Data FIX API Class

Data FIX API Class

FIX API Starter

Jul 11, 2021 - 5 Min read

This is the main engine for FIX API Data session.

public class Data extends MessageCracker implements Application {
}

It includes:

package org.fixapi.starter;

import java.time.LocalDateTime;
import java.time.ZoneOffset;
import java.util.ArrayList;
import java.util.List;

import org.slf4j.Logger;
import org.slf4j.LoggerFactory;

import quickfix.Application;
import quickfix.Message;
import quickfix.Session;
import quickfix.SessionID;
import quickfix.SessionSettings;
import quickfix.field.Account;
import quickfix.field.EncryptMethod;
import quickfix.field.MDEntryPx;
import quickfix.field.MDEntryType;
import quickfix.field.MDReqID;
import quickfix.field.MDUpdateType;
import quickfix.field.MarketDepth;
import quickfix.field.NoMDEntries;
import quickfix.field.Password;
import quickfix.field.ResetSeqNumFlag;
import quickfix.field.SendingTime;
import quickfix.field.SubscriptionRequestType;
import quickfix.field.Symbol;
import quickfix.field.Username;
import quickfix.fix44.Heartbeat;
import quickfix.fix44.Logon;
import quickfix.fix44.Logout;
import quickfix.fix44.MarketDataIncrementalRefresh;
import quickfix.fix44.MarketDataRequest;
import quickfix.fix44.MarketDataSnapshotFullRefresh;
import quickfix.fix44.MessageCracker;

public class Data extends MessageCracker implements Application {
	private static final Logger logger = LoggerFactory.getLogger(Data.class);

	private boolean resetReq;
	String mdReqID;

	private String userName;
	private String userPassword;
	private String accountId;

	private long requestID;
	private SessionID sessionID;

	List<String> symbolsList;

	public Data(SessionSettings settings, boolean resetReq) {
		this.resetReq = resetReq;

		try {
			userName = settings.getString("Username");
			userPassword = settings.getString("Password");
			accountId = settings.getString("AccountId");

			symbolsList = new ArrayList<String>();
			symbolsList.add("EUR/USD");
			symbolsList.add("EUR/GBP");
			symbolsList.add("GBP/USD");
		} catch (Exception e) {
			e.printStackTrace();
			logger.error(e.getMessage());
		}
	}

	private synchronized long nextID() {
		requestID++;
		if (requestID > 0x7FFFFFF0) {
			requestID = 1;
		}
		return requestID;
	}

	public void fromAdmin(Message message, SessionID sessionID) {
		try {
			crack(message, sessionID);
		} catch (Exception e) {
			e.printStackTrace();
			logger.error(e.getMessage());
		}
	}

	public void fromApp(Message message, SessionID sessionID) {
		try {
			crack(message, sessionID);
		} catch (Exception e) {
			e.printStackTrace();
			logger.error(e.getMessage());
		}
	}

	public void toAdmin(Message message, SessionID sessionID) {
		try {
			if (message instanceof Logon) {
				logger.info("Data via toAdmin login begun for " + this.userName);

				message.setString(Username.FIELD, userName);
				message.setString(Password.FIELD, userPassword);
				if (resetReq) {
					message.setBoolean(ResetSeqNumFlag.FIELD, ResetSeqNumFlag.YES_RESET_SEQUENCE_NUMBERS);
				}
				message.setInt(EncryptMethod.FIELD, EncryptMethod.NONE_OTHER);
			} else if (message instanceof Logout) {
				logger.info("Data logged out via toAdmin " + this.userName);
			}
		} catch (Exception e) {
			e.printStackTrace();
			logger.error(e.getMessage());
		}
	}

	public void toApp(Message message, SessionID sessionID) {
	}

	public void onCreate(SessionID sessionID) {
		this.sessionID = sessionID;
	}

	public void logout() {
		sendMarketDataRequestList(SubscriptionRequestType.DISABLE_PREVIOUS_SNAPSHOT_UPDATE_REQUEST);

		Logout mdr = new Logout();
		send(mdr);
	}

	public void onLogon(SessionID sessionID) {
		logger.warn("Data via onLogon login begun" + (userName == null ? "" : " for " + userName) );

		sendMarketDataRequestList(SubscriptionRequestType.SNAPSHOT_UPDATES);
	}

	public void onLogout(SessionID sessionID) {
		logger.warn("Data logged out via onLogout" + (userName == null ? "" : " for " + userName) );
	}

	private void send(Message message) {
		try {
			Session.sendToTarget(message, sessionID);
		} catch (Exception e) {
			e.printStackTrace();
			logger.error(e.getMessage());
		}
	}

	private void sendMarketDataRequestList(char subscriptionRequestType) {
		try {
			MarketDataRequest mdr = new MarketDataRequest();
			mdr.set(new SubscriptionRequestType(subscriptionRequestType));
			mdr.set(new MarketDepth(1)); // Top of Book

