jmmcg::exchanges::FIX::common Namespace Reference

Classes
class	connectivity_policy
	An implementation of the connectivity policy for the FIX protocol. More...
class	server_hb_t
	Generate heartbeats from the containing simulator. More...
struct	logon_args_t
struct	logoff_args_t
class	Header
class	Message
	The basic, underlying type used to implement FIX message reading. More...
class	client_to_exchange_transformations
	An FIX-protocol message handler. More...
class	exchange_to_client_transformations
	A FIX-protocol-to-client message handler. More...
class	simulator_responses
	A simple, FIX-protocol exchange simulator. More...

Typedefs
using	element_type = char
using	underlying_fix_data_buffer = std::array< element_type, max_size_of_fix_message >
	An underlying data-buffer into which the fix message may be created. More...
using	pointer = element_type *
using	const_pointer = element_type const *
using	data_block_t = pointer
	The type of the internal data-buffer. More...
using	MsgTypes_t = uint16_t
using	SecurityID_t = std::array< char, 20 >
using	ClientOrderID_t = std::array< char, 20 >
using	Reason_t = std::array< char, 20 >
using	Password_t = std::array< char, 25 >
using	UserName_t = std::array< char, 25 >
using	Price_t = std::array< char, 25 >
using	checksum_t = std::array< char, CheckSumLength+1 >
	The checksum type used by FIX. More...
using	field_str_range_t = std::pair< const_pointer, const_pointer >

