java quickfix_FIX tutorial in Java with QuickFIX/j simple example

Q.

What is

FIX

Protocol?

A.

FIX stands for Financial Information eXchange, which is an open protocol intended to streamline electronic communications in the financial securities industry. Most of the exchanges use this standard for communication like sending Order, Executions, MarketData, etc. There are many versions of the specifications like 4.2, 4.4, etc. Have a look at https://fixspec.com/FIX44.

Let's have a look at

QuickFIX/J

and Java example for sending and recieving FIX messages.

Step 1

: Required dependency JAR files

Step 2

: The quickfixj-msg-fix44-1.5.3.jar contains the data dictionary for FIX4.4 with domain objects like and XML "NewSingleOrder". Extract FIX44.xml and copy it to c:\\temp.

Step 3

: Define the configuration for the receiver or message acceptor. receiver.cfg

file in /conf. Needs to be in the classpath.

[DEFAULT]

ConnectionType=acceptor

SocketAcceptPort=5001

SocketReuseAddress=Y

StartTime=00:00:00

EndTime=00:00:00

FileLogPath=log

FileStorePath=c:\\temp

[SESSION]

BeginString=FIX.4.4

SenderCompID=FixServer

TargetCompID=CLIENT1

DataDictionary=c:\\temp\\FIX44.xml

Step 4

: Define the FIXReceiver

class. It extends MessageCracker

implements Application

. Relevant method gets invoked in this event driven architecture used in MINA.

package com.example;

import quickfix.Application;

import quickfix.DoNotSend;

import quickfix.FieldNotFound;

import quickfix.IncorrectDataFormat;

import quickfix.IncorrectTagValue;

import quickfix.Message;

import quickfix.RejectLogon;

import quickfix.SessionID;

import quickfix.UnsupportedMessageType;

import quickfix.fix44.MessageCracker;

import quickfix.fix44.NewOrderSingle;

public class FIXReceiver extends MessageCracker implements Application {

@Override

public void onMessage(NewOrderSingle order, SessionID sessionID) {

System.out.println("Receiver onMessage.. " + order);

}

@Override

public void fromAdmin(Message arg0, SessionID arg1) throws FieldNotFound, IncorrectDataFormat,

IncorrectTagValue, RejectLogon {

}

@Override

public void fromApp(Message arg0, SessionID arg1) throws FieldNotFound, IncorrectDataFormat,

IncorrectTagValue, UnsupportedMessageType {

System.out.println("Receiver fromApp.. " + arg0);

crack(arg0, arg1); // calls onMessage(..,..)

}

@Override

public void onCreate(SessionID arg0) {

System.out.println("Receiver onCreate.. " + arg0);

}

@Override

public void onLogon(SessionID arg0) {

System.out.println("Receiver onLogon.." + arg0);

}

@Override

public void onLogout(SessionID arg0) {}

@Override

public void toAdmin(Message arg0, SessionID arg1) {}

@Override

public void toApp(Message arg0, SessionID arg1) throws DoNotSend {}

}

Step 5

: The server socket code to receive messages. ReceiverApp.Java

package com.example;

import java.util.Scanner;

import quickfix.Application;

import quickfix.ConfigError;

import quickfix.DefaultMessageFactory;

import quickfix.FileStoreFactory;

import quickfix.ScreenLogFactory;

import quickfix.SessionSettings;

import quickfix.SocketAcceptor;

public class RecieverApp {

public static void main(String[] args) throws ConfigError {

SessionSettings settings = new SessionSettings("receiver.cfg");

Application myApp = new FIXReceiver();

FileStoreFactory fileStoreFactory = new FileStoreFactory(settings);

ScreenLogFactory screenLogFactory = new ScreenLogFactory(settings);

DefaultMessageFactory msgFactory = new DefaultMessageFactory();

SocketAcceptor acceptor = new SocketAcceptor(myApp, fileStoreFactory,

settings, screenLogFactory, msgFactory);

acceptor.start();

Scanner reader = new Scanner(System.in);

System.out.println("press to quit");

//get user input for a

reader.nextLine();

acceptor.stop();

}

}

Step 5

: The sender or initiator configuration file sender.cfg

.

