required='Y'/>
</message>
<message msgcat='admin' msgtype='2' name='ResendRequest'>
<field name='BeginSeqNo' required='Y'/>
<field name='EndSeqNo' required='Y'/>
</message>
<message msgcat='admin' msgtype='3' name='Reject'>
<field name='RefSeqNum' required='Y'/>
<field name='RefTagID' required='N'/>
<field name='RefMsgType' required='N'/>
<field name='SessionRejectReason' required='N'/>
<field name='Text' required='N'/>
<field name='EncodedTextLen' required='N'/>
<field name='EncodedText' required='N'/>
</message>
<message msgcat='admin' msgtype='4' name='SequenceReset'>
<field name='GapFillFlag' required='N'/>
<field name='NewSeqNo' required='Y'/>
</message>
<message msgcat='admin' msgtype='5' name='Logout'>
<field name='Text' required='N'/>
<field name='EncodedTextLen' required='N'/>
<field name='EncodedText' required='N'/>
</message>
<message msgcat='admin' msgtype='A' name='Logon'>
<field name='EncryptMethod' required='Y'/>
<field name='HeartBtInt' required='Y'/>
<field name='RawDataLength' required='N'/>
<field name='RawData' required='N'/>
<field name='ResetSeqNumFlag' required='N'/>
<field name='NextExpectedMsgSeqNum' required='N'/>
<field name='MaxMessageSize' required='N'/>
<field name='TestMessageIndicator' required='N'/>
<field name='Username' required='N'/>
<field name='Password' required='N'/>
<field name='DefaultApplVerID' required='Y'/>
<component name='MsgTypeGrp' required='N'/>
</message>
</messages>
<components>
<component name='HopGrp'>
<group name='NoHops' required='N'>
<field name='HopCompID' required='N'/>
<field name='HopSendingTime' required='N'/>
<field name='HopRefID' required='N'/>
</group>
</component>
<component name='MsgTypeGrp'>
<group name='NoMsgTypes' required='N'>
<field name='RefMsgType' required='N'/>
<field name='MsgDirection' required='N'/>
<field name='RefApplVerID' required='N'/>
<field name='RefCstmApplVerID' required='N'/>
</group>
</component>
</components>
<fields>
<field name='BeginSeqNo' number='7' type='SEQNUM'/>
<field name='BeginString' number='8' type='STRING'/>
<field name='BodyLength' number='9' type='LENGTH'/>
<field name='CheckSum' number='10' type='STRING'/>
<field name='EndSeqNo' number='16' type='SEQNUM'/>
<field name='MsgSeqNum' number='34' type='SEQNUM'/>
<field number='35' name='MsgType' type='STRING'>
<value enum='0' description='HEARTBEAT'/>
<value enum='1' description='TEST_REQUEST'/>
<value enum='2' description='RESEND_REQUEST'/>
<value enum='3' description='REJECT'/>
<value enum='4' description='SEQUENCE_RESET'/>
<value enum='5' description='LOGOUT'/>
<value enum='6' description='INDICATION_OF_INTEREST'/>
<value enum='7' description='ADVERTISEMENT'/>
<value enum='8' description='EXECUTION_REPORT'/>
<value enum='9' description='ORDER_CANCEL_REJECT'/>
<value enum='A' description='LOGON'/>
<value enum='B' description='NEWS'/>
<value enum='C' description='EMAIL'/>
<value enum='D' description='ORDER_SINGLE'/>
<value enum='E' description='ORDER_LIST'/>
<value enum='F' description='ORDER_CANCEL_REQUEST'/>
<value enum='G' description='ORDER_CANCEL_REPLACE_REQUEST'/>
<value enum='H' description='ORDER_STATUS_REQUEST'/>
<value enum='J' description='ALLOCATION_INSTRUCTION'/>
<value enum='K' description='LIST_CANCEL_REQUEST'/>
<value enum='L' description='LIST_EXECUTE'/>
<value enum='M' description='LIST_STATUS_REQUEST'/>
<value enum='N' description='LIST_STATUS'/>
<value enum='P' description='ALLOCATION_INSTRUCTION_ACK'/>
<value enum='Q' description='DONT_KNOW_TRADE'/>
<value enum='R' description='QUOTE_REQUEST'/>
<value enum='S' description='QUOTE'/>
<value enum='T' description='SETTLEMENT_INSTRUCTIONS'/>
<value enum='V' description='MARKET_DATA_REQUEST'/>
<value enum='W' description='MARKET_DATA_SNAPSHOT_FULL_REFRESH'/>
<value enum='X' description='MARKET_DATA_INCREMENTAL_REFRESH'/>
<value enum='Y' description='MARKET_DATA_REQUEST_REJECT'/>
<value enum='Z' description='QUOTE_CANCEL'/>
<value enum='a' description='QUOTE_STATUS_REQUEST'/>
<value enum='b' description='MASS_QUOTE_ACKNOWLEDGEMENT'/>
<value enum='c' description='SECURITY_DEFINITION_REQUEST'/>
<value enum='d' description='SECURITY_DEFINITION'/>
<value enum='e' description='SECURITY_STATUS_REQUEST'/>
<value enum='f' description='SECURITY_STATUS'/>
<value enum='g' description='TRADING_SESSION_STATUS_REQUEST'/>
<value enum='h' description='TRADING_SESSION_STATUS'/>
<value enum='i' description='MASS_QUOTE'/>
<value enum='j' description='BUSINESS_MESSAGE_REJECT'/>
<value enum='k' description='BID_REQUEST'/>
<value enum='l' description='BID_RESPONSE'/>
