Compare commits
5 Commits
develop
...
QFIXDPL-4/
| Author | SHA1 | Date | |
|---|---|---|---|
| 99c7f8ccb0 | |||
| 45fad9de6c | |||
| 36b841fc66 | |||
| 68238d309a | |||
| 15a60bac92 |
5
Makefile
5
Makefile
@ -62,7 +62,10 @@ linux-build: check-env swag # Build a linux version for prod environment. Set e=
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env OUT_PATH=$(DEFAULT_OUT_PATH) GOARCH=amd64 GOOS=linux tools/build.sh $(e)
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deploy: # Deploy to remote server. Set e=environment: prod, dev, demo, open-demo; s=serverName; i=instance; e.g. make deploy e=dev s=nonprodFix i=dpl
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make build e=$(e) && qscp build/out/distribution/qfixdpl.gz $(s):/home/quantex/qfixtb/$(i)/
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make build e=$(e) && qscp build/out/distribution/qfixdpl.gz $(s):/home/quantex/qfixtb/dpl/
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open-demo:
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make deploy e=open-demo s=nonprodFix
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fmt: download-versions # Apply the Go formatter to the code
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cd tools/check; unset GOPATH; GOBIN=$$PWD/../bin go install mvdan.cc/gofumpt@$(call get_version,gofumpt);
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5
docs/EndTrade.log
Normal file
5
docs/EndTrade.log
Normal file
@ -0,0 +1,5 @@
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8=FIXT.1.1|9=861|35=R|34=413|49=TRADEWEB|52=20260508-16:51:56.674|56=BYMA_CORI_TEST_12345_DLRDPL|131=LST_20260508_BYMA_CORI_NY1600105.1_1|146=1|55=ARGENT 1.500 07/09/35|48=040114HT0|22=1|460=12|167=CORP|762=REGCORIINV|541=20350709|225=20200904|470=AR|223=1.5|106=ARGENTINE REPUBLIC|54=2|38=10000|64=20260511|15=USD|6110=Sov|60=20260508-16:51:56|423=1|44=-999999|236=-999999|5023=0.000010|66=NY1600105.1|6847=1|75=20260508|464=Y|20086=1|20074=Y|20075=Y|20077=[N/A]|20078=[N/A]|20079=300|20081=300|20090=0|20072=300|20098=0|5745=1|20073=RFQ|20076=Y|20156=Y|20130=20501720000|20138=HSB|561=1|562=1|20175=20210709|20223=American|22630=0|20265=LatAm|20227=Global|23068=TRWB|453=3|448=bymacust|447=C|452=3|802=3|523=BYMA CUST|803=2|523=NY|803=25|523=AR|803=4000|448=BYMA Customer|447=C|452=1|448=DTCC|447=C|452=4|454=1|455=US040114HT09|456=4|5114=2|5113=1|20169=Ca|5113=0|20169=CCC+|10=078
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8=FIXT.1.1|9=203|35=AI|34=418|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:51:56.695|56=TRADEWEB|55=[N/A]|60=20260508-16:51:56.695|117=LST_20260508_BYMA_CORI_NY1600105.1_1|131=LST_20260508_BYMA_CORI_NY1600105.1_1|297=0|10=165
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8=FIXT.1.1|9=292|35=AJ|34=414|49=TRADEWEB|52=20260508-16:52:05.343|56=BYMA_CORI_TEST_12345_DLRDPL|11=LST_20260508_BYMA_CORI_NY1600105.1_1|55=[N/A]|60=20260508-16:52:05|117=[N/A]|131=LST_20260508_BYMA_CORI_NY1600105.1_1|693=LST_20260508_BYMA_CORI_NY1600105.1_1_LISTEND|694=7|20086=1|20103=N/A|20110=NO|22636=Y|10=077
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8=FIXT.1.1|9=211|35=AI|34=419|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:52:05.367|56=TRADEWEB|55=[N/A]|60=20260508-16:52:05.367|131=LST_20260508_BYMA_CORI_NY1600105.1_1|297=0|693=LST_20260508_BYMA_CORI_NY1600105.1_1_LISTEND|10=014
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14
docs/Execution.log
Normal file
14
docs/Execution.log
Normal file
@ -0,0 +1,14 @@
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8=FIXT.1.1|9=862|35=R|34=393|49=TRADEWEB|52=20260508-16:44:06.978|56=BYMA_CORI_TEST_12345_DLRDPL|131=LST_20260508_BYMA_CORI_NY1600095.1_1|146=1|55=ARGENT 1.500 07/09/35|48=040114HT0|22=1|460=12|167=CORP|762=REGCORIINV|541=20350709|225=20200904|470=AR|223=1.5|106=ARGENTINE REPUBLIC|54=2|38=850000|64=20260511|15=USD|6110=Sov|60=20260508-16:44:06|423=1|44=-999999|236=-999999|5023=0.000010|66=NY1600095.1|6847=1|75=20260508|464=Y|20086=1|20074=Y|20075=Y|20077=[N/A]|20078=[N/A]|20079=300|20081=300|20090=0|20072=300|20098=0|5745=1|20073=RFQ|20076=Y|20156=Y|20130=20501720000|20138=HSB|561=1|562=1|20175=20210709|20223=American|22630=0|20265=LatAm|20227=Global|23068=TRWB|453=3|448=bymacust|447=C|452=3|802=3|523=BYMA CUST|803=2|523=NY|803=25|523=AR|803=4000|448=BYMA Customer|447=C|452=1|448=DTCC|447=C|452=4|454=1|455=US040114HT09|456=4|5114=2|5113=1|20169=Ca|5113=0|20169=CCC+|10=163
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8=FIXT.1.1|9=203|35=AI|34=398|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:44:07.018|56=TRADEWEB|55=[N/A]|60=20260508-16:44:07.018|117=LST_20260508_BYMA_CORI_NY1600095.1_1|131=LST_20260508_BYMA_CORI_NY1600095.1_1|297=0|10=162
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8=FIXT.1.1|9=293|35=S|34=399|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:44:34.096|56=TRADEWEB|15=USD|22=1|38=850000|44=91.00000000|48=040114HT0|54=2|55=[N/A]|60=20260508-16:44:34.096|64=20260511|117=LST_20260508_BYMA_CORI_NY1600095.1_1|131=LST_20260508_BYMA_CORI_NY1600095.1_1|132=91.00000000|423=1|537=211|10=127
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8=FIXT.1.1|9=191|35=CW|34=394|49=TRADEWEB|52=20260508-16:44:34.137|56=BYMA_CORI_TEST_12345_DLRDPL|60=20260508-16:44:34|117=LST_20260508_BYMA_CORI_NY1600095.1_1|131=LST_20260508_BYMA_CORI_NY1600095.1_1|1865=1|10=004
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8=FIXT.1.1|9=80|35=0|34=400|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:45:04.125|56=TRADEWEB|10=169
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8=FIXT.1.1|9=80|35=0|34=395|49=TRADEWEB|52=20260508-16:45:04.142|56=BYMA_CORI_TEST_12345_DLRDPL|10=181
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8=FIXT.1.1|9=391|35=AJ|34=396|49=TRADEWEB|52=20260508-16:45:10.511|56=BYMA_CORI_TEST_12345_DLRDPL|11=LST_20260508_BYMA_CORI_NY1600095.1_1|22=1|38=850000|44=91|48=040114HT0|54=2|55=[N/A]|60=20260508-16:45:10|117=LST_20260508_BYMA_CORI_NY1600095.1_1|131=LST_20260508_BYMA_CORI_NY1600095.1_1|423=1|693=LST_20260508_BYMA_CORI_NY1600095.1_1_TRDREQ|694=1|20074=N|20075=N|20076=N|20079=236|20082=60|20156=N|22630=0|10=127
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||||
8=FIXT.1.1|9=295|35=8|34=397|49=TRADEWEB|52=20260508-16:45:10.514|56=BYMA_CORI_TEST_12345_DLRDPL|6=0|11=LST_20260508_BYMA_CORI_NY1600095.1_1|14=0|17=LST_20260508_BYMA_CORI_NY1600095.1_1_LISTEND-124510.514|37=LST_20260508_BYMA_CORI_NY1600095.1_1|39=A|55=[N/A]|60=20260508-16:45:10|75=20260508|150=A|151=0|20086=1|10=213
|
||||
8=FIXT.1.1|9=210|35=AI|34=401|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:45:10.539|56=TRADEWEB|55=[N/A]|60=20260508-16:45:10.539|131=LST_20260508_BYMA_CORI_NY1600095.1_1|297=0|693=LST_20260508_BYMA_CORI_NY1600095.1_1_TRDREQ|10=209
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8=FIXT.1.1|9=261|35=BN|34=402|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:45:10.601|56=TRADEWEB|11=LST_20260508_BYMA_CORI_NY1600095.1_1|17=LST_20260508_BYMA_CORI_NY1600095.1_1_LISTEND-124510.514|37=LST_20260508_BYMA_CORI_NY1600095.1_1|55=[N/A]|60=20260508-16:45:10.601|1036=1|10=232
|
||||
8=FIXT.1.1|9=303|35=8|34=398|49=TRADEWEB|52=20260508-16:45:10.666|56=BYMA_CORI_TEST_12345_DLRDPL|6=0|11=LST_20260508_BYMA_CORI_NY1600095.1_1|14=0|17=LST_20260508_BYMA_CORI_NY1600095.1_1_TRDEND-124510.660|37=LST_20260508_BYMA_CORI_NY1600095.1_1|39=2|44=91|54=2|55=[N/A]|60=20260508-16:45:10|75=20260508|150=F|151=0|423=1|10=252
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||||
8=FIXT.1.1|9=260|35=BN|34=403|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:45:10.690|56=TRADEWEB|11=LST_20260508_BYMA_CORI_NY1600095.1_1|17=LST_20260508_BYMA_CORI_NY1600095.1_1_TRDEND-124510.660|37=LST_20260508_BYMA_CORI_NY1600095.1_1|55=[N/A]|60=20260508-16:45:10.690|1036=1|10=168
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8=FIXT.1.1|9=729|35=8|34=399|49=TRADEWEB|52=20260508-16:45:10.738|56=BYMA_CORI_TEST_12345_DLRDPL|6=0|11=LST_20260508_BYMA_CORI_NY1600095.1_1|14=0|17=LST_20260508_BYMA_CORI_NY1600095.1_1_TRDSUMM-124510.736|22=1|37=LST_20260508_BYMA_CORI_NY1600095.1_1|38=850000|39=2|44=91|48=040114HT0|54=2|55=[N/A]|60=20260508-16:45:10.535|64=20260511|75=20260508|150=F|151=0|167=CORP|236=2.61081622|423=1|453=2|448=bymacust|447=C|452=3|802=3|523=BYMA CUST|803=2|523=NY|803=25|523=AR|803=4000|448=BYMA Customer|447=C|452=1|802=1|523=YES|803=4003|454=1|455=US040114HT09|456=4|526=TRD_20260508_BYMA_CORI_213|1003=20260508.BYMA.CORI.213|1907=1|1903=20260508BYMACORI213|1906=5|6731=20260508.BYMA.CORI.213|20115=91|22630=0|22636=Y|23068=TRWB|23096=20260508BYMACORI213|10=051
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8=FIXT.1.1|9=261|35=BN|34=404|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:45:10.781|56=TRADEWEB|11=LST_20260508_BYMA_CORI_NY1600095.1_1|17=LST_20260508_BYMA_CORI_NY1600095.1_1_TRDSUMM-124510.736|37=LST_20260508_BYMA_CORI_NY1600095.1_1|55=[N/A]|60=20260508-16:45:10.781|1036=1|10=027
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10
docs/Timeout.log
Normal file
10
docs/Timeout.log
Normal file
@ -0,0 +1,10 @@
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8=FIXT.1.1|9=858|35=R|34=416|49=TRADEWEB|52=20260508-16:52:50.205|56=BYMA_CORI_TEST_12345_DLRDPL|131=LST_20260508_BYMA_CORI_NY1600105.2_1|146=1|55=ARGENT 1.500 07/09/35|48=040114HT0|22=1|460=12|167=CORP|762=REGCORIINV|541=20350709|225=20200904|470=AR|223=1.5|106=ARGENTINE REPUBLIC|54=2|38=15000|64=20260511|15=USD|6110=Sov|60=20260508-16:52:50|423=1|44=-999999|236=-999999|5023=0.000010|66=NY1600105.2|6847=1|75=20260508|464=Y|20086=1|20074=Y|20075=Y|20077=[N/A]|20078=[N/A]|20079=60|20081=60|20090=0|20072=60|20098=0|5745=1|20073=RFQ|20076=Y|20156=Y|20130=20501720000|20138=HSB|561=1|562=1|20175=20210709|20223=American|22630=0|20265=LatAm|20227=Global|23068=TRWB|453=3|448=bymacust|447=C|452=3|802=3|523=BYMA CUST|803=2|523=NY|803=25|523=AR|803=4000|448=BYMA Customer|447=C|452=1|448=DTCC|447=C|452=4|454=1|455=US040114HT09|456=4|5114=2|5113=1|20169=Ca|5113=0|20169=CCC+|10=195
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8=FIXT.1.1|9=203|35=AI|34=421|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:52:50.226|56=TRADEWEB|55=[N/A]|60=20260508-16:52:50.226|117=LST_20260508_BYMA_CORI_NY1600105.2_1|131=LST_20260508_BYMA_CORI_NY1600105.2_1|297=0|10=131
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8=FIXT.1.1|9=80|35=0|34=422|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:53:20.289|56=TRADEWEB|10=181
|
||||
8=FIXT.1.1|9=80|35=0|34=417|49=TRADEWEB|52=20260508-16:53:20.291|56=BYMA_CORI_TEST_12345_DLRDPL|10=178
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||||
8=FIXT.1.1|9=80|35=0|34=423|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:53:50.295|56=TRADEWEB|10=182
|
||||
8=FIXT.1.1|9=80|35=0|34=418|49=TRADEWEB|52=20260508-16:53:50.305|56=BYMA_CORI_TEST_12345_DLRDPL|10=178
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||||
8=FIXT.1.1|9=265|35=AJ|34=419|49=TRADEWEB|52=20260508-16:53:50.698|56=BYMA_CORI_TEST_12345_DLRDPL|11=LST_20260508_BYMA_CORI_NY1600105.2_1|55=[N/A]|60=20260508-16:53:50|117=[N/A]|131=LST_20260508_BYMA_CORI_NY1600105.2_1|693=LST_20260508_BYMA_CORI_NY1600105.2_1_LISTEND|694=8|20086=1|10=010
|
||||
8=FIXT.1.1|9=211|35=AI|34=424|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:53:50.721|56=TRADEWEB|55=[N/A]|60=20260508-16:53:50.721|131=LST_20260508_BYMA_CORI_NY1600105.2_1|297=0|693=LST_20260508_BYMA_CORI_NY1600105.2_1_LISTEND|10=002
|
||||
8=FIXT.1.1|9=292|35=AJ|34=420|49=TRADEWEB|52=20260508-16:53:53.741|56=BYMA_CORI_TEST_12345_DLRDPL|11=LST_20260508_BYMA_CORI_NY1600105.2_1|55=[N/A]|60=20260508-16:53:53|117=[N/A]|131=LST_20260508_BYMA_CORI_NY1600105.2_1|693=LST_20260508_BYMA_CORI_NY1600105.2_1_LISTEND|694=8|20086=1|20103=N/A|20110=NO|22636=Y|10=088
|
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8=FIXT.1.1|9=211|35=AI|34=425|49=BYMA_CORI_TEST_12345_DLRDPL|52=20260508-16:53:53.763|56=TRADEWEB|55=[N/A]|60=20260508-16:53:53.763|131=LST_20260508_BYMA_CORI_NY1600105.2_1|297=0|693=LST_20260508_BYMA_CORI_NY1600105.2_1_LISTEND|10=021
|
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4
fix.cfg
4
fix.cfg
@ -5,6 +5,10 @@ SenderCompID=QUANTEX
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ResetOnLogon=Y
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FileStorePath=fix_store
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FileLogPath=fix_logs
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TransportDataDictionary=spec/FIXT11.xml
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AppDataDictionary=spec/FIX50SP2.xml
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AllowUnknownMessageFields=Y
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RejectInvalidMessage=N
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[SESSION]
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BeginString=FIXT.1.1
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@ -89,6 +89,24 @@ func (m FieldMap) Get(parser Field) MessageRejectError {
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return m.GetField(parser.Tag(), parser)
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}
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// RawValues returns a copy of the underlying TagValue slice for a tag.
