In our last tutorial we created a basic initiator and an acceptor. In this post we will enhance our code and we will book a single order.

First we will enhance our executor class which is TestTradeAppExecutor.java. Important thing to note :

1. Extends MessageCracker – which provides callback methods
2. Implementation of fromApp cracks the message which invokes onMessage callback
3. onMessage is overridden and it prepares the execution report (for a successful scenario)

TestTradeAppExecutor.java

package com.mumz.test.fix.executor;

import java.util.HashMap;
import java.util.Map;

import quickfix.Application;
import quickfix.DoNotSend;
import quickfix.FieldNotFound;
import quickfix.IncorrectDataFormat;
import quickfix.IncorrectTagValue;
import quickfix.Message;
import quickfix.MessageCracker;
import quickfix.RejectLogon;
import quickfix.Session;
import quickfix.SessionID;
import quickfix.SessionNotFound;
import quickfix.UnsupportedMessageType;
import quickfix.field.AvgPx;
import quickfix.field.CumQty;
import quickfix.field.ExecID;
import quickfix.field.ExecTransType;
import quickfix.field.ExecType;
import quickfix.field.LeavesQty;
import quickfix.field.OrdStatus;
import quickfix.field.OrdType;
import quickfix.field.OrderID;
import quickfix.field.Price;
import quickfix.field.Side;
import quickfix.field.Symbol;
import quickfix.fix42.ExecutionReport;
import quickfix.fix42.NewOrderSingle;

/**
 * The Class TestTradeAppExecutor.
 * 
 * @author prabhat.jha
 */
public class TestTradeAppExecutor extends MessageCracker implements Application {

	private Map<String, Double> priceMap = null;

	public TestTradeAppExecutor() {
		priceMap = new HashMap<String, Double>();
		priceMap.put("EUR/USD", 1.234);
	}

	/**
	 * (non-Javadoc)
	 * 
	 * @see quickfix.Application#onCreate(quickfix.SessionID)
	 */
	@Override
	public void onCreate(SessionID sessionId) {
		System.out.println("Executor Session Created with SessionID = "
				+ sessionId);
	}

	/**
	 * (non-Javadoc)
	 * 
	 * @see quickfix.Application#onLogon(quickfix.SessionID)
	 */
	@Override
	public void onLogon(SessionID sessionId) {

	}

	/**
	 * (non-Javadoc)
	 * 
	 * @see quickfix.Application#onLogout(quickfix.SessionID)
	 */
	@Override
	public void onLogout(SessionID sessionId) {

	}

	/**
	 * (non-Javadoc)
	 * 
	 * @see quickfix.Application#toAdmin(quickfix.Message, quickfix.SessionID)
	 */
	@Override
	public void toAdmin(Message message, SessionID sessionId) {

	}

	/**
	 * (non-Javadoc)
	 * 
	 * @see quickfix.Application#fromAdmin(quickfix.Message, quickfix.SessionID)
	 */
	@Override
	public void fromAdmin(Message message, SessionID sessionId)
			throws FieldNotFound, IncorrectDataFormat, IncorrectTagValue,
			RejectLogon {

	}

	/**
	 * (non-Javadoc)
	 * 
	 * @see quickfix.Application#toApp(quickfix.Message, quickfix.SessionID)
	 */
	@Override
	public void toApp(Message message, SessionID sessionId) throws DoNotSend {

	}

	/**
	 * (non-Javadoc)
	 * 
	 * @see quickfix.Application#fromApp(quickfix.Message, quickfix.SessionID)
	 */
	@Override
	public void fromApp(Message message, SessionID sessionId)
			throws FieldNotFound, IncorrectDataFormat, IncorrectTagValue,
			UnsupportedMessageType {
		crack(message, sessionId);
	}

	public void onMessage(NewOrderSingle message, SessionID sessionID)
			throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
		OrdType orderType = message.getOrdType();
		Symbol currencyPair = message.getSymbol();
		/*
		 * Assuming that we are directly dealing with Market
		 */
		Price price = null;
		if (OrdType.FOREX_MARKET == orderType.getValue()) {
			if(this.priceMap.containsKey(currencyPair.getValue())){
				price = new Price(this.priceMap.get(currencyPair.getValue()));
			} else {
				price = new Price(1.4589);
			}
			