<value enum='m' description='LIST_STRIKE_PRICE'/>
<value enum='n' description='XML_MESSAGE'/>
<value enum='o' description='REGISTRATION_INSTRUCTIONS'/>
<value enum='p' description='REGISTRATION_INSTRUCTIONS_RESPONSE'/>
<value enum='q' description='ORDER_MASS_CANCEL_REQUEST'/>
<value enum='r' description='ORDER_MASS_CANCEL_REPORT'/>
<value enum='s' description='NEW_ORDER_CROSS'/>
<value enum='t' description='CROSS_ORDER_CANCEL_REPLACE_REQUEST'/>
<value enum='u' description='CROSS_ORDER_CANCEL_REQUEST'/>
<value enum='v' description='SECURITY_TYPE_REQUEST'/>
<value enum='w' description='SECURITY_TYPES'/>
<value enum='x' description='SECURITY_LIST_REQUEST'/>
<value enum='y' description='SECURITY_LIST'/>
<value enum='z' description='DERIVATIVE_SECURITY_LIST_REQUEST'/>
<value enum='AA' description='DERIVATIVE_SECURITY_LIST'/>
<value enum='AB' description='NEW_ORDER_MULTILEG'/>
<value enum='AC' description='MULTILEG_ORDER_CANCEL_REPLACE'/>
<value enum='AD' description='TRADE_CAPTURE_REPORT_REQUEST'/>
<value enum='AE' description='TRADE_CAPTURE_REPORT'/>
<value enum='AF' description='ORDER_MASS_STATUS_REQUEST'/>
<value enum='AG' description='QUOTE_REQUEST_REJECT'/>
<value enum='AH' description='RFQ_REQUEST'/>
<value enum='AI' description='QUOTE_STATUS_REPORT'/>
<value enum='AJ' description='QUOTE_RESPONSE'/>
<value enum='AK' description='CONFIRMATION'/>
<value enum='AL' description='POSITION_MAINTENANCE_REQUEST'/>
<value enum='AM' description='POSITION_MAINTENANCE_REPORT'/>
<value enum='AN' description='REQUEST_FOR_POSITIONS'/>
<value enum='AO' description='REQUEST_FOR_POSITIONS_ACK'/>
<value enum='AP' description='POSITION_REPORT'/>
<value enum='AQ' description='TRADE_CAPTURE_REPORT_REQUEST_ACK'/>
<value enum='AR' description='TRADE_CAPTURE_REPORT_ACK'/>
<value enum='AS' description='ALLOCATION_REPORT'/>
<value enum='AT' description='ALLOCATION_REPORT_ACK'/>
<value enum='AU' description='CONFIRMATION_ACK'/>
<value enum='AV' description='SETTLEMENT_INSTRUCTION_REQUEST'/>
<value enum='AW' description='ASSIGNMENT_REPORT'/>
<value enum='AX' description='COLLATERAL_REQUEST'/>
<value enum='AY' description='COLLATERAL_ASSIGNMENT'/>
<value enum='AZ' description='COLLATERAL_RESPONSE'/>
<value enum='BA' description='COLLATERAL_REPORT'/>
<value enum='BB' description='COLLATERAL_INQUIRY'/>
<value enum='BC' description='NETWORK_STATUS_REQUEST'/>
<value enum='BD' description='NETWORK_STATUS_RESPONSE'/>
<value enum='BE' description='USER_REQUEST'/>
<value enum='BF' description='USER_RESPONSE'/>
<value enum='BG' description='COLLATERAL_INQUIRY_ACK'/>
<value enum='BH' description='CONFIRMATION_REQUEST'/>
<value enum='BI' description='TRADING_SESSION_LIST_REQUEST'/>
<value enum='BJ' description='TRADING_SESSION_LIST'/>
<value enum='BK' description='SECURITY_LIST_UPDATE_REPORT'/>
<value enum='BL' description='ADJUSTED_POSITION_REPORT'/>
<value enum='BM' description='ALLOCATION_INSTRUCTION_ALERT'/>
<value enum='BN' description='EXECUTION_ACKNOWLEDGEMENT'/>
<value enum='BO' description='CONTRARY_INTENTION_REPORT'/>
<value enum='BP' description='SECURITY_DEFINITION_UPDATE_REPORT'/>
</field>
<field name='NewSeqNo' number='36' type='SEQNUM'/>
<field name='PossDupFlag' number='43' type='BOOLEAN'/>
<field name='RefSeqNum' number='45' type='SEQNUM'/>
<field name='SenderCompID' number='49' type='STRING'/>
<field name='SenderSubID' number='50' type='STRING'/>
<field name='SendingTime' number='52' type='UTCTIMESTAMP'/>
<field name='TargetCompID' number='56' type='STRING'/>
<field name='TargetSubID' number='57' type='STRING'/>
<field name='Text' number='58' type='STRING'/>
<field name='Signature' number='89' type='DATA'/>
<field name='SecureDataLen' number='90' type='LENGTH'/>
<field name='SecureData' number='91' type='DATA'/>
<field name='SignatureLength' number='93' type='LENGTH'/>
<field name='RawDataLength' number='95' type='LENGTH'/>
<field name='RawData' number='96' type='DATA'/>
<field name='PossResend' number='97' type='BOOLEAN'/>
<field name='EncryptMethod' number='98' type='INT'>
<value description='NONE_OTHER' enum='0'/>
<value description='PKCS' enum='1'/>
<value description='DES' enum='2'/>
<value description='PKCS_DES' enum='3'/>
<value description='PGP_DES' enum='4'/>
<value description='PGP_DES_MD5' enum='5'/>
<value description='PEM_DES_MD5' enum='6'/>
</field>
<field name='HeartBtInt' number='108' type='INT'/>
<field name='TestReqID' number='112' type='STRING'/>
<field name='OnBehalfOfCompID' number='115' type='STRING'/>
<field name='OnBehalfOfSubID' number='116' type='STRING'/>