			if (subscriptionRequestType == SubscriptionRequestType.SNAPSHOT_UPDATES) {
				mdr.set(new MDUpdateType(MDUpdateType.FULL_REFRESH));

				long nextId = nextID();
				mdr.set(new MDReqID(String.valueOf(nextId)));
			} else {
				if (mdReqID != null) {
					mdr.set(new MDReqID(mdReqID));
				} else {
					return;
				}
			}

			for (String symbolName : symbolsList) {
				MarketDataRequest.NoMDEntryTypes types = null;
				types = new MarketDataRequest.NoMDEntryTypes();
				types.set(new MDEntryType(MDEntryType.BID));
				mdr.addGroup(types);

				types = new MarketDataRequest.NoMDEntryTypes();
				types.set(new MDEntryType(MDEntryType.OFFER));
				mdr.addGroup(types);

				MarketDataRequest.NoRelatedSym symbol = new MarketDataRequest.NoRelatedSym();
				symbol.set(new quickfix.field.Symbol(symbolName));
				mdr.addGroup(symbol);
			}

			mdr.setString(Account.FIELD, accountId);

			send(mdr);
		} catch (Exception e) {
			e.printStackTrace();
			logger.error(e.getMessage());
		}
	}

	// Snapshot
	public void onMessage(MarketDataSnapshotFullRefresh snapshot, SessionID sessionID) {
		try {
			SendingTime sendingTime = new SendingTime();
			((Message) snapshot).getHeader().getField(sendingTime);
			LocalDateTime localDateTime = sendingTime.getValue();
			long time = localDateTime.toEpochSecond(ZoneOffset.UTC);

			String symbolName = null;

			quickfix.field.Symbol symbol = new quickfix.field.Symbol();
			snapshot.get(symbol);

			symbolName = symbol.getValue();

			NoMDEntries noMDEntries = new NoMDEntries();
			snapshot.get(noMDEntries);

			MarketDataSnapshotFullRefresh.NoMDEntries types = new MarketDataSnapshotFullRefresh.NoMDEntries();
			MDEntryType mdEntryType = new MDEntryType();
			MDEntryPx mdEntryPx = new MDEntryPx();

			snapshot.getGroup(1, types);
			types.get(mdEntryType);

			double bid = 0.0;
			if (mdEntryType.getValue() == MDEntryType.BID) {
				types.get(mdEntryPx);
				bid = mdEntryPx.getValue();
			}

			snapshot.getGroup(2, types);
			types.get(mdEntryType);

			double ask = 0.0;
			if (mdEntryType.getValue() == MDEntryType.OFFER) {
				types.get(mdEntryPx);
				ask = mdEntryPx.getValue();
			}

			System.out.println(time + " " + symbolName + ": Ask " + ask + ", Bid " + bid);
		} catch (Exception e) {
			e.printStackTrace();
			logger.error(e.getMessage());
		}
	}

	// Update
	public void onMessage(MarketDataIncrementalRefresh snapshot, SessionID sessionID) {
		try {
			SendingTime sendingTime = new SendingTime();
			((Message) snapshot).getHeader().getField(sendingTime);
			LocalDateTime localDateTime = sendingTime.getValue();
			long time = localDateTime.toEpochSecond(ZoneOffset.UTC);

			NoMDEntries noMDEntries = new NoMDEntries();
			snapshot.get(noMDEntries);

			for (int i = 1; i <= noMDEntries.getValue(); i++) {
				MarketDataSnapshotFullRefresh.NoMDEntries types = new MarketDataSnapshotFullRefresh.NoMDEntries();
				snapshot.getGroup(i, types);

				String symbolName = types.getString(Symbol.FIELD);

				MDEntryType mdEntryType = new MDEntryType();
				MDEntryPx mdEntryPx = new MDEntryPx();

				types.get(mdEntryType);

				double bid = 0.0;
				if (mdEntryType.getValue() == MDEntryType.BID) {
					types.get(mdEntryPx);
					bid = mdEntryPx.getValue();
				}

				double ask = 0.0;
				if (mdEntryType.getValue() == MDEntryType.OFFER) {
					types.get(mdEntryPx);
					ask = mdEntryPx.getValue();
				}

				System.out.println(time + " " + symbolName + ": Ask " + ask + ", Bid " + bid);
			}
		} catch (Exception e) {
			e.printStackTrace();
			logger.error(e.getMessage());
		}
	}

	public void onMessage(Heartbeat heartbeat, SessionID sessionID) {
	}
}

Fintechee Online FIX API Parser

The received messages will output to the “orderlog” folder.

If you want to parse them, please use Fintechee Online FIX Parser.

Fintechee FIX API Trading Platform Individual Version

If you want to trade via FIX API, please use Fintechee FIX API Trading Platform Individual Version(Paid Version).

If you have a Github / Youtube account, you can get a free license for the paid version(No Charge)!

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Github Repository

Please access our Github repository to get the latest source codes.

Data FIX API Class

Fintechee Online FIX API Parser

Fintechee FIX API Trading Platform Individual Version

Github Repository

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