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Flow 8.4 list trading working

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This commit is contained in:
Facundo Marion
2026-03-16 12:44:52 -03:00
parent 5f1d7038ac
commit e17675d973
8 changed files with 264 additions and 158 deletions
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258
src/client/fix/manager.go
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@ -1,21 +1,24 @@
package fix
import (
"fmt"
"log/slog"
"os"
"strings"
"sync"
"time"
"github.com/google/uuid"
"github.com/rs/zerolog/log"
"github.com/shopspring/decimal"
"quantex.com/qfixdpl/quickfix"
"quantex.com/qfixdpl/quickfix/gen/enum"
"quantex.com/qfixdpl/quickfix/gen/field"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/executionack"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/executionreport"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quote"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoteack"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoterequest"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoteresponse"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quotestatusreport"
"quantex.com/qfixdpl/quickfix/store/file"
"quantex.com/qfixdpl/src/app"
@ -23,12 +26,28 @@ import (
"quantex.com/qfixdpl/src/domain"
)
type listTrade struct {
QuoteReqID string
ListID string
Symbol string
SecurityIDSrc enum.SecurityIDSource
Currency string
Side enum.Side
OrderQty decimal.Decimal
SettlDate string
Price decimal.Decimal
OwnerTraderID string
SessionID quickfix.SessionID
}
// Manager wraps the QuickFIX initiator and implements domain.FIXSender.
type Manager struct {
initiator *quickfix.Initiator
app *application
sessionsMu sync.RWMutex
sessions map[string]quickfix.SessionID
tradesMu sync.RWMutex
trades map[string]*listTrade
orderStore domain.OrderStore
notify domain.Notifier
cfg app.FIXConfig
@ -37,6 +56,7 @@ type Manager struct {
func NewManager(cfg app.FIXConfig, orderStore domain.OrderStore, notify domain.Notifier) *Manager {
return &Manager{
sessions: make(map[string]quickfix.SessionID),
trades: make(map[string]*listTrade),
orderStore: orderStore,
notify: notify,
cfg: cfg,
@ -48,6 +68,10 @@ func (m *Manager) Start() error {
fixApp.onLogon = m.onLogon
fixApp.onLogout = m.onLogout
fixApp.onQuoteRequest = m.handleQuoteRequest
fixApp.onQuoteAck = m.handleQuoteAck
fixApp.onQuoteResponse = m.handleQuoteResponse
fixApp.onExecutionReport = m.handleExecutionReport
fixApp.onExecutionAck = m.handleExecutionAck
m.app = fixApp
f, err := os.Open(m.cfg.SettingsFile)
@ -117,72 +141,6 @@ func (m *Manager) onLogout(sessionID quickfix.SessionID) {
m.sessionsMu.Unlock()
}
// SendQuote implements domain.FIXSender.
func (m *Manager) SendQuote(
clOrdID, quoteID, symbol string,
secIDSource string,
currency string,
bidPx, offerPx decimal.Decimal,
) error {
m.sessionsMu.RLock()
var sessionID quickfix.SessionID
var ok bool
for _, sid := range m.sessions {
sessionID = sid
ok = true
break
}
m.sessionsMu.RUnlock()
if !ok {
err := tracerr.Errorf("error sending quote: no active FIX session")
log.Error().Msg(err.Error())
return err
}
q := quote.New(
field.NewQuoteID(uuid.NewString()),
field.NewQuoteType(enum.QuoteType_INDICATIVE),
field.NewTransactTime(time.Now()),
)
sIDSource := enum.SecurityIDSource_ISIN_NUMBER
if secIDSource == "1" {
sIDSource = enum.SecurityIDSource_CUSIP
}
q.SetSymbol("[N/A]")
q.SetSecurityID(symbol)
q.SetSecurityIDSource(sIDSource)
q.SetQuoteReqID(quoteID)
if currency != "" {
q.SetCurrency(currency)
}
if !bidPx.IsZero() {
q.SetBidPx(bidPx, 8)
q.SetSide(enum.Side_SELL)
} else {
q.SetOfferPx(offerPx, 8)
q.SetSide(enum.Side_BUY)
}
q.SetPriceType(enum.PriceType_PERCENTAGE)
if err := quickfix.SendToTarget(q, sessionID); err != nil {
err = tracerr.Errorf("error sending FIX quote: %s", err)
log.Error().Msg(err.Error())
return err
}
slog.Info("Quote sent", "clOrdID", clOrdID, "quoteID", quoteID, "symbol", symbol)
return nil
}
// sendQuoteStatusReport sends a QuoteStatusReport (35=AI) to acknowledge the incoming QuoteRequest.