Enumerations
enum	: std::size_t { max_size_of_fix_message =sizeof(__uint128_t)*32 }
enum	MsgTypes : MsgTypes_t {   MsgTypes::Heartbeat =enum_tags::mpl::to_tag<'0'>::value, MsgTypes::TestRequest =enum_tags::mpl::to_tag<'1'>::value, MsgTypes::ResendRequest =enum_tags::mpl::to_tag<'2'>::value, MsgTypes::Reject =enum_tags::mpl::to_tag<'3'>::value,   MsgTypes::SequenceReset =enum_tags::mpl::to_tag<'4'>::value, MsgTypes::Logout =enum_tags::mpl::to_tag<'5'>::value, MsgTypes::IOI =enum_tags::mpl::to_tag<'6'>::value, MsgTypes::Advertisement =enum_tags::mpl::to_tag<'7'>::value,   MsgTypes::ExecutionReport =enum_tags::mpl::to_tag<'8'>::value, MsgTypes::OrderCancelReject =enum_tags::mpl::to_tag<'9'>::value, MsgTypes::LogonRequest =enum_tags::mpl::to_tag<'A'>::value, MsgTypes::DerivativeSecurityList =enum_tags::mpl::to_tag<'A', 'A'>::value,   MsgTypes::NewOrderMultileg =enum_tags::mpl::to_tag<'A', 'B'>::value, MsgTypes::MultilegOrderCancelReplace =enum_tags::mpl::to_tag<'A', 'C'>::value, MsgTypes::TradeCaptureReportRequest =enum_tags::mpl::to_tag<'A', 'D'>::value, MsgTypes::TradeCaptureReport =enum_tags::mpl::to_tag<'A', 'E'>::value,   MsgTypes::OrderMassStatusRequest =enum_tags::mpl::to_tag<'A', 'F'>::value, MsgTypes::QuoteRequestReject =enum_tags::mpl::to_tag<'A', 'G'>::value, MsgTypes::RFQRequest =enum_tags::mpl::to_tag<'A', 'H'>::value, MsgTypes::QuoteStatusReport =enum_tags::mpl::to_tag<'A', 'I'>::value,   MsgTypes::QuoteResponse =enum_tags::mpl::to_tag<'A', 'J'>::value, MsgTypes::Confirmation =enum_tags::mpl::to_tag<'A', 'K'>::value, MsgTypes::PositionMaintenanceRequest =enum_tags::mpl::to_tag<'A', 'L'>::value, MsgTypes::PositionMaintenanceReport =enum_tags::mpl::to_tag<'A', 'M'>::value,   MsgTypes::RequestForPositions =enum_tags::mpl::to_tag<'A', 'N'>::value, MsgTypes::RequestForPositionsAck =enum_tags::mpl::to_tag<'A', 'O'>::value, MsgTypes::PositionReport =enum_tags::mpl::to_tag<'A', 'P'>::value, MsgTypes::TradeCaptureReportRequestAck =enum_tags::mpl::to_tag<'A', 'Q'>::value,   MsgTypes::TradeCaptureReportAck =enum_tags::mpl::to_tag<'A', 'R'>::value, MsgTypes::AllocationReport =enum_tags::mpl::to_tag<'A', 'S'>::value, MsgTypes::AllocationReportAck =enum_tags::mpl::to_tag<'A', 'T'>::value, MsgTypes::ConfirmationAck =enum_tags::mpl::to_tag<'A', 'U'>::value,   MsgTypes::SettlementInstructionRequest =enum_tags::mpl::to_tag<'A', 'V'>::value, MsgTypes::AssignmentReport =enum_tags::mpl::to_tag<'A', 'W'>::value, MsgTypes::CollateralRequest =enum_tags::mpl::to_tag<'A', 'X'>::value, MsgTypes::CollateralAssignment =enum_tags::mpl::to_tag<'A', 'Y'>::value,   MsgTypes::CollateralResponse =enum_tags::mpl::to_tag<'A', 'Z'>::value, MsgTypes::News =enum_tags::mpl::to_tag<'B'>::value, MsgTypes::CollateralReport =enum_tags::mpl::to_tag<'B', 'A'>::value, MsgTypes::CollateralInquiry =enum_tags::mpl::to_tag<'B', 'B'>::value,   MsgTypes::NetworkCounterpartySystemStatusRequest =enum_tags::mpl::to_tag<'B', 'C'>::value, MsgTypes::NetworkCounterpartySystemStatusResponse =enum_tags::mpl::to_tag<'B', 'D'>::value, MsgTypes::UserRequest =enum_tags::mpl::to_tag<'B', 'E'>::value, MsgTypes::UserResponse =enum_tags::mpl::to_tag<'B', 'F'>::value,   MsgTypes::CollateralInquiryAck =enum_tags::mpl::to_tag<'B', 'G'>::value, MsgTypes::ConfirmationRequest =enum_tags::mpl::to_tag<'B', 'H'>::value, MsgTypes::TradingSessionListRequest =enum_tags::mpl::to_tag<'B', 'I'>::value, MsgTypes::TradingSessionList =enum_tags::mpl::to_tag<'B', 'J'>::value,   MsgTypes::SecurityListUpdateReport =enum_tags::mpl::to_tag<'B', 'K'>::value, MsgTypes::AdjustedPositionReport =enum_tags::mpl::to_tag<'B', 'L'>::value, MsgTypes::AllocationInstructionAlert =enum_tags::mpl::to_tag<'B', 'M'>::value, MsgTypes::ExecutionAcknowledgement =enum_tags::mpl::to_tag<'B', 'N'>::value,   MsgTypes::ContraryIntentionReport =enum_tags::mpl::to_tag<'B', 'O'>::value, MsgTypes::SecurityDefinitionUpdateReport =enum_tags::mpl::to_tag<'B', 'P'>::value, MsgTypes::SettlementObligationReport =enum_tags::mpl::to_tag<'B', 'Q'>::value, MsgTypes::DerivativeSecurityListUpdateReport =enum_tags::mpl::to_tag<'B', 'R'>::value,   MsgTypes::TradingSessionListUpdateReport =enum_tags::mpl::to_tag<'B', 'S'>::value, MsgTypes::MarketDefinitionRequest =enum_tags::mpl::to_tag<'B', 'T'>::value, MsgTypes::MarketDefinition =enum_tags::mpl::to_tag<'B', 'U'>::value, MsgTypes::MarketDefinitionUpdateReport =enum_tags::mpl::to_tag<'B', 'V'>::value,   MsgTypes::ApplicationMessageRequest =enum_tags::mpl::to_tag<'B', 'W'>::value, MsgTypes::ApplicationMessageRequestAck =enum_tags::mpl::to_tag<'B', 'X'>::value, MsgTypes::ApplicationMessageReport =enum_tags::mpl::to_tag<'B', 'Y'>::value, MsgTypes::OrderMassActionReport =enum_tags::mpl::to_tag<'B', 'Z'>::value,   MsgTypes::Email =enum_tags::mpl::to_tag<'C'>::value, MsgTypes::OrderMassActionRequest =enum_tags::mpl::to_tag<'C', 'A'>::value, MsgTypes::UserNotification =enum_tags::mpl::to_tag<'C', 'B'>::value, MsgTypes::StreamAssignmentRequest =enum_tags::mpl::to_tag<'C', 'C'>::value,   MsgTypes::StreamAssignmentReport =enum_tags::mpl::to_tag<'C', 'D'>::value, MsgTypes::StreamAssignmentReportACK =enum_tags::mpl::to_tag<'C', 'E'>::value, MsgTypes::NewOrderSingle =enum_tags::mpl::to_tag<'D'>::value, MsgTypes::NewOrderList =enum_tags::mpl::to_tag<'E'>::value,   MsgTypes::OrderCancelRequest =enum_tags::mpl::to_tag<'F'>::value, MsgTypes::OrderCancelReplaceRequest =enum_tags::mpl::to_tag<'G'>::value, MsgTypes::OrderStatusRequest =enum_tags::mpl::to_tag<'H'>::value, MsgTypes::AllocationInstruction =enum_tags::mpl::to_tag<'J'>::value,   MsgTypes::ListCancelRequest =enum_tags::mpl::to_tag<'K'>::value, MsgTypes::ListExecute =enum_tags::mpl::to_tag<'L'>::value, MsgTypes::ListStatusRequest =enum_tags::mpl::to_tag<'M'>::value, MsgTypes::ListStatus =enum_tags::mpl::to_tag<'N'>::value,   MsgTypes::AllocationInstructionAck =enum_tags::mpl::to_tag<'P'>::value, MsgTypes::DontKnowTrade =enum_tags::mpl::to_tag<'Q'>::value, MsgTypes::QuoteRequest =enum_tags::mpl::to_tag<'R'>::value, MsgTypes::Quote =enum_tags::mpl::to_tag<'S'>::value,   MsgTypes::SettlementInstructions =enum_tags::mpl::to_tag<'T'>::value, MsgTypes::MarketDataRequest =enum_tags::mpl::to_tag<'V'>::value, MsgTypes::MarketDataSnapshotFullRefresh =enum_tags::mpl::to_tag<'W'>::value, MsgTypes::MarketDataIncrementalRefresh =enum_tags::mpl::to_tag<'X'>::value,   MsgTypes::MarketDataRequestReject =enum_tags::mpl::to_tag<'Y'>::value, MsgTypes::QuoteCancel =enum_tags::mpl::to_tag<'Z'>::value, MsgTypes::QuoteStatusRequest =enum_tags::mpl::to_tag<'a'>::value, MsgTypes::MassQuoteAcknowledgement =enum_tags::mpl::to_tag<'b'>::value,   MsgTypes::SecurityDefinitionRequest =enum_tags::mpl::to_tag<'c'>::value, MsgTypes::SecurityDefinition =enum_tags::mpl::to_tag<'d'>::value, MsgTypes::SecurityStatusRequest =enum_tags::mpl::to_tag<'e'>::value, MsgTypes::SecurityStatus =enum_tags::mpl::to_tag<'f'>::value,   MsgTypes::TradingSessionStatusRequest =enum_tags::mpl::to_tag<'g'>::value, MsgTypes::TradingSessionStatus =enum_tags::mpl::to_tag<'h'>::value, MsgTypes::MassQuote =enum_tags::mpl::to_tag<'i'>::value, MsgTypes::BusinessMessageReject =enum_tags::mpl::to_tag<'j'>::value,   MsgTypes::BidRequest =enum_tags::mpl::to_tag<'k'>::value, MsgTypes::BidResponse =enum_tags::mpl::to_tag<'l'>::value, MsgTypes::ListStrikePrice =enum_tags::mpl::to_tag<'m'>::value, MsgTypes::XMLnonFIX =enum_tags::mpl::to_tag<'n'>::value,   MsgTypes::RegistrationInstructions =enum_tags::mpl::to_tag<'o'>::value, MsgTypes::RegistrationInstructionsResponse =enum_tags::mpl::to_tag<'p'>::value, MsgTypes::OrderMassCancelRequest =enum_tags::mpl::to_tag<'q'>::value, MsgTypes::OrderMassCancelReport =enum_tags::mpl::to_tag<'r'>::value,   MsgTypes::NewOrderCross =enum_tags::mpl::to_tag<'s'>::value, MsgTypes::CrossOrderCancelReplaceRequest =enum_tags::mpl::to_tag<'t'>::value, MsgTypes::CrossOrderCancelRequest =enum_tags::mpl::to_tag<'u'>::value, MsgTypes::SecurityTypeRequest =enum_tags::mpl::to_tag<'v'>::value,   MsgTypes::SecurityTypes =enum_tags::mpl::to_tag<'w'>::value, MsgTypes::SecurityListRequest =enum_tags::mpl::to_tag<'x'>::value, MsgTypes::SecurityList =enum_tags::mpl::to_tag<'y'>::value, MsgTypes::DerivativeSecurityListRequest =enum_tags::mpl::to_tag<'z'>::value }