<field name='OrigSendingTime' number='122' type='UTCTIMESTAMP'/>
<field name='GapFillFlag' number='123' type='BOOLEAN'/>
<field name='DeliverToCompID' number='128' type='STRING'/>
<field name='DeliverToSubID' number='129' type='STRING'/>
<field name='ResetSeqNumFlag' number='141' type='BOOLEAN'/>
<field name='SenderLocationID' number='142' type='STRING'/>
<field name='TargetLocationID' number='143' type='STRING'/>
<field name='OnBehalfOfLocationID' number='144' type='STRING'/>
<field name='DeliverToLocationID' number='145' type='STRING'/>
<field name='XmlDataLen' number='212' type='LENGTH'/>
<field name='XmlData' number='213' type='DATA'/>
<field number='347' name='MessageEncoding' type='STRING'>
<value enum='ISO-2022-JP' description='ISO_2022_JP'/>
<value enum='EUC-JP' description='EUC_JP'/>
<value enum='SHIFT_JIS' description='SHIFT_JIS'/>
<value enum='UTF-8' description='UTF_8'/>
</field>
<field name='EncodedTextLen' number='354' type='LENGTH'/>
<field name='EncodedText' number='355' type='DATA'/>
<field name='LastMsgSeqNumProcessed' number='369' type='SEQNUM'/>
<field name='RefTagID' number='371' type='INT'/>
<field name='RefMsgType' number='372' type='STRING'/>
<field name='SessionRejectReason' number='373' type='INT'>
<value description='INVALID_TAG_NUMBER' enum='0'/>
<value description='REQUIRED_TAG_MISSING' enum='1'/>
<value description='SENDINGTIME_ACCURACY_PROBLEM' enum='10'/>
<value description='INVALID_MSGTYPE' enum='11'/>
<value description='XML_VALIDATION_ERROR' enum='12'/>
<value description='TAG_APPEARS_MORE_THAN_ONCE' enum='13'/>
<value description='TAG_SPECIFIED_OUT_OF_REQUIRED_ORDER' enum='14'/>
<value description='REPEATING_GROUP_FIELDS_OUT_OF_ORDER' enum='15'/>
<value description='INCORRECT_NUMINGROUP_COUNT_FOR_REPEATING_GROUP' enum='16'/>
<value description='NON_DATA_VALUE_INCLUDES_FIELD_DELIMITER' enum='17'/>
<value description='TAG_NOT_DEFINED_FOR_THIS_MESSAGE_TYPE' enum='2'/>
<value description='UNDEFINED_TAG' enum='3'/>
<value description='TAG_SPECIFIED_WITHOUT_A_VALUE' enum='4'/>
<value description='VALUE_IS_INCORRECT' enum='5'/>
<value description='INCORRECT_DATA_FORMAT_FOR_VALUE' enum='6'/>
<value description='DECRYPTION_PROBLEM' enum='7'/>
<value description='SIGNATURE_PROBLEM' enum='8'/>
<value description='COMPID_PROBLEM' enum='9'/>
<value description='OTHER' enum='99'/>
</field>
<field name='MaxMessageSize' number='383' type='LENGTH'/>
<field name='NoMsgTypes' number='384' type='NUMINGROUP'/>
<field name='MsgDirection' number='385' type='CHAR'>
<value description='RECEIVE' enum='R'/>
<value description='SEND' enum='S'/>
</field>
<field name='TestMessageIndicator' number='464' type='BOOLEAN'/>
<field name='Username' number='553' type='STRING'/>
<field name='Password' number='554' type='STRING'/>
<field name='NoHops' number='627' type='NUMINGROUP'/>
<field name='HopCompID' number='628' type='STRING'/>
<field name='HopSendingTime' number='629' type='UTCTIMESTAMP'/>
<field name='HopRefID' number='630' type='SEQNUM'/>
<field name='NextExpectedMsgSeqNum' number='789' type='SEQNUM'/>
<field name='ApplVerID' number='1128' type='STRING'>
<value description='FIX27' enum='0'/>
<value description='FIX30' enum='1'/>
<value description='FIX40' enum='2'/>
<value description='FIX41' enum='3'/>
<value description='FIX42' enum='4'/>
<value description='FIX43' enum='5'/>
<value description='FIX44' enum='6'/>
<value description='FIX50' enum='7'/>
<value description='FIX50SP1' enum='8'/>
<value description='FIX50SP2' enum='9'/>
</field>
<field name='CstmApplVerID' number='1129' type='STRING'/>
<field name='RefApplVerID' number='1130' type='STRING'/>
<field name='RefCstmApplVerID' number='1131' type='STRING'/>
<field name='DefaultApplVerID' number='1137' type='STRING'/>
</fields>
</fix>

3
src/app/model.go
View File

@ -40,7 +40,8 @@ type Service struct {
} }
type FIXConfig struct { type FIXConfig struct {
SettingsFile string // path to fix.cfg file SettingsFile string // path to fix.cfg file
DataDictionaryFile string // path to FIX data dictionary XML (e.g. spec/FIX50SP2.xml)
} }
type ExtAuth struct { type ExtAuth struct {

172
src/client/fix/builder.go Normal file
View File

@ -0,0 +1,172 @@
package fix
import (
"fmt"
"quantex.com/qfixdpl/quickfix"
"quantex.com/qfixdpl/quickfix/datadictionary"
)
// BuildFieldMap walks a quickfix.FieldMap and produces an enriched FieldMap
// keyed by FixField (Name + Tag + Type) with values typed per the FIX
// data dictionary. Repeating groups become []FieldMap; nested groups recurse.
