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| package main | |
| import ( | |
| "flag" | |
| "fmt" | |
| "path" | |
| "github.com/quickfixgo/enum" | |
| "github.com/quickfixgo/field" | |
| "github.com/quickfixgo/quickfix" | |
| "github.com/quickfixgo/tag" | |
| "github.com/shopspring/decimal" | |
| fix40nos "github.com/quickfixgo/fix40/newordersingle" | |
| fix41nos "github.com/quickfixgo/fix41/newordersingle" | |
| fix42nos "github.com/quickfixgo/fix42/newordersingle" | |
| fix43nos "github.com/quickfixgo/fix43/newordersingle" | |
| fix44nos "github.com/quickfixgo/fix44/newordersingle" | |
| fix50nos "github.com/quickfixgo/fix50/newordersingle" | |
| fix40er "github.com/quickfixgo/fix40/executionreport" | |
| fix41er "github.com/quickfixgo/fix41/executionreport" | |
| fix42er "github.com/quickfixgo/fix42/executionreport" | |
| fix43er "github.com/quickfixgo/fix43/executionreport" | |
| fix44er "github.com/quickfixgo/fix44/executionreport" | |
| fix50er "github.com/quickfixgo/fix50/executionreport" | |
| "os" | |
| "os/signal" | |
| "strconv" | |
| ) | |
| type executor struct { | |
| orderID int | |
| execID int | |
| *quickfix.MessageRouter | |
| } | |
| func newExecutor() *executor { | |
| e := &executor{MessageRouter: quickfix.NewMessageRouter()} | |
| e.AddRoute(fix40nos.Route(e.OnFIX40NewOrderSingle)) | |
| e.AddRoute(fix41nos.Route(e.OnFIX41NewOrderSingle)) | |
| e.AddRoute(fix42nos.Route(e.OnFIX42NewOrderSingle)) | |
| e.AddRoute(fix43nos.Route(e.OnFIX43NewOrderSingle)) | |
| e.AddRoute(fix44nos.Route(e.OnFIX44NewOrderSingle)) | |
| e.AddRoute(fix50nos.Route(e.OnFIX50NewOrderSingle)) | |
| return e | |
| } | |
| func (e *executor) genOrderID() field.OrderIDField { | |
| e.orderID++ | |
| return field.NewOrderID(strconv.Itoa(e.orderID)) | |
| } | |
| func (e *executor) genExecID() field.ExecIDField { | |
| e.execID++ | |
| return field.NewExecID(strconv.Itoa(e.execID)) | |
| } | |
| //quickfix.Application interface | |
| func (e executor) OnCreate(sessionID quickfix.SessionID) { return } | |
| func (e executor) OnLogon(sessionID quickfix.SessionID) { return } | |
| func (e executor) OnLogout(sessionID quickfix.SessionID) { return } | |
| func (e executor) ToAdmin(msg *quickfix.Message, sessionID quickfix.SessionID) { return } | |
| func (e executor) ToApp(msg *quickfix.Message, sessionID quickfix.SessionID) error { return nil } | |
| func (e executor) FromAdmin(msg *quickfix.Message, sessionID quickfix.SessionID) quickfix.MessageRejectError { | |
| return nil | |
| } | |
| //Use Message Cracker on Incoming Application Messages | |
| func (e *executor) FromApp(msg *quickfix.Message, sessionID quickfix.SessionID) (reject quickfix.MessageRejectError) { | |
| return e.Route(msg, sessionID) | |
| } | |
| func (e *executor) OnFIX40NewOrderSingle(msg fix40nos.NewOrderSingle, sessionID quickfix.SessionID) quickfix.MessageRejectError { | |
| ordType, err := msg.GetOrdType() | |
| if err != nil { | |
| return err | |
| } | |
| if ordType != enum.OrdType_LIMIT { | |