		} 
		//We are hardcoding this to 1, but in real world this may be something like a sequence.
		OrderID orderNumber = new OrderID("1");
		//Id of the report, a unique identifier, once again this will be somthing like a sequence
		ExecID execId = new ExecID("1");
		//In this case this is a new order with no exception hence mark it as NEW
		ExecTransType exectutionTransactioType = new ExecTransType(ExecTransType.NEW);
		//This execution report is for confirming a new Order
		ExecType purposeOfExecutionReport =new ExecType(ExecType.FILL);
		//Represents status of the order, since this order was successful mark it as filled.
		OrdStatus orderStatus = new OrdStatus(OrdStatus.FILLED);
		//Represents the currencyPair
		Symbol symbol = currencyPair;
		//Represents side
		Side side = message.getSide();
		//What is the quantity left for the day, we will take 100 as a hardcoded value, we can also keep a note of this from say limit module.
		LeavesQty leavesQty = new LeavesQty(100);
		//Total quantity of all the trades booked in this applicaition, here it is hardcoded to be 100.
		CumQty cummulativeQuantity = new CumQty(100);
		//Average Price, say make it 1.235
		AvgPx avgPx = new AvgPx(1.235);
		ExecutionReport executionReport = new ExecutionReport(orderNumber,execId, exectutionTransactioType,
				purposeOfExecutionReport, orderStatus, symbol, side, leavesQty, cummulativeQuantity, avgPx);
		executionReport.set(price);
		try {
			Session.sendToTarget(executionReport, sessionID);
		} catch (SessionNotFound e) {
			e.printStackTrace();
		}
	}
}

Second we will enhance our TestTradeAppInitiator so that it logs the order id which has been sent from our server. Important things to note:

1. Extends MessageCracker – which provides callback methods
2. Implementation of fromApp cracks the message which invokes onMessage callback
3. onMessage is overridden and it retrieves information from execution report.

TestTradeAppInitiator

package com.mumz.test.fix.initiator;

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.fix42.ExecutionReport;
import quickfix.fix42.MessageCracker;

/***
 * The Class TestTradeAppInitiator.
 * @author prabhat.jha
 */
public class TestTradeAppInitiator extends MessageCracker implements Application {

	/** (non-Javadoc)
	 * @see quickfix.Application#onCreate(quickfix.SessionID)
	 */
	@Override
	public void onCreate(SessionID sessionId) {

	}

	/** (non-Javadoc)
	 * @see quickfix.Application#onLogon(quickfix.SessionID)
	 */
	@Override
	public void onLogon(SessionID sessionId) {
		System.out.println("On logged on");
	}

	/** (non-Javadoc)
	 * @see quickfix.Application#onLogout(quickfix.SessionID)
	 */
	@Override
	public void onLogout(SessionID sessionId) {

	}

	/** (non-Javadoc)
	 * @see quickfix.Application#toAdmin(quickfix.Message, quickfix.SessionID)
	 */
	@Override
	public void toAdmin(Message message, SessionID sessionId) {

	}

	/** (non-Javadoc)
	 * @see quickfix.Application#fromAdmin(quickfix.Message, quickfix.SessionID)
	 */
	@Override
	public void fromAdmin(Message message, SessionID sessionId)
			throws FieldNotFound, IncorrectDataFormat, IncorrectTagValue,
			RejectLogon {

	}

	/** (non-Javadoc)
	 * @see quickfix.Application#toApp(quickfix.Message, quickfix.SessionID)
	 */
	@Override
	public void toApp(Message message, SessionID sessionId) throws DoNotSend {

	}

	/*** (non-Javadoc)
	 * @see quickfix.Application#fromApp(quickfix.Message, quickfix.SessionID)
	 */
	@Override
	public void fromApp(Message message, SessionID sessionId)
			throws FieldNotFound, IncorrectDataFormat, IncorrectTagValue,
			UnsupportedMessageType {
		crack(message, sessionId);
	}
	