[DEFAULT]

ConnectionType=initiator

HeartBtInt=30

ReconnectInterval=0

FileStorePath=c:\\temp

FileLogPath=log

StartTime=00:00:00

EndTime=00:00:00

UseDataDictionary=N

SocketConnectHost=localhost

ContinueInitializationOnError=Y

[SESSION]

BeginString=FIX.4.4

SenderCompID=CLIENT1

TargetCompID=FixServer

SocketConnectPort=5001

Step 6

: Define the FixSender

class that implements Application

. Relevant method gets invoked in this event driven architecture used in MINA.

package com.example;

import quickfix.Application;

import quickfix.DoNotSend;

import quickfix.FieldNotFound;

import quickfix.IncorrectDataFormat;

import quickfix.IncorrectTagValue;

import quickfix.Message;

import quickfix.RejectLogon;

import quickfix.SessionID;

import quickfix.UnsupportedMessageType;

public class FIXSender implements Application {

@Override

public void fromAdmin(Message arg0, SessionID arg1) throws FieldNotFound, IncorrectDataFormat,

IncorrectTagValue, RejectLogon {

}

@Override

public void fromApp(Message arg0, SessionID arg1) throws FieldNotFound, IncorrectDataFormat,

IncorrectTagValue, UnsupportedMessageType { }

@Override

public void onCreate(SessionID arg0) {}

@Override

public void onLogon(SessionID arg0) {}

@Override

public void onLogout(SessionID arg0) {}

@Override

public void toAdmin(Message arg0, SessionID arg1) {}

@Override

public void toApp(Message msg, SessionID sessionId) throws DoNotSend {

System.out.println("Sender toApp: " + msg.toString());

}

}

Step 7

: The client socket initiator to send FIX messages. SenderApp.java

.

package com.example;

import java.util.Date;

import quickfix.Application;

import quickfix.ConfigError;

import quickfix.DefaultMessageFactory;

import quickfix.FileStoreFactory;

import quickfix.ScreenLogFactory;

import quickfix.Session;

import quickfix.SessionID;

import quickfix.SessionNotFound;

import quickfix.SessionSettings;

import quickfix.SocketInitiator;

import quickfix.field.ClOrdID;

import quickfix.field.OrdType;

import quickfix.field.OrderQty;

import quickfix.field.Price;

import quickfix.field.Side;

import quickfix.field.Symbol;

import quickfix.field.TransactTime;

import quickfix.fix44.NewOrderSingle;

public class SenderApp {

public static void main(String[] args) throws ConfigError, InterruptedException, SessionNotFound {

SessionSettings settings = new SessionSettings("sender.cfg");

Application myApp = new FIXSender();

FileStoreFactory fileStoreFactory = new FileStoreFactory(settings);

ScreenLogFactory screenLogFactory = new ScreenLogFactory(settings);

DefaultMessageFactory msgFactory = new DefaultMessageFactory();

SocketInitiator initiator = new SocketInitiator(myApp, fileStoreFactory, settings,

screenLogFactory, msgFactory);

initiator.start();

Thread.sleep(3000);

// matching values from sender.cfg

SessionID sessionID = new SessionID("FIX.4.4", "CLIENT1", "FixServer");

NewOrderSingle order = new NewOrderSingle(new ClOrdID("DLF"), new Side(Side.BUY),

new TransactTime(new Date()), new OrdType(OrdType.LIMIT));

order.set(new OrderQty(45.00));

order.set(new Price(25.40));

order.set(new Symbol("BHP"));

Session.sendToTarget(order, sessionID);

Thread.sleep(60000);

initiator.stop();

}

}

Step 8

: Run the ReceiverApp

.

log4j:WARN No appenders could be found for logger (quickfix.SessionSchedule).

log4j:WARN Please initialize the log4j system properly.

log4j:WARN See http://logging.apache.org/log4j/1.2/faq.html#noconfig for more info.

