#include "conversions.hpp"
#include "core/memops.hpp"
#include "core/ttypes.hpp"
#include <boost/mpl/assert.hpp>
#include <boost/date_time/posix_time/posix_time.hpp>
#include <numeric>
#include <cassert>
#include <cstring>
#include "messages_impl.hpp"

Include dependency graph for messages.hpp:

This graph shows which files directly or indirectly include this file:

Classes
struct	isimud::ISIMUD_VER_NAMESPACE::exchanges::FIX::common::logon_args_t

struct	isimud::ISIMUD_VER_NAMESPACE::exchanges::FIX::common::logoff_args_t

class	isimud::ISIMUD_VER_NAMESPACE::exchanges::FIX::common::Header< MsgVer >

class	isimud::ISIMUD_VER_NAMESPACE::exchanges::FIX::common::Message< MsgVer >
	The basic, underlying type used to implement FIX message reading. More...

Namespaces
namespace	isimud

namespace	isimud::ISIMUD_VER_NAMESPACE

namespace	isimud::ISIMUD_VER_NAMESPACE::exchanges

namespace	isimud::ISIMUD_VER_NAMESPACE::exchanges::FIX

namespace	isimud::ISIMUD_VER_NAMESPACE::exchanges::FIX::common

Typedefs
using	msg_version_t = MsgVer

using	element_type = char

using	pointer = element_type *

using	const_pointer = element_type const *

using	size_type = std::size_t

using	MsgTypes_t = common::MsgTypes_t

using	Header_t = Header< MsgVer >

using	RejectCode_t = int

Enumerations
enum	: bool { has_static_size =false }

enum	: std::size_t { header_t_size =msg_version_t::fix_template_body_length_offset+sizeof(JMMCG_FIX_MSG_BODY_LENGTH_NULL)+1 }

Functions
template<class MsgVer >
class isimud::ISIMUD_VER_NAMESPACE::exchanges::FIX::common::Header	isimud::ISIMUD_VER_NAMESPACE::exchanges::FIX::common::__attribute__ ((packed))

constexpr __stdcall	Header () noexcept(true)
	Create a FIX message from an array of chars read from a socket or elsewhere. More...

constexpr size_type	length () const noexcept(true)
	Determine the total size of the referenced message. More...

template<FieldsFast field>
constexpr field_str_range_t __fastcall	find () noexcept(true)
	Determine if the specified tag is in the referenced message. More...

template<FieldsFast field>
constexpr field_str_const_range_t __fastcall	find () const noexcept(true)
	Determine if the specified tag is in the referenced message. More...

constexpr field_str_const_range_t __fastcall	find_ExDestination () const noexcept(true)

constexpr ExDestination_t __fastcall	find_MIC () const noexcept(true)

MsgTypes	type () const noexcept(true) __attribute__((pure))

constexpr bool	is_valid () const noexcept(true)
	Verify that the referenced FIX message is valid. More...

checksum_t	generate_checksum (size_type body_len) const noexcept(true)
	Generate the checksum for the referenced FIX message. More...

constexpr bool	is_checksum_valid (size_type body_len, const_pointer start_of_checksum_value) const noexcept(true)
	Verify that the checksum of the referenced FIX message is valid. More...

template<MsgTypes MsgType>
constexpr underlying_fix_data_buffer::iterator	set_header () noexcept(true)

template<MsgTypes MsgType>
constexpr underlying_fix_data_buffer::iterator	set_sequence_num_int (SeqNum_t seq_num) noexcept(true)

template<MsgTypes MsgType, class SrcMsg , class Ret = typename std::enable_if<std::is_class<SrcMsg>::value, underlying_fix_data_buffer::iterator>::type>
constexpr Ret	set_sequence_num (SrcMsg const &msg) noexcept(true)

template<class MsgVer >
isimud::ISIMUD_VER_NAMESPACE::exchanges::FIX::common::Message Header	isimud::ISIMUD_VER_NAMESPACE::exchanges::FIX::common::__attribute__ ((packed))

constexpr __stdcall	Message () noexcept(true)
	Wrap a FIX message contained in an array of chars that has been written into from a socket or elsewhere. More...

