Files
qfixdpl/src/client/fix/manager.go
Ramiro Paz 7cc4a96a03 fix
2026-05-19 15:38:43 -03:00

675 lines
20 KiB
Go

package fix
import (
"log/slog"
"os"
"sort"
"strings"
"sync"
"time"
"github.com/rs/zerolog/log"
uuid "github.com/satori/go.uuid"
"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"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/executionreport"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quote"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoteack"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoterequest"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quoteresponse"
"quantex.com/qfixdpl/quickfix/gen/fix50sp2/quotestatusreport"
"quantex.com/qfixdpl/quickfix/gen/tag"
filelog "quantex.com/qfixdpl/quickfix/log/file"
"quantex.com/qfixdpl/quickfix/store/file"
"quantex.com/qfixdpl/src/app"
"quantex.com/qfixdpl/src/common/tracerr"
"quantex.com/qfixdpl/src/domain"
)
type listTrade struct {
QuoteRequest domain.FixMessageJSON
SessionID quickfix.SessionID
Quoted bool
Price decimal.Decimal
}
// Manager wraps the QuickFIX initiator and implements domain.FIXSender.
type Manager struct {
initiator *quickfix.Initiator
app *application
sessionsMu sync.RWMutex
sessions map[string]quickfix.SessionID
tradesMu sync.RWMutex
trades map[string]*listTrade
messagesMu sync.RWMutex
messages []domain.Message
store domain.PersistenceStore
notify domain.Notifier
cfg app.FIXConfig
dict *datadictionary.DataDictionary
}
func NewManager(cfg app.FIXConfig, store domain.PersistenceStore, notify domain.Notifier) *Manager {
return &Manager{
sessions: make(map[string]quickfix.SessionID),
trades: make(map[string]*listTrade),
messages: make([]domain.Message, 0),
store: store,
notify: notify,
cfg: cfg,
}
}
func (m *Manager) Start() error {
fixApp := newApplication(m.notify)
fixApp.onLogon = m.onLogon
fixApp.onLogout = m.onLogout
fixApp.onQuoteRequest = m.handleQuoteRequest
fixApp.onQuoteAck = m.handleQuoteAck
fixApp.onQuoteResponse = m.handleQuoteResponse
fixApp.onExecutionReport = m.handleExecutionReport
fixApp.onExecutionAck = m.handleExecutionAck
fixApp.onRawMessage = m.handleRawMessage
m.app = fixApp
dict, err := datadictionary.Parse(m.cfg.DataDictionaryFile)
if err != nil {
err = tracerr.Errorf("error parsing FIX data dictionary %q: %w", m.cfg.DataDictionaryFile, err)
slog.Error(err.Error())
return err
}
m.dict = dict
if err := m.loadActiveTrades(); err != nil {
err = tracerr.Errorf("failed to load active trades from DB, starting with empty state: %w", err)
slog.Error(err.Error())
}
if err := m.loadTodayMessages(); err != nil {
err = tracerr.Errorf("failed to load today messages from DB, starting with empty list: %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: %w", m.cfg.SettingsFile, err)
slog.Error(err.Error())
return err
}
defer f.Close()
settings, err := quickfix.ParseSettings(f)
if err != nil {
err = tracerr.Errorf("error parsing FIX settings: %w", err)
slog.Error(err.Error())
return err
}
storeFactory := file.NewStoreFactory(settings)
logFactory, err := filelog.NewLogFactory(settings)
if err != nil {
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: %w", err)
slog.Error(err.Error())
return err
}
m.initiator = initiator
if err = m.initiator.Start(); err != nil {
err = tracerr.Errorf("error starting FIX initiator: %w", err)
slog.Error(err.Error())
return err
}
slog.Info("FIX initiator started", "settings", m.cfg.SettingsFile)
return nil
}
func (m *Manager) Stop() {
if m.initiator != nil {
m.initiator.Stop()
slog.Info("FIX initiator stopped")
}
}
func (m *Manager) onLogon(sessionID quickfix.SessionID) {
m.sessionsMu.Lock()
m.sessions[sessionID.String()] = sessionID
m.sessionsMu.Unlock()
}
func (m *Manager) onLogout(sessionID quickfix.SessionID) {
m.sessionsMu.Lock()
delete(m.sessions, sessionID.String())
m.sessionsMu.Unlock()
}
// sendQuoteStatusReport sends a QuoteStatusReport (35=AI) to acknowledge the incoming QuoteRequest.
func (m *Manager) sendQuoteStatusReport(quoteReqID, ownerTraderID string, sessionID quickfix.SessionID) error {
qsr := quotestatusreport.New(
field.NewTransactTime(time.Now()),
field.NewQuoteStatus(enum.QuoteStatus_ACCEPTED),
)
qsr.SetQuoteReqID(quoteReqID)
qsr.SetQuoteID(quoteReqID)
qsr.SetSymbol("[N/A]")
if ownerTraderID != "" {
qsr.SetOwnerTraderID(ownerTraderID)
}
return quickfix.SendToTarget(qsr, sessionID)
}
// sendTradeRequestAck sends a QuoteStatusReport (35=AI) to acknowledge a trade request (TRDREQACK).
