Classes
class	client_to_exchange_transformations
	An FIX-protocol message handler. More...

class	connectivity_policy
	An implementation of the connectivity policy for the FIX protocol. More...

class	exchange_to_client_transformations
	A FIX-protocol-to-client message handler. More...

class	Header

struct	logoff_args_t

struct	logon_args_t

class	Message
	The basic, underlying type used to implement FIX message reading. More...

class	server_hb_t
	Generate heartbeats from the containing simulator. More...

class	simulator_responses
	A simple, FIX-protocol exchange simulator. More...

Typedefs
using	MsgTypes_t = v5_0sp2::MsgType_enum_t_ul_t

using	MsgTypes = v5_0sp2::MsgType_t

using	ExecType = v5_0sp2::ExecType_t

using	OrdStatus = v5_0sp2::OrdStatus_t

using	SecurityIDSource = v5_0sp2::SecurityIDSource_t

using	Side = v5_0sp2::Side_t

using	FieldsFast = v5_0sp2::FieldsFast

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	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 }

Functions
int	convert (std::uint32_t a, char *buff, std::size_t sz) noexcept(true)

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, [[maybe_unused]] std::size_t 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) noexcept(true)

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 isimud::exchanges::FIX::common::Header	__attribute__ ((packed))

template<class MsgVer >
isimud::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 ((jmmcg::enum_tags::mpl::to_array< FieldsFast, FieldsFast::BodyLength >::size),==, sizeof(JMMCG_FIX_MSG_BODY_LENGTH_TAG) -1)

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

Variables
constexpr const char	Separator ='\001'

constexpr const unsigned short	CheckSumLength =3

constexpr const std::uint64_t	implied_decimal_places =100000000

Typedef Documentation

◆ checksum_t

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

The checksum type used by FIX.

Definition at line 128 of file types.hpp.

◆ ClientOrderID_t

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

Definition at line 118 of file types.hpp.

◆ const_pointer

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

Definition at line 110 of file types.hpp.

◆ data_block_t

using isimud::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 115 of file types.hpp.

◆ element_type

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

Definition at line 100 of file types.hpp.

◆ ExecType

using isimud::exchanges::FIX::common::ExecType = typedef v5_0sp2::ExecType_t

Definition at line 100 of file types.hpp.

◆ field_str_range_t

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

Definition at line 130 of file types.hpp.

◆ FieldsFast

using isimud::exchanges::FIX::common::FieldsFast = typedef v5_0sp2::FieldsFast

Definition at line 104 of file types.hpp.

◆ MsgTypes

using isimud::exchanges::FIX::common::MsgTypes = typedef v5_0sp2::MsgType_t

Definition at line 99 of file types.hpp.

◆ MsgTypes_t

using isimud::exchanges::FIX::common::MsgTypes_t = typedef v5_0sp2::MsgType_enum_t_ul_t

Definition at line 98 of file types.hpp.

◆ OrdStatus

using isimud::exchanges::FIX::common::OrdStatus = typedef v5_0sp2::OrdStatus_t

Definition at line 101 of file types.hpp.

◆ Password_t

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

Definition at line 120 of file types.hpp.

◆ pointer

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

Definition at line 109 of file types.hpp.

◆ Price_t

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

Definition at line 122 of file types.hpp.

◆ Reason_t

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

Definition at line 119 of file types.hpp.

◆ SecurityID_t

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

Definition at line 117 of file types.hpp.

◆ SecurityIDSource

using isimud::exchanges::FIX::common::SecurityIDSource = typedef v5_0sp2::SecurityIDSource_t

Definition at line 102 of file types.hpp.

◆ Side

using isimud::exchanges::FIX::common::Side = typedef v5_0sp2::Side_t

Definition at line 103 of file types.hpp.

◆ underlying_fix_data_buffer

using isimud::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 108 of file types.hpp.

◆ UserName_t

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

Definition at line 121 of file types.hpp.

Enumeration Type Documentation

◆ anonymous enum

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 512 bits, due to the use of AVX2 operations, if available.

Definition at line 101 of file types.hpp.

Function Documentation

◆ attribute() [1/2]

template<class MsgVer >

class isimud::exchanges::FIX::common::Header isimud::exchanges::FIX::common::__attribute__ ( (packed) )

◆ attribute() [2/2]

template<class MsgVer >

isimud::exchanges::FIX::common::Message Header isimud::exchanges::FIX::common::__attribute__ ( (packed) )

◆ BOOST_MPL_ASSERT_RELATION() [1/2]

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

◆ BOOST_MPL_ASSERT_RELATION() [2/2]

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

◆ convert() [1/8]

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

inlineconstexpr

Definition at line 102 of file batsboe_common_to_fix_conversions.hpp.

References convert().