func BuildFieldMap(qfMap quickfix.FieldMap, dd *datadictionary.DataDictionary, fieldsByTag map[int]*datadictionary.FieldDef) FieldMap {
out := FieldMap{}
for _, t := range qfMap.Tags() {
tagInt := int(t)
rawValues := qfMap.RawValues(t)
if len(rawValues) == 0 {
continue
}
ff, fd := resolveField(dd, fieldsByTag, tagInt)
if ff.Type == "NUMINGROUP" {
if fd != nil && fd.IsGroup() {
out[ff] = buildGroup(rawValues[1:], dd, fd.Fields)
} else {
// Count tag with no group structure available (dictionary lookup
// failed, or quickfix didn't nest the inner fields). Emit an empty
// group rather than an int so the consumer's type expectation holds.
out[ff] = []FieldMap{}
}
continue
}
out[ff] = parseScalar(rawValues[0].Value(), ff.Type)
}
return out
}
// buildGroup splits a flat slice of TagValues (the inner values of a NUMINGROUP,
// excluding the count) into per-repetition FieldMaps. The first element of
// innerFields is the delimiter that marks the start of each repetition.
func buildGroup(tvs []quickfix.TagValue, dd *datadictionary.DataDictionary, innerFields []*datadictionary.FieldDef) []FieldMap {
if len(innerFields) == 0 || len(tvs) == 0 {
return nil
}
delimiter := innerFields[0].Tag()
fdByTag := make(map[int]*datadictionary.FieldDef, len(innerFields))
for _, f := range innerFields {
fdByTag[f.Tag()] = f
}
var (
repetitions []FieldMap
current FieldMap
)
i := 0
for i < len(tvs) {
tv := tvs[i]
tagInt := int(tv.Tag())
if tagInt == delimiter {
current = FieldMap{}
repetitions = append(repetitions, current)
}
if current == nil {
// Field appeared before the first delimiter; skip.
i++
continue
}
fd, known := fdByTag[tagInt]
if !known {
current[FixField{Name: fmt.Sprintf("tag_%d", tagInt), Tag: tagInt, Type: "STRING"}] = string(tv.Value())
i++
continue
}
if fd.IsGroup() {
nestedAllowed := allowedTags(fd.Fields)
j := i + 1
for j < len(tvs) && nestedAllowed[int(tvs[j].Tag())] {
j++
}
nested := buildGroup(tvs[i+1:j], dd, fd.Fields)
current[FixField{Name: fd.Name(), Tag: tagInt, Type: "NUMINGROUP"}] = nested
i = j
continue
}
current[FixField{Name: fd.Name(), Tag: tagInt, Type: fd.Type}] = parseScalar(tv.Value(), fd.Type)
i++
}
return repetitions
}
// resolveField looks up the FixField metadata (name + type) for a tag.
// Prefers the message-level FieldDef so group structure is preserved;
// falls back to the global FieldTypeByTag, then to a synthetic "tag_<N>" STRING.
func resolveField(dd *datadictionary.DataDictionary, fieldsByTag map[int]*datadictionary.FieldDef, tagInt int) (FixField, *datadictionary.FieldDef) {
if fieldsByTag != nil {
if fd, ok := fieldsByTag[tagInt]; ok {
return FixField{Name: fd.Name(), Tag: tagInt, Type: fd.Type}, fd
}
}
if dd != nil {
if ft, ok := dd.FieldTypeByTag[tagInt]; ok {
return FixField{Name: ft.Name(), Tag: tagInt, Type: ft.Type}, nil
}
}
return FixField{Name: fmt.Sprintf("tag_%d", tagInt), Tag: tagInt, Type: "STRING"}, nil
}
// parseScalar converts raw FIX bytes into the Go type expected by the consumer
// (GetKeyValue): bool for BOOLEAN, int for INT/SEQNUM, time.Time for UTCTIMESTAMP,
// string for everything else.
func parseScalar(raw []byte, fixType string) interface{} {
s := string(raw)
switch fixType {
case "INT", "SEQNUM", "LENGTH", "DAYOFMONTH":
var v quickfix.FIXInt
if err := v.Read(raw); err == nil {
return int(v)
}
return s
case "BOOLEAN":
var v quickfix.FIXBoolean
if err := v.Read(raw); err == nil {
return bool(v)
}
return s
case "UTCTIMESTAMP":
var v quickfix.FIXUTCTimestamp
if err := v.Read(raw); err == nil {
return v.Time
}
return s
default:
return s
}
}
// allowedTags returns the set of all tags valid inside a group (including
// nested-group counts and their descendants), used to detect where a flat
// nested-group slice ends within its parent.
func allowedTags(fields []*datadictionary.FieldDef) map[int]bool {
out := make(map[int]bool, len(fields))
var visit func(fs []*datadictionary.FieldDef)
visit = func(fs []*datadictionary.FieldDef) {
for _, f := range fs {
out[f.Tag()] = true
if f.IsGroup() {
visit(f.Fields)
}
}
}
visit(fields)
return out
}

113
src/client/fix/dict.go Normal file
View File

@ -0,0 +1,113 @@
package fix
import (
"log/slog"
"time"
"quantex.com/qfixdpl/src/common/tracerr"
)
// FixField identifies a single FIX field by its dictionary metadata.
type FixField struct {
Name string
Tag int
Type string
}
// FieldValue is the typed value for a FIX field.
