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项目作者： santif

项目描述 ：
Elixir implementation of FIX Session Protocol FIXT.1.1. Currently only supports FIX initiator (buy side)
高级语言： Elixir
项目地址: git://github.com/santif/ex_fix.git
创建时间： 2017-07-30T02:12:21Z
项目社区：https://github.com/santif/ex_fix
开源协议：Other
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ExFIX

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Elixir implementation of FIX Session Protocol FIXT.1.1.
Currently only supports FIX session initiator (buy side).

Installation

Add ex_fix to your list of dependencies in mix.exs:

  1. def deps do
  2.   [{:ex_fix, "~> 0.2.9"}]
  3. end

Features

  • FIXT.1.1 session protocol implementation (session level messages)
  • Message validation: sequence number, length, checksum
  • Auto reconnection (with ResetSeqNumFlag=Y)
  • SSL compatible
  • Session registry
  • Two-phase parse of FIX messages

When using SSL (transport_mod: :ssl), make sure the Erlang :ssl application
is started by listing it under extra_applications in your mix.exs:

  1. def application do
  2.   [extra_applications: [:logger, :crypto, :ssl]]
  3. end

Usage

  1. defmodule MySessionHandler do
  2.   @behaviour ExFix.SessionHandler
  3.   require Logger
  5.   alias ExFix.InMessage
  6.   alias ExFix.OutMessage
  7.   alias ExFix.Parser
  9.   @msg_new_order_single  "D"
  11.   @field_account         "1"
  12.   @field_cl_ord_id      "11"
  13.   @field_order_qty      "38"
  14.   @field_ord_type       "40"
  15.   @field_price          "44"
  16.   @field_side           "54"
  17.   @field_symbol         "55"
  18.   @field_transact_time  "60"
  20.   @value_side_buy        "1"
  21.   @value_ord_type_limit  "2"
  23.   def on_logon(session_name, _env) do
  24.     spawn fn() ->
  25.       ## Buy 10 shares of SYM1 for $1.23 per share
  27.       @msg_new_order_single
  28.       |> OutMessage.new()
  29.       |> OutMessage.set_field(@field_account, 1234)
  30.       |> OutMessage.set_field(@field_cl_ord_id, "cod12345")
  31.       |> OutMessage.set_field(@field_order_qty, 10)
  32.       |> OutMessage.set_field(@field_ord_type, @value_ord_type_limit)
  33.       |> OutMessage.set_field(@field_price, 1.23)
  34.       |> OutMessage.set_field(@field_side, @value_side_buy)
  35.       |> OutMessage.set_field(@field_symbol, "SYM1")
  36.       |> OutMessage.set_field(@field_transact_time, DateTime.utc_now())
  37.       |> ExFix.send_message!(session_name)
  38.     end
  39.   end
  41.   def on_app_message(_session_name, _msg_type, %InMessage{} = msg, _env) do
  42.     Logger.info "App msg received: #{inspect Parser.parse2(msg)}"
  43.   end
  45.   def on_session_message(_session_name, _msg_type, %InMessage{} = msg, _env) do
  46.     Logger.info "Session msg received: #{inspect Parser.parse2(msg)}"
  47.   end
  49.   def on_logout(_session_id, _env), do: :ok
  50. end
  52. ExFix.start_session_initiator("simulator", "BUY", "SELL", MySessionHandler,
  53.   hostname: "localhost", port: 9876, username: "user1", password: "pwd1",
  54.   transport_mod: :ssl)

