|
| 1 | +package cmd |
| 2 | + |
| 3 | +import ( |
| 4 | + "fmt" |
| 5 | + "log" |
| 6 | + "os" |
| 7 | + "os/signal" |
| 8 | + "strconv" |
| 9 | + "syscall" |
| 10 | + |
| 11 | + "github.com/quickfixgo/enum" |
| 12 | + "github.com/quickfixgo/field" |
| 13 | + fix44er "github.com/quickfixgo/fix44/executionreport" |
| 14 | + "github.com/quickfixgo/fix44/newordersingle" |
| 15 | + "github.com/quickfixgo/quickfix" |
| 16 | + "github.com/quickfixgo/quickfix/log/screen" |
| 17 | + "github.com/shopspring/decimal" |
| 18 | +) |
| 19 | + |
| 20 | +// Realistic FX mid-market rates for common currency pairs. |
| 21 | +var fxRates = map[string]decimal.Decimal{ |
| 22 | + "EUR/USD": decimal.NewFromFloat(1.0850), |
| 23 | + "GBP/USD": decimal.NewFromFloat(1.2650), |
| 24 | + "USD/JPY": decimal.NewFromFloat(149.50), |
| 25 | + "USD/CHF": decimal.NewFromFloat(0.8820), |
| 26 | + "AUD/USD": decimal.NewFromFloat(0.6540), |
| 27 | + "USD/CAD": decimal.NewFromFloat(1.3580), |
| 28 | + "NZD/USD": decimal.NewFromFloat(0.6120), |
| 29 | + "EUR/GBP": decimal.NewFromFloat(0.8580), |
| 30 | + "EUR/JPY": decimal.NewFromFloat(162.20), |
| 31 | + "GBP/JPY": decimal.NewFromFloat(189.10), |
| 32 | +} |
| 33 | + |
| 34 | +// Executor implements quickfix.Application and handles incoming FIX messages. |
| 35 | +type Executor struct { |
| 36 | + orderID int |
| 37 | + execID int |
| 38 | + *quickfix.MessageRouter |
| 39 | +} |
| 40 | + |
| 41 | +func newExecutor() *Executor { |
| 42 | + e := &Executor{MessageRouter: quickfix.NewMessageRouter()} |
| 43 | + e.AddRoute(newordersingle.Route(e.onNewOrderSingle)) |
| 44 | + return e |
| 45 | +} |
| 46 | + |
| 47 | +func (e *Executor) genOrderID() string { |
| 48 | + e.orderID++ |
| 49 | + return strconv.Itoa(e.orderID) |
| 50 | +} |
| 51 | + |
| 52 | +func (e *Executor) genExecID() string { |
| 53 | + e.execID++ |
| 54 | + return strconv.Itoa(e.execID) |
| 55 | +} |
| 56 | + |
| 57 | +// OnCreate is called when a FIX session is created. |
| 58 | +func (e *Executor) OnCreate(sessionID quickfix.SessionID) { |
| 59 | + log.Printf("Session created: %s", sessionID) |
| 60 | +} |
| 61 | + |
| 62 | +// OnLogon is called when a FIX session logs on. |
| 63 | +func (e *Executor) OnLogon(sessionID quickfix.SessionID) { |
| 64 | + log.Printf("Session logon: %s", sessionID) |
| 65 | +} |
| 66 | + |
| 67 | +// OnLogout is called when a FIX session logs out. |
| 68 | +func (e *Executor) OnLogout(sessionID quickfix.SessionID) { |
| 69 | + log.Printf("Session logout: %s", sessionID) |
| 70 | +} |
| 71 | + |
| 72 | +// ToAdmin is called for outgoing admin messages. |
| 73 | +func (e *Executor) ToAdmin(msg *quickfix.Message, sessionID quickfix.SessionID) {} |
| 74 | + |
| 75 | +// ToApp is called for outgoing application messages. |
| 76 | +func (e *Executor) ToApp(msg *quickfix.Message, sessionID quickfix.SessionID) error { return nil } |
| 77 | + |
| 78 | +// FromAdmin is called for incoming admin messages. |
| 79 | +func (e *Executor) FromAdmin(msg *quickfix.Message, sessionID quickfix.SessionID) quickfix.MessageRejectError { |
| 80 | + return nil |
| 81 | +} |
| 82 | + |
| 83 | +// FromApp is called for incoming application messages and routes them. |
| 84 | +func (e *Executor) FromApp(msg *quickfix.Message, sessionID quickfix.SessionID) quickfix.MessageRejectError { |
| 85 | + return e.Route(msg, sessionID) |
| 86 | +} |
| 87 | + |
| 88 | +func (e *Executor) onNewOrderSingle(msg newordersingle.NewOrderSingle, sessionID quickfix.SessionID) quickfix.MessageRejectError { |
| 89 | + clOrdID, err := msg.GetClOrdID() |
| 90 | + if err != nil { |
| 91 | + return err |
| 92 | + } |
| 93 | + |
| 94 | + symbol, err := msg.GetSymbol() |
| 95 | + if err != nil { |
| 96 | + return err |
| 97 | + } |
| 98 | + |
| 99 | + side, err := msg.GetSide() |
| 100 | + if err != nil { |
| 101 | + return err |
| 102 | + } |
| 103 | + |
| 104 | + orderQty, err := msg.GetOrderQty() |
| 105 | + if err != nil { |