enum	FieldsFast : uint64_t {   FieldsFast::BodyLength =enum_tags::mpl::to_tag<'\001', '9', '='>::value, FieldsFast::ClOrdID =enum_tags::mpl::to_tag<'\001', '1', '1', '='>::value, FieldsFast::Currency =enum_tags::mpl::to_tag<'\001', '1', '5', '='>::value, FieldsFast::SecurityIDSource =enum_tags::mpl::to_tag<'\001', '2', '2', '='>::value,   FieldsFast::MsgSeqNum =enum_tags::mpl::to_tag<'\001', '3', '4', '='>::value, FieldsFast::MsgType =enum_tags::mpl::to_tag<'\001', '3', '5', '='>::value, FieldsFast::OrderID =enum_tags::mpl::to_tag<'\001', '3', '7', '='>::value, FieldsFast::OrderQty =enum_tags::mpl::to_tag<'\001', '3', '8', '='>::value,   FieldsFast::OrdStatus =enum_tags::mpl::to_tag<'\001', '3', '9', '='>::value, FieldsFast::OrdType =enum_tags::mpl::to_tag<'\001', '4', '0', '='>::value, FieldsFast::OrigClOrdID =enum_tags::mpl::to_tag<'\001', '4', '1', '='>::value, FieldsFast::Price =enum_tags::mpl::to_tag<'\001', '4', '4', '='>::value,   FieldsFast::RefSeqNum =enum_tags::mpl::to_tag<'\001', '4', '5', '='>::value, FieldsFast::SecurityID =enum_tags::mpl::to_tag<'\001', '4', '8', '='>::value, FieldsFast::SenderCompID =enum_tags::mpl::to_tag<'\001', '4', '9', '='>::value, FieldsFast::Symbol =enum_tags::mpl::to_tag<'\001', '5', '5', '='>::value,   FieldsFast::SendingTime =enum_tags::mpl::to_tag<'\001', '5', '2', '='>::value, FieldsFast::Side =enum_tags::mpl::to_tag<'\001', '5', '4', '='>::value, FieldsFast::TargetCompID =enum_tags::mpl::to_tag<'\001', '5', '6', '='>::value, FieldsFast::TimeInForce =enum_tags::mpl::to_tag<'\001', '5', '9', '='>::value,   FieldsFast::TransactTime =enum_tags::mpl::to_tag<'\001', '6', '0', '='>::value, FieldsFast::XDestination =enum_tags::mpl::to_tag<'\001', '1', '0', '0', '='>::value, FieldsFast::CountryOfIssue =enum_tags::mpl::to_tag<'\001', '4', '7', '0', '='>::value, FieldsFast::Username =enum_tags::mpl::to_tag<'\001', '5', '5', '3', '='>::value,   FieldsFast::Password =enum_tags::mpl::to_tag<'\001', '5', '5', '4', '='>::value, FieldsFast::NewPassword =enum_tags::mpl::to_tag<'\001', '9', '2', '5', '='>::value, FieldsFast::ExecType =enum_tags::mpl::to_tag<'\001', '1', '5', '0', '='>::value, FieldsFast::MarketSegmentID =enum_tags::mpl::to_tag<'\001', '1', '5', '1', '='>::value,   FieldsFast::LeavesQty =enum_tags::mpl::to_tag<'\001', '1', '3', '0', '0', '='>::value, FieldsFast::CheckSum =enum_tags::mpl::to_tag<'\001', '1', '0', '='>::value }
enum	ExecType : char {   ExecType::New ='0', ExecType::DoneForDay ='3', ExecType::Cancelled ='4', ExecType::Replaced ='5',   ExecType::PendingCancel ='6', ExecType::Stopped ='7', ExecType::Rejected ='8', ExecType::Suspended ='9',   ExecType::PendingNew ='A', ExecType::Calculated ='B', ExecType::Expired ='C', ExecType::Restated ='D',   ExecType::PendingReplace ='E', ExecType::Trade_PartialFillOrFill ='F', ExecType::TradeCorrect ='G', ExecType::TradeCancel ='H',   ExecType::OrderStatus ='I', ExecType::TradeInAClearingHold ='J', ExecType::TradeHasBeenReleasedToClearing ='K', ExecType::TriggeredOrActivatedBySystem ='L' }
enum	OrdStatus : char {   OrdStatus::New ='0', OrdStatus::PartiallyFilled ='1', OrdStatus::Filled ='2', OrdStatus::DoneForDay ='3',   OrdStatus::Cancelled ='4', OrdStatus::Replaced ='5', OrdStatus::PendingCancel ='6', OrdStatus::Stopped ='7',   OrdStatus::Rejected ='8', OrdStatus::Suspended ='9', OrdStatus::PendingNew ='A', OrdStatus::Calculated ='B',   OrdStatus::Expired ='C', OrdStatus::AcceptedForBidding ='D', OrdStatus::PendingReplace ='E' }
enum	SecurityIDSource : char {   CUSIP ='1', SEDOL ='2', QUIK ='3', ISIN ='4',   RIC ='5', ISOCurrencyCode ='6', ISOCountryCode ='7' }
enum	Side : char { Buy ='1', Sell ='2', SellShort ='5', SellShortExempt ='6' }