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// For repeating groups, the first entry is the count and the remaining
|
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// entries are the flattened inner-field values across all repetitions.
|
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func (m FieldMap) RawValues(tag Tag) []TagValue {
|
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m.rwLock.RLock()
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defer m.rwLock.RUnlock()
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f, ok := m.tagLookup[tag]
|
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if !ok {
|
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return nil
|
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}
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|
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out := make([]TagValue, len(f))
|
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copy(out, f)
|
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|
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return out
|
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}
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|
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// Has returns true if the Tag is present in this FieldMap.
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func (m FieldMap) Has(tag Tag) bool {
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m.rwLock.RLock()
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@ -86,6 +86,16 @@ func (tv TagValue) String() string {
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return string(tv.bytes)
|
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}
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|
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// Tag returns the FIX tag for this TagValue.
|
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func (tv TagValue) Tag() Tag {
|
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return tv.tag
|
||||
}
|
||||
|
||||
// Value returns the raw FIX value bytes for this TagValue.
|
||||
func (tv TagValue) Value() []byte {
|
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return tv.value
|
||||
}
|
||||
|
||||
func bytesTotal(bytes []byte) (total int) {
|
||||
for _, b := range bytes {
|
||||
total += int(b)
|
||||
|
||||
313
spec/FIXT11.xml
Normal file
313
spec/FIXT11.xml
Normal 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>
|
||||
@ -40,7 +40,8 @@ type Service 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 {
|
||||
|
||||
@ -4,12 +4,14 @@ import (
|
||||
"fmt"
|
||||
"log/slog"
|
||||
"net/http"
|
||||
"strings"
|
||||
"time"
|
||||
|
||||
"github.com/gin-gonic/gin"
|
||||
"github.com/gomodule/redigo/redis"
|
||||
"github.com/sasha-s/go-deadlock"
|
||||
uuid "github.com/satori/go.uuid"
|
||||
"github.com/shopspring/decimal"
|
||||
|
||||
"quantex.com/qfixdpl/src/app"
|
||||
"quantex.com/qfixdpl/src/app/version"
|
||||
@ -293,7 +295,7 @@ func allowed(origin string, config Config) bool {
|
||||
|
||||
// GetTrades godoc
|
||||
// @Summary List active trades
|
||||
// @Description Returns only active List Trading trades
|
||||
// @Description Returns all active List Trading trades
|
||||
// @Tags fix
|
||||
// @Produce json
|
||||
// @Success 200 {array} domain.ListTrade
|
||||
@ -303,18 +305,6 @@ func (cont *Controller) GetTrades(ctx *gin.Context) {
|
||||
ctx.JSON(http.StatusOK, trades)
|
||||
}
|
||||
|
||||
// GetAllTrades godoc
|
||||
// @Summary List all trades
|
||||
// @Description Returns all List Trading trades (active, rejected, completed)
|
||||
// @Tags fix
|
||||
// @Produce json
|
||||
// @Success 200 {array} domain.ListTrade
|
||||
// @Router /qfixdpl/v1/trades/all [get]
|
||||
func (cont *Controller) GetAllTrades(ctx *gin.Context) {
|
||||
trades := cont.tradeProvider.GetAllTrades()
|
||||
ctx.JSON(http.StatusOK, trades)
|
||||
}
|
||||
|
||||
// GetLogs godoc
|
||||
// @Summary Get raw FIX logs for a trade
|
||||
// @Description Returns raw FIX message logs for a given QuoteReqID
|
||||
@ -328,7 +318,8 @@ func (cont *Controller) GetLogs(ctx *gin.Context) {
|
||||
|
||||
logs, err := cont.store.GetLogsByQuoteReqID(quoteReqID)
|
||||
if err != nil {
|
||||
slog.Error("GetLogs: error fetching logs", "quoteReqID", quoteReqID, "error", err)
|
||||
err = tracerr.Errorf("GetLogs: error fetching logs (quoteReqID=%s): %w", quoteReqID, err)
|
||||
slog.Error(err.Error())
|
||||
ctx.JSON(http.StatusInternalServerError, HTTPError{Error: "error fetching logs"})
|
||||
|
||||
return
|
||||
@ -337,25 +328,57 @@ func (cont *Controller) GetLogs(ctx *gin.Context) {
|
||||
ctx.JSON(http.StatusOK, logs)
|
||||
}
|
||||
|
||||
// GetFullTradeLog godoc
|
||||
// @Summary Get full trade lifecycle log
|
||||
// @Description Returns DPL and Post-Trade raw FIX logs for a given trade (by QuoteReqID)
|
||||
// GetPendingQuoteRequests godoc
|
||||
// @Summary List pending QuoteRequests
|
||||
// @Description Returns all QuoteRequests received from TW that have not been quoted yet by the dealer
|
||||
// @Tags fix
|
||||
// @Produce json
|
||||
// @Param quoteReqID path string true "QuoteReqID"
|
||||
// @Success 200 {object} domain.FullTradeLog
|
||||
// @Router /qfixdpl/v1/trades/{quoteReqID}/full-log [get]
|
||||
func (cont *Controller) GetFullTradeLog(ctx *gin.Context) {
|
||||
quoteReqID := ctx.Param("quoteReqID")
|
||||
|
||||
fullLog, err := cont.store.GetFullTradeLog(quoteReqID)
|
||||
if err != nil {
|
||||
slog.Error("GetFullTradeLog: error fetching full trade log", "quoteReqID", quoteReqID, "error", err)
|
||||
ctx.JSON(http.StatusInternalServerError, HTTPError{Error: "error fetching full trade log"})
|
||||
// @Success 200 {array} domain.ListTrade
|
||||
// @Router /qfixdpl/v1/quote-requests [get]
|
||||
func (cont *Controller) GetPendingQuoteRequests(ctx *gin.Context) {
|
||||
pending := cont.tradeProvider.GetPendingQuoteRequests()
|
||||
ctx.JSON(http.StatusOK, pending)
|
||||
}
|
||||
|
||||
// SendQuote godoc
|
||||
// @Summary Send a Quote for a pending QuoteRequest
|
||||
// @Description Builds and sends a Quote (35=S) to TW for an existing QuoteRequest at the given price
|
||||
// @Tags fix
|
||||
// @Accept json
|
||||
// @Produce json
|
||||
// @Param body body SendQuoteRequest true "Quote to send"
|
||||
// @Success 200 {object} Msg
|
||||
// @Failure 400 {object} HTTPError
|
||||
// @Failure 404 {object} HTTPError
|
||||
// @Failure 409 {object} HTTPError
|
||||
// @Failure 500 {object} HTTPError
|
||||
// @Router /qfixdpl/v1/quotes [post]
|
||||
func (cont *Controller) SendQuote(ctx *gin.Context) {
|
||||
var req SendQuoteRequest
|
||||
if err := ctx.ShouldBindJSON(&req); err != nil {
|
||||
ctx.JSON(http.StatusBadRequest, HTTPError{Error: err.Error()})
|
||||
return
|
||||
}
|
||||
|
||||
ctx.JSON(http.StatusOK, fullLog)
|
||||
price, err := decimal.NewFromString(req.Price)
|
||||
if err != nil {
|
||||
ctx.JSON(http.StatusBadRequest, HTTPError{Error: "invalid price: " + err.Error()})
|
||||
return
|
||||
}
|
||||
|
||||
if err := cont.tradeProvider.SendQuote(req.QuoteReqID, price); err != nil {
|
||||
msg := err.Error()
|
||||
switch {
|
||||
case strings.Contains(msg, "not found"):
|
||||
ctx.JSON(http.StatusNotFound, HTTPError{Error: "quoteReqID not found"})
|
||||
case strings.Contains(msg, "already sent"):
|
||||
ctx.JSON(http.StatusConflict, HTTPError{Error: "quote already sent for this quoteReqID"})
|
||||
default:
|
||||
ctx.JSON(http.StatusInternalServerError, HTTPError{Error: "failed to send quote"})
|
||||
}
|
||||
return
|
||||
}
|
||||
|
||||
ctx.JSON(http.StatusOK, Msg{Text: "Quote sent"})
|
||||
}
|
||||
|
||||
|
||||
@ -1,6 +1,5 @@
|
||||
package rest
|
||||
|
||||
|
||||
type HTTPError struct {
|
||||
Error string
|
||||
}
|
||||
@ -18,3 +17,7 @@ type Session struct {
|
||||
Email string
|
||||
}
|
||||
|
||||
type SendQuoteRequest struct {
|
||||
QuoteReqID string `json:"QuoteReqID" binding:"required"`
|
||||
Price string `json:"Price" binding:"required" example:"99.6"`
|
||||
}
|
||||
|
||||
@ -22,8 +22,9 @@ func SetRoutes(api *API) {
|
||||
qfixdpl.Use(cont.AuthRequired)
|
||||
qfixdpl.GET("/health", cont.HealthCheck)
|
||||
qfixdpl.GET("/trades", cont.GetTrades)
|
||||
qfixdpl.GET("/trades/all", cont.GetAllTrades)
|
||||
qfixdpl.GET("/trades/:quoteReqID/full-log", cont.GetFullTradeLog)
|
||||
qfixdpl.GET("/trades/:quoteReqID/logs", cont.GetLogs)
|
||||
qfixdpl.GET("/quote-requests", cont.GetPendingQuoteRequests)
|
||||
qfixdpl.POST("/quotes", cont.SendQuote)
|
||||
|
||||
backoffice := qfixdpl.Group("/backoffice")
|
||||
backoffice.Use(cont.BackOfficeUser)
|
||||
|
||||
@ -7,6 +7,7 @@ import (
|
||||
|
||||
"github.com/gin-gonic/gin"
|
||||
"github.com/gomodule/redigo/redis"
|
||||
"github.com/shopspring/decimal"
|
||||
|
||||
"quantex.com/qfixdpl/src/app"
|
||||
"quantex.com/qfixdpl/src/app/version"
|
||||
@ -19,7 +20,8 @@ import (
|
||||
// TradeProvider exposes trade data from the FIX manager.