constexpr __stdcall	Message (logon_args_t const &) noexcept(true)

constexpr __stdcall	Message (logoff_args_t const &) noexcept(true)

constexpr __stdcall	Message (RejectCode_t const &) noexcept(true)

__stdcall	Message (SeqNum_t seqNum, ClientOrderID_t const &clID, OrderType const oT, TIF const t, Side const s, SecurityID_t instID, Quantity_t ordQty, Price_t p, ExDestination_t mic) noexcept(true)
	Create a NewOrderSIngle. More...

__stdcall	Message (SeqNum_t seqNum, ClientOrderID_t const &clID, ExecType eT, Price_t const price, SecurityID_t instID, Side s, Quantity_t execdQty, Quantity_t leavesQty, ExDestination_t mic) noexcept(true)
	Create an ExecutionReport. More...

template<class SrcMsg >
__stdcall	Message (SrcMsg const &msg)=delete
	Create a message from the source message, into the underlying buffer. More...

template<class SrcMsg , class RefData >
__stdcall	Message (SrcMsg const &msg, RefData const &ref_data)=delete
	Create a message from the source message, into the underlying buffer. More...

template<class RefData , class ... Fields>
	Message (RefData const &ref_data, Fields ... fields)

constexpr size_type __fastcall	size () const noexcept(true)
	Determine the size of the referenced message. More...

template<FieldsFast field>
constexpr bool __fastcall	search () const noexcept(true)
	Determine if the specified tag is in the referenced message. More...

std::string	to_string () const noexcept(false)

constexpr ClientOrderID_t	clientOrderID () const noexcept(true)

constexpr Side	side () const noexcept(true)

constexpr Price_t	limitPrice () const noexcept(true)

constexpr Quantity_t	orderQty () const noexcept(true)

constexpr void	orderQty (Quantity_t q) noexcept(true)

constexpr SecurityID_t	instrumentID () const noexcept(true)

template<class OutIter >
OutIter	write_ClOrdID (ClientOrderID_t const &clID, OutIter data) noexcept(true)

template<class OutIter >
OutIter	write_TransactTime (OutIter data) noexcept(true)

template<class OutIter >
OutIter	write_ExDest (ExDestination_t mic, OutIter data) noexcept(true)

template<FieldsFast field>
constexpr underlying_fix_data_buffer::iterator	add_field_tag (underlying_fix_data_buffer::iterator data) noexcept(true)

constexpr void	finalise_msg (underlying_fix_data_buffer::iterator) noexcept(true)

template<class MsgVer >
std::ostream &	isimud::ISIMUD_VER_NAMESPACE::exchanges::FIX::common::operator<< (std::ostream &os, Message< MsgVer > const &m)

Variables
ALIGN_TO_L1_CACHE char	begin_string [sizeof(msg_version_t::MsgVer) -1]

libjmmcg::enum_tags::mpl::to_array< FieldsFast, FieldsFast::BodyLength >::element_type_no_null	body_length_tag

char	body_length_value [sizeof(JMMCG_FIX_MSG_BODY_LENGTH_NULL) -1]

libjmmcg::enum_tags::mpl::to_array< FieldsFast, FieldsFast::MsgType >::element_type_no_null	msg_type_tag

underlying_fix_data_buffer	data_

Typedef Documentation

◆ const_pointer

typedef typename Header_t::const_pointer const_pointer

Definition at line 4 of file messages.hpp.

◆ element_type

typedef typename Header_t::element_type element_type

Definition at line 2 of file messages.hpp.

◆ Header_t

using Header_t = Header<MsgVer>

Definition at line 1 of file messages.hpp.