<20140731-01:59:36, FIX.4.4:FixServer->CLIENT1, event> (Session FIX.4.4:FixServer->CLIENT1 schedule is daily, 00:00:00-UTC - 00:00:00-UTC)

<20140731-01:59:36, FIX.4.4:FixServer->CLIENT1, event> (Created session: FIX.4.4:FixServer->CLIENT1)

Receiver onCreate.. FIX.4.4:FixServer->CLIENT1

press to quit

Step 9

: Run the SenderApp

.

log4j:WARN No appenders could be found for logger (quickfix.SessionSchedule).

log4j:WARN Please initialize the log4j system properly.

log4j:WARN See http://logging.apache.org/log4j/1.2/faq.html#noconfig for more info.

<20140731-01:59:44, FIX.4.4:CLIENT1->FixServer, event> (Session FIX.4.4:CLIENT1->FixServer schedule is daily, 00:00:00-UTC - 00:00:00-UTC)

<20140731-01:59:44, FIX.4.4:CLIENT1->FixServer, event> (Created session: FIX.4.4:CLIENT1->FixServer)

<20140731-01:59:45, FIX.4.4:CLIENT1->FixServer, outgoing> (8=FIX.4.4 9=72 35=A 34=52 49=CLIENT1 52=20140731-01:59:45.635 56=FixServer 98=0 108=30 10=203 )

<20140731-01:59:45, FIX.4.4:CLIENT1->FixServer, event> (Initiated logon request)

<20140731-01:59:45, FIX.4.4:CLIENT1->FixServer, incoming> (8=FIX.4.4 9=72 35=A 34=41 49=FixServer 52=20140731-01:59:45.672 56=CLIENT1 98=0 108=30 10=202 )

<20140731-01:59:45, FIX.4.4:CLIENT1->FixServer, event> (Received logon)

Sender toApp: 8=FIX.4.4 9=123 35=D 34=53 49=CLIENT1 52=20140731-01:59:47.671 56=FixServer 11=DLF 38=45 40=2 44=25.4 54=1 55=BHP 60=20140731-01:59:47.669 10=238

<20140731-01:59:47, FIX.4.4:CLIENT1->FixServer, outgoing> (8=FIX.4.4 9=123 35=D 34=53 49=CLIENT1 52=20140731-01:59:47.671 56=FixServer 11=DLF 38=45 40=2 44=25.4 54=1 55=BHP 60=20140731-01:59:47.669 10=238 )

<20140731-02:00:15, FIX.4.4:CLIENT1->FixServer, incoming> (8=FIX.4.4 9=60 35=0 34=42 49=FixServer 52=20140731-02:00:15.918 56=CLIENT1 10=145 )

<20140731-02:00:18, FIX.4.4:CLIENT1->FixServer, outgoing> (8=FIX.4.4 9=60 35=0 34=54 49=CLIENT1 52=20140731-02:00:18.604 56=FixServer 10=143 )

<20140731-02:00:46, FIX.4.4:CLIENT1->FixServer, incoming> (8=FIX.4.4 9=60 35=0 34=43 49=FixServer 52=20140731-02:00:46.916 56=CLIENT1 10=148 )

<20140731-02:00:48, FIX.4.4:CLIENT1->FixServer, event> (Initiated logout request)

<20140731-02:00:48, FIX.4.4:CLIENT1->FixServer, outgoing> (8=FIX.4.4 9=60 35=5 34=55 49=CLIENT1 52=20140731-02:00:48.603 56=FixServer 10=151 )

<20140731-02:00:48, FIX.4.4:CLIENT1->FixServer, incoming> (8=FIX.4.4 9=60 35=5 34=44 49=FixServer 52=20140731-02:00:48.607 56=CLIENT1 10=153 )