|
||||
type TradeProvider interface {
|
||||
GetTrades() []domain.ListTrade
|
||||
GetAllTrades() []domain.ListTrade
|
||||
GetPendingQuoteRequests() []domain.ListTrade
|
||||
SendQuote(quoteReqID string, price decimal.Decimal) error
|
||||
}
|
||||
|
||||
const RedisMaxIdle = 3000 // In ms
|
||||
|
||||
172
src/client/fix/builder.go
Normal file
172
src/client/fix/builder.go
Normal 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":
|
||||
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
|
||||
}
|
||||
106
src/client/fix/dict.go
Normal file
106
src/client/fix/dict.go
Normal file
@ -0,0 +1,106 @@
|
||||
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 {
|
||||
slog.Info("try to parse fieldMap: %+v, value: %+v", f, v)
|
||||
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, key: %s", value, key)
|
||||
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, key: %s", value, key)
|
||||
slog.Error(err.Error())
|
||||
}
|
||||
|
||||
val = b
|
||||
case "INT", "LENGTH", "SEQNUM":
|
||||
i, ok := value.(int)
|
||||
if !ok {
|
||||
err := tracerr.Errorf("could not parse as int, value: %+v, key: %s", value, key)
|
||||
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, key: %s", value, key)
|
||||
slog.Error(err.Error())
|
||||
}
|
||||
|
||||
val = t
|
||||
case "STRING":
|
||||
s, ok := value.(string)
|
||||
if !ok {
|
||||
err := tracerr.Errorf("could not parse as string, value: %+v, key: %s", value, key)
|
||||
slog.Error(err.Error())
|
||||
}
|
||||
|
||||
val = s
|
||||
case "CHAR":
|
||||
s, ok := value.(string)
|
||||
if !ok {
|
||||
err := tracerr.Errorf("could not parse as string, value: %+v, key: %s", value, key)
|
||||
slog.Error(err.Error())
|
||||
}
|
||||
|
||||
val = s
|
||||
default:
|
||||
s, ok := value.(string)
|
||||
if !ok {
|
||||
err := tracerr.Errorf("could not parse as string, value: %+v, key: %s", value, key)
|
||||
slog.Error(err.Error())
|
||||
}
|
||||
|
||||
val = s
|
||||
}
|
||||
|
||||
return key, val
|
||||
}
|
||||
@ -7,10 +7,10 @@ import (
|
||||
"sync"
|
||||
"time"
|
||||
|
||||
"github.com/rs/zerolog/log"
|
||||
"github.com/shopspring/decimal"
|
||||
|
||||
"quantex.com/qfixdpl/quickfix"
|
||||
"quantex.com/qfixdpl/quickfix/datadictionary"
|
||||
"quantex.com/qfixdpl/quickfix/gen/enum"
|
||||
"quantex.com/qfixdpl/quickfix/gen/field"
|
||||
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/executionack"
|
||||
@ -28,19 +28,10 @@ import (
|
||||
)
|
||||
|
||||
type listTrade struct {
|
||||
QuoteReqID string
|
||||
TradeID 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
|
||||
Status domain.TradeStatus
|
||||
QuoteRequest domain.FixMessageJSON
|
||||
SessionID quickfix.SessionID
|
||||
Quoted bool
|
||||
Price decimal.Decimal
|
||||
}
|
||||
|
||||
// Manager wraps the QuickFIX initiator and implements domain.FIXSender.
|
||||
@ -54,6 +45,7 @@ type Manager struct {
|
||||
store domain.PersistenceStore
|
||||
notify domain.Notifier
|
||||
cfg app.FIXConfig
|
||||
dict *datadictionary.DataDictionary
|
||||
}
|
||||
|
||||
func NewManager(cfg app.FIXConfig, store domain.PersistenceStore, notify domain.Notifier) *Manager {
|
||||
@ -78,14 +70,24 @@ func (m *Manager) Start() error {
|
||||
fixApp.onRawMessage = m.handleRawMessage
|
||||
m.app = fixApp
|
||||
|
||||
if err := m.loadTrades(); err != nil {
|
||||
slog.Error("failed to load active trades from DB, starting with empty state", "error", err)
|
||||
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 {
|
||||
err = tracerr.Errorf("failed to load active trades from DB, starting with empty state: %w", err)
|
||||
slog.Error(err.Error())
|
||||
}
|
||||
|
||||
f, err := os.Open(m.cfg.SettingsFile)
|
||||
if err != nil {
|
||||
err = tracerr.Errorf("error opening FIX settings file %q: %s", m.cfg.SettingsFile, err)
|
||||
log.Error().Msg(err.Error())
|
||||
err = tracerr.Errorf("error opening FIX settings file %q: %w", m.cfg.SettingsFile, err)
|
||||
slog.Error(err.Error())
|
||||
|
||||
return err
|
||||
}
|
||||
@ -93,8 +95,8 @@ func (m *Manager) Start() error {
|
||||
|
||||
settings, err := quickfix.ParseSettings(f)
|
||||
if err != nil {
|
||||
err = tracerr.Errorf("error parsing FIX settings: %s", err)
|
||||
log.Error().Msg(err.Error())
|
||||
err = tracerr.Errorf("error parsing FIX settings: %w", err)
|
||||
slog.Error(err.Error())
|
||||
|
||||
return err
|
||||
}
|
||||
@ -102,16 +104,16 @@ func (m *Manager) Start() error {
|
||||
storeFactory := file.NewStoreFactory(settings)
|
||||
logFactory, err := filelog.NewLogFactory(settings)
|
||||
if err != nil {
|
||||
err = tracerr.Errorf("error creating file log factory: %s", err)
|
||||
log.Error().Msg(err.Error())
|
||||
err = tracerr.Errorf("error creating file log factory: %w", err)
|
||||
slog.Error(err.Error())
|
||||
|
||||
return err
|
||||
}
|
||||
|
||||
initiator, err := quickfix.NewInitiator(fixApp, storeFactory, settings, logFactory)
|
||||
if err != nil {
|
||||
err = tracerr.Errorf("error creating FIX initiator: %s", err)
|
||||
log.Error().Msg(err.Error())
|
||||
err = tracerr.Errorf("error creating FIX initiator: %w", err)
|
||||
slog.Error(err.Error())
|
||||
|
||||
return err
|
||||
}
|
||||
@ -119,8 +121,8 @@ func (m *Manager) Start() error {
|
||||
m.initiator = initiator
|
||||
|
||||
if err = m.initiator.Start(); err != nil {
|
||||
err = tracerr.Errorf("error starting FIX initiator: %s", err)
|
||||
log.Error().Msg(err.Error())
|
||||
err = tracerr.Errorf("error starting FIX initiator: %w", err)
|
||||
slog.Error(err.Error())
|
||||
|
||||
return err
|
||||
}
|
||||
@ -141,18 +143,6 @@ func (m *Manager) onLogon(sessionID quickfix.SessionID) {
|
||||
m.sessionsMu.Lock()
|
||||
m.sessions[sessionID.String()] = sessionID
|
||||
m.sessionsMu.Unlock()
|
||||
|
||||
// Assign the new session to all recovered trades that have no session yet.
|
||||
// This covers the case where the service was restarted mid-trade: loadTrades()
|
||||
// reconstructs the trade data but cannot recover the SessionID from the DB.
|
||||
// Since this is a single-session initiator, all active trades belong to this session.
|
||||
m.tradesMu.Lock()
|
||||
for _, trade := range m.trades {
|
||||
if trade.Status == domain.TradeStatusActive && trade.SessionID == (quickfix.SessionID{}) {
|
||||
trade.SessionID = sessionID
|
||||
}
|
||||
}
|
||||
m.tradesMu.Unlock()
|
||||
}
|
||||
|
||||
func (m *Manager) onLogout(sessionID quickfix.SessionID) {
|
||||
@ -204,64 +194,285 @@ func (m *Manager) sendExecutionAck(orderID, clOrdID, execID string, sessionID qu
|
||||
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) {
|
||||
quoteReqID, err := msg.GetQuoteReqID()
|
||||
if err != nil {
|
||||
slog.Error("handleQuoteRequest: missing QuoteReqID", "error", err.Error())
|
||||
parsed := parseQuoteRequest(msg, m.dict)
|
||||
quoteReqID := parsed.QuoteReqID
|
||||
|
||||
if quoteReqID == "" {
|
||||
m.notify.SendMsg(
|
||||
domain.MessageChannelError,
|
||||
"quoteReqID missing in quote request",
|
||||
domain.MessageStatusWarning,
|
||||
nil,
|
||||
)
|
||||
err := tracerr.Errorf("handleQuoteRequest, missing QuoteReqID, quoteRequest: %+v", parsed)
|
||||
slog.Error(err.Error())
|
||||
return
|
||||
}
|
||||
|
||||
// Validate LST_ prefix for List Trading flow.
|
||||
if !strings.HasPrefix(quoteReqID, "LST_") {
|
||||
m.notify.SendMsg(
|
||||
domain.MessageChannelError,
|
||||
"quoteReqID ("+quoteReqID+") missing LST_ prefix",
|
||||
domain.MessageStatusWarning,
|
||||
nil,
|
||||
)
|
||||
slog.Warn("handleQuoteRequest: QuoteReqID missing LST_ prefix, ignoring", "quoteReqID", quoteReqID)
|
||||
return
|
||||
}
|
||||
|
||||
var (
|
||||
symbol, currency, ownerTraderID, settlDate, listID, negotiationType string
|
||||
side enum.Side
|
||||
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()
|
||||
bodyKeys := make([]string, 0, len(parsed.Body))
|
||||
for k := range parsed.Body {
|
||||
bodyKeys = append(bodyKeys, k)
|
||||
}
|
||||
slog.Info("handleQuoteRequest: parsed body keys", "quoteReqID", quoteReqID, "keys", bodyKeys)
|
||||
|
||||
if listID == "" {
|
||||
slog.Warn("handleQuoteRequest: missing ListID", "quoteReqID", quoteReqID)
|
||||
return
|
||||
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)
|
||||
|
||||
if negotiationType != "RFQ" {
|
||||
slog.Warn("handleQuoteRequest: unexpected NegotiationType", "quoteReqID", quoteReqID, "negotiationType", negotiationType)
|
||||
return
|
||||
}
|
||||
ownerTraderID := getString(relSym, "OwnerTraderID")
|
||||
|
||||
// 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 {
|
||||
slog.Error("handleQuoteRequest: failed to send QuoteStatusReport", "quoteReqID", quoteReqID, "error", ackErr.Error())
|
||||
ackErr = tracerr.Errorf("handleQuoteRequest: failed to send QuoteStatusReport (quoteReqID=%s): %w", quoteReqID, ackErr)
|
||||
slog.Error(ackErr.Error())
|
||||
return
|
||||
}
|
||||
slog.Info("QuoteStatusReport sent", "quoteReqID", quoteReqID)
|
||||
|
||||
// Step 2: Build and send Quote (35=S) with price.
|
||||
price := decimal.NewFromFloat(99.6)
|
||||
// Store trade state as pending; Quote (35=S) is sent later via REST endpoint.
|
||||
m.tradesMu.Lock()
|
||||
m.trades[quoteReqID] = &listTrade{
|
||||
QuoteRequest: parsed,
|
||||
SessionID: sessionID,
|
||||
Quoted: false,
|
||||
}
|
||||
m.tradesMu.Unlock()
|
||||
|
||||
sIDSource := enum.SecurityIDSource_ISIN_NUMBER
|
||||
if secIDSource == enum.SecurityIDSource_CUSIP {
|
||||
sIDSource = enum.SecurityIDSource_CUSIP
|
||||
// Persist incoming QuoteRequest.
|
||||
m.persistMessage(quoteReqID, parsed)
|
||||
|
||||
// Persist outgoing QuoteStatusReport.
|
||||
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]any{
|
||||
"QuoteReqID": quoteReqID,
|
||||
"QuoteStatus": string(enum.QuoteStatus_ACCEPTED),
|
||||
"OwnerTraderID": ownerTraderID,
|
||||
}))
|
||||
}
|
||||
|
||||
// handleQuoteAck handles an incoming QuoteAck (35=CW).
|
||||
func (m *Manager) handleQuoteAck(msg quoteack.QuoteAck, sessionID quickfix.SessionID) {
|
||||
quoteReqID, _ := msg.GetQuoteReqID()
|
||||
status, _ := msg.GetQuoteAckStatus()
|
||||
text, _ := msg.GetText()
|
||||
|
||||
m.persistMessage(quoteReqID, parseQuoteAck(msg, m.dict))
|
||||
|
||||
if status != enum.QuoteAckStatus_ACCEPTED {
|
||||
err := tracerr.Errorf("handleQuoteAck: quote rejected by TW (quoteReqID=%s, quoteAckStatus=%s, text=%s)", quoteReqID, string(status), text)
|
||||
slog.Error(err.Error())
|
||||
|
||||
m.tradesMu.Lock()
|
||||
delete(m.trades, quoteReqID)
|
||||
m.tradesMu.Unlock()
|
||||
|
||||
return
|
||||
}
|
||||
|
||||
slog.Info("handleQuoteAck: accepted", "quoteReqID", quoteReqID)
|
||||
}
|
||||
|
||||
// handleQuoteResponse handles an incoming QuoteResponse (35=AJ).
|
||||
// Supports _TRDREQ (trade request), _TRDEND (trade ended), and _TRDSUMM (trade summary) suffixes.
|
||||
func (m *Manager) handleQuoteResponse(msg quoteresponse.QuoteResponse, sessionID quickfix.SessionID) {
|
||||
quoteReqID, _ := msg.GetQuoteReqID()
|
||||
quoteRespID, _ := msg.GetQuoteRespID()
|
||||
|
||||
slog.Info("handleQuoteResponse", "quoteReqID", quoteReqID, "quoteRespID", quoteRespID)
|
||||
|
||||
isTrdReq := strings.HasSuffix(quoteRespID, "_TRDREQ")
|
||||
isTrdEnd := strings.HasSuffix(quoteRespID, "_TRDEND")
|
||||
isTrdSumm := strings.HasSuffix(quoteRespID, "_TRDSUMM")
|
||||
isListEnd := strings.HasSuffix(quoteRespID, "_LISTEND")
|
||||
|
||||
if !isTrdReq && !isTrdEnd && !isTrdSumm && !isListEnd {
|
||||
slog.Info("handleQuoteResponse: QuoteRespID has unrecognized suffix, ignoring", "quoteRespID", quoteRespID)
|
||||
return
|
||||
}
|
||||
|
||||
// TODO: handle 694=2 (Counter) for flow 8.5 (Client Countering) in the future.
|
||||
|
||||
// Always send ACK regardless of whether the trade is in our map.