◆ msg_version_t

typedef typename Header_t::msg_version_t msg_version_t

Definition at line 1 of file messages.hpp.

◆ MsgTypes_t

using MsgTypes_t = common::MsgTypes_t

Definition at line 6 of file messages.hpp.

◆ pointer

typedef typename Header_t::pointer pointer

Definition at line 3 of file messages.hpp.

◆ RejectCode_t

using RejectCode_t = int

Definition at line 7 of file messages.hpp.

◆ size_type

using size_type = typename Header_t::size_type

Definition at line 5 of file messages.hpp.

Enumeration Type Documentation

◆ anonymous enum

anonymous enum : bool

Enumerator
has_static_size	The message is statically-sized, not dynamically, so sizeof(the derived message-type) is the amount to copy, i.e. length() returns sizeof(the derived message-type).

Definition at line 8 of file messages.hpp.

◆ anonymous enum

anonymous enum : std::size_t

Enumerator
header_t_size

Definition at line 11 of file messages.hpp.

Function Documentation

◆ add_field_tag()

template<FieldsFast field>

constexpr underlying_fix_data_buffer::iterator __attribute__::add_field_tag ( underlying_fix_data_buffer::iterator data )

constexprnoexcept

◆ clientOrderID()

constexpr ClientOrderID_t __attribute__::clientOrderID ( ) const

constexprnoexcept

Definition at line 17 of file messages.hpp.

◆ finalise_msg()

constexpr void __attribute__::finalise_msg ( underlying_fix_data_buffer::iterator )

constexprprotectednoexcept

◆ find() [1/2]

template<FieldsFast field>

constexpr field_str_const_range_t __fastcall __attribute__::find ( ) const

constexprnoexcept

Determine if the specified tag is in the referenced message.

Parameters

field The field to be found. Note that the range must contain the field otherwise the behaviour shall be undefined.

Returns: True if the specified tag was found in the referenced message.

◆ find() [2/2]

template<FieldsFast field>

constexpr field_str_range_t __fastcall __attribute__::find ( )

constexprnoexcept

Determine if the specified tag is in the referenced message.

Parameters

field The field to be found. Note that the range must contain the field otherwise the behaviour shall be undefined.

Returns: True if the specified tag was found in the referenced message.

◆ find_ExDestination()

constexpr field_str_const_range_t __fastcall __attribute__::find_ExDestination ( ) const

constexprnoexcept

◆ find_MIC()

constexpr ExDestination_t __fastcall __attribute__::find_MIC ( ) const

constexprnoexcept

◆ generate_checksum()

checksum_t __attribute__::generate_checksum ( size_type body_len ) const

noexcept

Generate the checksum for the referenced FIX message.

Parameters

body_len The length of the body of the referenced FIX message.

Returns: The computed check sum.

◆ Header()

constexpr __stdcall __attribute__::Header ( )

constexprnoexcept

Create a FIX message from an array of chars read from a socket or elsewhere.

In debug builds the validity of the FIX message is checked.

Parameters

b	The array of chars that must comprise a valid FIX message.

◆ instrumentID()

constexpr SecurityID_t __attribute__::instrumentID ( ) const

constexprnoexcept

Definition at line 7 of file messages.hpp.

◆ is_checksum_valid()

constexpr bool __attribute__::is_checksum_valid	(	size_type	body_len,
		const_pointer	start_of_checksum_value
	)		const

constexprnoexcept

Verify that the checksum of the referenced FIX message is valid.

Parameters

body_len	The length of the body of the referenced FIX message.
start_of_checksum_value	A pointer to that start of the checksum value embedded in the referenced FIX message.

Returns: True is the checksum of the referenced FIX message is valid, false otherwise.

◆ is_valid()

constexpr bool __attribute__::is_valid ( ) const

constexprnoexcept

Verify that the referenced FIX message is valid.

Returns: True is the referenced FIX message is valid, false otherwise.

Definition at line 9 of file socket_server.cpp.

