QuickFIX —— C++ Config

install QuickFix

Git Clone Quick FIX Library
Open Quickfix_vs15, then right click build solution, it will generate include and lib directory

include in project

C/C++ Code Generation Enable C++ Exceptions, should be Yes.

C/C++ Code Generation Runtime Library, should be set to Multithreaded DLL or Debug Multithreaded DLL.

C/C++ General Additional Include Directories add the root quickfix directory.

Linker Input Additional Dependencies, must contain quickfix.lib and ws2_32.lib.

Linker General Additional Library Directories, add the quickfix/lib directory.

Settings File

Settings File是用于FIX::SessionSettings settings读取用, DataDictionary 是用来规定incoming FIX messages的xml file, datadictionary在下载的quickfix spec的文件夹中

client端

[DEFAULT]
ConnectionType=initiator
ReconnectInterval=60
SenderCompID=**
TargetCompID=**
FileLogPath=log
FileStorePath=log2
TimeZone=America/New_York
[SESSION]
BeginString=FIX.4.4
StartTime=17:05:30
EndTime=17:05:00
HeartBtInt=30
SocketConnectPort=**
SocketConnectHost=***
DataDictionary=\spec\FIX44.xml

FIX::SessionSettings settings("文件位置");

//获取settings file内容, 注意如果想get return想要的, 必须放在Default下，若放在session下会return no key error
header.setField(FIX::SenderCompID(settings.get().getString("SenderCompID")));
header.setField(FIX::TargetCompID(settings.get().getString("TargetCompID")));

Customized DataDic

对方来的Message的要满足一定格式; 比如使用默认datadictionary, 当subscribe massquote, 对方的message特殊, 对方send的message并没有tag = 304(TotQuoteEntrie), 但是默认的datadictionary 默认必须有这个tag, 发显示(Message 2 Rejected: Required tag missing:304), client端就会发送(35=3|58=Required tag missing|371=304). 而实际上没必要发送, 需要改变的是我们data dictionary

需要更改的datadictionary: FIX44.xml

更改后的datadictionary: 去掉不需要的field(去掉TotNoQuoteEntries), 加上需要的field

Logon

client端用toAdmin() callback, server 端用fromAdmin() callback

void YourMessageCracker::toAdmin( FIX::Message& message, const FIX::SessionID& sessionID)
{
    if (FIX::MsgType_Logon == message.getHeader().getField(FIX::FIELD::MsgType))
    {
        //FIX44::Logon& logon_message = dynamic_cast<FIX44::Logon&>(message);
        message.setField(FIX::Username("my_username"));
        message.setField(FIX::Password("my_password"));
    }
}

note

需要接受的message 类型都必须要继承MessageCracker的onMessage function. E.g. 如果没有下面function，假如收到35=W的信息，会给对方发送unsupported Message Type信息
```
void Application::onMessage(const FIX44::MarketDataSnapshotFullRefresh& message, const FIX::SessionID& sessionID) {
 //
}
```

SSL

下载stunnel，更改stunnel.conf目录，在下面添加下面行, 在C++程序里用socket initiator即可

initiator = new FIX::SocketInitiator(application, storeFactory, settings, logFactory);

stunnel.conf 设置

[client end]
client = yes
accept = 127.0.0.1:5001
connect = ip/hostname:port
cert = stunnel.pem
verify = 0

FIX Engine C++ library —— QuickFix