|
||||
// TW will keep retrying until it receives an ACK.
|
||||
if ackErr := m.sendTradeRequestAck(quoteReqID, quoteRespID, sessionID); ackErr != nil {
|
||||
ackErr = tracerr.Errorf("handleQuoteResponse: failed to send ACK (quoteReqID=%s, quoteRespID=%s): %w", quoteReqID, quoteRespID, ackErr)
|
||||
slog.Error(ackErr.Error())
|
||||
return
|
||||
}
|
||||
slog.Info("QuoteResponse ACK sent", "quoteReqID", quoteReqID, "quoteRespID", quoteRespID)
|
||||
|
||||
// Persist incoming QuoteResponse.
|
||||
m.persistMessage(quoteReqID, parseQuoteResponse(msg, m.dict))
|
||||
|
||||
// Persist outgoing ACK.
|
||||
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]any{
|
||||
"QuoteReqID": quoteReqID,
|
||||
"QuoteRespID": quoteRespID,
|
||||
"QuoteStatus": string(enum.QuoteStatus_ACCEPTED),
|
||||
}))
|
||||
|
||||
// _TRDSUMM is the final message — clean up the trade.
|
||||
if isTrdSumm {
|
||||
slog.Info("Trade summary received, cleaning up", "quoteReqID", quoteReqID)
|
||||
m.tradesMu.Lock()
|
||||
delete(m.trades, quoteReqID)
|
||||
m.tradesMu.Unlock()
|
||||
}
|
||||
}
|
||||
|
||||
// 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 {
|
||||
ackErr = tracerr.Errorf("handleExecutionReport: failed to send ExecutionAck (execID=%s): %w", execID, ackErr)
|
||||
slog.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", "execID", execID, "clOrdID", clOrdID)
|
||||
|
||||
case strings.Contains(execID, "_TRDSUMM"):
|
||||
slog.Info("Trade summary received from TW, cleaning up",
|
||||
"execID", execID, "clOrdID", clOrdID, "ordStatus", string(ordStatus), "listID", listID)
|
||||
|
||||
m.tradesMu.Lock()
|
||||
delete(m.trades, clOrdID)
|
||||
m.tradesMu.Unlock()
|
||||
|
||||
case execType == enum.ExecType_TRADE:
|
||||
slog.Info("Trade result received from TW",
|
||||
"execID", execID, "clOrdID", clOrdID, "ordStatus", string(ordStatus), "listID", listID)
|
||||
}
|
||||
|
||||
// Persist incoming ExecutionReport.
|
||||
m.persistMessage(clOrdID, parseExecutionReport(msg, m.dict))
|
||||
|
||||
// Persist outgoing ExecutionAck.
|
||||
m.persistMessage(clOrdID, buildOutgoingMessageJSON("BN", clOrdID, map[string]any{
|
||||
"OrderID": orderID,
|
||||
"ExecID": execID,
|
||||
"ClOrdID": clOrdID,
|
||||
"ExecAckStatus": string(enum.ExecAckStatus_ACCEPTED),
|
||||
}))
|
||||
}
|
||||
|
||||
// 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.
|
||||
}
|
||||
|
||||
// GetTrades returns a snapshot of all active trades.
|
||||
func (m *Manager) GetTrades() []domain.ListTrade {
|
||||
m.tradesMu.RLock()
|
||||
defer m.tradesMu.RUnlock()
|
||||
|
||||
trades := make([]domain.ListTrade, 0, len(m.trades))
|
||||
for _, t := range m.trades {
|
||||
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 {
|
||||
pending = append(pending, toDomainListTrade(t))
|
||||
}
|
||||
|
||||
return pending
|
||||
}
|
||||
|
||||
func toDomainListTrade(t *listTrade) domain.ListTrade {
|
||||
out := domain.ListTrade{
|
||||
QuoteRequest: t.QuoteRequest,
|
||||
}
|
||||
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.
|
||||
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 := getString(t.QuoteRequest.Body, "SecurityID")
|
||||
sIDSource := enum.SecurityIDSource(getString(t.QuoteRequest.Body, "SecurityIDSource"))
|
||||
currency := getString(t.QuoteRequest.Body, "Currency")
|
||||
side := enum.Side(getString(t.QuoteRequest.Body, "Side"))
|
||||
orderQty := getDecimal(t.QuoteRequest.Body, "OrderQty")
|
||||
settlDate := getString(t.QuoteRequest.Body, "SettlDate")
|
||||
ownerTraderID := getString(t.QuoteRequest.Body, "OwnerTraderID")
|
||||
m.tradesMu.Unlock()
|
||||
|
||||
if sIDSource != enum.SecurityIDSource_CUSIP {
|
||||
sIDSource = enum.SecurityIDSource_ISIN_NUMBER
|
||||
}
|
||||
|
||||
quoteID := quoteReqID
|
||||
@ -305,42 +516,21 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
|
||||
}
|
||||
|
||||
if sendErr := quickfix.SendToTarget(q, sessionID); sendErr != nil {
|
||||
slog.Error("handleQuoteRequest: failed to send quote", "quoteReqID", quoteReqID, "error", sendErr.Error())
|
||||
return
|
||||
sendErr = tracerr.Errorf("SendQuote: failed to send quote (quoteReqID=%s): %w", quoteReqID, sendErr)
|
||||
slog.Error(sendErr.Error())
|
||||
return sendErr
|
||||
}
|
||||
|
||||
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,
|
||||
Status: domain.TradeStatusActive,
|
||||
if t, ok := m.trades[quoteReqID]; ok {
|
||||
t.Price = price
|
||||
t.Quoted = true
|
||||
}
|
||||
m.tradesMu.Unlock()
|
||||
|
||||
// Persist structured message (outside mutex).
|
||||
m.persistMessage(quoteReqID, parseQuoteRequest(msg))
|
||||
slog.Info("Quote sent", "quoteReqID", quoteReqID, "quoteID", quoteID, "symbol", symbol, "price", price.String())
|
||||
|
||||
// Persist outgoing QuoteStatusReport.
|
||||
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]interface{}{
|
||||
"QuoteReqID": quoteReqID,
|
||||
"QuoteStatus": string(enum.QuoteStatus_ACCEPTED),
|
||||
"OwnerTraderID": ownerTraderID,
|
||||
}))
|
||||
|
||||
// Persist outgoing Quote.
|
||||
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("S", quoteReqID, map[string]interface{}{
|
||||
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("S", quoteReqID, map[string]any{
|
||||
"QuoteReqID": quoteReqID,
|
||||
"QuoteID": quoteID,
|
||||
"Symbol": symbol,
|
||||
@ -350,206 +540,56 @@ func (m *Manager) handleQuoteRequest(msg quoterequest.QuoteRequest, sessionID qu
|
||||
"Currency": currency,
|
||||
"SettlDate": settlDate,
|
||||
}))
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
// handleQuoteAck handles an incoming QuoteAck (35=CW).
|
||||
func (m *Manager) handleQuoteAck(msg quoteack.QuoteAck, sessionID quickfix.SessionID) {
|
||||
quoteReqID, _ := msg.GetQuoteReqID()
|
||||
status, _ := msg.GetQuoteAckStatus()
|
||||
text, _ := msg.GetText()
|
||||
|
||||
m.persistMessage(quoteReqID, parseQuoteAck(msg))
|
||||
|
||||
// QuoteAckStatus only has two defined values in TW DPL:
|
||||
// 1 = Accepted — quote delivered to client.
|
||||
// 2 = Rejected — format error, late quote, viewer busy, or race condition.
|
||||
if status == enum.QuoteAckStatus_REJECTED {
|
||||
slog.Error("handleQuoteAck: quote rejected by TW", "quoteReqID", quoteReqID, "quoteAckStatus", string(status), "text", text)
|
||||
|
||||
m.tradesMu.Lock()
|
||||
if t, ok := m.trades[quoteReqID]; ok {
|
||||
t.Status = domain.TradeStatusRejected
|
||||
}
|
||||
m.tradesMu.Unlock()
|
||||
|
||||
return
|
||||
// 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
|
||||
}
|
||||
|
||||
slog.Info("handleQuoteAck: accepted", "quoteReqID", quoteReqID)
|
||||
groups, ok := body[name].([]map[string]any)
|
||||
if !ok || len(groups) == 0 {
|
||||
return nil
|
||||
}
|
||||
return groups[0]
|
||||
}
|
||||
|
||||
// handleQuoteResponse handles an incoming QuoteResponse (35=AJ).
|
||||
// Supports _TRDREQ (trade request), _TRDEND (trade ended), and _TRDSUMM (trade summary) suffixes.
|
||||
func (m *Manager) handleQuoteResponse(msg quoteresponse.QuoteResponse, sessionID quickfix.SessionID) {
|
||||
quoteReqID, _ := msg.GetQuoteReqID()
|
||||
quoteRespID, _ := msg.GetQuoteRespID()
|
||||
|
||||
slog.Info("handleQuoteResponse", "quoteReqID", quoteReqID, "quoteRespID", quoteRespID)
|
||||
|
||||
isTrdReq := strings.HasSuffix(quoteRespID, "_TRDREQ")
|
||||
isTrdEnd := strings.HasSuffix(quoteRespID, "_TRDEND")
|
||||
isTrdSumm := strings.HasSuffix(quoteRespID, "_TRDSUMM")
|
||||
isListEnd := strings.HasSuffix(quoteRespID, "_LISTEND")
|
||||
|
||||
if !isTrdReq && !isTrdEnd && !isTrdSumm && !isListEnd {
|
||||
slog.Info("handleQuoteResponse: QuoteRespID has unrecognized suffix, ignoring", "quoteRespID", quoteRespID)
|
||||
return
|
||||
// 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 ""
|
||||
}
|
||||
|
||||
// TODO: handle 694=2 (Counter) for flow 8.5 (Client Countering) in the future.
|
||||
|
||||
// Always send ACK regardless of whether the trade is in our map.
|
||||
// TW will keep retrying until it receives an ACK.
|
||||
if ackErr := m.sendTradeRequestAck(quoteReqID, quoteRespID, sessionID); ackErr != nil {
|
||||
slog.Error("handleQuoteResponse: failed to send ACK", "quoteReqID", quoteReqID, "quoteRespID", quoteRespID, "error", ackErr.Error())
|
||||
return
|
||||
}
|
||||
slog.Info("QuoteResponse ACK sent", "quoteReqID", quoteReqID, "quoteRespID", quoteRespID)
|
||||
|
||||
// Persist incoming QuoteResponse.
|
||||
m.persistMessage(quoteReqID, parseQuoteResponse(msg))
|
||||
|
||||
// Persist outgoing ACK.
|
||||
m.persistMessage(quoteReqID, buildOutgoingMessageJSON("AI", quoteReqID, map[string]interface{}{
|
||||
"QuoteReqID": quoteReqID,
|
||||
"QuoteRespID": quoteRespID,
|
||||
"QuoteStatus": string(enum.QuoteStatus_ACCEPTED),
|
||||
}))
|
||||
|
||||
// _TRDSUMM is the final message — mark trade as completed.
|
||||
if isTrdSumm {
|
||||
slog.Info("Trade summary received, marking completed", "quoteReqID", quoteReqID)
|
||||
m.tradesMu.Lock()
|
||||
if t, ok := m.trades[quoteReqID]; ok {
|
||||
t.Status = domain.TradeStatusCompleted
|
||||
}
|
||||
m.tradesMu.Unlock()
|
||||
if v, ok := body[name].(string); ok {
|
||||
return v
|
||||
}
|
||||
return ""
|
||||
}
|
||||
|
||||
// handleExecutionReport handles an incoming ExecutionReport (35=8).
|
||||
// In flow 8.4 (List Trading), the dealer NEVER sends an ExecutionReport — only TW does.
|
||||
// In TW DPL, ClOrdID (Tag 11) always equals the original QuoteReqID (Tag 131),
|
||||
// so we use clOrdID directly as the map lookup key.
|
||||
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)
|
||||
// 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 {
|
||||
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", "execID", execID, "clOrdID", clOrdID)
|
||||
|
||||
case strings.Contains(execID, "_TRDSUMM"):
|
||||
slog.Info("Trade summary received from TW, marking completed",
|
||||
"execID", execID, "clOrdID", clOrdID, "ordStatus", string(ordStatus), "listID", listID)
|
||||
|
||||
m.tradesMu.Lock()
|
||||
if t, ok := m.trades[clOrdID]; ok {
|
||||
t.Status = domain.TradeStatusCompleted
|
||||
}
|
||||
m.tradesMu.Unlock()
|
||||
|
||||
case execType == enum.ExecType_TRADE:
|
||||
slog.Info("Trade result received from TW",
|
||||
"execID", execID, "clOrdID", clOrdID, "ordStatus", string(ordStatus), "listID", listID)
|
||||
}
|
||||
|
||||
// Persist incoming ExecutionReport.
|
||||
m.persistMessage(clOrdID, parseExecutionReport(msg))
|
||||
|
||||
// Persist outgoing ExecutionAck.
|
||||
m.persistMessage(clOrdID, buildOutgoingMessageJSON("BN", clOrdID, map[string]interface{}{
|
||||
"OrderID": orderID,
|
||||
"ExecID": execID,
|
||||
"ClOrdID": clOrdID,
|
||||
"ExecAckStatus": string(enum.ExecAckStatus_ACCEPTED),
|
||||
}))
|
||||
|
||||
// If the ExecutionReport carries a TradeID, persist it in qfixdpl_logs for cross-service correlation.
