QuickFIX/J

This is the official QuickFIX/J project repository.

intro

QuickFIX/J is a full featured messaging engine for the FIX protocol (FIX versions 4.0 - 5.0SP2/FIXT1.1 and FIXLatest). It is a 100% Java open source implementation of the popular C++ QuickFIX engine.

The Financial Information eXchange (FIX) protocol is a messaging standard developed specifically for the real-time electronic exchange of securities transactions. FIX is a public-domain specification owned and maintained by FIX Protocol, Ltd (FPL).

For more information see the project website at http://www.quickfixj.org.

release notes

Check out the wiki: https://github.com/quickfix-j/quickfixj/wiki

questions

For asking questions please either use the mailing list https://lists.sourceforge.net/lists/listinfo/quickfixj-users or ask on Stack Overflow https://stackoverflow.com/questions/ask?tags=quickfixj .

issues

Please report issues here: https://github.com/quickfix-j/quickfixj/issues

security

QuickFIX/J welcomes and appreciates responsible disclosure. Contributors are given appropriate credit in release notes and Git logs.

For security issues in QuickFIX/J itself contact the project maintainer: christoph.john-at-macd.com

For security issues in libraries used by QuickFIX/J contact the relevant project team (e.g. for Apache MINA: https://www.apache.org/security/ ). If you feel they are particularly exploitable via QuickFIX/J also feel free to follow up with the project maintainer as above so that we upgrade to the new version in a timely fashion.

Once a security issue is fixed in QuickFIX/J it will be communicated via the user mailing list and other appropriate channels.

contributions

Pull requests are always welcome! Best is if you added a unit test to show that a certain bug has been fixed or a new feature works as expected.

build instructions

Fastest: clone the repo and issue the following command.

$ mvnw clean package -Dmaven.javadoc.skip=true -DskipTests -PskipBundlePlugin,minimal-fix-latest

Slower: if you only want to skip the acceptance test suite:

$ mvnw clean package -Dmaven.javadoc.skip=true -DskipAT=true -PskipBundlePlugin,minimal-fix-latest

Slow: if you want to run all tests:

$ mvnw clean package -Dmaven.javadoc.skip=true -PskipBundlePlugin,minimal-fix-latest

NB: If you want to use the resulting JARs in an OSGi environment you'll have to omit the -PskipBundlePlugin option.

importing the project into the IDE

When the project is first created, it will not have the generated message classes and compile errors will occur! Best is to compile once on the command line before importing the project into the IDE.

If the IDE reports some errors after the compilation with mvnw clean package, try to use mvnw clean install, like:

$ mvnw clean install -Dmaven.javadoc.skip=true -DskipTests -PskipBundlePlugin,minimal-fix-latest

configuration options

https://quickfix-j.github.io/quickfixj/quickfixj-core/src/main/doc/usermanual/usage/configuration.html

basics

related projects

QuickFIX/J includes some example applications in the quickfixj-examples module. Additionally, here are some links to related projects:

Examples by Geoffrey Gershaw: https://github.com/ggershaw/Examples

Examples from QuickFIX/J Spring Boot Starter: https://github.com/esanchezros/quickfixj-spring-boot-starter-examples

AssertJ assertions for QuickFIX/J: https://github.com/esanchezros/assertj-quickfixj

FixMock, a WireMock-inspired mocking library for FIX: https://github.com/esanchezros/fix-mock

If you would like to be added to this list, please open a PR with the changes.

Creating a QuickFIX/J application

Implement the quickfix.Application interface.

By implementing these interface methods in your derived class, you are requesting to be notified of events that occur on the FIX engine. The function that you should be most aware of is fromApp.

Here are explanations of what these functions provide for you.

onCreate is called when QFJ creates a new session. A session comes into and remains in existence for the life of the application. Sessions exist whether or not a counter party is connected to it. As soon as a session is created, you can begin sending messages to it. If no one is logged on, the messages will be sent at the time a connection is established with the counterparty.

onLogon notifies you when a valid logon has been established with a counter party. This is called when a connection has been established and the FIX logon process has completed with both parties exchanging valid logon messages.

onLogout notifies you when an FIX session is no longer online. This could happen during a normal logout exchange or because of a forced termination or a loss of network connection.

toAdmin provides you with a peek at the administrative messages that are being sent from your FIX engine to the counter party. This is normally not useful for an application however it is provided for any logging you may wish to do. Notice that the quickfix.Message is mutable. This allows you to add fields to an administrative message before it is sent out.

