如何使用 QuickFIX/J 发送 FIX 消息

Question

我需要一个简单的示例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

QuickFIX/J的安装中包含了示例，即Executor和Banzai。你可以阅读 here.

QuickFIX comes with several example applications. These application are in the quickfix/examples directory. They are not meant to demonstrate good application design or meant to be used in a real production system. They are merely provided as a tutorial on how to build an application with QuickFIX.

Executor is a very simple order execution simulator. It only supports limit orders and always fills them completely.

Banzai is a simple trading client. It can be used with the Executor to see a simple example of using QuickFIX/J on both the buy and sell side of an order execution.

Answer 2

从上面的代码中，我看到您有一个启动器应用程序（客户端），您还需要创建一个 acceptor 应用程序（服务器）。下面我附上了两个类，它们可以满足您的需求。

首先，我将列出 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。它会尝试连接到服务器，然后会向它发送一条消息：

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）与接受器使用的配置文件几乎相同：

[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

配置文件都缺少一些选项，但对于测试目的来说已经足够了。每个类都添加了一个主要方法，仅用于测试您想要的案例。

通常您会以不同的方式处理它们的启动或停止方式。服务器应用程序侦听 messages/connections 并且永不停止，而客户端应用程序在发送第一条消息后立即停止。

如何使用 QuickFIX/J 发送 FIX 消息

How to send FIX message with QuickFIX/J

java

fix-protocol

quickfixj