|
||||
tradeID, _ := msg.GetTradeID()
|
||||
if tradeID != "" {
|
||||
m.tradesMu.Lock()
|
||||
if t, ok := m.trades[clOrdID]; ok {
|
||||
t.TradeID = tradeID
|
||||
}
|
||||
m.tradesMu.Unlock()
|
||||
|
||||
if err := m.store.UpdateLogTradeID(clOrdID, tradeID); err != nil {
|
||||
slog.Error("handleExecutionReport: failed to update log trade_id", "clOrdID", clOrdID, "tradeID", tradeID, "error", err)
|
||||
}
|
||||
switch v := body[name].(type) {
|
||||
case string:
|
||||
d, _ := decimal.NewFromString(v)
|
||||
return d
|
||||
case int:
|
||||
return decimal.NewFromInt(int64(v))
|
||||
}
|
||||
return decimal.Decimal{}
|
||||
}
|
||||
|
||||
// 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.
|
||||
}
|
||||
|
||||
// GetTrades returns a snapshot of only active trades.
|
||||
func (m *Manager) GetTrades() []domain.ListTrade {
|
||||
m.tradesMu.RLock()
|
||||
defer m.tradesMu.RUnlock()
|
||||
|
||||
trades := make([]domain.ListTrade, 0, len(m.trades))
|
||||
for _, t := range m.trades {
|
||||
if t.Status != domain.TradeStatusActive {
|
||||
continue
|
||||
}
|
||||
|
||||
trades = append(trades, toListTrade(t))
|
||||
}
|
||||
|
||||
return trades
|
||||
}
|
||||
|
||||
// GetAllTrades returns a snapshot of all trades (active, rejected, completed).
|
||||
func (m *Manager) GetAllTrades() []domain.ListTrade {
|
||||
m.tradesMu.RLock()
|
||||
defer m.tradesMu.RUnlock()
|
||||
|
||||
trades := make([]domain.ListTrade, 0, len(m.trades))
|
||||
for _, t := range m.trades {
|
||||
trades = append(trades, toListTrade(t))
|
||||
}
|
||||
|
||||
return trades
|
||||
}
|
||||
|
||||
func toListTrade(t *listTrade) domain.ListTrade {
|
||||
return domain.ListTrade{
|
||||
QuoteReqID: t.QuoteReqID,
|
||||
TradeID: t.TradeID,
|
||||
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,
|
||||
Status: t.Status,
|
||||
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.
|
||||
@ -560,7 +600,8 @@ func (m *Manager) handleRawMessage(direction string, msg *quickfix.Message) {
|
||||
QuoteReqID: quoteReqID,
|
||||
RawMsg: "[" + direction + "] " + msg.String(),
|
||||
}); err != nil {
|
||||
slog.Error("failed to persist raw log", "error", err)
|
||||
err = tracerr.Errorf("failed to persist raw log: %w", err)
|
||||
slog.Error(err.Error())
|
||||
}
|
||||
}
|
||||
|
||||
@ -570,18 +611,19 @@ func (m *Manager) persistMessage(quoteReqID string, fixJSON domain.FixMessageJSO
|
||||
QuoteReqID: quoteReqID,
|
||||
JMessage: fixJSON,
|
||||
}); err != nil {
|
||||
slog.Error("failed to persist message", "msgType", fixJSON.MsgType, "quoteReqID", quoteReqID, "error", err)
|
||||
err = tracerr.Errorf("failed to persist message (msgType=%s, quoteReqID=%s): %w", fixJSON.MsgType, quoteReqID, err)
|
||||
slog.Error(err.Error())
|
||||
}
|
||||
}
|
||||
|
||||
// loadTrades reconstructs all trades and their states from today's messages in the database.
|
||||
func (m *Manager) loadTrades() error {
|
||||
// loadActiveTrades reconstructs active trades from today's messages in the database.
|
||||
func (m *Manager) loadActiveTrades() error {
|
||||
messages, err := m.store.GetTodayMessages()
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
trades := make(map[string]*listTrade)
|
||||
activeTrades := make(map[string]*listTrade)
|
||||
|
||||
for _, msg := range messages {
|
||||
switch msg.JMessage.MsgType {
|
||||
@ -590,98 +632,44 @@ func (m *Manager) loadTrades() 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,
|
||||
Status: domain.TradeStatusActive,
|
||||
case "S": // Outgoing Quote — dealer has already quoted this trade
|
||||
if t, ok := activeTrades[msg.QuoteReqID]; ok {
|
||||
t.Quoted = true
|
||||
t.Price = getDecimal(msg.JMessage.Body, "Price")
|
||||
}
|
||||
|
||||
if v, ok := body["SecurityID"].(string); ok {
|
||||
trade.Symbol = 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
|
||||
}
|
||||
|
||||
trades[msg.QuoteReqID] = trade
|
||||
|
||||
case "CW": // QuoteAck — only status "2" (Rejected) marks the trade as rejected
|
||||
body := msg.JMessage.Body
|
||||
quoteAckStatus, _ := body["QuoteAckStatus"].(string)
|
||||
|
||||
if quoteAckStatus == string(enum.QuoteAckStatus_REJECTED) {
|
||||
if t, ok := trades[msg.QuoteReqID]; ok {
|
||||
t.Status = domain.TradeStatusRejected
|
||||
}
|
||||
case "CW": // QuoteAck — if rejected, trade is dead
|
||||
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 t, ok := trades[msg.QuoteReqID]; ok {
|
||||
t.Status = domain.TradeStatusCompleted
|
||||
}
|
||||
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 tid, ok := body["TradeID"].(string); ok && tid != "" {
|
||||
if t, ok := trades[clOrdID]; ok {
|
||||
t.TradeID = tid
|
||||
}
|
||||
}
|
||||
|
||||
if strings.Contains(execID, "_TRDSUMM") {
|
||||
if t, ok := trades[clOrdID]; ok {
|
||||
t.Status = domain.TradeStatusCompleted
|
||||
}
|
||||
if strings.Contains(getString(body, "ExecID"), "_TRDSUMM") {
|
||||
delete(activeTrades, getString(body, "ClOrdID"))
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
active := 0
|
||||
for _, t := range trades {
|
||||
if t.Status == domain.TradeStatusActive {
|
||||
active++
|
||||
}
|
||||
}
|
||||
|
||||
m.trades = trades
|
||||
slog.Info("recovery completed", "totalTrades", len(trades), "activeTrades", active)
|
||||
m.trades = activeTrades
|
||||
slog.Info("recovery completed", "activeTrades", len(activeTrades))
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
@ -1,647 +0,0 @@
|
||||
package fix
|
||||
|
||||
import (
|
||||
"errors"
|
||||
"testing"
|
||||
"time"
|
||||
|
||||
"github.com/stretchr/testify/assert"
|
||||
"github.com/stretchr/testify/require"
|
||||
|
||||
"quantex.com/qfixdpl/quickfix"
|
||||
"quantex.com/qfixdpl/src/app"
|
||||
"quantex.com/qfixdpl/src/domain"
|
||||
)
|
||||
|
||||
// ---------------------------------------------------------------------------
|
||||
// Helpers
|
||||
// ---------------------------------------------------------------------------
|
||||
|
||||
// newTestManager builds a Manager with the given store without calling Start().
|
||||
func newTestManager(store domain.PersistenceStore) *Manager {
|
||||
notify := &MockNotifier{}
|
||||
return NewManager(app.FIXConfig{}, store, notify)
|
||||
}
|
||||
|
||||
// makeMsg builds a TradeMessage with the given quoteReqID, msgType, and body.
|
||||
func makeMsg(quoteReqID, msgType string, body map[string]interface{}) domain.TradeMessage {
|
||||
return domain.TradeMessage{
|
||||
ID: "test-id-" + quoteReqID + "-" + msgType,
|
||||
QuoteReqID: quoteReqID,
|
||||
JMessage: domain.FixMessageJSON{
|
||||
MsgType: msgType,
|
||||
QuoteReqID: quoteReqID,
|
||||
Body: body,
|
||||
ReceiveTime: time.Now(),
|
||||
},
|
||||
CreatedAt: time.Now(),
|
||||
}
|
||||
}
|
||||
|
||||
// makeQuoteRequest builds a "R" (QuoteRequest) TradeMessage.
|
||||
func makeQuoteRequest(quoteReqID, listID, nt string, extras map[string]interface{}) domain.TradeMessage {
|
||||
body := map[string]interface{}{
|
||||
"NegotiationType": nt,
|
||||
"ListID": listID,
|
||||
}
|
||||
for k, v := range extras {
|
||||
body[k] = v
|
||||
}
|
||||
return makeMsg(quoteReqID, "R", body)
|
||||
}
|
||||
|
||||
// makeQuoteAck builds a "CW" (QuoteAck) TradeMessage.
|
||||
func makeQuoteAck(quoteReqID, status string) domain.TradeMessage {
|
||||
return makeMsg(quoteReqID, "CW", map[string]interface{}{
|
||||
"QuoteAckStatus": status,
|
||||
})
|
||||
}
|
||||
|
||||
// makeQuoteResponse builds an "AJ" (QuoteResponse) TradeMessage.
|
||||
func makeQuoteResponse(quoteReqID, quoteRespID string) domain.TradeMessage {
|
||||
return makeMsg(quoteReqID, "AJ", map[string]interface{}{
|
||||
"QuoteRespID": quoteRespID,
|
||||
})
|
||||
}
|
||||
|
||||
// makeExecutionReport builds an "8" (ExecutionReport) TradeMessage.
|
||||
// clOrdID maps to body["ClOrdID"]; it is also set as TradeMessage.QuoteReqID
|
||||
// to mirror how persistMessage works in handleExecutionReport.
|
||||
func makeExecutionReport(clOrdID, execID string) domain.TradeMessage {
|
||||
return makeMsg(clOrdID, "8", map[string]interface{}{
|
||||
"ClOrdID": clOrdID,
|
||||
"ExecID": execID,
|
||||
})
|
||||
}
|
||||
|
||||
// makeOutgoing builds an outgoing message (AI, S, BN) for a given quoteReqID.
|
||||
func makeOutgoing(quoteReqID, msgType string) domain.TradeMessage {
|
||||
return makeMsg(quoteReqID, msgType, map[string]interface{}{})
|
||||
}
|
||||
|
||||
// ---------------------------------------------------------------------------
|
||||
// Group 1 — DB vacia
|
||||
// ---------------------------------------------------------------------------
|
||||
|
||||
func TestLoadTrades_EmptyDB(t *testing.T) {
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.NotNil(t, m.trades)
|
||||
assert.Len(t, m.trades, 0)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
// ---------------------------------------------------------------------------
|
||||
// Group 2 — Interrupcion despues de QuoteRequest
|
||||
// ---------------------------------------------------------------------------
|
||||
|
||||
func TestLoadTrades_SingleR_CreatesOneTrade(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_ABC123", "LIST_1", "RFQ", map[string]interface{}{
|
||||
"SecurityID": "US1234567890",
|
||||
"Currency": "USD",
|
||||
"Side": "1",
|
||||
"OrderQty": "1000000",
|
||||
"SettlDate": "20260320",
|
||||
"OwnerTraderID": "trader1",
|
||||
})
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
require.Len(t, m.trades, 1)
|
||||
|
||||
trade := m.trades["LST_ABC123"]
|
||||
require.NotNil(t, trade)
|
||||
assert.Equal(t, "LST_ABC123", trade.QuoteReqID)
|
||||
assert.Equal(t, "LIST_1", trade.ListID)
|
||||
assert.Equal(t, "US1234567890", trade.Symbol)
|
||||
assert.Equal(t, "USD", trade.Currency)
|
||||
assert.Equal(t, "1", string(trade.Side))
|
||||
assert.Equal(t, "20260320", trade.SettlDate)
|
||||
assert.Equal(t, "trader1", trade.OwnerTraderID)
|
||||
assert.Equal(t, domain.TradeStatusActive, trade.Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_R_WithOutgoingMsgs_IgnoresAI_S(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_ABC123", "LIST_1", "RFQ", nil)
|
||||
ai := makeOutgoing("LST_ABC123", "AI")
|
||||
s := makeOutgoing("LST_ABC123", "S")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, ai, s}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 1)
|
||||
assert.Equal(t, domain.TradeStatusActive, m.trades["LST_ABC123"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_R_NonLSTPrefix_Ignored(t *testing.T) {
|
||||
r := makeQuoteRequest("TRD_ABC123", "LIST_1", "RFQ", nil)
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 0)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_R_NonRFQ_NegotiationType_Ignored(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_X", "LIST_1", "DEALER", nil)
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 0)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_R_EmptyListID_Ignored(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_X", "", "RFQ", nil)
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 0)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_R_MissingOptionalFields_TradeCreated(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_MIN", "LIST_MIN", "RFQ", nil)
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
require.Len(t, m.trades, 1)
|
||||
|
||||
trade := m.trades["LST_MIN"]
|
||||
require.NotNil(t, trade)
|
||||
assert.Equal(t, "LST_MIN", trade.QuoteReqID)
|
||||
assert.Equal(t, "LIST_MIN", trade.ListID)
|
||||
assert.Equal(t, "", trade.Symbol)
|
||||
assert.Equal(t, "", trade.Currency)
|
||||
assert.Equal(t, "", trade.SettlDate)
|
||||
assert.Equal(t, "", trade.OwnerTraderID)
|
||||
assert.Equal(t, domain.TradeStatusActive, trade.Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
// ---------------------------------------------------------------------------
|
||||
// Group 3 — Interrupcion despues de QuoteAck
|
||||
// ---------------------------------------------------------------------------
|
||||
|
||||
func TestLoadTrades_CW_Accepted_TradeRemains(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_Q1", "LIST_1", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_Q1", "1") // ACCEPTED
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, cw}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 1)
|
||||
assert.Equal(t, domain.TradeStatusActive, m.trades["LST_Q1"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_CW_Rejected_TradeMarkedRejected(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_Q1", "LIST_1", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_Q1", "2") // REJECTED
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, cw}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 1)
|
||||
assert.Equal(t, domain.TradeStatusRejected, m.trades["LST_Q1"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
// QuoteAckStatus "0" is RECEIVED_NOT_YET_PROCESSED — not a rejection.