func (m *Manager) sendQuoteStatusReport(quoteReqID, ownerTraderID string, sessionID quickfix.SessionID) error {
qsr := quotestatusreport.New(
@ -199,6 +157,33 @@ func (m *Manager) sendQuoteStatusReport(quoteReqID, ownerTraderID string, sessio
return quickfix.SendToTarget(qsr, sessionID)
}
// sendTradeRequestAck sends a QuoteStatusReport (35=AI) to acknowledge a trade request (TRDREQACK).
func (m *Manager) sendTradeRequestAck(quoteReqID, quoteRespID string, sessionID quickfix.SessionID) error {
qsr := quotestatusreport.New(
field.NewTransactTime(time.Now()),
field.NewQuoteStatus(enum.QuoteStatus_ACCEPTED),
)
qsr.SetQuoteReqID(quoteReqID)
qsr.SetQuoteRespID(quoteRespID)
qsr.SetSymbol("[N/A]")
return quickfix.SendToTarget(qsr, sessionID)
}
// sendExecutionAck sends an ExecutionAck (35=BN) to acknowledge an incoming ExecutionReport.
func (m *Manager) sendExecutionAck(orderID, clOrdID, execID string, sessionID quickfix.SessionID) error {
bn := executionack.New(
field.NewOrderID(orderID),
field.NewExecID(execID),
field.NewExecAckStatus(enum.ExecAckStatus_ACCEPTED),
)
bn.SetClOrdID(clOrdID)
bn.SetSymbol("[N/A]")
bn.SetTransactTime(time.Now())
return quickfix.SendToTarget(bn, sessionID)
}
// handleQuoteRequest auto-responds to an incoming QuoteRequest with a QuoteStatusReport (acknowledge) followed by a Quote at price 99.6.
func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID quickfix.SessionID) {
quoteReqID, err := msg.GetQuoteReqID()
@ -207,11 +192,17 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
return
}
// Validate LST_ prefix for List Trading flow.
if !strings.HasPrefix(quoteReqID, "LST_") {
slog.Warn("handleQuoteRequest: QuoteReqID missing LST_ prefix, ignoring", "quoteReqID", quoteReqID)
return
}
var (
symbol, currency, ownerTraderID, settlDate string
side enum.Side
secIDSource enum.SecurityIDSource
orderQty decimal.Decimal
symbol, currency, ownerTraderID, settlDate, listID, negotiationType string
side enum.Side
secIDSource enum.SecurityIDSource
orderQty decimal.Decimal
)
relatedSyms, relErr := msg.GetNoRelatedSym()
@ -224,6 +215,18 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
ownerTraderID, _ = sym.GetOwnerTraderID()
orderQty, _ = sym.GetOrderQty()
settlDate, _ = sym.GetSettlDate()
listID, _ = sym.GetListID()
negotiationType, _ = sym.GetNegotiationType()
}
if listID == "" {
slog.Warn("handleQuoteRequest: missing ListID", "quoteReqID", quoteReqID)
return
}
if negotiationType != "RFQ" {
slog.Warn("handleQuoteRequest: unexpected NegotiationType", "quoteReqID", quoteReqID, "negotiationType", negotiationType)
return
}
// Step 1: Send QuoteStatusReport (35=AI) to acknowledge the inquiry.
@ -241,7 +244,7 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
sIDSource = enum.SecurityIDSource_CUSIP
}
quoteID := fmt.Sprintf("Q-%d", time.Now().UnixMilli())
quoteID := quoteReqID
q := quote.New(
field.NewQuoteID(quoteID),
field.NewQuoteType(enum.QuoteType_SEND_QUOTE),
@ -265,6 +268,8 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
q.SetSettlDate(settlDate)
}
q.SetPrice(price, 8)
if side == enum.Side_BUY {
q.SetOfferPx(price, 8)
q.SetSide(enum.Side_BUY)
@ -285,4 +290,111 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
}
slog.Info("Quote sent", "quoteReqID", quoteReqID, "quoteID", quoteID, "symbol", symbol)
// Store trade state for subsequent steps.
