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/* -*- C++ -*- */
/****************************************************************************
** Copyright (c) quickfixengine.org All rights reserved.
**
** This file is part of the QuickFIX FIX Engine
**
** This file may be distributed under the terms of the quickfixengine.org
** license as defined by quickfixengine.org and appearing in the file
** LICENSE included in the packaging of this file.
**
** This file is provided AS IS with NO WARRANTY OF ANY KIND, INCLUDING THE
** WARRANTY OF DESIGN, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE.
**
** See http://www.quickfixengine.org/LICENSE for licensing information.
**
** Contact ask@quickfixengine.org if any conditions of this licensing are
** not clear to you.
**
****************************************************************************/
#ifndef ORDERMATCH_APPLICATION_H
#define ORDERMATCH_APPLICATION_H
#include "IDGenerator.h"
#include "OrderMatcher.h"
#include "Order.h"
#include <queue>
#include <iostream>
#include "quickfix/Application.h"
#include "quickfix/MessageCracker.h"
#include "quickfix/Values.h"
#include "quickfix/Utility.h"
#include "quickfix/Mutex.h"
#include "quickfix/fix42/NewOrderSingle.h"
#include "quickfix/fix42/OrderCancelRequest.h"
#include "quickfix/fix42/MarketDataRequest.h"
#include "quickfix/fix43/MarketDataRequest.h"
class Application
: public FIX::Application,
public FIX::MessageCracker
{
// Application overloads
void onCreate( const FIX::SessionID& ) {}
void onLogon( const FIX::SessionID& sessionID );
void onLogout( const FIX::SessionID& sessionID );
void toAdmin( FIX::Message&, const FIX::SessionID& ) {}
void toApp( FIX::Message&, const FIX::SessionID& )
throw( FIX::DoNotSend ) {}
void fromAdmin( const FIX::Message&, const FIX::SessionID& )
throw( FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::RejectLogon ) {}
void fromApp( const FIX::Message& message, const FIX::SessionID& sessionID )
throw( FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType );
// MessageCracker overloads
void onMessage( const FIX42::NewOrderSingle&, const FIX::SessionID& );
void onMessage( const FIX42::OrderCancelRequest&, const FIX::SessionID& );
void onMessage( const FIX42::MarketDataRequest&, const FIX::SessionID& );
void onMessage( const FIX43::MarketDataRequest&, const FIX::SessionID& );
// Order functionality
void processOrder( const Order& );
void processCancel( const std::string& id, const std::string& symbol, Order::Side );
void updateOrder( const Order&, char status );
void rejectOrder( const Order& order )
{ updateOrder( order, FIX::OrdStatus_REJECTED ); }
void acceptOrder( const Order& order )
{ updateOrder( order, FIX::OrdStatus_NEW ); }
void fillOrder( const Order& order )
{
updateOrder( order,
order.isFilled() ? FIX::OrdStatus_FILLED
: FIX::OrdStatus_PARTIALLY_FILLED );
}
void cancelOrder( const Order& order )
{ updateOrder( order, FIX::OrdStatus_CANCELED ); }
void rejectOrder( const FIX::SenderCompID&, const FIX::TargetCompID&,
const FIX::ClOrdID& clOrdID, const FIX::Symbol& symbol,
const FIX::Side& side, const std::string& message );
// Type conversions
Order::Side convert( const FIX::Side& );
Order::Type convert( const FIX::OrdType& );
FIX::Side convert( Order::Side );
FIX::OrdType convert( Order::Type );
OrderMatcher m_orderMatcher;
IDGenerator m_generator;
public:
const OrderMatcher& orderMatcher() { return m_orderMatcher; }
};
#endif
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