◆ length()

constexpr size_type __attribute__::length ( ) const

constexprnoexcept

Determine the total size of the referenced message.

The referenced message must be valid.

Returns: The size of the whole the message, including the version, size (itself) and checksum fields.

See also: size()

Determine the total size of the referenced message.

Definition at line 9 of file socket_server.cpp.

◆ limitPrice()

constexpr Price_t __attribute__::limitPrice ( ) const

constexprnoexcept

Definition at line 64 of file messages.hpp.

◆ Message() [1/9]

constexpr __stdcall __attribute__::Message ( )

explicitconstexprnoexcept

Wrap a FIX message contained in an array of chars that has been written into from a socket or elsewhere.

Parameters

b	The array of chars that must comprise a valid FIX message which is not automatically checked.

◆ Message() [2/9]

constexpr __stdcall __attribute__::Message ( logoff_args_t const & )

explicitconstexprnoexcept

◆ Message() [3/9]

constexpr __stdcall __attribute__::Message ( logon_args_t const & )

explicitconstexprnoexcept

◆ Message() [4/9]

template<class RefData , class ... Fields>

__attribute__::Message	(	RefData const &	ref_data,
		Fields ...	fields
	)

◆ Message() [5/9]

constexpr __stdcall __attribute__::Message ( RejectCode_t const & )

explicitconstexprnoexcept

◆ Message() [6/9]

__stdcall __attribute__::Message	(	SeqNum_t	seqNum,
		ClientOrderID_t const &	clID,
		ExecType	eT,
		Price_t const	price,
		SecurityID_t	instID,
		Side	s,
		Quantity_t	execdQty,
		Quantity_t	leavesQty,
		ExDestination_t	mic
	)

noexcept

Create an ExecutionReport.

◆ Message() [7/9]

__stdcall __attribute__::Message	(	SeqNum_t	seqNum,
		ClientOrderID_t const &	clID,
		OrderType const	oT,
		TIF const	t,
		Side const	s,
		SecurityID_t	instID,
		Quantity_t	ordQty,
		Price_t	p,
		ExDestination_t	mic
	)

noexcept

Create a NewOrderSIngle.

◆ Message() [8/9]

template<class SrcMsg >

__stdcall __attribute__::Message ( SrcMsg const & msg )

explicitdelete

Create a message from the source message, into the underlying buffer.

In debug builds the validity of the FIX message is checked.

If an error is generated, then this function will need to be specialised for the particular SrcMsg.

Parameters

msg	The source message from which the target message should be created.

◆ Message() [9/9]

template<class SrcMsg , class RefData >

__stdcall __attribute__::Message	(	SrcMsg const &	msg,
		RefData const &	ref_data
	)

delete

Create a message from the source message, into the underlying buffer.

In debug builds the validity of the FIX message is checked.

If an error is generated, then this function will need to be specialised for the particular SrcMsg.

Parameters

msg	The source message from which the target message should be created.
ref_data	The reference data to map from exchange-based instrument identifiers to client-based symbology.

◆ orderQty() [1/2]

constexpr Quantity_t __attribute__::orderQty ( ) const

constexprnoexcept

Definition at line 24 of file messages.hpp.

◆ orderQty() [2/2]

constexpr void __attribute__::orderQty ( Quantity_t q )

constexprnoexcept

◆ search()

template<FieldsFast field>

constexpr bool __fastcall __attribute__::search ( ) const

constexprnoexcept

Determine if the specified tag is in the referenced message.

Parameters

field The field to be found. Note that the range must contain the field otherwise the behaviour shall be undefined.

Returns: True if the specified tag was found in the referenced message.