Functions
int	convert (uint32_t a, char *buff, std::size_t sz)
constexpr Side	convert (BATSBOE::common::Side a)
int	convert_price (BATSBOE::common::Price_t const &a, char *buff, std::size_t sz)
template<class RefData >
constexpr int	convert (MIT::common::SecurityID_t const &key, RefData const &ref_data, char *buff, std::size_t __attribute__((unused)) sz)
ExecType	convert (MIT::common::ExecType const &a) noexcept(false)
OrdStatus	convert (MIT::common::OrderStatus const &a) noexcept(false)
int	convert (std::int32_t a, char *buff, std::size_t sz)
int	convert (MIT::common::Price_t const &a, char *buff, std::size_t sz)
constexpr char	convert (MIT::common::Side const &a)
template<class DestMsg , class SrcMsg , class OutIter >
OutIter	convert_ClOrdID (SrcMsg const &msg, OutIter data) noexcept(true)
template<class MsgVer >
class jmmcg::exchanges::FIX::common::Header	__attribute__ ((packed))
template<class MsgVer >
jmmcg::exchanges::FIX::common::Message Header	__attribute__ ((packed))
template<class MsgVer >
std::ostream &	operator<< (std::ostream &os, Message< MsgVer > const &m)
template<class SrcMsgDetails , class DestMsgDetails , class SktT >
std::ostream &	operator<< (std::ostream &os, client_to_exchange_transformations< SrcMsgDetails, DestMsgDetails, SktT > const &ec) noexcept(false)
template<class SrcMsgDetails , class DestMsgDetails , class SktT >
std::ostream &	operator<< (std::ostream &os, exchange_to_client_transformations< SrcMsgDetails, DestMsgDetails, SktT > const &ec) noexcept(false)
template<class SrcMsgDetails , class SktT >
std::ostream &	operator<< (std::ostream &os, simulator_responses< SrcMsgDetails, SktT > const &ec) noexcept(false)
	BOOST_MPL_ASSERT_RELATION ((enum_tags::mpl::to_array< FieldsFast, FieldsFast::BodyLength >::size),==, sizeof(JMMCG_FIX_MSG_BODY_LENGTH_TAG)-1)
	BOOST_MPL_ASSERT_RELATION ((enum_tags::mpl::to_array< FieldsFast, FieldsFast::MsgType >::size), >=, sizeof(JMMCG_FIX_MSG_TYPE_TAG)-1)
std::ostream &	operator<< (std::ostream &os, ExecType a)
std::ostream &	operator<< (std::ostream &os, OrdStatus a)