func (m *Manager) sendTradeRequestAck(quoteReqID, quoteRespID string, sessionID quickfix.SessionID) error {
qsr := quotestatusreport.New(
field.NewTransactTime(time.Now()),
field.NewQuoteStatus(enum.QuoteStatus_ACCEPTED),
)
qsr.SetQuoteReqID(quoteReqID)
qsr.SetQuoteRespID(quoteRespID)
qsr.SetSymbol("[N/A]")
return quickfix.SendToTarget(qsr, sessionID)
}
// sendExecutionAck sends an ExecutionAck (35=BN) to acknowledge an incoming ExecutionReport.
func (m *Manager) sendExecutionAck(orderID, clOrdID, execID string, sessionID quickfix.SessionID) error {
bn := executionack.New(
field.NewOrderID(orderID),
field.NewExecID(execID),
field.NewExecAckStatus(enum.ExecAckStatus_ACCEPTED),
)
bn.SetClOrdID(clOrdID)
bn.SetSymbol("[N/A]")
bn.SetTransactTime(time.Now())
return quickfix.SendToTarget(bn, sessionID)
}
// handleQuoteRequest auto-responds to an incoming QuoteRequest with a QuoteStatusReport (acknowledge).
// 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) {
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
}
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)
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)
ownerTraderID := getString(relSym, "OwnerTraderID")
// Send QuoteStatusReport (35=AI) to acknowledge the inquiry.
if ackErr := m.sendQuoteStatusReport(quoteReqID, ownerTraderID, sessionID); ackErr != nil {
ackErr = tracerr.Errorf("handleQuoteRequest: failed to send QuoteStatusReport (quoteReqID=%s): %w", quoteReqID, ackErr)
slog.Error(ackErr.Error())
return
}
slog.Info("QuoteStatusReport sent", "quoteReqID", quoteReqID)
// 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()
}
// 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()
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())
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)
// _TRDSUMM is the final message — clean up the trade.
if isTrdSumm {
slog.Info("Trade summary received, cleaning up", "quoteReqID", quoteReqID)
}
}
// 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)
case execType == enum.ExecType_TRADE:
slog.Info("Trade result received from TW",
"execID", execID, "clOrdID", clOrdID, "ordStatus", string(ordStatus), "listID", listID)
}
}
// handleExecutionAck handles an incoming ExecutionAck (35=BN) from TW.
func (m *Manager) handleExecutionAck(msg executionack.ExecutionAck, sessionID quickfix.SessionID) {
// Logged in application.go, no further action needed.
}
// 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,
}
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
}
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
q := quote.New(
field.NewQuoteID(quoteID),
field.NewQuoteType(enum.QuoteType_SEND_QUOTE),
field.NewTransactTime(time.Now()),
)
q.SetSymbol("[N/A]")
q.SetSecurityID(symbol)
q.SetSecurityIDSource(sIDSource)
q.SetQuoteReqID(quoteReqID)
if currency != "" {
q.SetCurrency(currency)
}
if !orderQty.IsZero() {
q.SetOrderQty(orderQty, 0)
}
if settlDate != "" {
q.SetSettlDate(settlDate)
}
q.SetPrice(price, 8)
if side == enum.Side_BUY {
q.SetOfferPx(price, 8)
q.SetSide(enum.Side_BUY)
} else {
q.SetBidPx(price, 8)
q.SetSide(enum.Side_SELL)
}
q.SetPriceType(enum.PriceType_PERCENTAGE)
if ownerTraderID != "" {
q.SetOwnerTraderID(ownerTraderID)
}
if sendErr := quickfix.SendToTarget(q, sessionID); sendErr != nil {
sendErr = tracerr.Errorf("SendQuote: failed to send quote (quoteReqID=%s): %w", quoteReqID, sendErr)
slog.Error(sendErr.Error())
return sendErr
}
m.tradesMu.Lock()
if t, ok := m.trades[quoteReqID]; ok {
t.Price = price
t.Quoted = true
}
m.tradesMu.Unlock()
slog.Info("Quote sent", "quoteReqID", quoteReqID, "quoteID", quoteID, "symbol", symbol, "price", price.String())
return nil
}
// firstGroup returns the first repetition of a NUMINGROUP field, or nil.
func firstGroup(body map[string]any, name string) map[string]any {
if body == nil {
return nil
}
groups, ok := body[name].([]map[string]any)
if !ok || len(groups) == 0 {
return nil
}
return groups[0]
}
// getString reads a string value from a body map, tolerating nil maps and missing keys.