|
||||
// Only status "2" (Rejected) should mark the trade as rejected.
|
||||
func TestLoadTrades_CW_ReceivedNotYetProcessed_TradeStaysActive(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_Q1", "LIST_1", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_Q1", "0") // RECEIVED_NOT_YET_PROCESSED
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, cw}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 1)
|
||||
assert.Equal(t, domain.TradeStatusActive, m.trades["LST_Q1"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_CW_WithoutPriorR_NoCrash(t *testing.T) {
|
||||
cw := makeQuoteAck("LST_ORPHAN", "2")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{cw}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 0)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
// ---------------------------------------------------------------------------
|
||||
// Group 4 — Interrupcion despues de QuoteResponse
|
||||
// ---------------------------------------------------------------------------
|
||||
|
||||
func TestLoadTrades_AJ_TRDREQ_TradeRemains(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_Q1", "LIST_1", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_Q1", "1")
|
||||
aj := makeQuoteResponse("LST_Q1", "LST_Q1_TRDREQ")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, cw, aj}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 1)
|
||||
assert.Equal(t, domain.TradeStatusActive, m.trades["LST_Q1"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_AJ_TRDEND_TradeRemains(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_Q1", "LIST_1", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_Q1", "1")
|
||||
aj := makeQuoteResponse("LST_Q1", "LST_Q1_TRDEND")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, cw, aj}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 1)
|
||||
assert.Equal(t, domain.TradeStatusActive, m.trades["LST_Q1"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_AJ_LISTEND_TradeRemains(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_Q1", "LIST_1", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_Q1", "1")
|
||||
aj := makeQuoteResponse("LST_Q1", "LST_Q1_LISTEND")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, cw, aj}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 1)
|
||||
assert.Equal(t, domain.TradeStatusActive, m.trades["LST_Q1"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_AJ_TRDSUMM_TradeMarkedCompleted(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_Q1", "LIST_1", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_Q1", "1")
|
||||
aj := makeQuoteResponse("LST_Q1", "LST_Q1_TRDSUMM")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, cw, aj}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 1)
|
||||
assert.Equal(t, domain.TradeStatusCompleted, m.trades["LST_Q1"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_AJ_TRDSUMM_WithoutPriorR_NoCrash(t *testing.T) {
|
||||
aj := makeQuoteResponse("LST_ORPHAN", "LST_ORPHAN_TRDSUMM")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{aj}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 0)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
// ---------------------------------------------------------------------------
|
||||
// Group 5 — Interrupcion despues de ExecutionReport
|
||||
// ---------------------------------------------------------------------------
|
||||
|
||||
func TestLoadTrades_ExecReport_LISTEND_TradeRemains(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_ABC123", "LIST_1", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_ABC123", "1")
|
||||
aj := makeQuoteResponse("LST_ABC123", "LST_ABC123_TRDREQ")
|
||||
exec := makeExecutionReport("LST_ABC123", "LST_ABC123_LISTEND")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, cw, aj, exec}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 1)
|
||||
assert.Equal(t, domain.TradeStatusActive, m.trades["LST_ABC123"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_ExecReport_TRDEND_TradeRemains(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_ABC123", "LIST_1", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_ABC123", "1")
|
||||
aj := makeQuoteResponse("LST_ABC123", "LST_ABC123_TRDREQ")
|
||||
execListEnd := makeExecutionReport("LST_ABC123", "LST_ABC123_LISTEND")
|
||||
execTrdEnd := makeExecutionReport("LST_ABC123", "LST_ABC123_TRDEND")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, cw, aj, execListEnd, execTrdEnd}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 1)
|
||||
assert.Equal(t, domain.TradeStatusActive, m.trades["LST_ABC123"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_ExecReport_TRDSUMM_TradeMarkedCompleted(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_ABC123", "LIST_1", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_ABC123", "1")
|
||||
aj := makeQuoteResponse("LST_ABC123", "LST_ABC123_TRDREQ")
|
||||
exec := makeExecutionReport("LST_ABC123", "LST_ABC123_TRDSUMM")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, cw, aj, exec}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 1)
|
||||
assert.Equal(t, domain.TradeStatusCompleted, m.trades["LST_ABC123"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_ExecReport_TRDSUMM_WithoutPriorR_NoCrash(t *testing.T) {
|
||||
exec := makeExecutionReport("LST_ORPHAN", "LST_ORPHAN_TRDSUMM")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{exec}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 0)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
// ---------------------------------------------------------------------------
|
||||
// Group 6 — Multiples trades en paralelo
|
||||
// ---------------------------------------------------------------------------
|
||||
|
||||
func TestLoadTrades_TwoTrades_BothActive(t *testing.T) {
|
||||
r1 := makeQuoteRequest("LST_TRADE1", "LIST_1", "RFQ", nil)
|
||||
r2 := makeQuoteRequest("LST_TRADE2", "LIST_2", "RFQ", nil)
|
||||
cw1 := makeQuoteAck("LST_TRADE1", "1")
|
||||
cw2 := makeQuoteAck("LST_TRADE2", "1")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r1, r2, cw1, cw2}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 2)
|
||||
assert.Equal(t, domain.TradeStatusActive, m.trades["LST_TRADE1"].Status)
|
||||
assert.Equal(t, domain.TradeStatusActive, m.trades["LST_TRADE2"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_TwoTrades_OneCompleted_OneActive(t *testing.T) {
|
||||
// TRADE1: fully completed via flow 8.4 (_TRDSUMM execution report)
|
||||
r1 := makeQuoteRequest("LST_TRADE1", "LIST_1", "RFQ", nil)
|
||||
cw1 := makeQuoteAck("LST_TRADE1", "1")
|
||||
aj1 := makeQuoteResponse("LST_TRADE1", "LST_TRADE1_TRDREQ")
|
||||
exec1 := makeExecutionReport("LST_TRADE1", "LST_TRADE1_TRDSUMM")
|
||||
|
||||
// TRADE2: still active
|
||||
r2 := makeQuoteRequest("LST_TRADE2", "LIST_2", "RFQ", nil)
|
||||
cw2 := makeQuoteAck("LST_TRADE2", "1")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return(
|
||||
[]domain.TradeMessage{r1, cw1, aj1, exec1, r2, cw2}, nil,
|
||||
)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 2)
|
||||
assert.Equal(t, domain.TradeStatusCompleted, m.trades["LST_TRADE1"].Status)
|
||||
assert.Equal(t, domain.TradeStatusActive, m.trades["LST_TRADE2"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestLoadTrades_TwoTrades_BothCompleted(t *testing.T) {
|
||||
r1 := makeQuoteRequest("LST_TRADE1", "LIST_1", "RFQ", nil)
|
||||
cw1 := makeQuoteAck("LST_TRADE1", "1")
|
||||
exec1 := makeExecutionReport("LST_TRADE1", "LST_TRADE1_TRDSUMM")
|
||||
|
||||
r2 := makeQuoteRequest("LST_TRADE2", "LIST_2", "RFQ", nil)
|
||||
cw2 := makeQuoteAck("LST_TRADE2", "1")
|
||||
exec2 := makeExecutionReport("LST_TRADE2", "LST_TRADE2_TRDSUMM")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return(
|
||||
[]domain.TradeMessage{r1, cw1, exec1, r2, cw2, exec2}, nil,
|
||||
)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
assert.Len(t, m.trades, 2)
|
||||
assert.Equal(t, domain.TradeStatusCompleted, m.trades["LST_TRADE1"].Status)
|
||||
assert.Equal(t, domain.TradeStatusCompleted, m.trades["LST_TRADE2"].Status)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
// ---------------------------------------------------------------------------
|
||||
// Group 7 — SessionID se asigna en onLogon (solo a trades activos)
|
||||
// ---------------------------------------------------------------------------
|
||||
|
||||
func TestLoadTrades_SessionID_IsZeroAfterRecovery(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_X", "LIST_1", "RFQ", nil)
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
require.NoError(t, err)
|
||||
require.Len(t, m.trades, 1)
|
||||
|
||||
trade := m.trades["LST_X"]
|
||||
require.NotNil(t, trade)
|
||||
assert.Equal(t, quickfix.SessionID{}, trade.SessionID)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
|
||||
func TestOnLogon_AssignsSessionToRecoveredActiveTrades(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_X", "LIST_1", "RFQ", nil)
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
require.NoError(t, m.loadTrades())
|
||||
|
||||
sessionID := quickfix.SessionID{
|
||||
BeginString: "FIXT.1.1",
|
||||
SenderCompID: "QFIXDPL",
|
||||
TargetCompID: "TRADEWEB",
|
||||
}
|
||||
m.onLogon(sessionID)
|
||||
|
||||
trade := m.trades["LST_X"]
|
||||
require.NotNil(t, trade)
|
||||
assert.Equal(t, sessionID, trade.SessionID)
|
||||
}
|
||||
|
||||
func TestOnLogon_DoesNotAssignSessionToCompletedTrades(t *testing.T) {
|
||||
r := makeQuoteRequest("LST_X", "LIST_1", "RFQ", nil)
|
||||
exec := makeExecutionReport("LST_X", "LST_X_TRDSUMM")
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r, exec}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
require.NoError(t, m.loadTrades())
|
||||
|
||||
sessionID := quickfix.SessionID{
|
||||
BeginString: "FIXT.1.1",
|
||||
SenderCompID: "QFIXDPL",
|
||||
TargetCompID: "TRADEWEB",
|
||||
}
|
||||
m.onLogon(sessionID)
|
||||
|
||||
trade := m.trades["LST_X"]
|
||||
require.NotNil(t, trade)
|
||||
assert.Equal(t, quickfix.SessionID{}, trade.SessionID, "completed trades should not get session assigned")
|
||||
}
|
||||
|
||||
// ---------------------------------------------------------------------------
|
||||
// Group 8 — GetTrades filtra por active, GetAllTrades devuelve todos
|
||||
// ---------------------------------------------------------------------------
|
||||
|
||||
func TestGetTrades_ReturnsOnlyActive(t *testing.T) {
|
||||
r1 := makeQuoteRequest("LST_ACTIVE", "LIST_1", "RFQ", nil)
|
||||
r2 := makeQuoteRequest("LST_DONE", "LIST_2", "RFQ", nil)
|
||||
exec := makeExecutionReport("LST_DONE", "LST_DONE_TRDSUMM")
|
||||
r3 := makeQuoteRequest("LST_REJ", "LIST_3", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_REJ", "2") // REJECTED
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r1, r2, exec, r3, cw}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
require.NoError(t, m.loadTrades())
|
||||
|
||||
trades := m.GetTrades()
|
||||
assert.Len(t, trades, 1)
|
||||
assert.Equal(t, "LST_ACTIVE", trades[0].QuoteReqID)
|
||||
assert.Equal(t, domain.TradeStatusActive, trades[0].Status)
|
||||
}
|
||||
|
||||
func TestGetAllTrades_ReturnsAll(t *testing.T) {
|
||||
r1 := makeQuoteRequest("LST_ACTIVE", "LIST_1", "RFQ", nil)
|
||||
r2 := makeQuoteRequest("LST_DONE", "LIST_2", "RFQ", nil)
|
||||
exec := makeExecutionReport("LST_DONE", "LST_DONE_TRDSUMM")
|
||||
r3 := makeQuoteRequest("LST_REJ", "LIST_3", "RFQ", nil)
|
||||
cw := makeQuoteAck("LST_REJ", "2") // REJECTED
|
||||
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage{r1, r2, exec, r3, cw}, nil)
|
||||
|
||||
m := newTestManager(store)
|
||||
require.NoError(t, m.loadTrades())
|
||||
|
||||
trades := m.GetAllTrades()
|
||||
assert.Len(t, trades, 3)
|
||||
|
||||
statusMap := map[string]domain.TradeStatus{}
|
||||
for _, tr := range trades {
|
||||
statusMap[tr.QuoteReqID] = tr.Status
|
||||
}
|
||||
|
||||
assert.Equal(t, domain.TradeStatusActive, statusMap["LST_ACTIVE"])
|
||||
assert.Equal(t, domain.TradeStatusCompleted, statusMap["LST_DONE"])
|
||||
assert.Equal(t, domain.TradeStatusRejected, statusMap["LST_REJ"])
|
||||
}
|
||||
|
||||
// ---------------------------------------------------------------------------
|
||||
// Group 9 — Error en store
|
||||
// ---------------------------------------------------------------------------
|
||||
|
||||
func TestLoadTrades_StoreError_ReturnsError_MapEmpty(t *testing.T) {
|
||||
store := &MockPersistenceStore{}
|
||||
store.On("GetTodayMessages").Return([]domain.TradeMessage(nil), errors.New("db connection failed"))
|
||||
|
||||
m := newTestManager(store)
|
||||
err := m.loadTrades()
|
||||
|
||||
assert.Error(t, err)
|
||||
assert.NotNil(t, m.trades)
|
||||
assert.Len(t, m.trades, 0)
|
||||
store.AssertExpectations(t)
|
||||
}
|
||||
@ -1,56 +0,0 @@
|
||||
package fix
|
||||
|
||||
import (
|
||||
"sync"
|
||||
|
||||
"github.com/stretchr/testify/mock"
|
||||
|
||||
"quantex.com/qfixdpl/src/domain"
|
||||
)
|
||||
|
||||
// MockPersistenceStore is a testify mock implementing domain.PersistenceStore.