| 106 | + return err |
| 107 | + } |
| 108 | + |
| 109 | + log.Printf("Received NewOrderSingle: ClOrdID=%s Symbol=%s Side=%s Qty=%s", |
| 110 | + clOrdID, symbol, string(side), orderQty.String()) |
| 111 | + |
| 112 | + // Look up FX rate; default to 1.0000 for unknown pairs. |
| 113 | + price, ok := fxRates[symbol] |
| 114 | + if !ok { |
| 115 | + price = decimal.NewFromFloat(1.0000) |
| 116 | + log.Printf("Unknown symbol %s, using default rate 1.0000", symbol) |
| 117 | + } |
| 118 | + |
| 119 | + orderID := e.genOrderID() |
| 120 | + zero := decimal.NewFromInt(0) |
| 121 | + |
| 122 | + // --- ACK (New) --- |
| 123 | + ack := fix44er.New( |
| 124 | + field.NewOrderID(orderID), |
| 125 | + field.NewExecID(e.genExecID()), |
| 126 | + field.NewExecType(enum.ExecType_NEW), |
| 127 | + field.NewOrdStatus(enum.OrdStatus_NEW), |
| 128 | + field.NewSide(side), |
| 129 | + field.NewLeavesQty(orderQty, 2), |
| 130 | + field.NewCumQty(zero, 2), |
| 131 | + field.NewAvgPx(zero, 2), |
| 132 | + ) |
| 133 | + ack.Set(field.NewClOrdID(clOrdID)) |
| 134 | + ack.Set(field.NewSymbol(symbol)) |
| 135 | + ack.Set(field.NewOrderQty(orderQty, 2)) |
| 136 | + |
| 137 | + if sendErr := quickfix.SendToTarget(ack.ToMessage(), sessionID); sendErr != nil { |
| 138 | + log.Printf("Error sending ACK: %v", sendErr) |
| 139 | + } else { |
| 140 | + log.Printf("Sent ACK for OrderID=%s", orderID) |
| 141 | + } |
| 142 | + |
| 143 | + // --- FILL --- |
| 144 | + fill := fix44er.New( |
| 145 | + field.NewOrderID(orderID), |
| 146 | + field.NewExecID(e.genExecID()), |
| 147 | + field.NewExecType(enum.ExecType_TRADE), |
| 148 | + field.NewOrdStatus(enum.OrdStatus_FILLED), |
| 149 | + field.NewSide(side), |
| 150 | + field.NewLeavesQty(zero, 2), |
| 151 | + field.NewCumQty(orderQty, 2), |
| 152 | + field.NewAvgPx(price, 4), |
| 153 | + ) |
| 154 | + fill.Set(field.NewClOrdID(clOrdID)) |
| 155 | + fill.Set(field.NewSymbol(symbol)) |
| 156 | + fill.Set(field.NewOrderQty(orderQty, 2)) |
| 157 | + fill.Set(field.NewLastQty(orderQty, 2)) |
| 158 | + fill.Set(field.NewLastPx(price, 4)) |
| 159 | + |
| 160 | + if sendErr := quickfix.SendToTarget(fill.ToMessage(), sessionID); sendErr != nil { |
| 161 | + log.Printf("Error sending FILL: %v", sendErr) |
| 162 | + } else { |
| 163 | + log.Printf("Sent FILL for OrderID=%s at %s", orderID, price.String()) |
| 164 | + } |
| 165 | + |
| 166 | + return nil |
| 167 | +} |
| 168 | + |
| 169 | +// Run starts the FIX acceptor with the given config file path and blocks until interrupted. |
| 170 | +func Run(cfgFileName string) error { |
| 171 | + cfg, err := os.Open(cfgFileName) |
| 172 | + if err != nil { |
| 173 | + return fmt.Errorf("open config: %w", err) |
| 174 | + } |
| 175 | + defer func(cfg *os.File) { |
| 176 | + err := cfg.Close() |
| 177 | + if err != nil { |
| 178 | + log.Printf("Error closing config file: %v", err) |
| 179 | + } |
| 180 | + }(cfg) |
| 181 | + |
| 182 | + appSettings, err := quickfix.ParseSettings(cfg) |
| 183 | + if err != nil { |
| 184 | + return fmt.Errorf("parse settings: %w", err) |
| 185 | + } |
| 186 | + |
| 187 | + app := newExecutor() |
| 188 | + storeFactory := quickfix.NewMemoryStoreFactory() |
| 189 | + logFactory := screen.NewLogFactory() |
| 190 | + |
| 191 | + acceptor, err := quickfix.NewAcceptor(app, storeFactory, appSettings, logFactory) |
| 192 | + if err != nil { |
| 193 | + return fmt.Errorf("create acceptor: %w", err) |
| 194 | + } |
| 195 | + |
| 196 | + if err := acceptor.Start(); err != nil { |
| 197 | + return fmt.Errorf("start acceptor: %w", err) |
| 198 | + } |
| 199 | + log.Printf("FIX acceptor started on port 9880, waiting for connections...") |
| 200 | + |
| 201 | + sig := make(chan os.Signal, 1) |
| 202 | + signal.Notify(sig, syscall.SIGINT, syscall.SIGTERM) |
| 203 | + <-sig |
| 204 | + |
| 205 | + log.Println("Shutting down...") |
| 206 | + acceptor.Stop() |
| 207 | + return nil |
| 208 | +} |
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