Variables
const char	Separator ='\001'
const unsigned short	CheckSumLength =3
const std::size_t	shortest_field_length =4u

Typedef Documentation

using jmmcg::exchanges::FIX::common::checksum_t = typedef std::array<char, CheckSumLength+1>

The checksum type used by FIX.

Definition at line 61 of file types.hpp.

using jmmcg::exchanges::FIX::common::ClientOrderID_t = typedef std::array<char, 20>

Definition at line 51 of file types.hpp.

using jmmcg::exchanges::FIX::common::const_pointer = typedef element_type const *

Definition at line 41 of file types.hpp.

using jmmcg::exchanges::FIX::common::data_block_t = typedef pointer

The type of the internal data-buffer.

FIX messages are basically an array of chars. so we need a type that is compatible with this char-array that is received from a socket.

Definition at line 46 of file types.hpp.

using jmmcg::exchanges::FIX::common::element_type = typedef char

Definition at line 31 of file types.hpp.

using jmmcg::exchanges::FIX::common::field_str_range_t = typedef std::pair<const_pointer, const_pointer>

Definition at line 63 of file types.hpp.

using jmmcg::exchanges::FIX::common::MsgTypes_t = typedef uint16_t

Definition at line 48 of file types.hpp.

using jmmcg::exchanges::FIX::common::Password_t = typedef std::array<char, 25>

Definition at line 53 of file types.hpp.

using jmmcg::exchanges::FIX::common::pointer = typedef element_type *

Definition at line 40 of file types.hpp.

using jmmcg::exchanges::FIX::common::Price_t = typedef std::array<char, 25>

Definition at line 55 of file types.hpp.

using jmmcg::exchanges::FIX::common::Reason_t = typedef std::array<char, 20>

Definition at line 52 of file types.hpp.

using jmmcg::exchanges::FIX::common::SecurityID_t = typedef std::array<char, 20>

Definition at line 50 of file types.hpp.

using jmmcg::exchanges::FIX::common::underlying_fix_data_buffer = typedef std::array<element_type, max_size_of_fix_message>

An underlying data-buffer into which the fix message may be created.

Ideally this should be suitably aligned, e.g. 64-it aligned. For optimal performance it would actually be the underlying memory of the network card or IP stack.

Definition at line 39 of file types.hpp.

using jmmcg::exchanges::FIX::common::UserName_t = typedef std::array<char, 25>

Definition at line 54 of file types.hpp.

Enumeration Type Documentation

anonymous enum : std::size_t

Enumerator
max_size_of_fix_message	The largest size of FIX message that the library can accommodate including all components, e.g. type, size & checksum fields. Note that this must be in units of 256 bits, due to the use of AVX2 operations, if available.

Definition at line 32 of file types.hpp.

enum jmmcg::exchanges::FIX::common::ExecType : char

strong

Enumerator
New
DoneForDay
Cancelled
Replaced
PendingCancel
Stopped
Rejected
Suspended
PendingNew
Calculated
Expired
Restated
PendingReplace
Trade_PartialFillOrFill
TradeCorrect
TradeCancel
OrderStatus
TradeInAClearingHold
TradeHasBeenReleasedToClearing
TriggeredOrActivatedBySystem

Definition at line 226 of file types.hpp.

enum jmmcg::exchanges::FIX::common::FieldsFast : uint64_t

strong

Enumerator
BodyLength
ClOrdID
Currency
SecurityIDSource
MsgSeqNum
MsgType
OrderID
OrderQty
OrdStatus
OrdType
OrigClOrdID
Price
RefSeqNum
SecurityID
SenderCompID
Symbol
SendingTime
Side
TargetCompID
TimeInForce
TransactTime
XDestination
CountryOfIssue
Username
Password
NewPassword
ExecType
MarketSegmentID
LeavesQty
CheckSum

Definition at line 189 of file types.hpp.

