quickfix-users

[Quickfix-users] MessageCracker

[Charles S. <cha...@sy...>]

Hi,

If I want my application to handle multiple version of FIX (like 4.1 and 
4.2).
If I implement a MessageCracker, do I have to override, the ExecutionReport 
for example, of each version of FIX? What would be the best way to handle 
multiple version?

Thanks in advance,

Charles

Re: [Quickfix-users] MessageCracker

[Oren M. <or...@qu...>]

Yes.  The FIX.4.1 and FIX.4.2 ExecutionReports will be sent to different 
callbacks.  So you will need to implement a callback for each one.  You 
can pass these into a more generic method which takes a base Message 
class.  You may want to do some processing before hand to make sure the 
messages can be processed by a universal method.  Otherwise just convert 
them into your internal objects before passing them on for processing.

--oren

Charles Sicotte wrote:

> QuickFIX Documentation: 
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi,
>
> If I want my application to handle multiple version of FIX (like 4.1 
> and 4.2).
> If I implement a MessageCracker, do I have to override, the 
> ExecutionReport for example, of each version of FIX? What would be the 
> best way to handle multiple version?
>
> Thanks in advance,
>
> Charles
>
>
>
>
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Re: [Quickfix-users] MessageCracker

[Dale W. <wil...@oc...>]

Charles Sicotte wrote:
>
> If I want my application to handle multiple version of FIX (like 4.1 
> and 4.2).
> If I implement a MessageCracker, do I have to override, the 
> ExecutionReport for example, of each version of FIX? 
As Oren already said, yes.
> What would be the best way to handle multiple version?
The approach I took involves templated member functions.  A typical 
declaration looks like:

      template<typename MESSAGE>
      void onExecutionReport(
        const MESSAGE & message,
        const FIX::SessionID & sessionID);

The virtual methods to be called from the MessageCracker look like:

void
Exchange::onMessage(
  const FIX42::ExecutionReport & message,
  const FIX::SessionID & sessionID)
{
  this->onExecutionReport(message, sessionID);
}

void
Exchange::onMessage(
  const FIX43::ExecutionReport & message,
  const FIX::SessionID & sessionID)
{
  this->onExecutionReport(message, sessionID);
}
etc.

Note the this-> is there to help avoid a nasty template/name resolution 
problem in C++.

Some of the templated methods are messier.  For example

      template<typename MESSAGE, typename GROUP>
      void onMarketDataSnapshotFullRefresh(
        const MESSAGE & message,
        const FIX::SessionID &);

Which has to be called like so:

void
Exchange::onMessage(
  const FIX42::MarketDataSnapshotFullRefresh & message, const 
FIX::SessionID &sessionID)
{
  this->onMarketDataSnapshotFullRefresh
    <FIX42::MarketDataSnapshotFullRefresh, 
FIX42::MarketDataSnapshotFullRefresh::NoMDEntries>
    (message, sessionID);
}

But once you get past the template tricks, you can write common code to 
handle all the protocols (to the extent that they are similar, anyway.)

Note: If you're using VC6 or older versions of gcc, do not try this  -- 
it's painful on old compilers.

HTH,

Dale