func getString(body map[string]any, name string) string {
if body == nil {
return ""
}
if v, ok := body[name].(string); ok {
return v
}
return ""
}
// getDecimal reads a decimal value from a body map. Numeric FIX types come through
// as strings (e.g. "10000"); INT-typed counts may be int. Both are accepted.
func getDecimal(body map[string]any, name string) decimal.Decimal {
if body == nil {
return decimal.Decimal{}
}
switch v := body[name].(type) {
case string:
d, _ := decimal.NewFromString(v)
return d
case int:
return decimal.NewFromInt(int64(v))
}
return decimal.Decimal{}
}
func (m *Manager) anyActiveSessionID() quickfix.SessionID {
m.sessionsMu.RLock()
defer m.sessionsMu.RUnlock()
for _, s := range m.sessions {
return s
}
return quickfix.SessionID{}
}
// handleRawMessage is the single ingest path for every application-level FIX message
// (admin messages — Logon, Logout, Heartbeat, TestRequest, ResendRequest, SequenceReset —
// go through ToAdmin/FromAdmin and never reach this callback). It persists the raw
// envelope to the logs table, builds a structured Message and saves it to
// the messages table, and appends to the in-memory list.
func (m *Manager) handleRawMessage(direction string, msg *quickfix.Message) {
quoteReqID := extractIdentifier(msg)
if err := m.store.SaveLog(domain.LogEntry{
QuoteReqID: quoteReqID,
RawMsg: "[" + direction + "] " + msg.String(),
}); err != nil {
err = tracerr.Errorf("failed to persist raw log: %w", err)
slog.Error(err.Error())
}
msgTypeBytes, _ := msg.Header.GetBytes(tag.MsgType)
msgType := string(msgTypeBytes)
senderCompID, msgSeqNum, sendingTime := extractHeaderMeta(msg)
fixJSON := buildFixMessageJSON(direction, msgType, quoteReqID, msg, m.dict)
stored := domain.Message{
ID: uuid.NewV4().String(),
SenderCompID: senderCompID,
MsgSeqNum: msgSeqNum,
SendingTime: sendingTime,
CreatedAt: time.Now(),
JMessage: fixJSON,
}
if err := m.store.SaveMessage(stored); err != nil {
err = tracerr.Errorf("failed to persist message (msgType=%s, quoteReqID=%s): %w", msgType, quoteReqID, err)
slog.Error(err.Error())
}
m.messagesMu.Lock()
m.messages = append(m.messages, stored)
m.messagesMu.Unlock()
}
// GetAllMessages returns today's FIX application messages with MsgSeqNum greater than
// the caller's last-seen sequence per direction (inSeq for IN, outSeq for OUT), sorted
// ascending by CreatedAt. Passing 0 for either cursor returns all messages on that side.
func (m *Manager) GetAllMessages(inSeq, outSeq int) []domain.Message {
m.messagesMu.RLock()
log.Info().Msgf("request received, inSeq: %d, outSeq: %d", inSeq, outSeq)
filtered := make([]domain.Message, 0, len(m.messages))
for _, msg := range m.messages {
switch msg.JMessage.Direction {
case "IN":
if msg.MsgSeqNum > inSeq {
filtered = append(filtered, msg)
}
case "OUT":
if msg.MsgSeqNum > outSeq {
filtered = append(filtered, msg)
}
}
}
m.messagesMu.RUnlock()
sort.Slice(filtered, func(i, j int) bool { return filtered[i].CreatedAt.Before(filtered[j].CreatedAt) })
log.Info().Msgf("messages sent: %d", len(filtered))
return filtered
}
// loadTodayMessages rebuilds the in-memory message list from today's rows in the DB.
// Must be called before the FIX initiator starts so live ingest doesn't race with replay.
func (m *Manager) loadTodayMessages() error {
messages, err := m.store.GetTodayMessages()
if err != nil {
return err
}
m.messagesMu.Lock()
m.messages = messages
m.messagesMu.Unlock()
slog.Info("today messages loaded", "count", len(messages))
return nil
}
// 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
}
activeTrades := make(map[string]*listTrade)
for _, msg := range messages {
quoteReqID := msg.JMessage.QuoteReqID
switch msg.JMessage.MsgType {
case "R": // QuoteRequest -> trade is born
if !strings.HasPrefix(quoteReqID, "LST_") {
continue
}
relSym := firstGroup(msg.JMessage.Body, "NoRelatedSym")
if getString(relSym, "NegotiationType") != "RFQ" {
continue
}
if getString(relSym, "ListID") == "" {
continue
}
activeTrades[quoteReqID] = &listTrade{
QuoteRequest: msg.JMessage,
}
case "S": // Outgoing Quote — dealer has already quoted this trade
if t, ok := activeTrades[quoteReqID]; ok {
t.Quoted = true
t.Price = getDecimal(msg.JMessage.Body, "Price")
}
}
}
m.trades = activeTrades
slog.Info("recovery completed", "activeTrades", len(activeTrades))
return nil
}