m.tradesMu.Lock()
m.trades[quoteReqID] = &listTrade{
QuoteReqID: quoteReqID,
ListID: listID,
Symbol: symbol,
SecurityIDSrc: sIDSource,
Currency: currency,
Side: side,
OrderQty: orderQty,
SettlDate: settlDate,
Price: price,
OwnerTraderID: ownerTraderID,
SessionID: sessionID,
}
m.tradesMu.Unlock()
}
// handleQuoteAck handles an incoming QuoteAck (35=CW).
func (m *Manager) handleQuoteAck(msg quoteack.QuoteAck, sessionID quickfix.SessionID) {
quoteReqID, _ := msg.GetQuoteReqID()
status, _ := msg.GetQuoteAckStatus()
if status != enum.QuoteAckStatus_ACCEPTED {
slog.Warn("handleQuoteAck: unexpected status", "quoteReqID", quoteReqID, "quoteAckStatus", status)
}
}
// handleQuoteResponse handles an incoming QuoteResponse (35=AJ).
func (m *Manager) handleQuoteResponse(msg quoteresponse.QuoteResponse, sessionID quickfix.SessionID) {
quoteReqID, _ := msg.GetQuoteReqID()
quoteRespID, _ := msg.GetQuoteRespID()
slog.Info("handleQuoteResponse", "quoteReqID", quoteReqID, "quoteRespID", quoteRespID)
if !strings.HasSuffix(quoteRespID, "_TRDREQ") {
slog.Info("handleQuoteResponse: QuoteRespID does not end with _TRDREQ, ignoring", "quoteRespID", quoteRespID)
return
}
m.tradesMu.RLock()
_, ok := m.trades[quoteReqID]
m.tradesMu.RUnlock()
if !ok {
slog.Warn("handleQuoteResponse: no trade found for QuoteReqID", "quoteReqID", quoteReqID)
return
}
// TODO: handle 694=2 (Counter) for flow 8.5 (Client Countering) in the future.
// Send QuoteStatusReport (35=AI) as TRDREQACK.
if ackErr := m.sendTradeRequestAck(quoteReqID, quoteRespID, sessionID); ackErr != nil {
slog.Error("handleQuoteResponse: failed to send TRDREQACK", "quoteReqID", quoteReqID, "error", ackErr.Error())
return
}
slog.Info("TRDREQACK sent", "quoteReqID", quoteReqID, "quoteRespID", quoteRespID)
}
// handleExecutionReport handles an incoming ExecutionReport (35=8).
// In flow 8.4 (List Trading), the dealer NEVER sends an ExecutionReport — only TW does.
func (m *Manager) handleExecutionReport(msg executionreport.ExecutionReport, sessionID quickfix.SessionID) {
execID, _ := msg.GetExecID()
orderID, _ := msg.GetOrderID()
clOrdID, _ := msg.GetClOrdID()
execType, _ := msg.GetExecType()
ordStatus, _ := msg.GetOrdStatus()
listID, _ := msg.GetListID()
slog.Info("handleExecutionReport received",
"execID", execID, "orderID", orderID, "clOrdID", clOrdID,
"execType", string(execType), "ordStatus", string(ordStatus), "listID", listID,
)
// Send ExecutionAck (35=BN) for every incoming ExecutionReport from TW.
if ackErr := m.sendExecutionAck(orderID, clOrdID, execID, sessionID); ackErr != nil {
slog.Error("handleExecutionReport: failed to send ExecutionAck", "execID", execID, "error", ackErr.Error())
} else {
slog.Info("ExecutionAck sent", "execID", execID)
}
switch {
case strings.Contains(execID, "_LISTEND"):
slog.Info("List ended (due-in closed), awaiting trade result from TW",
"execID", execID, "clOrdID", clOrdID)
case strings.Contains(execID, "_TRDEND"):
slog.Info("Trade ended, cleaning up", "execID", execID, "clOrdID", clOrdID)
m.tradesMu.Lock()
delete(m.trades, clOrdID)
m.tradesMu.Unlock()
case strings.Contains(execID, "_TRDSUMM"):
slog.Info("Trade summary received from TW",
"execID", execID, "clOrdID", clOrdID, "ordStatus", string(ordStatus), "listID", listID)
case execType == enum.ExecType_TRADE:
slog.Info("Trade result received from TW",
"execID", execID, "clOrdID", clOrdID, "ordStatus", string(ordStatus), "listID", listID)
}
}
// handleExecutionAck handles an incoming ExecutionAck (35=BN) from TW.
func (m *Manager) handleExecutionAck(msg executionack.ExecutionAck, sessionID quickfix.SessionID) {
// Logged in application.go, no further action needed.
}