type FieldValue interface{}
// FieldMap is the enriched representation of a FIX FieldMap (header, body, or trailer).
type FieldMap map[FixField]FieldValue
// GetMap converts a FieldMap into a JSON-friendly map keyed by field name.
func GetMap(fieldMap FieldMap) map[string]interface{} {
result := map[string]interface{}{}
for f, v := range fieldMap {
k, val := GetKeyValue(f, v)
result[k] = val
}
return result
}
//nolint:funlen,gocyclo,cyclop //it's long but easy to read
func GetKeyValue(f FixField, value FieldValue) (key string, val interface{}) {
key = f.Name
switch f.Type {
case "NUMINGROUP":
var groups []map[string]interface{}
fMapLst, ok := value.([]FieldMap)
if !ok {
err := tracerr.Errorf("could not parse as []FieldMap, value: %+v", value)
slog.Error(err.Error())
}
for _, fieldMap := range fMapLst {
groups = append(groups, GetMap(fieldMap))
}
val = groups
case "BOOLEAN":
b, ok := value.(bool)
if !ok {
err := tracerr.Errorf("could not parse as bool, value: %+v", value)
slog.Error(err.Error())
}
val = b
case "INT":
i, ok := value.(int)
if !ok {
err := tracerr.Errorf("could not parse as int, value: %+v", value)
slog.Error(err.Error())
}
val = i
case "SEQNUM":
i, ok := value.(int)
if !ok {
err := tracerr.Errorf("could not parse as int, value: %+v", value)
slog.Error(err.Error())
}
val = i
case "UTCTIMESTAMP":
t, ok := value.(time.Time)
if !ok {
err := tracerr.Errorf("could not parse as Time, value: %+v", value)
slog.Error(err.Error())
}
val = t
case "STRING":
s, ok := value.(string)
if !ok {
err := tracerr.Errorf("could not parse as string, value: %+v", value)
slog.Error(err.Error())
}
val = s
case "CHAR":
s, ok := value.(string)
if !ok {
err := tracerr.Errorf("could not parse as string, value: %+v", value)
slog.Error(err.Error())
}
val = s
default:
s, ok := value.(string)
if !ok {
err := tracerr.Errorf("could not parse as string, value: %+v", value)
slog.Error(err.Error())
}
val = s
}
return key, val
}

256
src/client/fix/manager.go
View File

@ -10,6 +10,7 @@ import (
"github.com/shopspring/decimal" "github.com/shopspring/decimal"
"quantex.com/qfixdpl/quickfix" "quantex.com/qfixdpl/quickfix"
"quantex.com/qfixdpl/quickfix/datadictionary"
"quantex.com/qfixdpl/quickfix/gen/enum" "quantex.com/qfixdpl/quickfix/gen/enum"
"quantex.com/qfixdpl/quickfix/gen/field" "quantex.com/qfixdpl/quickfix/gen/field"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/executionack" "quantex.com/qfixdpl/quickfix/gen/fix50sp2/executionack"
@ -27,18 +28,10 @@ import (
) )
type listTrade struct { type listTrade struct {
QuoteReqID string QuoteRequest domain.FixMessageJSON
ListID string SessionID quickfix.SessionID
Symbol string Quoted bool
SecurityIDSrc enum.SecurityIDSource Price decimal.Decimal
Currency string
Side enum.Side
OrderQty decimal.Decimal
SettlDate string
Price decimal.Decimal
OwnerTraderID string
SessionID quickfix.SessionID
Quoted bool
} }
// Manager wraps the QuickFIX initiator and implements domain.FIXSender. // Manager wraps the QuickFIX initiator and implements domain.FIXSender.
@ -52,6 +45,7 @@ type Manager struct {
store domain.PersistenceStore store domain.PersistenceStore
notify domain.Notifier notify domain.Notifier
cfg app.FIXConfig cfg app.FIXConfig
dict *datadictionary.DataDictionary
} }
func NewManager(cfg app.FIXConfig, store domain.PersistenceStore, notify domain.Notifier) *Manager { func NewManager(cfg app.FIXConfig, store domain.PersistenceStore, notify domain.Notifier) *Manager {
@ -76,6 +70,15 @@ func (m *Manager) Start() error {
fixApp.onRawMessage = m.handleRawMessage fixApp.onRawMessage = m.handleRawMessage
m.app = fixApp m.app = fixApp
dict, err := datadictionary.Parse(m.cfg.DataDictionaryFile)
if err != nil {
err = tracerr.Errorf("error parsing FIX data dictionary %q: %w", m.cfg.DataDictionaryFile, err)
slog.Error(err.Error())
return err
}
m.dict = dict
if err := m.loadActiveTrades(); err != nil { if err := m.loadActiveTrades(); err != nil {
err = tracerr.Errorf("failed to load active trades from DB, starting with empty state: %w", err) err = tracerr.Errorf("failed to load active trades from DB, starting with empty state: %w", err)
slog.Error(err.Error()) slog.Error(err.Error())
@ -191,13 +194,15 @@ func (m *Manager) sendExecutionAck(orderID, clOrdID, execID string, sessionID qu
return quickfix.SendToTarget(bn, sessionID) return quickfix.SendToTarget(bn, sessionID)
} }
// handleQuoteRequest auto-responds to an incoming QuoteRequest with a QuoteStatusReport (acknowledge) followed by a Quote at price 99.6. // handleQuoteRequest auto-responds to an incoming QuoteRequest with a QuoteStatusReport (acknowledge).