enum jmmcg::exchanges::FIX::common::MsgTypes : MsgTypes_t

strong

Enumerator
Heartbeat
TestRequest
ResendRequest
Reject
SequenceReset
Logout
IOI
Advertisement
ExecutionReport
OrderCancelReject
LogonRequest
DerivativeSecurityList
NewOrderMultileg
MultilegOrderCancelReplace
TradeCaptureReportRequest
TradeCaptureReport
OrderMassStatusRequest
QuoteRequestReject
RFQRequest
QuoteStatusReport
QuoteResponse
Confirmation
PositionMaintenanceRequest
PositionMaintenanceReport
RequestForPositions
RequestForPositionsAck
PositionReport
TradeCaptureReportRequestAck
TradeCaptureReportAck
AllocationReport
AllocationReportAck
ConfirmationAck
SettlementInstructionRequest
AssignmentReport
CollateralRequest
CollateralAssignment
CollateralResponse
News
CollateralReport
CollateralInquiry
NetworkCounterpartySystemStatusRequest
NetworkCounterpartySystemStatusResponse
UserRequest
UserResponse
CollateralInquiryAck
ConfirmationRequest
TradingSessionListRequest
TradingSessionList
SecurityListUpdateReport
AdjustedPositionReport
AllocationInstructionAlert
ExecutionAcknowledgement
ContraryIntentionReport
SecurityDefinitionUpdateReport
SettlementObligationReport
DerivativeSecurityListUpdateReport
TradingSessionListUpdateReport
MarketDefinitionRequest
MarketDefinition
MarketDefinitionUpdateReport
ApplicationMessageRequest
ApplicationMessageRequestAck
ApplicationMessageReport
OrderMassActionReport
Email
OrderMassActionRequest
UserNotification
StreamAssignmentRequest
StreamAssignmentReport
StreamAssignmentReportACK
NewOrderSingle
NewOrderList
OrderCancelRequest
OrderCancelReplaceRequest
OrderStatusRequest
AllocationInstruction
ListCancelRequest
ListExecute
ListStatusRequest
ListStatus
AllocationInstructionAck
DontKnowTrade
QuoteRequest
Quote
SettlementInstructions
MarketDataRequest
MarketDataSnapshotFullRefresh
MarketDataIncrementalRefresh
MarketDataRequestReject
QuoteCancel
QuoteStatusRequest
MassQuoteAcknowledgement
SecurityDefinitionRequest
SecurityDefinition
SecurityStatusRequest
SecurityStatus
TradingSessionStatusRequest
TradingSessionStatus
MassQuote
BusinessMessageReject
BidRequest
BidResponse
ListStrikePrice
XMLnonFIX
RegistrationInstructions
RegistrationInstructionsResponse
OrderMassCancelRequest
OrderMassCancelReport
NewOrderCross
CrossOrderCancelReplaceRequest
CrossOrderCancelRequest
SecurityTypeRequest
SecurityTypes
SecurityListRequest
SecurityList
DerivativeSecurityListRequest

Definition at line 65 of file types.hpp.

enum jmmcg::exchanges::FIX::common::OrdStatus : char

strong

Enumerator
New
PartiallyFilled
Filled
DoneForDay
Cancelled
Replaced
PendingCancel
Stopped
Rejected
Suspended
PendingNew
Calculated
Expired
AcceptedForBidding
PendingReplace

Definition at line 255 of file types.hpp.

enum jmmcg::exchanges::FIX::common::SecurityIDSource : char

Enumerator
CUSIP
SEDOL
QUIK
ISIN
RIC
ISOCurrencyCode
ISOCountryCode

Definition at line 279 of file types.hpp.

enum jmmcg::exchanges::FIX::common::Side : char

Enumerator
Buy
Sell
SellShort
SellShortExempt

Definition at line 289 of file types.hpp.

Function Documentation

template<class MsgVer >

class jmmcg::exchanges::FIX::common::Header jmmcg::exchanges::FIX::common::__attribute__

(

(packed)

)

template<class MsgVer >

jmmcg::exchanges::FIX::common::Message Header jmmcg::exchanges::FIX::common::__attribute__

(

(packed)

)

jmmcg::exchanges::FIX::common::BOOST_MPL_ASSERT_RELATION	(	(enum_tags::mpl::to_array< FieldsFast, FieldsFast::BodyLength >::size)	,
		sizeof(JMMCG_FIX_MSG_BODY_LENGTH_TAG)-	1
	)

jmmcg::exchanges::FIX::common::BOOST_MPL_ASSERT_RELATION	(	(enum_tags::mpl::to_array< FieldsFast, FieldsFast::MsgType >::size)	,
		>=	,
		sizeof(JMMCG_FIX_MSG_TYPE_TAG)-	1
	)

int jmmcg::exchanges::FIX::common::convert ( uint32_t  a, char *  buff, std::size_t  sz  )

inline

Definition at line 30 of file batsboe_common_to_fix_conversions.hpp.

constexpr Side jmmcg::exchanges::FIX::common::convert ( BATSBOE::common::Side  a )

inline

Definition at line 35 of file batsboe_common_to_fix_conversions.hpp.

template<class RefData >

constexpr int jmmcg::exchanges::FIX::common::convert ( MIT::common::SecurityID_t const &  key, RefData const &  ref_data, char *  buff, std::size_t __attribute__((unused))  sz  )

inline

Note that only ISIN symbology is supported.