toApp is a callback for application messages that are being sent to a counterparty. If you throw a DoNotSend exception in this method, the application will not send the message. This is mostly useful if the application has been asked to resend a message such as an order that is no longer relevant for the current market. Messages that are being resent are marked with the PossDupFlag in the header set to true; If a DoNotSend exception is thrown and the flag is set to true, a sequence reset will be sent in place of the message. If it is set to false, the message will simply not be sent. Notice that the quickfix.Message is mutable. This allows you to add fields to an application message before it is sent out.

fromAdmin notifies you when an administrative message is sent from a counterparty to your FIX engine. This can be useful for doing extra validation on Logon messages such as for checking passwords. Throwing a RejectLogon exception will disconnect the counterparty.

fromApp is one of the core entry points for your FIX application. Every application level request will come through here. If, for example, your application is a sell-side OMS, this is where you will get your new order requests. If you were a buy side, you would get your execution reports here. If a FieldNotFound exception is thrown, the counterparty will receive a reject indicating a conditionally required field is missing. The Message class will throw this exception when trying to retrieve a missing field, so you will rarely need the throw this explicitly. You can also throw an UnsupportedMessageType exception. This will result in the counterparty getting a reject informing them your application cannot process those types of messages. An IncorrectTagValue can also be thrown if a field contains a value that is out of range or you do not support.

The sample code below shows how you might start up a FIX acceptor which listens on a socket. If you wanted an initiator, you would simply replace the acceptor in this code fragment with a SocketInitiator. ThreadedSocketInitiator and ThreadedSocketAcceptor classes are also available. These will supply a thread to each session that is created. If you use these you must make sure your application is thread safe.

For a detailed description of the QuickFIX/J threading model — including the single-threaded vs. thread-per-session strategies, the timer thread, heartbeat management, queue back-pressure, and thread-safety implications for application developers — see docs/threading-model.md and docs/threading-developer-guide.md‎.

import quickfix.*;
import java.io.FileInputStream;

public class MyClass {

  public static void main(String args[]) throws Exception {
    if (args.length != 1) return;
    String fileName = args[0];

    // FooApplication is your class that implements the Application interface
    Application application = new FooApplication();

    SessionSettings settings = new SessionSettings(new FileInputStream(fileName));
    MessageStoreFactory storeFactory = new FileStoreFactory(settings);
    LogFactory logFactory = new FileLogFactory(settings);
    MessageFactory messageFactory = new DefaultMessageFactory();
    Acceptor acceptor = new SocketAcceptor
      (application, storeFactory, settings, logFactory, messageFactory);
    acceptor.start();
    // while(condition == true) { do something; }
    acceptor.stop();
  }
}

Receiving messages

Most of the messages you will be interested in looking at will be arriving in your overloaded fromApp method of your application. You can get fields out of messages with different degrees of type safety. The type in question here is the FIX message type.

When the application passes you a Message class, the Java type checker has no idea what specific FIX message it is, you must determine that dynamically. There is, however, a way we can make Java aware of this type information.

Keep in mind that all messages have a header and a trailer. If you want to see fields in them, you must first call getHeader() or getTrailer() to get access to them. Otherwise you access them just like in the message body.

QuickFIX/J has message classes that correlate to all the messages defined in the spec. They are, just like the field classes, generated directly off of the FIX specifications. To take advantage of this, you must break the messages out with the supplied MessageCracker.

import quickfix.*;
import quickfix.field.*;

public void fromApp(Message message, SessionID sessionID)
      throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {

  crack(message, sessionID);
}

public void onMessage(quickfix.fix42.NewOrderSingle message, SessionID sessionID)
      throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {

  ClOrdID clOrdID = new ClOrdID();
  message.get(clOrdID);

  ClearingAccount clearingAccount = new ClearingAccount();
  message.get(clearingAccount);
}

public void onMessage(quickfix.fix42.OrderCancelRequest message, SessionID sessionID)
      throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {

  ClOrdID clOrdID = new ClOrdID();
  message.get(clOrdID);

  // compile time error!! field not defined for OrderCancelRequest
  ClearingAccount clearingAccount = new ClearingAccount();
  message.get(clearingAccount);
}

In order to use this you must use the MessageCracker as a mixin to your application. This will provide you with the crack method and allow you to overload specific message functions.

Any function you do not overload will by default throw an UnsupportedMessageType exception

Define your application like this:

import quickfix.Application;
import quickfix.MessageCracker;

public class MyApplication extends MessageCracker implements quickfix.Application {
    public void fromApp(Message message, SessionID sessionID)
            throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
        crack(message, sessionID);
    }

    // Using annotation
    @Handler
    public void myEmailHandler(quickfix.fix50.Email email, SessionID sessionID) {
        // handler implementation
    }

    // By convention (notice differe