◆ convert() [2/8]

ExecType isimud::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 116 of file mit_to_fix_conversions.hpp.

◆ convert() [3/8]

OrdStatus isimud::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 152 of file mit_to_fix_conversions.hpp.

References convert().

◆ convert() [4/8]

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

inline

Definition at line 187 of file mit_to_fix_conversions.hpp.

References convert().

◆ convert() [5/8]

template<class RefData >

constexpr int isimud::exchanges::FIX::common::convert	(	MIT::common::SecurityID_t const &	key,
		RefData const &	ref_data,
		char *	buff,
		[[maybe_unused] ] std::size_t	sz
	)

inlineconstexpr

Note that only ISIN symbology is supported.

Definition at line 104 of file mit_to_fix_conversions.hpp.

◆ convert() [6/8]

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

inlineconstexpr

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

Definition at line 196 of file mit_to_fix_conversions.hpp.

◆ convert() [7/8]

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

inlinenoexcept

Definition at line 177 of file mit_to_fix_conversions.hpp.

Referenced by convert(), convert_price(), isimud::exchanges::FIX::common::Header< HeartbeatSpecific >::generate_checksum(), isimud::exchanges::FIX::common::Header< HeartbeatSpecific >::is_checksum_valid(), isimud::exchanges::FIX::common::Header< HeartbeatSpecific >::is_valid(), isimud::exchanges::FIX::common::Message< HeartbeatSpecific >::Message(), isimud::exchanges::FIX::common::Header< HeartbeatSpecific >::set_sequence_num(), and isimud::exchanges::FIX::common::Message< HeartbeatSpecific >::size().

◆ convert() [8/8]

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

inlinenoexcept

Definition at line 97 of file batsboe_common_to_fix_conversions.hpp.

◆ convert_ClOrdID()

template<class DestMsg , class SrcMsg , class OutIter >

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

inlinenoexcept

Definition at line 209 of file mit_to_fix_conversions.hpp.

◆ convert_price()

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

inline

Definition at line 117 of file batsboe_common_to_fix_conversions.hpp.

References convert().

◆ operator<<() [1/4]

template<class SrcMsgDetails , class DestMsgDetails , class SktT >

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

inlinenoexcept

Definition at line 121 of file processing_rules_impl.hpp.

◆ operator<<() [2/4]

template<class SrcMsgDetails , class DestMsgDetails , class SktT >

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

inlinenoexcept

Definition at line 168 of file processing_rules_impl.hpp.

◆ operator<<() [3/4]

template<class MsgVer >

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

inline

Definition at line 333 of file messages_impl.hpp.

◆ operator<<() [4/4]

template<class SrcMsgDetails , class SktT >

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

inlinenoexcept

Definition at line 211 of file processing_rules_impl.hpp.

Variable Documentation

◆ CheckSumLength

constexpr const unsigned short isimud::exchanges::FIX::common::CheckSumLength =3

constexpr

Definition at line 125 of file types.hpp.

◆ implied_decimal_places

constexpr const std::uint64_t isimud::exchanges::FIX::common::implied_decimal_places =100000000

constexpr

Definition at line 132 of file types.hpp.

◆ Separator

constexpr const char isimud::exchanges::FIX::common::Separator ='\001'

constexpr

Definition at line 124 of file types.hpp.

Classes

Typedefs

Enumerations

Functions

Variables

Typedef Documentation

◆ checksum_t

◆ ClientOrderID_t

◆ const_pointer

◆ data_block_t

◆ element_type

◆ ExecType

◆ field_str_range_t

◆ FieldsFast

◆ MsgTypes

◆ MsgTypes_t

◆ OrdStatus

◆ Password_t

◆ pointer

◆ Price_t

◆ Reason_t

◆ SecurityID_t

◆ SecurityIDSource

◆ Side

◆ underlying_fix_data_buffer

◆ UserName_t

Enumeration Type Documentation

◆ anonymous enum

Function Documentation

◆ __attribute__() [1/2]

◆ __attribute__() [2/2]

◆ BOOST_MPL_ASSERT_RELATION() [1/2]

◆ BOOST_MPL_ASSERT_RELATION() [2/2]

◆ convert() [1/8]

◆ convert() [2/8]

◆ convert() [3/8]

◆ convert() [4/8]

◆ convert() [5/8]

◆ convert() [6/8]

◆ convert() [7/8]

◆ convert() [8/8]

◆ convert_ClOrdID()

◆ convert_price()

◆ operator<<() [1/4]

◆ operator<<() [2/4]

◆ operator<<() [3/4]

◆ operator<<() [4/4]

Variable Documentation

◆ CheckSumLength

◆ implied_decimal_places

◆ Separator

◆ attribute() [1/2]

◆ attribute() [2/2]