|
||||
type MockPersistenceStore struct {
|
||||
mock.Mock
|
||||
}
|
||||
|
||||
func (m *MockPersistenceStore) SaveMessage(msg domain.TradeMessage) error {
|
||||
args := m.Called(msg)
|
||||
return args.Error(0)
|
||||
}
|
||||
|
||||
func (m *MockPersistenceStore) SaveLog(entry domain.LogEntry) error {
|
||||
args := m.Called(entry)
|
||||
return args.Error(0)
|
||||
}
|
||||
|
||||
func (m *MockPersistenceStore) GetTodayMessages() ([]domain.TradeMessage, error) {
|
||||
args := m.Called()
|
||||
msgs, _ := args.Get(0).([]domain.TradeMessage)
|
||||
return msgs, args.Error(1)
|
||||
}
|
||||
|
||||
func (m *MockPersistenceStore) GetLogsByQuoteReqID(quoteReqID string) (domain.Logs, error) {
|
||||
args := m.Called(quoteReqID)
|
||||
logs, _ := args.Get(0).(domain.Logs)
|
||||
return logs, args.Error(1)
|
||||
}
|
||||
|
||||
func (m *MockPersistenceStore) UpdateLogTradeID(quoteReqID, tradeID string) error {
|
||||
args := m.Called(quoteReqID, tradeID)
|
||||
return args.Error(0)
|
||||
}
|
||||
|
||||
func (m *MockPersistenceStore) GetFullTradeLog(quoteReqID string) (domain.FullTradeLog, error) {
|
||||
args := m.Called(quoteReqID)
|
||||
log, _ := args.Get(0).(domain.FullTradeLog)
|
||||
return log, args.Error(1)
|
||||
}
|
||||
|
||||
// MockNotifier is a testify mock implementing domain.Notifier.
|
||||
type MockNotifier struct {
|
||||
mock.Mock
|
||||
}
|
||||
|
||||
func (m *MockNotifier) SendMsg(chat domain.MessageChannel, text string, status domain.MessageStatus, wg *sync.WaitGroup) {
|
||||
m.Called(chat, text, status, wg)
|
||||
}
|
||||
@ -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"
|
||||
@ -12,191 +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
|
||||
}
|
||||
if v, e := msg.GetTradeID(); e == nil {
|
||||
body["TradeID"] = 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.
|
||||
@ -221,7 +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,
|
||||
|
||||
104
src/client/fix/protocol.txt
Normal file
104
src/client/fix/protocol.txt
Normal file
@ -0,0 +1,104 @@
|
||||
Step 1
|
||||
Direction: ← QuoteRequest (R)
|
||||
Comentary: Tradeweb sends trade information to dealer.
|
||||
FIX Message: 8=FIXT.1.1 9=869 35=R 34=2 49=TRADEWEB 52=20160401-16:53:19.992 56=TW1_CORI_TEST_12345_DLRDPL 131=LST_20160401_TW1_CORI_NY302485.18_1 146=1 55=AMXLMM 2.375 09/08/16 48=02364WBC8 22=1 460=12 167=CORP 762=REGCORIPRC 541=20160908 225=20110908 470=MX 223=2.375 106=AMERICA MOVIL SAB DE CV 54=2 38=1000000 64=20160406 15=USD 6110=Comms 60=20160401-16:53:19 662=99.98046875 22570=0.76 663=1 699=912828UR9 761=1 423=6 44=-999999 5023=0.001000 66=NY302485.18 6847=1 75=20160401 464=Y 20086=1 20074=Y 20075=Y 20077=LatAm Comms 20078=pddealer 20079=60 20081=60 20090=60 20072=60 20098=60 5745=1 20073=RFQ 20076=Y 20156=N 20130=2000000000 20138=JPM,MER 20175=20120308 2115=0 22630=0 20265=LatAm 453=3 448=emack 447=C 452=3 802=3 523=Dev Test 803=2 523=NY 803=25 523=USA 803=4000 448=Tradeweb 447=C 452=1 802=1 523=Tradeweb0001 803=4002 448=DTCC 447=C 452=4 5114=2 5113=1 20169=A2 5113=0 20169=A- 10=121
|
||||
|
||||
Step 2
|
||||
Direction: QuoteStatusReport (AI) →
|
||||
Comentary: Dealer acknowledges trade.
|
||||
FIX Message: 8=FIXT.1.1 9=198 35=AI 49=TW1_CORI_TEST_12345_DLRDPL 56=TRADEWEB 34=2 52=20160401-16:53:19.988 131=LST_20160401_TW1_CORI_NY302485.18_1 117=LST_20160401_TW1_CORI_NY302485.18_1 55=[N/A] 60=20160401-16:53:19.988 297=0 10=106
|
||||
|
||||
Step 3
|
||||
Direction: Quote (S) →
|
||||
Comentary: Dealer sends quote.
|
||||
FIX Message: 8=FIXT.1.1 9=231 35=S 49=TW1_CORI_TEST_12345_DLRDPL 56=TRADEWEB 34=3 52=20160401-16:53:19.990 117=LST_20160401_TW1_CORI_NY302485.18_1 55=[N/A] 54=2 131=LST_20160401_TW1_CORI_NY302485.18_1 537=211 6153=emackdlr 44=.99 423=6 60=20160401-16:53:19.990 10=247
|
||||
|
||||
Step 4
|
||||
Direction: ← QuoteAck (CW)
|
||||
Comentary: Tradeweb acknowledges quote.
|
||||
FIX Message: 8=FIXT.1.1 9=186 35=CW 34=3 49=TRADEWEB 52=20160401-16:53:25.102 56=TW1_CORI_TEST_12345_DLRDPL 60=20160401-16:53:25 117=LST_20160401_TW1_CORI_NY302485.18_1 131=LST_20160401_TW1_CORI_NY302485.18_1 1865=1 10=154
|
||||
|
||||
Step 5
|
||||
Direction: Quote (S) →
|
||||
Comentary: Dealer sends quote.
|
||||
FIX Message: 8=FIXT.1.1 9=239 35=S 49=TW1_CORI_TEST_12345_DLRDPL 56=TRADEWEB 34=4 52=20160401-16:53:19.990 117=LST_20160401_TW1_CORI_NY302485.18_1 55=[N/A] 54=2 131=LST_20160401_TW1_CORI_NY302485.18_1 537=211 20087=5 6153=emackdlr 44=.97 423=6 60=20160401-16:53:19.990 10=114
|
||||
|
||||
Step 6
|
||||
Direction: ← QuoteAck (CW)
|
||||
Comentary: Tradeweb acknowledges quote.
|
||||
FIX Message: 8=FIXT.1.1 9=186 35=CW 34=4 49=TRADEWEB 52=20160401-16:53:30.055 56=TW1_CORI_TEST_12345_DLRDPL 60=20160401-16:53:30 117=LST_20160401_TW1_CORI_NY302485.18_1 131=LST_20160401_TW1_CORI_NY302485.18_1 1865=1 10=154
|
||||
|
||||
Step 7
|
||||
Direction: Quote (S) →
|
||||
Comentary: Dealer sends quote.
|
||||
FIX Message: 8=FIXT.1.1 9=239 35=S 49=TW1_CORI_TEST_12345_DLRDPL 56=TRADEWEB 34=6 52=20160401-16:53:19.990 117=LST_20160401_TW1_CORI_NY302485.18_1 55=[N/A] 54=2 131=LST_20160401_TW1_CORI_NY302485.18_1 537=211 20087=5 6153=emackdlr 44=.98 423=6 60=20160401-16:53:19.990 10=117
|
||||
|
||||
Step 8
|
||||
Direction: ← QuoteAck (CW)
|
||||
Commentary: Tradeweb acknowledges quote.
|
||||
FIX Message: 8=FIXT.1.1 9=186 35=CW 34=5 49=TRADEWEB 52=20160401-16:53:35.071 56=TW1_CORI_TEST_12345_DLRDPL 60=20160401-16:53:35 117=LST_20160401_TW1_CORI_NY302485.18_1 131=LST_20160401_TW1_CORI_NY302485.18_1 1865=1 10=163
|
||||
|
||||
Step 9
|
||||
Direction: ← ExecutionReport (8)
|
||||
Commentary: Tradeweb notifies dealer that the list trading (Due In time) has ended. ExecType=A
|
||||
FIX Message: 8=FIXT.1.1 9=289 35=8 34=7 49=TRADEWEB 52=20160401-16:54:19.463 56=TW1_CORI_TEST_12345_DLRDPL 6=0 11=LST_20160401_TW1_CORI_NY302485.18_1 14=0 17=LST_20160401_TW1_CORI_NY302485.18_1_LISTEND-125419.463 37=LST_20160401_TW1_CORI_NY302485.18_1 39=D 55=[N/A] 60=20160401-16:54:19 75=20160401 150=I 151=0 20086=1 10=073
|
||||
|
||||
Step 10
|
||||
Direction: ExecutionAck (BN) →
|
||||
Commentary: Dealer acknowledges ExecutionReport message.
|
||||
FIX Message: 8=FIXT.1.1 9=255 35=BN 49=TW1_CORI_TEST_12345_DLRDPL 56=TRADEWEB 34=8 52=20160401-16:54:19.448 1036=1 37=LST_20160401_TW1_CORI_NY302485.18_1 11=LST_20160401_TW1_CORI_NY302485.18_1 17=LST_20160401_TW1_CORI_NY302485.18_1_LISTEND-125419.448 55=[N/A] 60=20160401-16:54:19.448 10=119
|
||||
|
||||
Step 11
|
||||
Direction: ← QuoteResponse (AJ)
|
||||
Commentary: Customer lifts after good-for time expires. Tradeweb informs dealer customer lift.
|
||||
FIX Message: 8=FIXT.1.1 9=431 35=AJ 34=10 49=TRADEWEB 52=20160401-16:55:32.855 56=TW1_CORI_TEST_12345_DLRDPL 11=LST_20160401_TW1_CORI_NY302485.18_1 22=1 38=1000000 44=0.98 48=02364WBC8 54=2 55=[N/A] 60=20160401-16:55:32 117=LST_20160401_TW1_CORI_NY302485.18_1 131=LST_20160401_TW1_CORI_NY302485.18_1 423=6 662=99.98046875 693=LST_20160401_TW1_CORI_NY302485.18_1_TRDREQ 694=1 2115=1 20074=Y 20075=N 20076=N 20079=60 20082=60 20156=N 22570=0.760289080299 22630=0 10=183
|
||||
|
||||
Step 12
|
||||
Direction: QuoteStatusReport (AI) →
|
||||
Commentary: Dealer acknowledges customer’s trade acceptance.
|
||||
FIX Message: 8=FIXT.1.1 9=206 35=AI 49=TW1_CORI_TEST_12345_DLRDPL 56=TRADEWEB 34=12 52=20160401-16:55:32.849 693=LST_20160401_TW1_CORI_NY302485.18_1_TRDREQ 131=LST_20160401_TW1_CORI_NY302485.18_1 55=[N/A] 60=20160401-16:55:32.849 297=0 10=189
|
||||
|
||||
Step 13
|
||||
Direction: ← ExecutionReport (8)
|
||||
Commentary: Tradeweb notifies the dealer that list has ended
|
||||
FIX Message: incoming8=FIXT.1.1 9=290 35=8 34=11 49=TRADEWEB 52=20160401-16:55:32.855 56=TW1_CORI_TEST_12345_DLRDPL 6=0 11=LST_20160401_TW1_CORI_NY302485.18_1 14=0 17=LST_20160401_TW1_CORI_NY302485.18_1_LISTEND-125532.855 37=LST_20160401_TW1_CORI_NY302485.18_1 39=A 55=[N/A] 60=20160401-16:55:32 75=20160401 150=A 151=0 20086=1 10=095
|
||||
|
||||
Step 14
|
||||
Direction: ExecutionAck (BN) →
|
||||
Commentary: Dealer acknowledges ExecutionReport message.
|
||||
FIX Message: 8=FIXT.1.1 9=256 35=BN 49=TW1_CORI_TEST_12345_DLRDPL 56=TRADEWEB 34=13 52=20160401-16:55:32.852 1036=1 37=LST_20160401_TW1_CORI_NY302485.18_1 11=LST_20160401_TW1_CORI_NY302485.18_1 17=LST_20160401_TW1_CORI_NY302485.18_1_LISTEND-125532.852 55=[N/A] 60=20160401-16:55:32.852 10=155
|
||||
|
||||
Step 15
|
||||
Direction: ExecutionReport (8) →
|
||||
Commentary: Dealer accepts – re-quote is not allowed. ExecType=F, OrdStatus=Filled
|
||||
FIX Message: 8=FIXT.1.1 9=283 35=8 34=14 49=TW1_CORI_TEST_12345_DLRDPL 52=20160401-16:55:32.850 56=TRADEWEB 6=0 14=0 17=LST_20160401_TW1_CORI_NY302485.18_1 37=LST_20160401_TW1_CORI_NY302485.18_1 39=2 54=2 55=[N/A] 150=F 151=0 6153=LST_20160401_TW1_CORI_NY302485.18_1 22631=POSTTRADE_STRING 22632=POSTTRADE_STRING 10=155
|
||||
|
||||
Step 16
|
||||
Direction: ← ExecutionAck (BN)
|
||||
Commentary: Tradeweb acknowledges ExecutionReport
|
||||
FIX Message: 8=FIXT.1.1 9=233 35=BN 34=12 49=TRADEWEB 52=20160401-16:55:37.917 56=TW1_CORI_TEST_12345_DLRDPL 11=LST_20160401_TW1_CORI_NY302485.18_1 17=LST_20160401_TW1_CORI_NY302485.18_1 37=LST_20160401_TW1_CORI_NY302485.18_1 55=[N/A] 60=20160401-16:55:37 1036=1 10=051
|
||||
|
||||
Step 17
|
||||
Direction: ← ExecutionReport (8)
|
||||
Commentary: Tradeweb informs Dealer of outcome of a list trade item. OrdStatus=Filled, ExecType=Trade
|
||||
FIX Message: 8=FIXT.1.1 9=337 35=8 34=13 49=TRADEWEB 52=20160401-16:55:37.917 56=TW1_CORI_TEST_12345_DLRDPL 6=0 11=LST_20160401_TW1_CORI_NY302485.18_1 14=0 17=LST_20160401_TW1_CORI_NY302485.18_1_TRDEND-125537.917 37=LST_20160401_TW1_CORI_NY302485.18_1 39=2 44=0.98 54=2 55=[N/A] 60=20160401-16:55:37 75=20160401 150=F 151=0 423=6 662=99.98046875 22570=0.760289080299 10=067
|
||||
|
||||
Step 18
|
||||
Direction: ExecutionAck (BN) →
|
||||
Comentary: Dealer acknowledges ExecutionReport message.
