如何使用QuickFIX/J发送FIX消息

Question

我需要一个简单的例子来说明如何初始化会话并发送一条FIX消息.我有这个初始代码:

SessionSettings settings = new SessionSettings( new FileInputStream("fix.cfg"));

Application application = new Application(settings);
MessageStoreFactory messageStoreFactory = new FileStoreFactory(settings);
LogFactory logFactory = new ScreenLogFactory( true, true, true);
MessageFactory messageFactory = new DefaultMessageFactory();

Initiator initiator = new SocketInitiator(application, messageStoreFactory, settings, logFactory, messageFactory);
initiator.start();

Answer 1

从上面的代码中,我看到你有一个启动器应用程序(客户端),你还需要创建一个acceptor应用程序(服务器).贝娄我已经附上了两个可以做你想做的课程.

首先,我将列出该acceptor应用程序:

public class ServerApplication implements Application {

    @Override
    public void onCreate(SessionID sessionID) {
    }

    @Override
    public void onLogon(SessionID sessionID) {
    }

    @Override
    public void onLogout(SessionID sessionID) {
    }

    @Override
    public void toAdmin(Message message, SessionID sessionID) {
    }

    @Override
    public void fromAdmin(Message message, SessionID sessionID) throws FieldNotFound, IncorrectDataFormat, IncorrectTagValue, RejectLogon {
    }

    @Override
    public void toApp(Message message, SessionID sessionID) throws DoNotSend {
    }

    @Override
    public void fromApp(Message message, SessionID sessionID) throws FieldNotFound, IncorrectDataFormat, IncorrectTagValue, UnsupportedMessageType {
        System.out.println("FromApp: " + message);
    }

    public static void main(String[] args) throws ConfigError, FileNotFoundException, InterruptedException, SessionNotFound {
        SessionSettings settings = new SessionSettings("res/acceptor.config");

        Application application = new ServerApplication();
        MessageStoreFactory messageStoreFactory = new FileStoreFactory(settings);
        LogFactory logFactory = new ScreenLogFactory( true, true, true);
        MessageFactory messageFactory = new DefaultMessageFactory();

        Acceptor initiator = new SocketAcceptor(application, messageStoreFactory, settings, logFactory, messageFactory);
        initiator.start();

        CountDownLatch latch = new CountDownLatch(1);
        latch.await();
    }
}

}

这是一个服务器应用程序,它将保持启动状态并侦听来自连接到它的客户端的消息.这是它使用的配置文件(acceptor.properties):

[default]
ApplicationID=server
FileStorePath=storage/messages/
ConnectionType=acceptor
StartTime=00:01:00 Europe/Bucharest
EndTime=23:59:00 Europe/Bucharest
HeartBtInt=30
UseDataDictionary=Y
DataDictionary=FIX42.xml
ValidateUserDefinedFields=N
ValidateIncomingMessage=N
RefreshOnLogon=Y

[session]
BeginString=FIX.4.2
SocketAcceptPort=9877
SenderCompID=server
TargetCompID=client
AcceptorTemplate=N
lockquote

接下来是客户端应用程序代码.它尝试连接到服务器,然后它将向它发送一条消息:

public class ClientApplication implements Application {

    private static volatile SessionID sessionID;

    @Override
    public void onCreate(SessionID sessionID) {
        System.out.println("OnCreate");
    }

    @Override
    public void onLogon(SessionID sessionID) {
        System.out.println("OnLogon");
        ClientApplication.sessionID = sessionID;
    }

    @Override
    public void onLogout(SessionID sessionID) {
        System.out.println("OnLogout");
        ClientApplication.sessionID = null;
    }

    @Override
    public void toAdmin(Message message, SessionID sessionID) {
        System.out.println("ToAdmin");
    }

    @Override
    public void fromAdmin(Message message, SessionID sessionID) throws FieldNotFound, IncorrectDataFormat, IncorrectTagValue, RejectLogon {
        System.out.println("FromAdmin");
    }

    @Override
    public void toApp(Message message, SessionID sessionID) throws DoNotSend {
        System.out.println("ToApp: " + message);
    }

    @Override
    public void fromApp(Message message, SessionID sessionID) throws FieldNotFound, IncorrectDataFormat, IncorrectTagValue, UnsupportedMessageType {
        System.out.println("FromApp");
    }

    public static void main(String[] args) throws ConfigError, FileNotFoundException, InterruptedException, SessionNotFound {
        SessionSettings settings = new SessionSettings("res/initiator.config");

        Application application = new ClientApplication();
        MessageStoreFactory messageStoreFactory = new FileStoreFactory(settings);
        LogFactory logFactory = new ScreenLogFactory( true, true, true);
        MessageFactory messageFactory = new DefaultMessageFactory();

        Initiator initiator = new SocketInitiator(application, messageStoreFactory, settings, logFactory, messageFactory);
        initiator.start();

        while (sessionID == null) {
            Thread.sleep(1000);
        }

        final String orderId = "342";
        NewOrderSingle newOrder = new NewOrderSingle(new ClOrdID(orderId), new HandlInst('1'), new Symbol("6758.T"),
                new Side(Side.BUY), new TransactTime(new Date()), new OrdType(OrdType.MARKET));
        Session.sendToTarget(newOrder, sessionID);
        Thread.sleep(5000);
    }
}

}

它的配置文件(initiator.config)几乎与用于acceptor的配置文件相同:

[default]
ApplicationID=client
FileStorePath=storage/messages/
ConnectionType=initiator
StartTime=00:01:00 Europe/Bucharest
EndTime=23:59:00 Europe/Bucharest
HeartBtInt=30
UseDataDictionary=Y
DataDictionary=FIX42.xml
ValidateUserDefinedFields=N
ValidateIncomingMessage=N
RefreshOnLogon=Y

[session]
BeginString=FIX.4.2
SocketConnectHost=localhost
SocketConnectPort=9877
SenderCompID=client
TargetCompID=server

配置文件都错过了一些选项,但出于测试目的就足够了.每个类都有一个主要方法,仅用于测试您想要的案例.通常你会处理它们的启动或停止方式有点不同.服务器应用程序侦听消息/连接并且永远不会停止,而客户端应用程序在发送第一条消息后立即停止.

Answer 2

QuickFIX/J 的安装中包含了一些示例，即Executor和Banzai。你可以在这里阅读。

QuickFIX 附带了几个示例应用程序。这些应用程序位于quickfix/examples目录中。它们不是为了展示良好的应用程序设计，也不是为了在真实的生产系统中使用。它们仅作为关于如何使用 QuickFIX 构建应用程序的教程提供。

Executor是一个非常简单的订单执行模拟器。它只支持限价单并且总是完全成交。

Banzai是一个简单的交易客户端。它可以与 Executor 一起使用，以查看在订单执行的买卖双方使用 QuickFIX/J 的简单示例。