http://www.rprf.co.uk/ The RPRF Road Trip en http://www.rprf.co.uk/article.php?id=9376074 Well, that's about it for the weekend...

The FIX part seems reasonably robust, but still isn't doing much validation. The network part is fairly basic, but works. The exchange... well... it's OK for a single client, but seems to have some issues with concurrency and can occasionally deadlock.

I've had two clients trading with each other, and I've learned a lot about the protocol - and been surprised by how little documentation is available for some of this. Which is as much as I could have hoped for in a weekend, really.

The biggest tasks still to handle are:
* Validation of the FIX messages
* The remainder of the FIX4.0 standard
* A proper multithreaded exchange
* Rearranging the code into subpackages
* Implementing the FIX4.1 and 4.2 protocols


As promised, the code - such as it is - is available here. I've decided to call it FIXME as a pun on the protocol and the state of the code. I'm releasing it as public domain, so if - God forbid - anyone wants the code, they can have it without attribution. Sun, 08 Feb 2009 21:49:51 +0000 http://www.rprf.co.uk/article.php?id=9376074 http://www.rprf.co.uk/article.php?id=2786801 Well, the client can now put orders (New Order - Single, message type "D") into the exchange... sadly this is a bit useless as it's only able to trade against itself at the moment.

Next step is to put in execution reports (type "8", spammed to all clients) and we should be getting somewhere. Sun, 08 Feb 2009 18:53:41 +0000 http://www.rprf.co.uk/article.php?id=2786801 http://www.rprf.co.uk/article.php?id=9599566 Today I've spent quite a lot of time trying to make the repeated groups work neatly, and it's just about there now.

Far more importantly, I've integrated the FIX stuff with the network stuff and have a working logon sequence:

Constructing FIX engine: CLIENT
About to send: 8=FIX.4.0|9=42|35=A|49=CLIENT|56=SERVER|34=1|98=0|108=30|10=186|
Got a message of type A
Handling logon message
BeatingHeart constructor(delay = 4 seconds)
About to send: 8=FIX.4.0|9=30|35=0|49=CLIENT|56=SERVER|34=2|10=142|
About to send: 8=FIX.4.0|9=30|35=0|49=CLIENT|56=SERVER|34=3|10=143|
About to send: 8=FIX.4.0|9=30|35=0|49=CLIENT|56=SERVER|34=4|10=144|
About to send: 8=FIX.4.0|9=30|35=0|49=CLIENT|56=SERVER|34=5|10=145|
About to send: 8=FIX.4.0|9=30|35=0|49=CLIENT|56=SERVER|34=6|10=146|
About to send: 8=FIX.4.0|9=30|35=0|49=CLIENT|56=SERVER|34=7|10=147|
About to send: 8=FIX.4.0|9=30|35=0|49=CLIENT|56=SERVER|34=8|10=148|
Got a message of type 0
About to send: 8=FIX.4.0|9=30|35=0|49=CLIENT|56=SERVER|34=9|10=149|
About to send: 8=FIX.4.0|9=31|35=0|49=CLIENT|56=SERVER|34=10|10=190|

That output is currently missing 52 (SendingTime) tags, but that's easy enough to put in. There are two heartbeat threads running - one giving the server a kick (message type "0") every 4 seconds, and one doing the same to the client every 30, as specified by the logon ("A") messages.

So, now to connect this to my order book... Sun, 08 Feb 2009 17:14:18 +0000 http://www.rprf.co.uk/article.php?id=9599566 http://www.rprf.co.uk/article.php?id=1449078 Woo! After some rather fiddly code, I now have an order book working.

Most of the problems seemed to come about from having to handle (near-)empty bid/offer lists at the start of the day's trading - if your first orders are a market-buy and a market-sell, at what price do you match them?

So, anyway, I've got an order book class for a single stock, which supports market/limit/stop/stop-limit order types and (I hope) correctly handles priority with unblocking stop orders.

For time, I've decided to use a (lock-protected) serial number: every order that comes in locks/increments/unlocks the timer, forcing serialisation of requests. None of this two-orders-the-same-age business!

Obviously generalising this to a full exchange is as simple as creating a collection of order books - load balancing isn't an issue when cheating at toy problems ;-)

So, about the biggest thing I'm missing now is the session - the network layer is there, as is the FIX engine, and now the server-side (and even some basic client-side) of the trades. Time to glue it all together!


I figure there's now about a month's work on my "TO DO" list just to get this stuff up to a decent standard, but my goal for the weekend was to have a couple of clients making random trades on a toy exchange, which is certainly looking plausible. Sat, 07 Feb 2009 22:10:15 +0000 http://www.rprf.co.uk/article.php?id=1449078 http://www.rprf.co.uk/article.php?id=4373108 OK, so now I've got messages doing round trips between strings and my internal data model (in fact, string -> data -> string -> data -> string for verification). Yay!

The string in question is:
"8=FIX.4.0|9=65|35=A|49=SERVER|56=CLIENT|34=177|52=20090107-18:15:16|98=0|108=30|10=060|"
with the |s replaced by SOH (\u0001) characters.

I've implemented all 139 field types (1~140, with 101 undefined) in the FIX4.0 specification, using a type hierarchy derived from the 5.0SP1 spec, though only for basic static checking - almost no validation yet. Dynamic checking (e.g. "tag 64 required when tag 63=6 or 63=8, but optional otherwise") will add a fair chunk of work, so I'm leaving that for now. Repeated groups are supported but need a little tidying up in the parser.

Next big tasks on the horizon are the session model (logon, heartbeats, responding to requests, termination) and implementing an order book for the exchange.

But, for now, I'm having a beer. Black Sheep - Riggwelter (5.7% abv), in fact. Sat, 07 Feb 2009 14:30:46 +0000 http://www.rprf.co.uk/article.php?id=4373108