Output

  1. [debug] Starting FIX session: [simulator]
  2. [debug] [simulator] Trying to connect to localhost:9876...
  3. [info]  [fix.outgoing] [simulator] 8=FIXT.1.1^A9=94^A35=A^A34=1^A49=BUY^A52=20170806-20:25:24.194^A56=SELL^A98=0^A108=60^A141=Y^A553=user1^A554=pwd1^A1137=9^A10=012^A
  4. [info]  [fix.incoming] [simulator] 8=FIXT.1.1^A9=75^A35=A^A34=1^A49=SELL^A52=20170806-20:25:24.196^A56=BUY^A98=0^A108=60^A141=Y^A1137=9^A10=234^A
  5. [info]  Session msg received: %ExFix.InMessage{complete: true, error_reason: nil, fields: [{"35", "A"}, {"34", "1"}, {"49", "SELL"}, {"52", "20170806-20:25:24.196"}, {"56", "BUY"}, {"98", "0"}, {"108", "60"}, {"141", "Y"}, {"1137", "9"}], msg_type: "A", original_fix_msg: <<56, 61, 70, 73, 88, 84, 46, 49, 46, 49, 1, 57, 61, 55, 53, 1, 51, 53, 61, 65, 1, 51, 52, 61, 49, 1, 52, 57, 61, 83, 69, 76, 76, 1, 53, 50, 61, 50, 48, 49, 55, 48, 56, 48, 54, ...>>, other_msgs: "", poss_dup: false, rest_msg: "", seqnum: 1, subject: nil, valid: true}
  6. [info]  session_update_status [simulator] - Status: :connected
  7. [info]  [fix.outgoing] [simulator] 8=FIXT.1.1^A9=126^A35=D^A34=2^A49=BUY^A52=20170806-20:25:24.202^A56=SELL^A1=1234^A11=cod12345^A38=10^A40=2^A44=1.23^A54=1^A55=SYM1^A60=20170806-20:25:24.202^A10=081^A
  8. [info]  [fix.incoming] [simulator] 8=FIXT.1.1^A9=118^A35=8^A34=2^A49=SELL^A52=20170806-20:25:24.203^A56=BUY^A1=1234^A6=1.23^A14=10^A17=2^A31=1.23^A37=2^A39=2^A54=1^A55=SYM1^A150=2^A151=0^A10=151^A
  9. [info]  App msg received: %ExFix.InMessage{complete: true, error_reason: nil, fields: [{"35", "8"}, {"34", "2"}, {"49", "SELL"}, {"52", "20170806-20:25:24.203"}, {"56", "BUY"}, {"1", "1234"}, {"6", "1.23"}, {"14", "10"}, {"17", "2"}, {"31", "1.23"}, {"37", "2"}, {"39", "2"}, {"54", "1"}, {"55", "SYM1"}, {"150", "2"}, {"151", "0"}], msg_type: "8", original_fix_msg: <<56, 61, 70, 73, 88, 84, 46, 49, 46, 49, 1, 57, 61, 49, 49, 56, 1, 51, 53, 61, 56, 1, 51, 52, 61, 50, 1, 52, 57, 61, 83, 69, 76, 76, 1, 53, 50, 61, 50, 48, 49, 55, 48, 56, 48, ...>>, other_msgs: "", poss_dup: false, rest_msg: "", seqnum: 2, subject: nil, valid: true}

Two-phase parse

This library allows to parse the FIX message until certain tags are found. At that
point it is possible to send the message to another process (for example, a Book process,
Account process, etc) to complete the parse and execute business logic specifically for
the message’s subject.

As can be seen in the benchmarks below, the two-phase parse substantially decreases
the time spent in the network client process.

To Do list

This is a work in progress. Here is a list of some pending tasks, PRs are welcome.

  • Documentation and more examples
  • Session Logon with ResetSeqNumFlag=N.
  • Multiple hosts configuration, for failover
  • Socket client optimizations
  • Application level:
    • Dictionary based message parse/validation/serialization
    • Automatic generation of parser/validator/serializer from XML dictionary file
    • Repeating groups
  • FIX session acceptor
  • Session scheduling (integration with 3rd party job management libraries)
  • etc.

Benchmarks

Elixir can’t beat the performance of C/C++/Rust, but this library lets you avoid
communication time between an external FIX initiator and the Erlang VM.
In addition, there are fewer dependencies and number of possible failure points.

  • HW: MacBook Pro M1 16 GB RAM
  • Elixir 1.18.3 / Erlang 27
  • Parser benchmark: Execution Report with 155 bytes.
  • Serializer benchmark: New Order Single with 115 bytes.
  1. $ mix bench -d 2
  2. ...
  3. ## ExFixBench
  4. benchmark name                         iterations   average time 
  5. Parse - Stage 1 (without validation)      1000000   2.31 µs/op
  6. Parse - Stage 1                           1000000   2.76 µs/op
  7. Serialize                                 1000000   5.65 µs/op
  8. Parse - Full Msg (without validation)      500000   5.84 µs/op
  9. Parse - Full Msg                           500000   6.74 µs/op

Maintainer

Santiago Fernandez <santif@gmail.com> (Author)

License

Copyright (c) 2021 Matriz S.A.
http://www.matriz.com.ar

Licensed under the Apache License, Version 2.0 (the “License”);
you may not use this file except in compliance with the License.
You may obtain a copy of the License at

  1. http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software
distributed under the License is distributed on an “AS IS” BASIS,
WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
See the License for the specific language governing permissions and
limitations under the License.