|
||||
FIX Message: 8=FIXT.1.1 9=255 35=BN 49=TW1_CORI_TEST_12345_DLRDPL 56=TRADEWEB 34=15 52=20160401-16:55:37.910 1036=1 37=LST_20160401_TW1_CORI_NY302485.18_1 11=LST_20160401_TW1_CORI_NY302485.18_1 17=LST_20160401_TW1_CORI_NY302485.18_1_TRDEND-125537.917 55=[N/A] 60=20160401-16:55:37.910 10=078
|
||||
|
||||
Step 19
|
||||
Direction:
|
||||
Comentary: Autospot at Tradeweb Treasury composite.
|
||||
FIX Message:
|
||||
|
||||
Step 20
|
||||
Direction: ← ExecutionReport (8)
|
||||
Comentary: Tradeweb sends ExecutionReport message to confirm final outcome of list trade item including applicable cover quote, spot, settlement money information, etc. OrdStatus=Filled, ExecType=Order Status TradeSummary = Y
|
||||
FIX Message: 8=FIXT.1.1 9=733 35=8 34=14 49=TRADEWEB 52=20160401-16:55:40.292 56=TW1_CORI_TEST_12345_DLRDPL 6=0 11=LST_20160401_TW1_CORI_NY302485.18_1 14=0 17=LST_20160401_TW1_CORI_NY302485.18_1_TRDSUMM-125540.277 22=1 37=LST_20160401_TW1_CORI_NY302485.18_1 38=1000000 39=2 44=0.98 48=02364WBC8 54=2 55=[N/A] 60=20160401-16:55:40 64=20160406 75=20160401 150=F 151=0 167=CORP 236=1.74 423=6 453=2 448=emack 447=C 452=3 802=3 523=Dev Test 803=2 523=NY 803=25 523=USA 803=4000 448=Tradeweb 447=C 452=1 802=2 523=Tradeweb0001 803=4002 523=YES 803=4003 526=TRD_20160401_TW1_CORI_23 662=99.98046875 1003=20160401.TW1.CORI.23 6153=emackdlr 6731=20160401.TW1.CORI.23 20115=100.265 20250=225000 22570=0.76 22630=0 22631=POSTTRADE_STRING 22634=160401.DLRX.TRSY.120 22636=Y 10=239
|
||||
|
||||
Step 21
|
||||
Direction: ExecutionAck (BN) →
|
||||
Comentary: Dealer acknowledges ExecutionReport message.
|
||||
FIX Message: 8=FIXT.1.1 9=256 35=BN 49=TW1_CORI_TEST_12345_DLRDPL 56=TRADEWEB 34=16 52=20160401-16:55:40.287 1036=1 37=LST_20160401_TW1_CORI_NY302485.18_1 11=LST_20160401_TW1_CORI_NY302485.18_1 17=LST_20160401_TW1_CORI_NY302485.18_1_TRDSUMM-125540.277 55=[N/A] 60=20160401-16:55:40.287 10=182
|
||||
@ -1,20 +1,16 @@
|
||||
CREATE TABLE IF NOT EXISTS qfixdpl_messages (
|
||||
id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
|
||||
quote_req_id TEXT NOT NULL,
|
||||
trade_id TEXT,
|
||||
j_message JSONB NOT NULL,
|
||||
created_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
|
||||
);
|
||||
CREATE INDEX IF NOT EXISTS idx_messages_quote_req_id ON qfixdpl_messages(quote_req_id);
|
||||
CREATE INDEX IF NOT EXISTS idx_messages_created_at ON qfixdpl_messages(created_at);
|
||||
CREATE INDEX IF NOT EXISTS idx_messages_trade_id ON qfixdpl_messages(trade_id);
|
||||
|
||||
CREATE TABLE IF NOT EXISTS qfixdpl_logs (
|
||||
id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
|
||||
quote_req_id TEXT NOT NULL UNIQUE,
|
||||
trade_id TEXT,
|
||||
raw_msg TEXT NOT NULL,
|
||||
created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
|
||||
updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW()
|
||||
);
|
||||
CREATE INDEX IF NOT EXISTS idx_dpl_logs_trade_id ON qfixdpl_logs(trade_id);
|
||||
|
||||
@ -16,8 +16,8 @@ func (p *Store) SaveMessage(msg domain.TradeMessage) error {
|
||||
}
|
||||
|
||||
_, err = p.db.Exec(
|
||||
"INSERT INTO qfixdpl_messages (quote_req_id, trade_id, j_message) VALUES ($1, NULLIF($2, ''), $3)",
|
||||
msg.QuoteReqID, msg.TradeID, string(jsonBytes),
|
||||
"INSERT INTO qfixdpl_messages (quote_req_id, j_message) VALUES ($1, $2)",
|
||||
msg.QuoteReqID, string(jsonBytes),
|
||||
)
|
||||
if err != nil {
|
||||
return tracerr.Errorf("error inserting message: %w", err)
|
||||
@ -43,7 +43,7 @@ func (p *Store) SaveLog(entry domain.LogEntry) error {
|
||||
|
||||
func (p *Store) GetTodayMessages() ([]domain.TradeMessage, error) {
|
||||
rows, err := p.db.Query(
|
||||
"SELECT id, quote_req_id, trade_id, j_message, created_at FROM qfixdpl_messages WHERE created_at >= current_date ORDER BY created_at ASC",
|
||||
"SELECT id, quote_req_id, j_message, created_at FROM qfixdpl_messages WHERE created_at >= current_date ORDER BY created_at ASC",
|
||||
)
|
||||
if err != nil {
|
||||
return nil, tracerr.Errorf("error querying today messages: %w", err)
|
||||
@ -55,12 +55,11 @@ func (p *Store) GetTodayMessages() ([]domain.TradeMessage, error) {
|
||||
for rows.Next() {
|
||||
var (
|
||||
id, quoteReqID string
|
||||
tradeID *string
|
||||
jMessageRaw []byte
|
||||
createdAt time.Time
|
||||
)
|
||||
|
||||
if err := rows.Scan(&id, "eReqID, &tradeID, &jMessageRaw, &createdAt); err != nil {
|
||||
if err := rows.Scan(&id, "eReqID, &jMessageRaw, &createdAt); err != nil {
|
||||
return nil, tracerr.Errorf("error scanning message row: %w", err)
|
||||
}
|
||||
|
||||
@ -69,18 +68,12 @@ func (p *Store) GetTodayMessages() ([]domain.TradeMessage, error) {
|
||||
return nil, tracerr.Errorf("error unmarshaling j_message: %w", err)
|
||||
}
|
||||
|
||||
msg := domain.TradeMessage{
|
||||
messages = append(messages, domain.TradeMessage{
|
||||
ID: id,
|
||||
QuoteReqID: quoteReqID,
|
||||
JMessage: jMessage,
|
||||
CreatedAt: createdAt,
|
||||
}
|
||||
|
||||
if tradeID != nil {
|
||||
msg.TradeID = *tradeID
|
||||
}
|
||||
|
||||
messages = append(messages, msg)
|
||||
})
|
||||
}
|
||||
|
||||
if err := rows.Err(); err != nil {
|
||||
@ -90,69 +83,6 @@ func (p *Store) GetTodayMessages() ([]domain.TradeMessage, error) {
|
||||
return messages, nil
|
||||
}
|
||||
|
||||
func (p *Store) UpdateLogTradeID(quoteReqID, tradeID string) error {
|
||||
_, err := p.db.Exec(
|
||||
"UPDATE qfixdpl_logs SET trade_id = $1, updated_at = NOW() WHERE quote_req_id = $2",
|
||||
tradeID, quoteReqID,
|
||||
)
|
||||
if err != nil {
|
||||
return tracerr.Errorf("error updating log trade_id: %w", err)
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
func (p *Store) GetFullTradeLog(quoteReqID string) (domain.FullTradeLog, error) {
|
||||
rows, err := p.db.Query(
|
||||
"SELECT trade_id, raw_msg FROM qfixdpl_logs WHERE quote_req_id = $1", quoteReqID,
|
||||
)
|
||||
if err != nil {
|
||||
return domain.FullTradeLog{}, tracerr.Errorf("error querying dpl log: %w", err)
|
||||
}
|
||||
defer rows.Close()
|
||||
|
||||
if !rows.Next() {
|
||||
return domain.FullTradeLog{}, tracerr.Errorf("no log found for quoteReqID: %s", quoteReqID)
|
||||
}
|
||||
|
||||
var (
|
||||
tradeID *string
|
||||
rawMsg string
|
||||
)
|
||||
|
||||
if err := rows.Scan(&tradeID, &rawMsg); err != nil {
|
||||
return domain.FullTradeLog{}, tracerr.Errorf("error scanning dpl log row: %w", err)
|
||||
}
|
||||
|
||||
result := domain.FullTradeLog{
|
||||
QuoteReqID: quoteReqID,
|
||||
DPLEntries: strings.Split(rawMsg, "\n"),
|
||||
}
|
||||
|
||||
if tradeID != nil && *tradeID != "" {
|
||||
result.TradeID = *tradeID
|
||||
|
||||
ptRows, err := p.db.Query(
|
||||
"SELECT raw_msg FROM qfixpt_logs WHERE trade_id = $1", *tradeID,
|
||||
)
|
||||
if err != nil {
|
||||
return domain.FullTradeLog{}, tracerr.Errorf("error querying pt logs: %w", err)
|
||||
}
|
||||
defer ptRows.Close()
|
||||
|
||||
if ptRows.Next() {
|
||||
var ptRawMsg string
|
||||
if err := ptRows.Scan(&ptRawMsg); err != nil {
|
||||
return domain.FullTradeLog{}, tracerr.Errorf("error scanning pt log row: %w", err)
|
||||
}
|
||||
|
||||
result.PTEntries = strings.Split(ptRawMsg, "\n")
|
||||
}
|
||||
}
|
||||
|
||||
return result, nil
|
||||
}
|
||||
|
||||
func (p *Store) GetLogsByQuoteReqID(quoteReqID string) (domain.Logs, error) {
|
||||
selectStmt := "SELECT raw_msg FROM qfixdpl_logs WHERE quote_req_id = '" + quoteReqID + "';"
|
||||
|
||||
|
||||
@ -3,46 +3,27 @@ package domain
|
||||
|
||||
import "time"
|
||||
|
||||
// TradeStatus represents the lifecycle state of a List Trading trade.
|
||||
type TradeStatus string
|
||||
|
||||
const (
|
||||
TradeStatusActive TradeStatus = "active"
|
||||
TradeStatusRejected TradeStatus = "rejected"
|
||||
TradeStatusCompleted TradeStatus = "completed"
|
||||
)
|
||||
|
||||
// ListTrade es la representacion exportada de un trade de List Trading.
|
||||
type ListTrade struct {
|
||||
QuoteReqID string `json:"quote_req_id"`
|
||||
TradeID string `json:"trade_id,omitempty"`
|
||||
ListID string `json:"list_id"`
|
||||
Symbol string `json:"symbol"`
|
||||
SecurityIDSrc string `json:"security_id_src"`
|
||||
Currency string `json:"currency"`
|
||||
Side string `json:"side"`
|
||||
OrderQty string `json:"order_qty"`
|
||||
SettlDate string `json:"settl_date"`
|
||||
Price string `json:"price"`
|
||||
OwnerTraderID string `json:"owner_trader_id"`
|
||||
Status TradeStatus `json:"status"`
|
||||
QuoteRequest FixMessageJSON `json:"quote_request"`
|
||||
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.
|
||||
type TradeMessage struct {
|
||||
ID string `json:"id"`
|
||||
QuoteReqID string `json:"quote_req_id"`
|
||||
TradeID string `json:"trade_id,omitempty"`
|
||||
JMessage FixMessageJSON `json:"j_message"`
|
||||
CreatedAt time.Time `json:"created_at"`
|
||||
}
|
||||
@ -58,20 +39,10 @@ type Logs struct {
|
||||
Entries []string `json:"entries"`
|
||||
}
|
||||
|
||||
// FullTradeLog es la respuesta del endpoint GET /trades/:id/full-log.
|
||||
type FullTradeLog struct {
|
||||
QuoteReqID string `json:"quote_req_id"`
|
||||
TradeID string `json:"trade_id,omitempty"`
|
||||
DPLEntries []string `json:"dpl_entries"`
|
||||
PTEntries []string `json:"pt_entries,omitempty"`
|
||||
}
|
||||
|
||||
// PersistenceStore define la interfaz de persistencia.
|
||||
type PersistenceStore interface {
|
||||
SaveMessage(msg TradeMessage) error
|
||||
SaveLog(entry LogEntry) error
|
||||
GetTodayMessages() ([]TradeMessage, error)
|
||||
GetLogsByQuoteReqID(quoteReqID string) (Logs, error)
|
||||
UpdateLogTradeID(quoteReqID, tradeID string) error
|
||||
GetFullTradeLog(id string) (FullTradeLog, error)
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user