Creating Your Application

Creating a FIX application is as easy as implementing the QuickFIX Application interface. The C++ interface is defined in the following code segment:

  namespace FIX
  {
    class Application
    {
    public:
      virtual ~Application() {};
      virtual void onCreate( const SessionID& ) = 0;
      virtual void onLogon( const SessionID& )
      virtual void onLogout( const SessionID& ) = 0;
      virtual void toAdmin( Message&, const SessionID& ) = 0;
      virtual void toApp( Message&, const SessionID& )
        throw(DoNotSend&) = 0;
      virtual void fromAdmin( const Message&, const SessionID& )
        throw( FieldNotFound&, IncorrectDataFormat&, IncorrectTagValue&, RejectLogon& ) = 0;
      virtual void fromApp( const Message&, const SessionID& )
        throw( FieldNotFound&, IncorrectDataFormat&, IncorrectTagValue&, UnsupportedMessageType& ) = 0;
    };
  }
  

By implementing these functions in your derived class, you are requesting to be notified of events that occur on the FIX engine. The function you that you should be most aware of is fromApp. Also remember that everything is in the FIX namespace, so when overloading your class, you must refer to classes as FIX::Session, and FIX::Message etc...

Here are explanations of what these functions provide for you.

onCreate gets called when quickfix creates a new session. A session comes into and remains in existence for the life of the application. Sessions exist despite whether a counter party is connected to it. As soon as a session is created, you can begin sending messages to it. If no one is logged on, the messages will be sent at the time a connection is established with the counterparty.

onLogon notifies you when a valid logon has been established with a counter party. This is called when a connection has been established and the FIX logon process has completed with both parties exchanging valid logon messages.

onLogout notifies you when an FIX session is no longer online. This could happen during a normal logout exchange or because of a forced termination or a loss of network connection.

toAdmin provides you with a peak at the administrative messages that are being sent from your FIX engine to the counter party. This is normally not useful for an application however it is provided for any logging you may wish to do. Notice that the FIX::Message is not const. This allows you to add fields before an adminstrative message before it is sent out.

toApp is a callback for application messages that you are being sent to a counterparty. If you throw a DoNotSend exception in this function, the application will not send the message. This is mostly useful if the application has been asked to resend a message such as an order that is no longer relevant for the current market. Messages that are being resent are marked with the PossDupFlag in the header set to true; If a DoNotSend exception is thrown and the flag is set to true, a sequence reset will be sent in place of the message. If it is set to false, the message will simply not be sent. Notice that the FIX::Message is not const. This allows you to add fields before an application message before it is sent out.

fromAdmin notifies you when an administrative message is sent from a counterparty to your FIX engine. This can be usefull for doing extra validation on logon messages such as for checking passwords. Throwing a RejectLogon exception will disconnect the counterparty.

fromApp is one of the core entry points for your FIX application. Every application level request will come through here. If, for example, your application is a sell-side OMS, this is where you will get your new order requests. If you were a buy side, you would get your execution reports here. If a FieldNotFound exception is thrown, the counterparty will receive a reject indicating a conditionally required field is missing. The Message class will throw this exception when trying to retrieve a missing field, so you will rarely need the throw this explicitly. You can also throw an UnsupportedMessageType exception. This will result in the counterparty getting a reject informing them your application cannot process those types of messages. A IncorrectTagValue can also be thrown if a field contains a value that is out of range or you do not support.

The sample code below shows how you might start up a FIX acceptor which listens on a socket. If you wanted an initiator, you would simply replace the acceptor in this code fragment with a SocketInitiator, ThreadedSocketInitiator and ThreadedSocketAcceptor classes are also available. These will supply a thread to each session that is created. If you use these you must make sure your application is thread safe. A portable mutex class is supplied with QuickFIX.

  #include "quickfix/FileStore.h"
  #include "quickfix/FileLog.h"
  #include "quickfix/SocketAcceptor.h"
  #include "quickfix/Session.h"
  #include "quickfix/SessionSettings.h"
  #include "quickfix/Application.h"

  int main( int argc, char** argv )
  {
    try
    {
      if(argc < 2) return 1;
      std::string fileName = argv[0];

      FIX::SessionSettings settings(file);

      MyApplication application;
      FIX::FileStoreFactory storeFactory(settings);
      FIX::FileLogFactory logFactory(settings);
      FIX::Socketacceptor acceptor
        (application, storeFactory, settings, logFactory /*optional*/);
      acceptor.start();
      // while( condition == true ) { do something; }
      acceptor.stop();
      return 0;
    }
    catch(FIX::ConfigError& e)
    {
      std::cout << e.what();
      return 1;
    }
  }