Send and Receive Message from FIX Server using QuickFIX/J

In this tutorial we will use QuickFIX/J to connect to a remote FIX server and send logon message.

To consume messages from FIX server we need an Initiator.

What we need :

1. JDK1.6.0
2. log4j-1.2.15.jar
3. quickfixj-all-1.5.2.jar
4. slf4j-api-1.6.3.jar
5. mina-core-1.1.7.jar

First we need to specify the Session and Default Settings to QuickFIX/J.

Create a file called as sessionSettings.txt.

Copy the content from below in your file. Don’t worry if you cannot understand all or any of these, we will explore them later.

[sourcecode language=”java”][DEFAULT]# Settings which apply to all the Sessions.
ConnectionType=initiator
LogonTimeout=30
ReconnectInterval=30
ResetOnLogon=Y
FileLogPath=C:\Work\QuickFIXJ\logs
[SESSION]# Settings specifically for one session
BeginString=FIX.4.2
SenderCompID=THIS VALUE IS THE CLIENT ID
TargetCompID=THIS VALUE IS THE FIX SERVER ID
StartDay=sunday
EndDay=friday
StartTime=00:00:00
EndTime=00:00:00
HeartBtInt=30
CheckLatency=N
MaxLatency=240
SocketConnectPort=PORT NUMBER OF THE SERVER
SocketConnectHost=IP ADDRESS OF YOUR SERVER
UseDataDictionary=Y
DataDictionary=C:\Work\QuickFIXJ\datadictionary\FIX42.xml
FileStorePath=C:\Work\QuickFIXJ\sessioninfo
[/sourcecode]

1. ConnectionType – This specifies if you are creating an acceptor (Server) or initiator (Client).
2. LogonTimeout – Time in seconds before your session will expire, keep sending heartbeat request if you don’t want it to expire.
3. ReconnectInterval – Time in seconds before reconnecting.
4. ResetOnLogon – FIX messages have a sequence ID, which shouldn’t be used for uniqueness as specification doesn’t guarantee anything about them. If Y is provided every time logon message is sent, server will reset the sequence.
5. FileLogPath – Path where logs will be written.
6. BeginString – Should always specifies your FIX version.
7. SenderCompID – A String which identifies client uniquely.
8.  TargetCompID – A String which identifies Server uniquely.
9. Start and End Day – Start and End of your session if session is week long, used with Start and End Time.
10. Start and End Time – Time when session starts and ends.
11. HeartBtInt – Time in seconds which specifies the interval between heartbeat.
12. CheckLatency – If this is set to True then you have to provide MaxLatency, value should be large enough to cater to network latency.
13. SocketConnectPort – Port of FIX Server.
14. SocketConnectHost – IP Address of the FIX Server.
15. UseDataDictionary – Specifies if data dictionary will be used.
16. FileStorePath – Session info will be saved here.

You can read more about configuration at Official Documentation.

Next Step is to write the Java code.

Every FIX application should have an implementation of Application interface, Application interface contains call back methods.
MessageCracker provides callback methods for receiving messages from Server.

[sourcecode language=”java”]
public class TestApplicationImpl extends MessageCracker implements Application {
@Override
public void fromAdmin(Message arg0, SessionID arg1) throws FieldNotFound,
IncorrectDataFormat, IncorrectTagValue, RejectLogon {
System.out.println("Successfully called fromAdmin for sessionId : "
+ arg0);
}

@Override
public void fromApp(Message arg0, SessionID arg1) throws FieldNotFound,
IncorrectDataFormat, IncorrectTagValue, UnsupportedMessageType {
System.out.println("Successfully called fromApp for sessionId : "
+ arg0);
}

@Override
public void onCreate(SessionID arg0) {
System.out.println("Successfully called onCreate for sessionId : "
+ arg0);
}

@Override
public void onLogon(SessionID arg0) {
System.out.println("Successfully logged on for sessionId : " + arg0);
}

@Override
public void onLogout(SessionID arg0) {
System.out.println("Successfully logged out for sessionId : " + arg0);
}

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

@Override
public void toApp(Message arg0, SessionID arg1) throws DoNotSend {
System.out.println("Message : " + arg0 + " for sessionid : " + arg1);
}

@Override
public void onMessage(NewOrderSingle message, SessionID sessionID)
throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
System.out.println("Inside onMessage for New Order Single");
super.onMessage(message, sessionID);
}

@Override
public void onMessage(SecurityDefinition message, SessionID sessionID)
throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
System.out.println("Inside onMessage for SecurityDefinition");
super.onMessage(message, sessionID);
}

@Override
public void onMessage(Logon message, SessionID sessionID)
throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
System.out.println("Inside Logon Message");
super.onMessage(message, sessionID);
}
}[/sourcecode]

Next step is to connect to FIX server and send Logon Message

[sourcecode language=”java”]
public class TestQuickFixJConnectivity {
public static void main(String[] args) {
SocketInitiator socketInitiator = null;
try {
SessionSettings sessionSettings = new SessionSettings("C:\\Work\\QuickFixJ\\sessionSettings.txt");
Application application = new TestApplicationImpl();
FileStoreFactory fileStoreFactory = new FileStoreFactory(sessionSettings);
FileLogFactory logFactory = new FileLogFactory(sessionSettings);
MessageFactory messageFactory = new DefaultMessageFactory();
socketInitiator = new SocketInitiator(application,
fileStoreFactory, sessionSettings, logFactory,
messageFactory);
socketInitiator.start();
SessionID sessionId = socketInitiator.getSessions().get(0);
sendLogonRequest(sessionId);
int i = 0;
do {
try {
Thread.sleep(1000);
System.out.println(socketInitiator.isLoggedOn());
} catch (InterruptedException e) {
e.printStackTrace();
}
i++;
} while ((!socketInitiator.isLoggedOn()) && (i < 30));
} catch (ConfigError e) {
e.printStackTrace();
} catch (SessionNotFound e) {
e.printStackTrace();
} catch (Exception exp) {
exp.printStackTrace();
} finally {
if (socketInitiator != null) {
socketInitiator.stop(true);
}
}
}
private static void sendLogonRequest(SessionID sessionId)
throws SessionNotFound {
Logon logon = new Logon();
Header header = logon.getHeader();
header.setField(new BeginString("FIX.4.2"));
logon.set(new HeartBtInt(30));
logon.set(new ResetSeqNumFlag(true));
boolean sent = Session.sendToTarget(logon, sessionId);
System.out.println("Logon Message Sent : " + sent);
}
}[/sourcecode]