// The Quote (35=S) is sent later via the REST endpoint when the dealer prices it.
func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID quickfix.SessionID) { func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID quickfix.SessionID) {
quoteReqID, err := msg.GetQuoteReqID() parsed := parseQuoteRequest(msg, m.dict)
if err != nil { quoteReqID := parsed.QuoteReqID
err := tracerr.Errorf("handleQuoteRequest: missing QuoteReqID: %w", err)
slog.Error(err.Error())
if quoteReqID == "" {
err := tracerr.Errorf("handleQuoteRequest: missing QuoteReqID")
slog.Error(err.Error())
return return
} }
@ -207,26 +212,22 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
return return
} }
var ( bodyKeys := make([]string, 0, len(parsed.Body))
symbol, currency, ownerTraderID, settlDate, listID, negotiationType string for k := range parsed.Body {
side enum.Side bodyKeys = append(bodyKeys, k)
secIDSource enum.SecurityIDSource
orderQty decimal.Decimal
)
relatedSyms, relErr := msg.GetNoRelatedSym()
if relErr == nil && relatedSyms.Len() > 0 {
sym := relatedSyms.Get(0)
symbol, _ = sym.GetSecurityID()
secIDSource, _ = sym.GetSecurityIDSource()
currency, _ = sym.GetCurrency()
side, _ = sym.GetSide()
ownerTraderID, _ = sym.GetOwnerTraderID()
orderQty, _ = sym.GetOrderQty()
settlDate, _ = sym.GetSettlDate()
listID, _ = sym.GetListID()
negotiationType, _ = sym.GetNegotiationType()
} }
slog.Info("handleQuoteRequest: parsed body keys", "quoteReqID", quoteReqID, "keys", bodyKeys)
relSym := firstGroup(parsed.Body, "NoRelatedSym")
relSymKeys := make([]string, 0, len(relSym))
for k := range relSym {
relSymKeys = append(relSymKeys, k)
}
slog.Info("handleQuoteRequest: NoRelatedSym keys", "quoteReqID", quoteReqID, "keys", relSymKeys)
listID := getString(relSym, "ListID")
negotiationType := getString(relSym, "NegotiationType")
ownerTraderID := getString(relSym, "OwnerTraderID")
if listID == "" { if listID == "" {
slog.Warn("handleQuoteRequest: missing ListID", "quoteReqID", quoteReqID) slog.Warn("handleQuoteRequest: missing ListID", "quoteReqID", quoteReqID)
@ -246,33 +247,20 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
} }
slog.Info("QuoteStatusReport sent", "quoteReqID", quoteReqID) slog.Info("QuoteStatusReport sent", "quoteReqID", quoteReqID)
sIDSource := enum.SecurityIDSource_ISIN_NUMBER
if secIDSource == enum.SecurityIDSource_CUSIP {
sIDSource = enum.SecurityIDSource_CUSIP
}
// Store trade state as pending; Quote (35=S) is sent later via REST endpoint. // Store trade state as pending; Quote (35=S) is sent later via REST endpoint.
m.tradesMu.Lock() m.tradesMu.Lock()
m.trades[quoteReqID] = &listTrade{ m.trades[quoteReqID] = &listTrade{
QuoteReqID: quoteReqID, QuoteRequest: parsed,
ListID: listID, SessionID: sessionID,
Symbol: symbol, Quoted: false,
SecurityIDSrc: sIDSource,
Currency: currency,
Side: side,
OrderQty: orderQty,
SettlDate: settlDate,
OwnerTraderID: ownerTraderID,
SessionID: sessionID,
Quoted: false,
} }
m.tradesMu.Unlock() m.tradesMu.Unlock()
// Persist structured message (outside mutex). // Persist incoming QuoteRequest.
m.persistMessage(quoteReqID, parseQuoteRequest(msg)) m.persistMessage(quoteReqID, parsed)
// Persist outgoing QuoteStatusReport. // Persist outgoing QuoteStatusReport.
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]interface{}{ m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]any{
"QuoteReqID": quoteReqID, "QuoteReqID": quoteReqID,
"QuoteStatus": string(enum.QuoteStatus_ACCEPTED), "QuoteStatus": string(enum.QuoteStatus_ACCEPTED),
"OwnerTraderID": ownerTraderID, "OwnerTraderID": ownerTraderID,
@ -285,7 +273,7 @@ func (m *Manager) handleQuoteAck(msg quoteack.QuoteAck, sessionID quickfix.Sessi
status, _ := msg.GetQuoteAckStatus() status, _ := msg.GetQuoteAckStatus()
text, _ := msg.GetText() text, _ := msg.GetText()
m.persistMessage(quoteReqID, parseQuoteAck(msg)) m.persistMessage(quoteReqID, parseQuoteAck(msg, m.dict))
if status != enum.QuoteAckStatus_ACCEPTED { if status != enum.QuoteAckStatus_ACCEPTED {
err := tracerr.Errorf("handleQuoteAck: quote rejected by TW (quoteReqID=%s, quoteAckStatus=%s, text=%s)", quoteReqID, string(status), text) err := tracerr.Errorf("handleQuoteAck: quote rejected by TW (quoteReqID=%s, quoteAckStatus=%s, text=%s)", quoteReqID, string(status), text)
@ -331,10 +319,10 @@ func (m *Manager) handleQuoteResponse(msg quoteresponse.QuoteResponse, sessionID
slog.Info("QuoteResponse ACK sent", "quoteReqID", quoteReqID, "quoteRespID", quoteRespID) slog.Info("QuoteResponse ACK sent", "quoteReqID", quoteReqID, "quoteRespID", quoteRespID)
// Persist incoming QuoteResponse. // Persist incoming QuoteResponse.
m.persistMessage(quoteReqID, parseQuoteResponse(msg)) m.persistMessage(quoteReqID, parseQuoteResponse(msg, m.dict))
// Persist outgoing ACK. // Persist outgoing ACK.