<20140731-02:00:48, FIX.4.4:CLIENT1->FixServer, error> (quickfix.SessionException Logon state is not valid for message (MsgType=5))

<20140731-02:00:48, FIX.4.4:CLIENT1->FixServer, event> (Already disconnected: Verifying message failed: quickfix.SessionException: Logon state is not valid for message (MsgType=5))

Step 10:

The receiver or acceptor logs grow further to

<20140731-01:59:45, FIX.4.4:FixServer->CLIENT1, incoming> (8=FIX.4.4 9=72 35=A 34=52 49=CLIENT1 52=20140731-01:59:45.635 56=FixServer 98=0 108=30 10=203 )

<20140731-01:59:45, FIX.4.4:FixServer->CLIENT1, event> (Accepting session FIX.4.4:FixServer->CLIENT1 from /127.0.0.1:60832)

<20140731-01:59:45, FIX.4.4:FixServer->CLIENT1, event> (Acceptor heartbeat set to 30 seconds)

<20140731-01:59:45, FIX.4.4:FixServer->CLIENT1, event> (Received logon)

<20140731-01:59:45, FIX.4.4:FixServer->CLIENT1, event> (Responding to Logon request)

<20140731-01:59:45, FIX.4.4:FixServer->CLIENT1, outgoing> (8=FIX.4.4 9=72 35=A 34=41 49=FixServer 52=20140731-01:59:45.672 56=CLIENT1 98=0 108=30 10=202 )

Receiver onLogon..FIX.4.4:FixServer->CLIENT1

<20140731-01:59:47, FIX.4.4:FixServer->CLIENT1, incoming> (8=FIX.4.4 9=123 35=D 34=53 49=CLIENT1 52=20140731-01:59:47.671 56=FixServer 11=DLF 38=45 40=2 44=25.4 54=1 55=BHP 60=20140731-01:59:47.669 10=238 )

Receiver fromApp.. 8=FIX.4.4 9=123 35=D 34=53 49=CLIENT1 52=20140731-01:59:47.671 56=FixServer 11=DLF 38=45 40=2 44=25.4 54=1 55=BHP 60=20140731-01:59:47.669 10=238

Receiver onMessage.. 8=FIX.4.4 9=123 35=D 34=53 49=CLIENT1 52=20140731-01:59:47.671 56=FixServer 11=DLF 38=45 40=2 44=25.4 54=1 55=BHP 60=20140731-01:59:47.669 10=238

<20140731-02:00:15, FIX.4.4:FixServer->CLIENT1, outgoing> (8=FIX.4.4 9=60 35=0 34=42 49=FixServer 52=20140731-02:00:15.918 56=CLIENT1 10=145 )

<20140731-02:00:18, FIX.4.4:FixServer->CLIENT1, incoming> (8=FIX.4.4 9=60 35=0 34=54 49=CLIENT1 52=20140731-02:00:18.604 56=FixServer 10=143 )

<20140731-02:00:46, FIX.4.4:FixServer->CLIENT1, outgoing> (8=FIX.4.4 9=60 35=0 34=43 49=FixServer 52=20140731-02:00:46.916 56=CLIENT1 10=148 )

<20140731-02:00:48, FIX.4.4:FixServer->CLIENT1, incoming> (8=FIX.4.4 9=60 35=5 34=55 49=CLIENT1 52=20140731-02:00:48.603 56=FixServer 10=151 )

<20140731-02:00:48, FIX.4.4:FixServer->CLIENT1, event> (Received logout request)

<20140731-02:00:48, FIX.4.4:FixServer->CLIENT1, outgoing> (8=FIX.4.4 9=60 35=5 34=44 49=FixServer 52=20140731-02:00:48.607 56=CLIENT1 10=153 )

<20140731-02:00:48, FIX.4.4:FixServer->CLIENT1, event> (Sent logout response)