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adding endpoints

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This commit is contained in:
Ramiro Paz
2026-05-06 11:56:12 -03:00
parent 15a60bac92
commit 68238d309a
6 changed files with 334 additions and 79 deletions
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240
src/client/fix/manager.go
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@ -38,6 +38,7 @@ type listTrade struct {
Price decimal.Decimal
OwnerTraderID string
SessionID quickfix.SessionID
Quoted bool
}
// Manager wraps the QuickFIX initiator and implements domain.FIXSender.
@ -237,7 +238,7 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
return
}
// Step 1: Send QuoteStatusReport (35=AI) to acknowledge the inquiry.
// Send QuoteStatusReport (35=AI) to acknowledge the inquiry.
if ackErr := m.sendQuoteStatusReport(quoteReqID, ownerTraderID, sessionID); ackErr != nil {
ackErr = tracerr.Errorf("handleQuoteRequest: failed to send QuoteStatusReport (quoteReqID=%s): %w", quoteReqID, ackErr)
slog.Error(ackErr.Error())
@ -245,63 +246,12 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
}
slog.Info("QuoteStatusReport sent", "quoteReqID", quoteReqID)
// Step 2: Build and send Quote (35=S) with price.
price := decimal.NewFromFloat(99.6)
sIDSource := enum.SecurityIDSource_ISIN_NUMBER
if secIDSource == enum.SecurityIDSource_CUSIP {
sIDSource = enum.SecurityIDSource_CUSIP
}
quoteID := quoteReqID
q := quote.New(
field.NewQuoteID(quoteID),
field.NewQuoteType(enum.QuoteType_SEND_QUOTE),
field.NewTransactTime(time.Now()),
)
q.SetSymbol("[N/A]")
q.SetSecurityID(symbol)
q.SetSecurityIDSource(sIDSource)
q.SetQuoteReqID(quoteReqID)
if currency != "" {
q.SetCurrency(currency)
}
if !orderQty.IsZero() {
q.SetOrderQty(orderQty, 0)
}
if settlDate != "" {
q.SetSettlDate(settlDate)
}
q.SetPrice(price, 8)
if side == enum.Side_BUY {
q.SetOfferPx(price, 8)
q.SetSide(enum.Side_BUY)
} else {
q.SetBidPx(price, 8)
q.SetSide(enum.Side_SELL)
}
q.SetPriceType(enum.PriceType_PERCENTAGE)
if ownerTraderID != "" {
q.SetOwnerTraderID(ownerTraderID)
}
if sendErr := quickfix.SendToTarget(q, sessionID); sendErr != nil {
sendErr = tracerr.Errorf("handleQuoteRequest: failed to send quote (quoteReqID=%s): %w", quoteReqID, sendErr)
slog.Error(sendErr.Error())
return
}
slog.Info("Quote sent", "quoteReqID", quoteReqID, "quoteID", quoteID, "symbol", symbol)
// Store trade state for subsequent steps.
// Store trade state as pending; Quote (35=S) is sent later via REST endpoint.
m.tradesMu.Lock()
m.trades[quoteReqID] = &listTrade{
QuoteReqID: quoteReqID,
@ -312,9 +262,9 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
Side: side,
OrderQty: orderQty,
SettlDate: settlDate,
Price: price,
OwnerTraderID: ownerTraderID,
SessionID: sessionID,
Quoted: false,
}
m.tradesMu.Unlock()
@ -327,18 +277,6 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
"QuoteStatus": string(enum.QuoteStatus_ACCEPTED),
"OwnerTraderID": ownerTraderID,
}))
// Persist outgoing Quote.
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("S", quoteReqID, map[string]interface{}{
"QuoteReqID": quoteReqID,
"QuoteID": quoteID,
"Symbol": symbol,
"Side": string(side),
"Price": price.String(),
"OrderQty": orderQty.String(),
"Currency": currency,
"SettlDate": settlDate,
}))
}
// handleQuoteAck handles an incoming QuoteAck (35=CW).