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]interface{}{ m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]any{
"QuoteReqID": quoteReqID, "QuoteReqID": quoteReqID,
"QuoteRespID": quoteRespID, "QuoteRespID": quoteRespID,
"QuoteStatus": string(enum.QuoteStatus_ACCEPTED), "QuoteStatus": string(enum.QuoteStatus_ACCEPTED),
@ -394,10 +382,10 @@ func (m *Manager) handleExecutionReport(msg executionreport.ExecutionReport, ses
} }
// Persist incoming ExecutionReport. // Persist incoming ExecutionReport.
m.persistMessage(clOrdID, parseExecutionReport(msg)) m.persistMessage(clOrdID, parseExecutionReport(msg, m.dict))
// Persist outgoing ExecutionAck. // Persist outgoing ExecutionAck.
m.persistMessage(clOrdID, buildOutgoingMessageJSON("BN", clOrdID, map[string]interface{}{ m.persistMessage(clOrdID, buildOutgoingMessageJSON("BN", clOrdID, map[string]any{
"OrderID": orderID, "OrderID": orderID,
"ExecID": execID, "ExecID": execID,
"ClOrdID": clOrdID, "ClOrdID": clOrdID,
@ -439,18 +427,14 @@ func (m *Manager) GetPendingQuoteRequests() []domain.ListTrade {
} }
func toDomainListTrade(t *listTrade) domain.ListTrade { func toDomainListTrade(t *listTrade) domain.ListTrade {
return domain.ListTrade{ out := domain.ListTrade{
QuoteReqID: t.QuoteReqID, QuoteRequest: t.QuoteRequest,
ListID: t.ListID, Quoted: t.Quoted,
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,
} }
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. // 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 relSym := firstGroup(t.QuoteRequest.Body, "NoRelatedSym")
sIDSource := t.SecurityIDSrc symbol := getString(relSym, "SecurityID")
currency := t.Currency sIDSource := enum.SecurityIDSource(getString(relSym, "SecurityIDSource"))
side := t.Side currency := getString(relSym, "Currency")
orderQty := t.OrderQty side := enum.Side(getString(relSym, "Side"))
settlDate := t.SettlDate orderQty := getDecimal(relSym, "OrderQty")
ownerTraderID := t.OwnerTraderID settlDate := getString(relSym, "SettlDate")
ownerTraderID := getString(relSym, "OwnerTraderID")
m.tradesMu.Unlock() m.tradesMu.Unlock()
if sIDSource != enum.SecurityIDSource_CUSIP {
sIDSource = enum.SecurityIDSource_ISIN_NUMBER
}
quoteID := quoteReqID quoteID := quoteReqID
q := quote.New( q := quote.New(
field.NewQuoteID(quoteID), 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()) 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, "QuoteReqID": quoteReqID,
"QuoteID": quoteID, "QuoteID": quoteID,
"Symbol": symbol, "Symbol": symbol,
@ -559,6 +548,45 @@ func (m *Manager) SendQuote(quoteReqID string, price decimal.Decimal) error {
return nil 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 { func (m *Manager) anyActiveSessionID() quickfix.SessionID {
m.sessionsMu.RLock() m.sessionsMu.RLock()
defer m.sessionsMu.RUnlock() defer m.sessionsMu.RUnlock()
@ -608,84 +636,38 @@ func (m *Manager) loadActiveTrades() error {
continue continue
} }
body := msg.JMessage.Body relSym := firstGroup(msg.JMessage.Body, "NoRelatedSym")
if getString(relSym, "NegotiationType") != "RFQ" {
nt, _ := body["NegotiationType"].(string) continue
if nt != "RFQ" { }
if getString(relSym, "ListID") == "" {
continue continue
} }
listID, _ := body["ListID"].(string) activeTrades[msg.QuoteReqID] = &listTrade{
if listID == "" { QuoteRequest: msg.JMessage,
continue
} }
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 case "S": // Outgoing Quote — dealer has already quoted this trade
if t, ok := activeTrades[msg.QuoteReqID]; ok { if t, ok := activeTrades[msg.QuoteReqID]; ok {
t.Quoted = true t.Quoted = true
if v, ok := msg.JMessage.Body["Price"].(string); ok { t.Price = getDecimal(msg.JMessage.Body, "Price")
t.Price, _ = decimal.NewFromString(v)
}
} }
case "CW": // QuoteAck — if rejected, trade is dead case "CW": // QuoteAck — if rejected, trade is dead
body := msg.JMessage.Body if getString(msg.JMessage.Body, "QuoteAckStatus") != string(enum.QuoteAckStatus_ACCEPTED) {
quoteAckStatus, _ := body["QuoteAckStatus"].(string)
if quoteAckStatus != string(enum.QuoteAckStatus_ACCEPTED) {
delete(activeTrades, msg.QuoteReqID) delete(activeTrades, msg.QuoteReqID)
} }
case "AJ": // QuoteResponse — _TRDSUMM means trade is done (flow 8.6) case "AJ": // QuoteResponse — _TRDSUMM means trade is done (flow 8.6)
body := msg.JMessage.Body if strings.HasSuffix(getString(msg.JMessage.Body, "QuoteRespID"), "_TRDSUMM") {
quoteRespID, _ := body["QuoteRespID"].(string)
if strings.HasSuffix(quoteRespID, "_TRDSUMM") {
delete(activeTrades, msg.QuoteReqID) delete(activeTrades, msg.QuoteReqID)
} }
case "8": // ExecutionReport — _TRDSUMM means trade is done (flow 8.4) case "8": // ExecutionReport — _TRDSUMM means trade is done (flow 8.4)
body := msg.JMessage.Body body := msg.JMessage.Body
execID, _ := body["ExecID"].(string) if strings.Contains(getString(body, "ExecID"), "_TRDSUMM") {
clOrdID, _ := body["ClOrdID"].(string) delete(activeTrades, getString(body, "ClOrdID"))
