Re: [Quickfix-developers] Custom message

[Joerg T. <Joe...@ma...>]

Hi Mike,

> I'm trying to connect to an exchange and they have a custom Trader Logi=
n
> message with a message type of CG.  Has anybody created a custom messag=
e
> before?  If so, could you send me a code sample or give me a few tips?

I assume this message is outbound, ie to be sent to the exchange.

The FIX messages for QF are generated by some XSLT and Ruby scripts from =
the FIX data=20
dictionary. You could use these scripts to generate your own messages fro=
m a modified=20
FIX4*.xml file, but I do not know how much tweaking is still needed to do=
 this.

If you just need one message, just copy a small message, ie NewOrderSingl=
e and adapt it to=20
your needs. I.e. for java code in quickfix/src/java/src/quickfix/fix40/Ne=
wOrderSingle.java:

package quickfix.fix40;
import quickfix.FieldNotFound;
import quickfix.Group;
import quickfix.field.*;

public class NewOrderSingle extends Message
{
   public NewOrderSingle()
   {
     getHeader().setField(new MsgType("D"));
   }
   public NewOrderSingle(
     quickfix.field.ClOrdID aClOrdID,
     quickfix.field.HandlInst aHandlInst,
     quickfix.field.Symbol aSymbol,
     quickfix.field.Side aSide,
     quickfix.field.OrderQty aOrderQty,
     quickfix.field.OrdType aOrdType ) {

     getHeader().setField(new MsgType("D"));
     set(aClOrdID);
     set(aHandlInst);
     set(aSymbol);
     set(aSide);
     set(aOrderQty);
     set(aOrdType);
   }

   public void set(quickfix.field.ClOrdID value)
   { setField(value); }
   public quickfix.field.ClOrdID get(quickfix.field.ClOrdID  value)
     throws FieldNotFound
   { getField(value); return value; }

...

Copy this to your code tree and adapt it, eg:

package smith.mike...;
import quickfix.FieldNotFound;
import quickfix.Group;
import quickfix.field.*;

public class CustomMessage extends Message
{
   public CustomMessage()
   {
     getHeader().setField(new MsgType("CG"));
   }
   public CustomMessage(
     quickfix.field.XXX field1, ... ) {

     getHeader().setField(new MsgType("CG"));
     set(field1);
     ...
   }

   public void set(quickfix.field.XXX value)
   { setField(value); }
   public quickfix.field.XXX get(quickfix.field.XXX  value)
     throws FieldNotFound
   { getField(value); return value; }

...

If you have repeating group, this is a bit more complicated.

Now you can say

message =3D new CustomMessage( value1, .... );
Session.sendToTarget( message, sessionId ); ...

If you want to receive such message, you have to update your data diction=
ary to include it
and create your own MessageFactory to tell QF how to messages with MsgTyp=
e=3DCG to a Java=20
object.

Please apply this to C# or C++ analogeously.

Cheers, J=F6rg

--=20
Joerg Thoennes
                                http://macd.com
Tel.: +49 (0)241 44597-24      Macdonald Associates GmbH
Fax : +49 (0)241 44597-10      Lothringer Str. 52, D-52070 Aachen