Technology weblog

A collection of useful FIX protocol links

This post summarizes some useful links I have collected during my experiences with QuickFix/J:

• FIX protocol tutorial (says it all)
• Configuration section in the QuickFix/J manual
• Resetting message sequence numbers without reconnecting
• Difference between FIX "Market Data Request" and "Quote Request"
• FIXimate, a FIX Interactive Message And Tag Explorer

Posted at 04:21PM Jan 05, 2012 by Zeger Hendrikse in Finance  |  Comments[0]

Creating a FIX market data request message

This post details the composition of a FIX 4.4 market data request message using the QuickFix/J framework (MsgType.MARKET_DATA_REQUEST), which entails the composition of repeated groups. In this example we illustrate this with the implementation of a method that requests market data for a list of instruments:

private static final MessageFactory messageFactory = new quickfix.fix44.MessageFactory();

private Message createMarketDataRequest(SessionID sessionIds, List symbols, String exchange) { 
  Message request = messageFactory.create("FIX.4.4", messageType);

  request.setField(new MarketDepth(1)); // Top of book
  request.setField(new MDReqID(UUID.randomUUID().toString()));
  request.setChar(SubscriptionRequestType.FIELD, SubscriptionRequestType.SNAPSHOT);

  Group entryTypeGroup = 
    messageFactory.create("FIX.4.4", MsgType.MARKET_DATA_REQUEST, NoMDEntryTypes.FIELD);
  entryTypeGroup.setField(new MDEntryType(MDEntryType.BID));
  request.addGroup(entryTypeGroup);
  entryTypeGroup.setField(new MDEntryType(MDEntryType.OFFER));
  request.addGroup(entryTypeGroup);

  int numSymbols = symbols.size();
  if (numSymbols == 0) {
    request.setInt(NoRelatedSym.FIELD, numSymbols);
  }
  for (final String symbol : symbols) {
    if (StringUtils.isNotBlank(symbol)) {
      Group symbolGroup = 
        messageFactory.create("FIX.4.4", MsgType.MARKET_DATA_REQUEST, NoRelatedSym.FIELD);
      symbolGroup.setField(new Symbol(symbol));
      if (StringUtils.isNotBlank(exchange)) {
        symbolGroup.setField(new SecurityExchange(exchange));
      }
        request.addGroup(symbolGroup);
      }
    }
  return request;
}

Posted at 03:56PM Jan 05, 2012 by Zeger Hendrikse in Finance  |  Comments[0]

Reading repeating groups in FIX market data reponse

This short post details how to read out repeating groups in a FIX 4.4 MsgType.MARKET_DATA_SNAPSHOT_FULL_REFRESH message using QuickFix/J. In the example below I have requested the bid and offer prices, which implies that I get returned two repeating groups. First all groups are retrieved, and then we loop through the groups to extract the subsequent fields:

final String symbol = message.getString(Symbol.FIELD);

final List<Group> groups = message.getGroups(NoMDEntries.FIELD);
BigDecimal bidPrice = null;
BigDecimal offerPrice = null;
BigDecimal bidSize = null;
BigDecimal offerSize = null;
for (final Group oneGroup : groups) {
  final char type = oneGroup.getChar(MDEntryType.FIELD);
  if (type == MDEntryType.OFFER) {
    offerPrice = oneGroup.getDecimal(MDEntryPx.FIELD);
    offerSize = oneGroup.getDecimal(MDEntrySize.FIELD);
  } else if (type == MDEntryType.BID) {
    bidPrice = oneGroup.getDecimal(MDEntryPx.FIELD);
    bidSize = oneGroup.getDecimal(MDEntrySize.FIELD);
  }
}

Posted at 11:29AM Jan 05, 2012 by Zeger Hendrikse in Finance  |  Comments[0]

Youtube tutorials on the FIX protocol

Today I found a post on another weblog, referring to 4 concise introductory tutorials on the FIX protocol. For those who are interested, check it out!

Posted at 05:14PM Dec 22, 2011 by Zeger Hendrikse in Finance  |  Comments[0]

Interesting post on DDD, EDA and the Axon framework

Just stumbled upon an interesting post on DDD, EDA and the Axon framework: Axon Framework - DDD and EDA meet together.

Posted at 07:58PM Aug 24, 2011 by Zeger Hendrikse in DDD and CQRS  |  Comments[0]

Discussing CQRS

My colleague Koen en me discussing the CQRS architecture underlying the new version of ABN-AMRO pension services

Posted at 06:36PM Aug 23, 2011 by Zeger Hendrikse in DDD and CQRS  |  Comments[0]

Axon 1.1 resolves issues with HSQLDB 2.0

In this post we mentioned that the Axon framework didn't like HSQLDB version 2.0. However, after migration to version 1.1 of the framework, the problems mentioned in the previous post were no longer observed! Now we can finally expect more sensible error messages from HSQLDB.

Posted at 02:23AM Aug 05, 2011 by Zeger Hendrikse in DDD and CQRS  |  Comments[0]

Certified Scrum Master

This week I became Certified Scrum Master by attending the training given by Paul Goddard.

Paul turned out to be an excellent trainer as well as a skilled drawing artist:

Posted at 11:43AM Jun 04, 2011 by Zeger Hendrikse in Scrum & Agile  |  Comments[0]

Spring-WS and Exception Handling through wsdl:fault - Part 2

Posted at 01:04PM Apr 21, 2011 by Marcel de Koster in Java & J2EE  |  Comments[6]

Spring-WS and Exception Handling through wsdl:fault - Part 1

Posted at 05:03PM Apr 14, 2011 by Marcel de Koster in Java & J2EE  |  Comments[5]