What is FIX API? Why is FIX API helpful?
FIX API. FIX is the so-called Financial Information eXchange (FIX) protocol. It is a message-based standard for the …
This is the main engine for FIX API Order/Trade session.
public class Order extends MessageCracker implements Application {
}
It includes:
- FIX API Order Basic Components
- Send Market Order (sendMarketOrder)
- Execution Report (onMessage to receive ExecutionReport)
package org.fixapi.starter;
import java.time.LocalDateTime;
import java.time.ZoneOffset;
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.AvgPx;
import quickfix.field.ClOrdID;
import quickfix.field.CumQty;
import quickfix.field.EncryptMethod;
import quickfix.field.ExecID;
import quickfix.field.ExecType;
import quickfix.field.LeavesQty;
import quickfix.field.OrdStatus;
import quickfix.field.OrdType;
import quickfix.field.OrderID;
import quickfix.field.OrderQty;
import quickfix.field.Password;
import quickfix.field.ResetSeqNumFlag;
import quickfix.field.SendingTime;
import quickfix.field.Side;
import quickfix.field.Symbol;
import quickfix.field.Text;
import quickfix.field.TimeInForce;
import quickfix.field.TransactTime;
import quickfix.field.Username;
import quickfix.fix44.ExecutionReport;
import quickfix.fix44.Heartbeat;
import quickfix.fix44.Logon;
import quickfix.fix44.Logout;
import quickfix.fix44.MessageCracker;
import quickfix.fix44.NewOrderSingle;
public class Order extends MessageCracker implements Application {
private static final Logger logger = LoggerFactory.getLogger(Order.class);
private boolean resetReq;
private String userName;
private String userPassword;
private String accountId;
private SessionID sessionID;
public Order(SessionSettings settings, boolean resetReq) {
this.resetReq = resetReq;
try {
userName = settings.getString("Username");
userPassword = settings.getString("Password");
accountId = settings.getString("AccountId");
} catch (Exception e) {
e.printStackTrace();
logger.error(e.getMessage());
}
}
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());
}
}
// Order
public void toAdmin(Message message, SessionID sessionID) {
try {
if (message instanceof Logon) {
logger.info("Order 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("Order 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() {
Logout mdr = new Logout();
send(mdr);
}
public void onLogon(SessionID sessionID) {
logger.warn("Order via onLogon login begun" + (userName == null ? "" : " for " + userName) );
}
public void onLogout(SessionID sessionID) {
logger.warn("Order 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());
}
}
public void sendMarketOrder(String clOrderId, String symbolName, double lots, String orderType, double price) {
try {
NewOrderSingle order = new NewOrderSingle();
order.set(new ClOrdID(clOrderId));
order.set(new OrdType(OrdType.MARKET));
order.set(new Symbol(symbolName));
if ("BUY".equals(orderType)) {
order.set(new Side(Side.BUY));
} else {
order.set(new Side(Side.SELL));
}
double orderQty = lots * 100000;
order.set(new OrderQty(orderQty));
order.set(new TimeInForce(TimeInForce.FILL_OR_KILL));
order.set(new TransactTime());
order.setString(Account.FIELD, accountId);
send(order);
} catch (Exception e) {
e.printStackTrace();
logger.error(e.getMessage());
}
}
public void onMessage(ExecutionReport executionReport, SessionID sessionID) {
try {
SendingTime sendingTime = new SendingTime();
((Message) executionReport).getHeader().getField(sendingTime);
LocalDateTime localDateTime = sendingTime.getValue();
long time = localDateTime.toEpochSecond(ZoneOffset.UTC);
ClOrdID clOrdID = new ClOrdID();
executionReport.get(clOrdID);
String clOrderId = clOrdID.getValue();
OrderID orderID = null;
String orderId = "";
if (executionReport.isSetOrderID()) {
orderID = new OrderID();
executionReport.get(orderID);
orderId = orderID.getValue();
}
ExecID execID = null;
String execId = "";
if (executionReport.isSetExecID()) {
execID = new ExecID();
executionReport.get(execID);
execId = execID.getValue();
}
ExecType execType = new ExecType();
executionReport.get(execType);
String executionType = null;
if (execType.getValue() == ExecType.PENDING_NEW) {
executionType = "PENDING_NEW";
} else if (execType.getValue() == ExecType.NEW) {
executionType = "NEW";
} else if (execType.getValue() == ExecType.CANCELED) {
executionType = "CANCELED";
} else if (execType.getValue() == ExecType.PENDING_CANCEL) {