| return quickfix.ValueIsIncorrect(tag.OrdType) | |
| } | |
| symbol, err := msg.GetSymbol() | |
| if err != nil { | |
| return err | |
| } | |
| side, err := msg.GetSide() | |
| if err != nil { | |
| return err | |
| } | |
| orderQty, err := msg.GetOrderQty() | |
| if err != nil { | |
| return err | |
| } | |
| price, err := msg.GetPrice() | |
| if err != nil { | |
| return err | |
| } | |
| execReport := fix40er.New( | |
| e.genOrderID(), | |
| e.genExecID(), | |
| field.NewExecTransType(enum.ExecTransType_NEW), | |
| field.NewOrdStatus(enum.OrdStatus_FILLED), | |
| field.NewSymbol(symbol), | |
| field.NewSide(side), | |
| field.NewOrderQty(orderQty, 2), | |
| field.NewLastShares(orderQty, 2), | |
| field.NewLastPx(price, 2), | |
| field.NewCumQty(orderQty, 2), | |
| field.NewAvgPx(price, 2), | |
| ) | |
| clOrdID, err := msg.GetClOrdID() | |
| if err != nil { | |
| return err | |
| } | |
| execReport.SetClOrdID(clOrdID) | |
| quickfix.SendToTarget(execReport, sessionID) | |
| return nil | |
| } | |
| func (e *executor) OnFIX41NewOrderSingle(msg fix41nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) { | |
| ordType, err := msg.GetOrdType() | |
| if err != nil { | |
| return | |
| } | |
| if ordType != enum.OrdType_LIMIT { | |
| return quickfix.ValueIsIncorrect(tag.OrdType) | |
| } | |
| symbol, err := msg.GetSymbol() | |
| if err != nil { | |
| return | |
| } | |
| side, err := msg.GetSide() | |
| if err != nil { | |
| return | |
| } | |
| orderQty, err := msg.GetOrderQty() | |
| if err != nil { | |
| return | |
| } | |
| price, err := msg.GetPrice() | |
| if err != nil { | |
| return | |
| } | |
| execReport := fix41er.New( | |
| e.genOrderID(), | |
| e.genExecID(), | |
| field.NewExecTransType(enum.ExecTransType_NEW), | |
| field.NewExecType(enum.ExecType_FILL), | |
| field.NewOrdStatus(enum.OrdStatus_FILLED), | |
| field.NewSymbol(symbol), | |
| field.NewSide(side), | |
| field.NewOrderQty(orderQty, 2), | |
| field.NewLastShares(orderQty, 2), | |
| field.NewLastPx(price, 2), | |
| field.NewLeavesQty(decimal.Zero, 2), | |
| field.NewCumQty(orderQty, 2), | |
| field.NewAvgPx(price, 2), | |
| ) | |
| clOrdID, err := msg.GetClOrdID() | |
| if err != nil { | |
| return | |
| } | |
| execReport.SetClOrdID(clOrdID) | |
| quickfix.SendToTarget(execReport, sessionID) | |
| return | |
| } | |
| func (e *executor) OnFIX42NewOrderSingle(msg fix42nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) { | |
| ordType, err := msg.GetOrdType() | |
| if err != nil { | |
| return err | |
| } | |
| if ordType != enum.OrdType_LIMIT { | |
| return quickfix.ValueIsIncorrect(tag.OrdType) | |
| } | |
| symbol, err := msg.GetSymbol() | |
| if err != nil { | |
| return | |
| } | |
| side, err := msg.GetSide() | |
| if err != nil { | |
| return | |
| } | |
| orderQty, err := msg.GetOrderQty() | |
| if err != nil { | |
| return | |
| } | |
| price, err := msg.GetPrice() | |
| if err != nil { | |
| return | |
| } | |
| clOrdID, err := msg.GetClOrdID() | |
| if err != nil { | |
| return | |
| } | |