@ -479,23 +417,157 @@ func (m *Manager) GetTrades() []domain.ListTrade {
trades := make([]domain.ListTrade, 0, len(m.trades))
for _, t := range m.trades {
trades = append(trades, 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,
})
trades = append(trades, toDomainListTrade(t))
}
return trades
}
// GetPendingQuoteRequests returns trades that have received a QuoteRequest but not yet been quoted by the dealer.
func (m *Manager) GetPendingQuoteRequests() []domain.ListTrade {
m.tradesMu.RLock()
defer m.tradesMu.RUnlock()
pending := make([]domain.ListTrade, 0)
for _, t := range m.trades {
if !t.Quoted {
pending = append(pending, toDomainListTrade(t))
}
}
return pending
}
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,
}
}
// SendQuote builds and sends a Quote (35=S) for an existing pending QuoteRequest at the given price.
func (m *Manager) SendQuote(quoteReqID string, price decimal.Decimal) error {
m.tradesMu.Lock()
t, ok := m.trades[quoteReqID]
if !ok {
m.tradesMu.Unlock()
err := tracerr.Errorf("SendQuote: quoteReqID %s not found", quoteReqID)
slog.Error(err.Error())
return err
}
if t.Quoted {
m.tradesMu.Unlock()
err := tracerr.Errorf("SendQuote: quote already sent for quoteReqID %s", quoteReqID)
slog.Error(err.Error())
return err
}
sessionID := t.SessionID
if sessionID == (quickfix.SessionID{}) {
sessionID = m.anyActiveSessionID()
if sessionID == (quickfix.SessionID{}) {
m.tradesMu.Unlock()
err := tracerr.Errorf("SendQuote: no active FIX session for quoteReqID %s", quoteReqID)
slog.Error(err.Error())
return err
}
}
symbol := t.Symbol
sIDSource := t.SecurityIDSrc
currency := t.Currency
side := t.Side
orderQty := t.OrderQty
settlDate := t.SettlDate
ownerTraderID := t.OwnerTraderID
m.tradesMu.Unlock()
quoteID := quoteReqID
q := quote.New(
field.NewQuoteID(quoteID),
field.NewQuoteType(enum.QuoteType_SEND_QUOTE),
field.NewTransactTime(time.Now()),
)
q.SetSymbol("[N/A]")
q.SetSecurityID(symbol)
q.SetSecurityIDSource(sIDSource)
q.SetQuoteReqID(quoteReqID)
if currency != "" {
q.SetCurrency(currency)
}
if !orderQty.IsZero() {
q.SetOrderQty(orderQty, 0)
}
if settlDate != "" {
q.SetSettlDate(settlDate)
}
q.SetPrice(price, 8)
if side == enum.Side_BUY {
q.SetOfferPx(price, 8)
q.SetSide(enum.Side_BUY)
} else {
q.SetBidPx(price, 8)
q.SetSide(enum.Side_SELL)
}
q.SetPriceType(enum.PriceType_PERCENTAGE)
if ownerTraderID != "" {
q.SetOwnerTraderID(ownerTraderID)
}
if sendErr := quickfix.SendToTarget(q, sessionID); sendErr != nil {
sendErr = tracerr.Errorf("SendQuote: failed to send quote (quoteReqID=%s): %w", quoteReqID, sendErr)
slog.Error(sendErr.Error())
return sendErr
}
m.tradesMu.Lock()
if t, ok := m.trades[quoteReqID]; ok {
t.Price = price
t.Quoted = true
}
m.tradesMu.Unlock()
slog.Info("Quote sent", "quoteReqID", quoteReqID, "quoteID", quoteID, "symbol", symbol, "price", price.String())
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("S", quoteReqID, map[string]interface{}{
"QuoteReqID": quoteReqID,
"QuoteID": quoteID,
"Symbol": symbol,
"Side": string(side),
"Price": price.String(),
"OrderQty": orderQty.String(),
"Currency": currency,
"SettlDate": settlDate,
}))
return nil
}
func (m *Manager) anyActiveSessionID() quickfix.SessionID {
m.sessionsMu.RLock()
defer m.sessionsMu.RUnlock()
for _, s := range m.sessions {
return s
}
return quickfix.SessionID{}
}
// handleRawMessage persists raw FIX message strings to the logs table.
func (m *Manager) handleRawMessage(direction string, msg *quickfix.Message) {
quoteReqID := extractIdentifier(msg)
@ -557,6 +629,10 @@ func (m *Manager) loadActiveTrades() error {
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
}
@ -579,6 +655,14 @@ func (m *Manager) loadActiveTrades() error {
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)
}
}
case "CW": // QuoteAck — if rejected, trade is dead
body := msg.JMessage.Body
quoteAckStatus, _ := body["QuoteAckStatus"].(string)