Definition at line 37 of file mit_to_fix_conversions.hpp.

ExecType jmmcg::exchanges::FIX::common::convert ( MIT::common::ExecType const &  a )

inlinenoexcept

Todo:

What should be done with ExecType's that cannot be mapped?.

Definition at line 49 of file mit_to_fix_conversions.hpp.

OrdStatus jmmcg::exchanges::FIX::common::convert ( MIT::common::OrderStatus const &  a )

inlinenoexcept

Todo:

What should be done with OrderStatus's that cannot be mapped?.

Definition at line 85 of file mit_to_fix_conversions.hpp.

int jmmcg::exchanges::FIX::common::convert ( std::int32_t  a, char *  buff, std::size_t  sz  )

inline

Definition at line 110 of file mit_to_fix_conversions.hpp.

int jmmcg::exchanges::FIX::common::convert ( MIT::common::Price_t const &  a, char *  buff, std::size_t  sz  )

inline

Definition at line 115 of file mit_to_fix_conversions.hpp.

constexpr char jmmcg::exchanges::FIX::common::convert ( MIT::common::Side const &  a )

inline

Todo:

What should be done with Side's that cannot be mapped?.

Definition at line 124 of file mit_to_fix_conversions.hpp.

template<class DestMsg , class SrcMsg , class OutIter >

OutIter jmmcg::exchanges::FIX::common::convert_ClOrdID ( SrcMsg const &  msg, OutIter  data  )

noexcept

Definition at line 137 of file mit_to_fix_conversions.hpp.

int jmmcg::exchanges::FIX::common::convert_price ( BATSBOE::common::Price_t const &  a, char *  buff, std::size_t  sz  )

inline

Definition at line 50 of file batsboe_common_to_fix_conversions.hpp.

template<class SrcMsgDetails , class DestMsgDetails , class SktT >

std::ostream & jmmcg::exchanges::FIX::common::operator<< ( std::ostream &  os, client_to_exchange_transformations< SrcMsgDetails, DestMsgDetails, SktT > const &  ec  )

inlinenoexcept

Definition at line 38 of file processing_rules_impl.hpp.

template<class SrcMsgDetails , class DestMsgDetails , class SktT >

std::ostream & jmmcg::exchanges::FIX::common::operator<< ( std::ostream &  os, exchange_to_client_transformations< SrcMsgDetails, DestMsgDetails, SktT > const &  ec  )

inlinenoexcept

Definition at line 63 of file processing_rules_impl.hpp.

template<class SrcMsgDetails , class SktT >

std::ostream & jmmcg::exchanges::FIX::common::operator<< ( std::ostream &  os, simulator_responses< SrcMsgDetails, SktT > const &  ec  )

inlinenoexcept

Definition at line 94 of file processing_rules_impl.hpp.

template<class MsgVer >

std::ostream & jmmcg::exchanges::FIX::common::operator<< ( std::ostream &  os, Message< MsgVer > const &  m  )

inline

Definition at line 255 of file messages_impl.hpp.

std::ostream& jmmcg::exchanges::FIX::common::operator<< ( std::ostream &  os, ExecType  a  )

inline

Definition at line 250 of file types.hpp.

std::ostream& jmmcg::exchanges::FIX::common::operator<< ( std::ostream &  os, OrdStatus  a  )

inline

Definition at line 274 of file types.hpp.

Variable Documentation

const unsigned short jmmcg::exchanges::FIX::common::CheckSumLength =3

Definition at line 58 of file types.hpp.

const char jmmcg::exchanges::FIX::common::Separator ='\001'

Definition at line 57 of file types.hpp.

const std::size_t jmmcg::exchanges::FIX::common::shortest_field_length =4u

Definition at line 224 of file types.hpp.