| execReport := fix42er.New( | |
| e.genOrderID(), | |
| e.genExecID(), | |
| field.NewExecTransType(enum.ExecTransType_NEW), | |
| field.NewExecType(enum.ExecType_FILL), | |
| field.NewOrdStatus(enum.OrdStatus_FILLED), | |
| field.NewSymbol(symbol), | |
| field.NewSide(side), | |
| field.NewLeavesQty(decimal.Zero, 2), | |
| field.NewCumQty(orderQty, 2), | |
| field.NewAvgPx(price, 2), | |
| ) | |
| execReport.SetClOrdID(clOrdID) | |
| execReport.SetOrderQty(orderQty, 2) | |
| execReport.SetLastShares(orderQty, 2) | |
| execReport.SetLastPx(price, 2) | |
| if msg.HasAccount() { | |
| acct, err := msg.GetAccount() | |
| if err != nil { | |
| return err | |
| } | |
| execReport.SetAccount(acct) | |
| } | |
| quickfix.SendToTarget(execReport, sessionID) | |
| return | |
| } | |
| func (e *executor) OnFIX43NewOrderSingle(msg fix43nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) { | |
| ordType, err := msg.GetOrdType() | |
| if err != nil { | |
| return err | |
| } | |
| if ordType != enum.OrdType_LIMIT { | |
| return quickfix.ValueIsIncorrect(tag.OrdType) | |
| } | |
| symbol, err := msg.GetSymbol() | |
| if err != nil { | |
| return | |
| } | |
| side, err := msg.GetSide() | |
| if err != nil { | |
| return | |
| } | |
| orderQty, err := msg.GetOrderQty() | |
| if err != nil { | |
| return | |
| } | |
| price, err := msg.GetPrice() | |
| if err != nil { | |
| return | |
| } | |
| clOrdID, err := msg.GetClOrdID() | |
| if err != nil { | |
| return | |
| } | |
| execReport := fix43er.New( | |
| e.genOrderID(), | |
| e.genExecID(), | |
| field.NewExecType(enum.ExecType_FILL), | |
| field.NewOrdStatus(enum.OrdStatus_FILLED), | |
| field.NewSide(side), | |
| field.NewLeavesQty(decimal.Zero, 2), | |
| field.NewCumQty(orderQty, 2), | |
| field.NewAvgPx(price, 2), | |
| ) | |
| execReport.SetClOrdID(clOrdID) | |
| execReport.SetSymbol(symbol) | |
| execReport.SetOrderQty(orderQty, 2) | |
| execReport.SetLastQty(orderQty, 2) | |
| execReport.SetLastPx(price, 2) | |
| if msg.HasAccount() { | |
| acct, err := msg.GetAccount() | |
| if err != nil { | |
| return err | |
| } | |
| execReport.SetAccount(acct) | |
| } | |
| quickfix.SendToTarget(execReport, sessionID) | |
| return | |
| } | |
| func (e *executor) OnFIX44NewOrderSingle(msg fix44nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) { | |
| ordType, err := msg.GetOrdType() | |
| if err != nil { | |
| return err | |
| } | |
| if ordType != enum.OrdType_LIMIT { | |
| return quickfix.ValueIsIncorrect(tag.OrdType) | |
| } | |
| symbol, err := msg.GetSymbol() | |
| if err != nil { | |
| return | |
| } | |
| side, err := msg.GetSide() | |
| if err != nil { | |
| return | |
| } | |
| orderQty, err := msg.GetOrderQty() | |
| if err != nil { | |
| return | |
| } | |
| price, err := msg.GetPrice() | |
| if err != nil { | |
| return | |
| } | |
| clOrdID, err := msg.GetClOrdID() | |
| if err != nil { | |
| return | |
| } | |
| execReport := fix44er.New( | |
| e.genOrderID(), | |
| e.genExecID(), | |
| field.NewExecType(enum.ExecType_FILL), | |