executionType = "PENDING_CANCEL";
} else if (execType.getValue() == ExecType.REJECTED) {
executionType = "REJECTED";
} else if (execType.getValue() == ExecType.TRADE) {
executionType = "TRADE";
} else if (execType.getValue() == ExecType.FILL) {
executionType = "FILLED";
} else if (execType.getValue() == ExecType.ORDER_STATUS) {
executionType = "ORDER_STATUS";
} else {
executionType = "NOT_SUPPORTED";
}
OrdStatus ordStatus = new OrdStatus();
executionReport.get(ordStatus);
String orderStatus = null;
if (ordStatus.getValue() == OrdStatus.NEW) {
orderStatus = "NEW";
} else if (ordStatus.getValue() == OrdStatus.PARTIALLY_FILLED) {
orderStatus = "PARTIALLY_FILLED";
} else if (ordStatus.getValue() == OrdStatus.FILLED) {
orderStatus = "FILLED";
} else if (ordStatus.getValue() == OrdStatus.CANCELED) {
orderStatus = "CANCELED";
} else if (ordStatus.getValue() == OrdStatus.PENDING_CANCEL) {
orderStatus = "PENDING_CANCEL";
} else if (ordStatus.getValue() == OrdStatus.REJECTED) {
orderStatus = "REJECTED";
} else if (ordStatus.getValue() == OrdStatus.PENDING_NEW) {
orderStatus = "PENDING_NEW";
} else {
orderStatus = "NOT_SUPPORTED";
}
if (executionType.equals("REJECTED")
|| orderStatus.equals("REJECTED")) {
System.out.println(time + " clOrderId: " + clOrderId + ", orderId: " + orderId + ", execId: " + execId + ", rejected by the LP");
} else {
TimeInForce timeInForce = new TimeInForce();
String tmInForce = null;
if (executionReport.isSetTimeInForce()) {
executionReport.get(timeInForce);
if (timeInForce.getValue() == TimeInForce.IMMEDIATE_OR_CANCEL) {
tmInForce = "IMMEDIATE_OR_CANCEL";
} else if (timeInForce.getValue() == TimeInForce.FILL_OR_KILL) {
tmInForce = "FILL_OR_KILL";
} else {
tmInForce = "";
}
} else {
tmInForce = "NOT_SUPPORTED";
}
quickfix.field.Symbol symbol = new quickfix.field.Symbol();
executionReport.get(symbol);
String symbolName = symbol.getValue();
Side side = new Side();
executionReport.get(side);
String orderSide = null;
if (side.getValue() == Side.BUY) {
orderSide = "BUY";
} else if (side.getValue() == Side.SELL) {
orderSide = "SELL";
} else {
orderSide = "NOT_SUPPORTED";
}
AvgPx avgPx = null;
double avgPrice = 0.0;
if (executionReport.isSetAvgPx()) {
avgPx = new AvgPx();
executionReport.get(avgPx);
avgPrice = avgPx.getValue();
}
OrderQty orderQty = null;
double ordQty = 0.0;
if (executionReport.isSetOrderQty()) {
orderQty = new OrderQty();
executionReport.get(orderQty);
ordQty = orderQty.getValue();
ordQty *= 100000;
}
LeavesQty leavesQty = new LeavesQty();
executionReport.get(leavesQty);
double leavesQuantity = leavesQty.getValue();
leavesQuantity *= 100000;
CumQty cumQty = new CumQty();
executionReport.get(cumQty);
double cumQuantity = cumQty.getValue();
cumQuantity *= 100000;
Text text = new Text();
String reason = "";
if (executionReport.isSet(text)) {
executionReport.getField(text);
reason = text.getValue();
}
TransactTime transactTime = null;
LocalDateTime transactionTime = null;
long transactTm = (long) Math.floor(System.currentTimeMillis() / 1000.0);
if (executionReport.isSetTransactTime()) {
transactTime = new TransactTime();
executionReport.get(transactTime);
transactionTime = transactTime.getValue();
transactTm = transactionTime.toEpochSecond(ZoneOffset.UTC);
}
System.out.println("A trade position is opened!");
System.out.println("SendingTime: " + time);
System.out.println("ClOrdID: " + clOrderId);
System.out.println("OrderID: " + orderId);
System.out.println("ExecID: " + execId);
System.out.println("ExecType: " + executionType);
System.out.println("OrdStatus: " + orderStatus);
System.out.println("TimeInForce: " + tmInForce);
System.out.println("Symbol: " + symbolName);
System.out.println("Side: " + orderSide);
System.out.println("AvgPx: " + avgPrice);
System.out.println("OrderQty: " + ordQty);
System.out.println("LeavesQty: " + leavesQuantity);
System.out.println("CumQty: " + cumQuantity);
System.out.println("Text: " + reason);
System.out.println("TransactTime: " + transactTm);
}
} 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)!
If you have no Github / Youtube account, you can still use Fintechee FIX API Trading Platform Bridge Version(Free Forever)!
If you are working for financial institutions, you can choose Fintechee FIX API Trading Platform Institution Version(White Label License).
Github Repository
Please access our Github repository to get the latest source codes.