◆ set_header()

template<MsgTypes MsgType>

constexpr underlying_fix_data_buffer::iterator __attribute__::set_header ( )

constexprprotectednoexcept

◆ set_sequence_num()

template<MsgTypes MsgType, class SrcMsg , class Ret = typename std::enable_if<std::is_class<SrcMsg>::value, underlying_fix_data_buffer::iterator>::type>

constexpr Ret __attribute__::set_sequence_num ( SrcMsg const & msg )

constexprprotectednoexcept

◆ set_sequence_num_int()

template<MsgTypes MsgType>

constexpr underlying_fix_data_buffer::iterator __attribute__::set_sequence_num_int ( SeqNum_t seq_num )

constexprprotectednoexcept

◆ side()

constexpr Side __attribute__::side ( ) const

constexprnoexcept

Definition at line 50 of file messages.hpp.

◆ size()

constexpr size_type __fastcall __attribute__::size ( ) const

constexprnoexcept

Determine the size of the referenced message.

The referenced message must be valid.

Returns: The size of the body of the message, excluding the version, size (itself) and checksum fields.

See also: length()

◆ to_string()

std::string __attribute__::to_string ( ) const

noexcept

◆ type()

MsgTypes __attribute__::type ( ) const

noexcept

Definition at line 23 of file messages.hpp.

◆ write_ClOrdID()

template<class OutIter >

OutIter __attribute__::write_ClOrdID	(	ClientOrderID_t const &	clID,
		OutIter	data
	)

noexcept

◆ write_ExDest()

template<class OutIter >

OutIter __attribute__::write_ExDest	(	ExDestination_t	mic,
		OutIter	data
	)

noexcept

◆ write_TransactTime()

template<class OutIter >

OutIter __attribute__::write_TransactTime ( OutIter data )

noexcept

Variable Documentation

◆ begin_string

ALIGN_TO_L1_CACHE char begin_string[sizeof(msg_version_t::MsgVer) -1]

protected

Definition at line 77 of file messages.hpp.

◆ body_length_tag

libjmmcg::enum_tags::mpl::to_array<FieldsFast, FieldsFast::BodyLength>::element_type_no_null body_length_tag

protected

Definition at line 78 of file messages.hpp.

◆ body_length_value

char body_length_value[sizeof(JMMCG_FIX_MSG_BODY_LENGTH_NULL) -1]

protected

Definition at line 79 of file messages.hpp.

◆ data_

underlying_fix_data_buffer data_

protected

Definition at line 81 of file messages.hpp.

◆ msg_type_tag

libjmmcg::enum_tags::mpl::to_array<FieldsFast, FieldsFast::MsgType>::element_type_no_null msg_type_tag

protected

Definition at line 80 of file messages.hpp.

Classes

Namespaces

Typedefs

Enumerations

Functions

Variables

Typedef Documentation

◆ const_pointer

◆ element_type

◆ Header_t

◆ msg_version_t

◆ MsgTypes_t

◆ pointer

◆ RejectCode_t

◆ size_type

Enumeration Type Documentation

◆ anonymous enum

◆ anonymous enum

Function Documentation

◆ add_field_tag()

◆ clientOrderID()

◆ finalise_msg()

◆ find() [1/2]

◆ find() [2/2]

◆ find_ExDestination()

◆ find_MIC()

◆ generate_checksum()

◆ Header()

◆ instrumentID()

◆ is_checksum_valid()

◆ is_valid()

◆ length()

◆ limitPrice()

◆ Message() [1/9]

◆ Message() [2/9]

◆ Message() [3/9]

◆ Message() [4/9]

◆ Message() [5/9]

◆ Message() [6/9]

◆ Message() [7/9]

◆ Message() [8/9]

◆ Message() [9/9]

◆ orderQty() [1/2]

◆ orderQty() [2/2]

◆ search()

◆ set_header()

◆ set_sequence_num()

◆ set_sequence_num_int()

◆ side()

◆ size()

◆ to_string()

◆ type()

◆ write_ClOrdID()

◆ write_ExDest()

◆ write_TransactTime()

Variable Documentation

◆ begin_string

◆ body_length_tag

◆ body_length_value

◆ data_

◆ msg_type_tag