| field.NewOrdStatus(enum.OrdStatus_FILLED), | |
| field.NewSide(side), | |
| field.NewLeavesQty(decimal.Zero, 2), | |
| field.NewCumQty(orderQty, 2), | |
| field.NewAvgPx(price, 2), | |
| ) | |
| execReport.SetClOrdID(clOrdID) | |
| execReport.SetSymbol(symbol) | |
| execReport.SetOrderQty(orderQty, 2) | |
| execReport.SetLastQty(orderQty, 2) | |
| execReport.SetLastPx(price, 2) | |
| if msg.HasAccount() { | |
| acct, err := msg.GetAccount() | |
| if err != nil { | |
| return err | |
| } | |
| execReport.SetAccount(acct) | |
| } | |
| quickfix.SendToTarget(execReport, sessionID) | |
| return | |
| } | |
| func (e *executor) OnFIX50NewOrderSingle(msg fix50nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) { | |
| ordType, err := msg.GetOrdType() | |
| if err != nil { | |
| return err | |
| } | |
| if ordType != enum.OrdType_LIMIT { | |
| return quickfix.ValueIsIncorrect(tag.OrdType) | |
| } | |
| symbol, err := msg.GetSymbol() | |
| if err != nil { | |
| return | |
| } | |
| side, err := msg.GetSide() | |
| if err != nil { | |
| return | |
| } | |
| orderQty, err := msg.GetOrderQty() | |
| if err != nil { | |
| return | |
| } | |
| price, err := msg.GetPrice() | |
| if err != nil { | |
| return | |
| } | |
| clOrdID, err := msg.GetClOrdID() | |
| if err != nil { | |
| return | |
| } | |
| execReport := fix50er.New( | |
| e.genOrderID(), | |
| e.genExecID(), | |
| field.NewExecType(enum.ExecType_FILL), | |
| field.NewOrdStatus(enum.OrdStatus_FILLED), | |
| field.NewSide(side), | |
| field.NewLeavesQty(decimal.Zero, 2), | |
| field.NewCumQty(orderQty, 2), | |
| ) | |
| execReport.SetClOrdID(clOrdID) | |
| execReport.SetSymbol(symbol) | |
| execReport.SetOrderQty(orderQty, 2) | |
| execReport.SetLastQty(orderQty, 2) | |
| execReport.SetLastPx(price, 2) | |
| execReport.SetAvgPx(price, 2) | |
| if msg.HasAccount() { | |
| acct, err := msg.GetAccount() | |
| if err != nil { | |
| return err | |
| } | |
| execReport.SetAccount(acct) | |
| } | |
| quickfix.SendToTarget(execReport, sessionID) | |
| return | |
| } | |
| func main() { | |
| flag.Parse() | |
| cfgFileName := path.Join("config", "executor.cfg") | |
| if flag.NArg() > 0 { | |
| cfgFileName = flag.Arg(0) | |
| } | |
| cfg, err := os.Open(cfgFileName) | |
| if err != nil { | |
| fmt.Printf("Error opening %v, %v\n", cfgFileName, err) | |
| return | |
| } | |
| appSettings, err := quickfix.ParseSettings(cfg) | |
| if err != nil { | |
| fmt.Println("Error reading cfg,", err) | |
| return | |
| } | |
| logFactory := quickfix.NewScreenLogFactory() | |
| app := newExecutor() | |
| acceptor, err := quickfix.NewAcceptor(app, quickfix.NewMemoryStoreFactory(), appSettings, logFactory) | |
| if err != nil { | |
| fmt.Printf("Unable to create Acceptor: %s\n", err) | |
| return | |
| } | |
| err = acceptor.Start() | |
| if err != nil { | |
| fmt.Printf("Unable to start Acceptor: %s\n", err) | |
| return | |
| } | |
| interrupt := make(chan os.Signal) | |
| signal.Notify(interrupt, os.Interrupt, os.Kill) | |
| <-interrupt | |
| acceptor.Stop() | |
| } |