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Implementation of FIX messages for Fix
5.0 sp2 and FIXT1.1 specification
This document will demonstrate how to connect with FIX5.0 server and FIXT1.1
specification and uses of QuickFix/n (native .net FIX engine).
Introduction
With this release of FIX protocol version 5.0, a new Transport Independence framework (TI)
introduced which separates the FIX Session Protocol from the FIX Application Protocol. This
gives freedom to send message across different messaging technologies like MSMQ, message
bus etc.
Because of different versions of transport and application protocol, we will have to explicitly
define settings in config file.
TransportDataDictionary is used for defining transport protocol version eg. FIXT.1.1.xml
AppDataDictionary is used for defining data dictionary for FIX application protocol version
eg. FIX50.xml
You can read more about FIXT1.1 and FIX 5.0 Sp2 specification on fixprotocol.org.
http://fixprotocol.org/specifications/FIXT.1.1
http://fixprotocol.org/specifications/FIX.5.0
QuickFix/N
To demonstrate implementation of FIX 5.0 sp2, I’ll use open source FIX engine for .net
(QuickFix/N) which is one of open source engine in native .net code. Code for quickfix.net is
available on github and primarily contributed by Connamara System’s developers. These
guys are doing commendable job.
Implementation
FixInitiator
This is client application which will connect with FIX server to send and receive FIX
messages. I am demonstrating implementation of MarketDataRequest and its responses
(MarketDataSnapshot & MarketDataIncrementalRefresh).

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Start with Configuration
First we create configuration file for initiator.
[default]
PersistMessages=Y
ConnectionType=initiator
UseDataDictionary=Y
[SESSION]
ConnectionType=initiator
FileStorePath=store
FileLogPath=fixlog
BeginString=FIXT.1.1
DefaultApplVerID=FIX.5.0
TransportDataDictionary=FIXT.1.1.xml
AppDataDictionary=FIX50.xml
SenderCompID=ABC
TargetCompID=FIXSERVER
SocketConnectHost=127.0.0.1
SocketConnectPort=3500
HeartBtInt=20
ReconnectInterval=30
ResetOnLogon=Y
ResetOnLogout=Y
ResetOnDisconnect=Y
*Note- AppDataDictionary is for application protocol eg. FIX 5.0 and
TransportDataDictionary is for transport protocol.
You can read more about configuration here.
CreateApplicationClass
Before starting with implementation you would need to have quickFix.dll which is available
of github athttps://github.com/connamara/quickfixn
To connect with FIX session, you will have to implement QuickFix.Application interface.
public interface Application
{
void FromAdmin(Message message, SessionID sessionID);
void FromApp(Message message, SessionID sessionID);
void OnCreate(SessionID sessionID);
void OnLogon(SessionID sessionID);
void OnLogout(SessionID sessionID);
void ToAdmin(Message message, SessionID sessionID);

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void ToApp(Message message, SessionID sessionId);
}
I create one class named FixClient50Sp2 which implements interface and inherit base class
for message cracking and getting message events.
FIX ApplicationSetup
Settingup Initiator
// FIX app settings and related
var settings = new SessionSettings("C:initiator.cfg");
// FIX application setup
MessageStoreFactory storeFactory = new FileStoreFactory(settings);
LogFactory logFactory = new FileLogFactory(settings);
_client = new FixClient50Sp2(settings);
IInitiator initiator = new SocketInitiator(_client, storeFactory, settings, logFactory);
_client.Initiator = initiator;
* _client is instance of class FixClient50Sp2.

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StartingInitiator
_client.Start();
ImplementationofQuickFix.ApplicationInterfacemethods
/// <summary>
/// every inbound admin level message will pass through this method,
/// such as heartbeats, logons, and logouts.
/// </summary>
/// <param name="message"></param>
/// <param name="sessionId"></param>
public void FromAdmin(Message message, SessionID sessionId)
{
Log(message.ToString());
}
/// <summary>
/// every inbound application level message will pass through this method,
/// such as orders, executions, secutiry definitions, and market data.
/// </summary>
/// <param name="message"></param>
/// <param name="sessionID"></param>
public void FromApp(Message message, SessionID sessionID)
{
Trace.WriteLine("## FromApp: " + message);
Crack(message, sessionID);
}
/// <summary>
/// this method is called whenever a new session is created.
/// </summary>
/// <param name="sessionID"></param>
public void OnCreate(SessionID sessionID)
{
if (OnProgress != null)
Log(string.Format("Session {0} created", sessionID));
}
/// <summary>
/// notifies when a successful logon has completed.
/// </summary>
/// <param name="sessionID"></param>
public void OnLogon(SessionID sessionID)
{
ActiveSessionId = sessionID;
Trace.WriteLine(String.Format("==OnLogon: {0}==", ActiveSessionId));

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if (LogonEvent != null)
LogonEvent();
}
/// <summary>
/// notifies when a session is offline - either from
/// an exchange of logout messages or network connectivity loss.
/// </summary>
/// <param name="sessionID"></param>
public void OnLogout(SessionID sessionID)
{
// not sure how ActiveSessionID could ever be null, but it happened.
string a = (ActiveSessionId == null) ? "null" : ActiveSessionId.ToString();
Trace.WriteLine(String.Format("==OnLogout: {0}==", a));
if (LogoutEvent != null)
LogoutEvent();
}
/// <summary>
/// all outbound admin level messages pass through this callback.
/// </summary>
/// <param name="message"></param>
/// <param name="sessionID"></param>
public void ToAdmin(Message message, SessionID sessionID)
{
Log("To Admin : " + message);
}
/// <summary>
/// all outbound application level messages pass through this callback before they are sent.
/// If a tag needs to be added to every outgoing message, this is a good place to do that.
/// </summary>
/// <param name="message"></param>
/// <param name="sessionId"></param>
public void ToApp(Message message, SessionID sessionId)
{
Log("To App : " + message);
}
Callbackto Subscription
public void OnMessage(MarketDataIncrementalRefresh message, SessionID session)
{
var noMdEntries = message.NoMDEntries;
var listOfMdEntries = noMdEntries.getValue();
//message.GetGroup(1, noMdEntries);
var group = new MarketDataIncrementalRefresh.NoMDEntriesGroup();
Group gr = message.GetGroup(1, group);

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string sym = message.MDReqID.getValue();
var price = new MarketPrice();
for (int i = 1; i <= listOfMdEntries; i++)
{
group = (MarketDataIncrementalRefresh.NoMDEntriesGroup)message.GetGroup(i, group);
price.Symbol = group.Symbol.getValue();
MDEntryType mdentrytype = group.MDEntryType;
if (mdentrytype.getValue() == '0') //bid
{
decimal px = group.MDEntryPx.getValue();
price.Bid = px;
}
else if (mdentrytype.getValue() == '1') //offer
{
decimal px = group.MDEntryPx.getValue();
price.Offer = px;
}
price.Date = Constants.AdjustedCurrentUTCDate.ToString("yyyyMMdd");
price.Time = group.MDEntryTime.ToString();
}
if (OnMarketDataIncrementalRefresh != null)
{
OnMarketDataIncrementalRefresh(price);
}
}
Code can be found at github.
https://github.com/neerajkaushik123/Fix50Sp2SampleApp.git