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require 'quickfix_ruby'
class Application < Quickfix::Application
def initialize
super
@orderID = 0
@execID = 0
end
def onCreate(sessionID)
end
def onLogon(sessionID)
end
def onLogout(sessionID)
end
def toAdmin(sessionID, message)
end
def fromAdmin(sessionID, message)
end
def toApp(sessionID, message)
end
def fromApp(message, sessionID)
beginString = Quickfix::BeginString.new
msgType = Quickfix::MsgType.new
message.getHeader().getField( beginString )
message.getHeader().getField( msgType )
symbol = Quickfix::Symbol.new
side = Quickfix::Side.new
ordType = Quickfix::OrdType.new
orderQty = Quickfix::OrderQty.new
price = Quickfix::Price.new
clOrdID = Quickfix::ClOrdID.new
avgPx = Quickfix::AvgPx.new
message.getField( ordType )
if( ordType.getValue() != Quickfix.OrdType_LIMIT )
raise Quickfix::IncorrectTagValue.new( ordType.getField() )
end
message.getField( symbol )
message.getField( side )
message.getField( orderQty )
message.getField( price )
message.getField( clOrdID )
executionReport = Quickfix::Message.new
executionReport.getHeader().setField( beginString )
executionReport.getHeader().setField( Quickfix::MsgType.new(Quickfix.MsgType_ExecutionReport) )
executionReport.setField( Quickfix::OrderID.new(genOrderID()) )
executionReport.setField( Quickfix::ExecID.new(genExecID()) )
executionReport.setField( Quickfix::OrdStatus.new(Quickfix.OrdStatus_FILLED) )
executionReport.setField( symbol )
executionReport.setField( side )
executionReport.setField( Quickfix::CumQty.new(orderQty.getValue()) )
executionReport.setField( Quickfix::AvgPx.new(price.getValue()) )
executionReport.setField( Quickfix::LastShares.new(orderQty.getValue()) )
executionReport.setField( Quickfix::LastPx.new(price.getValue()) )
executionReport.setField( clOrdID )
executionReport.setField( orderQty )
if( beginString.getValue() == Quickfix.BeginString_FIX40 || beginString.getValue() == Quickfix.BeginString_FIX41 || beginString.getValue() == Quickfix.BeginString_FIX42 )
executionReport.setField( Quickfix::ExecTransType.new(Quickfix.ExecTransType_NEW) )
end
if( beginString.getValue() >= Quickfix.BeginString_FIX41 )
executionReport.setField( Quickfix::ExecType.new(Quickfix.ExecType_FILL) )
executionReport.setField( Quickfix::LeavesQty.new(0) )
end
begin
Quickfix::Session.sendToTarget( executionReport, sessionID )
rescue SessionNotFound
return
end
end
def genOrderID
@orderID = @orderID+1
return @orderID.to_s
end
def genExecID
@execID = @execID+1
return @execID.to_s
end
end
begin
file = ARGV[0]
settings = Quickfix::SessionSettings.new( file )
application = Application.new
storeFactory = Quickfix::FileStoreFactory.new( settings )
logFactory = Quickfix::ScreenLogFactory.new( settings )
acceptor = Quickfix::SocketAcceptor.new( application, storeFactory, settings, logFactory )
acceptor.start
while( true )
sleep(1)
end
rescue Quickfix::ConfigError, Quickfix::RuntimeError => e
print e
end
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