if strings.Contains(execID, "_TRDSUMM") {
delete(activeTrades, clOrdID)
} }
} }
} }

197
src/client/fix/parser.go
View File

@ -4,6 +4,7 @@ import (
"time" "time"
"quantex.com/qfixdpl/quickfix" "quantex.com/qfixdpl/quickfix"
"quantex.com/qfixdpl/quickfix/datadictionary"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/executionreport" "quantex.com/qfixdpl/quickfix/gen/fix50sp2/executionreport"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoteack" "quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoteack"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoterequest" "quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoterequest"
@ -12,188 +13,56 @@ import (
"quantex.com/qfixdpl/src/domain" "quantex.com/qfixdpl/src/domain"
) )
func extractHeader(msg *quickfix.Message) map[string]interface{} { // buildFixMessageJSON walks the full FIX message (header + body + trailer)
header := make(map[string]interface{}) // 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 { if dd != nil {
header["BeginString"] = string(v) if dd.Header != nil {
} headerFields = dd.Header.Fields
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 v, e := sym.GetSecurityIDSource(); e == nil { if dd.Trailer != nil {
body["SecurityIDSource"] = string(v) trailerFields = dd.Trailer.Fields
} }
if v, e := sym.GetCurrency(); e == nil { if md, ok := dd.Messages[msgType]; ok {
body["Currency"] = v bodyFields = md.Fields
}
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
} }
} }
return domain.FixMessageJSON{ return domain.FixMessageJSON{
Direction: "IN", Direction: direction,
MsgType: "R", MsgType: msgType,
QuoteReqID: quoteReqID, QuoteReqID: quoteReqID,
Header: extractHeader(msg.Message), Header: GetMap(BuildFieldMap(msg.Header.FieldMap, dd, headerFields)),
Body: body, Body: GetMap(BuildFieldMap(msg.Body.FieldMap, dd, bodyFields)),
Trailer: GetMap(BuildFieldMap(msg.Trailer.FieldMap, dd, trailerFields)),
ReceiveTime: time.Now(), ReceiveTime: time.Now(),
} }
} }
func parseQuoteAck(msg quoteack.QuoteAck) domain.FixMessageJSON { func parseQuoteRequest(msg quoterequest.QuoteRequest, dd *datadictionary.DataDictionary) domain.FixMessageJSON {
quoteReqID, _ := msg.GetQuoteReqID() quoteReqID, _ := msg.GetQuoteReqID()
body := map[string]interface{}{"QuoteReqID": quoteReqID} return buildFixMessageJSON("IN", "R", quoteReqID, msg.Message, dd)
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(),
}
} }
func parseQuoteResponse(msg quoteresponse.QuoteResponse) domain.FixMessageJSON { func parseQuoteAck(msg quoteack.QuoteAck, dd *datadictionary.DataDictionary) domain.FixMessageJSON {
quoteReqID, _ := msg.GetQuoteReqID() quoteReqID, _ := msg.GetQuoteReqID()
body := map[string]interface{}{"QuoteReqID": quoteReqID} return buildFixMessageJSON("IN", "CW", quoteReqID, msg.Message, dd)
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(),
}
} }
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() clOrdID, _ := msg.GetClOrdID()
body := map[string]interface{}{"ClOrdID": clOrdID} return buildFixMessageJSON("IN", "8", clOrdID, msg.Message, dd)
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(),
}
} }
// extractIdentifier extracts the trade identifier from a parsed FIX message. // extractIdentifier extracts the trade identifier from a parsed FIX message.
@ -218,7 +87,7 @@ func extractIdentifier(msg *quickfix.Message) string {
return "" 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{ return domain.FixMessageJSON{
Direction: "OUT", Direction: "OUT",
MsgType: msgType, MsgType: msgType,

26
src/domain/persistence.go
View File

@ -5,26 +5,20 @@ import "time"
// ListTrade es la representacion exportada de un trade de List Trading. // ListTrade es la representacion exportada de un trade de List Trading.
type ListTrade struct { type ListTrade struct {
QuoteReqID string QuoteRequest FixMessageJSON `json:"quote_request"`
ListID string Quoted bool `json:"quoted"`
Symbol string Price string `json:"price,omitempty"`
SecurityIDSrc string
Currency string
Side string
OrderQty string
SettlDate string
Price string
OwnerTraderID string
} }
// FixMessageJSON es la representacion estructurada de un mensaje FIX para almacenamiento. // FixMessageJSON es la representacion estructurada de un mensaje FIX para almacenamiento.
type FixMessageJSON struct { type FixMessageJSON struct {
Direction string `json:"direction"` Direction string `json:"direction"`
MsgType string `json:"msg_type"` MsgType string `json:"msg_type"`
QuoteReqID string `json:"quote_req_id"` QuoteReqID string `json:"quote_req_id"`
Header map[string]interface{} `json:"header"` Header map[string]any `json:"header"`
Body map[string]interface{} `json:"body"` Body map[string]any `json:"body"`
ReceiveTime time.Time `json:"receive_time"` Trailer map[string]any `json:"trailer"`
ReceiveTime time.Time `json:"receive_time"`
} }
// TradeMessage es una fila de qfixdpl_messages. // TradeMessage es una fila de qfixdpl_messages.