	@Override
	public void onMessage(ExecutionReport message, SessionID sessionID)
			throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
		System.out.println("Received Execution report from server");
		System.out.println("Order Id : " + message.getOrderID().getValue());
		System.out.println("Order Status : " + message.getOrdStatus().getValue());
		System.out.println("Order Price : " + message.getPrice().getValue());
	}
}

Third let’s change our test code to send an order for booking.
TestTradeAppInitiatorApp.java

package com.mumz.test.fix.initiator;

import java.io.IOException;
import java.util.Scanner;

import quickfix.Application;
import quickfix.ConfigError;
import quickfix.DefaultMessageFactory;
import quickfix.FileLogFactory;
import quickfix.FileStoreFactory;
import quickfix.MessageFactory;
import quickfix.Session;
import quickfix.SessionID;
import quickfix.SessionNotFound;
import quickfix.SessionSettings;
import quickfix.SocketInitiator;
import quickfix.field.ClOrdID;
import quickfix.field.HandlInst;
import quickfix.field.OrdType;
import quickfix.field.OrderQty;
import quickfix.field.Side;
import quickfix.field.Symbol;
import quickfix.field.TransactTime;
import quickfix.fix42.NewOrderSingle;

/**
 * The Class TestTradeAppInitiatorApp.
 * 
 * @author prabhat.jha
 */
public class TestTradeAppInitiatorApp {
	
	/**
	 * The main method.
	 * 
	 * @param args
	 *            the args
	 */
	public static void main(String[] args) {
		SocketInitiator socketInitiator = null;
		try {
			SessionSettings initiatorSettings = new SessionSettings(
					"C:/Prabhat/test/QuickFixJ/initiator/initiatorSettings.txt");
			Application initiatorApplication = new TestTradeAppInitiator();
			FileStoreFactory fileStoreFactory = new FileStoreFactory(
					initiatorSettings);
			FileLogFactory fileLogFactory = new FileLogFactory(
					initiatorSettings);
			MessageFactory messageFactory = new DefaultMessageFactory();
			socketInitiator = new SocketInitiator(initiatorApplication, fileStoreFactory, initiatorSettings, fileLogFactory, messageFactory);
			socketInitiator.start();
			SessionID sessionId = socketInitiator.getSessions().get(0);
			Session.lookupSession(sessionId).logon();
			while(!Session.lookupSession(sessionId).isLoggedOn()){
				System.out.println("Waiting for login success");
				Thread.sleep(1000);
			}
			System.out.println("Logged In...");
			
			Thread.sleep(5000);
			bookSingleOrder(sessionId);
			
			System.out.println("Type to quit");
			Scanner scanner = new Scanner(System.in);
			scanner.next();
			Session.lookupSession(sessionId).disconnect("Done",false);
			socketInitiator.stop();
		} catch (ConfigError e) {
			e.printStackTrace();
		} catch (InterruptedException e) {
			e.printStackTrace();
		} catch (IOException e) {
			e.printStackTrace();
		}
	}
	
	private static void bookSingleOrder(SessionID sessionID){
		//In real world this won't be a hardcoded value rather than a sequence.
		ClOrdID orderId = new ClOrdID("1");
		//to be executed on the exchange
		HandlInst instruction = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
		//Since its FX currency pair name
		Symbol mainCurrency = new Symbol("EUR/USD");
		//Which side buy, sell
		Side side = new Side(Side.BUY);
		//Time of transaction
		TransactTime transactionTime = new TransactTime();
		//Type of our order, here we are assuming this is being executed on the exchange
		OrdType orderType = new OrdType(OrdType.FOREX_MARKET);
		NewOrderSingle newOrderSingle = new NewOrderSingle(orderId,instruction,mainCurrency, side, transactionTime,orderType);
		//Quantity
		newOrderSingle.set(new OrderQty(100));
		try {
			Session.sendToTarget(newOrderSingle, sessionID);
		} catch (SessionNotFound e) {
			e.printStackTrace();
		}
	}
}

That’s all. I have added comments in the code for better readability, hope you find it useful.