Tag-Value interface

By tag access to message fields and groups. More...

Namespaces
	Cme::Mdp::FIXTag

Classes
struct	Cme::Mdp::TagValue
	Lightweight TagValue wrapper for generated messages. More...
struct	Cme::Mdp::Group

Typedefs
typedef Message< TagValue >	Cme::Mdp::FIXMessage

Detailed Description

By tag access to message fields and groups.

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Cme::Mdp::TagValue interface provides uniform access to MDP3 messages.
Raw C++ messages provide ultra low latency access to message fields and groups, but require to override many onMessage methods.
E.g. MDP3 schema contains 9 different templates for incremental(35=X) updates, which means that if all of them are needed to process - 9 onMessage() callbacks are to be overriden.

With TagValue interface it is enough to override only one InstrumentListener::onIncrementMessage callback, which make the code less complicated.
FIXMessage can be enabled on a per-service basis via MarketDataServiceOptions::useFIXUpdates_ property

Please note that although TagValue interface is lightweight, it does not require any memory allocations and provide low latency access, reading fields by tag is about 2 times slower than than using regular C++ messages. E.g. if reading all fields from Cme::Mdp::MBPIncBookMsg takes ~20ns, using TagValue would take 40-50 ns.

Example: receiving security definition messages

//
struct MsgListener : public ResolverListener
{
    // three callbacks to be implemented to receive futures, spreads and options
    ResolverControlCode onMessage(Resolver* resolver, const InstrumentFutureMsg&)
    {
    }
    ResolverControlCode onMessage(Resolver* resolver, const InstrumentSpreadMsg&)
    {
    }
    ResolverControlCode onMessage(Resolver* resolver, const InstrumentOptionMsg& msg) 
    {
        i32 id = msg.getSecurityID();
        StringRef type = msg.getSecurityType();

        auto mei = msg.getMatchEventIndicator();
        auto status = msg.getMDSecurityTradingStatus();

        for(auto it = msg.getMDFeedTypesIterator(); it.isValid(); ++it)
        {
            auto entry = it.get();
            auto type = entry.getEventType();
            auto time = entry.getEventTime();
        }
    }
}

Example: receiving security definition messages via FIX interface

//
struct MsgListener : public ResolverListener
{
    // single callback is required
    ResolverControlCode onSecDefMessage(Resolver* resolver, const FIXMessage& msg)
    {
        i32 id = msg.getAsInt32(FIXTag::SecurityID);
        StringRef symbol = msg.getAsString(FIXTag::SecurityType);

        auto mei = get<MatchEventIndicatorSet>(FIXTag::MatchEventIndicator);
        auto status = get<SecurityTradingStatus>(FIXTag::MDSecurityTradingStatus);

        if (msg.isSupported(FIXTag::NoMDFeedTypes)
        {
            auto group = msg.getGroup(FIXTag::NoMDFeedTypes);

            for(auto i = 0; i < group.size(); ++i)
            {
                auto entry = group.getEntry(i);
                auto type = entry.get<EventType>(FIXTag::EventType);
                auto time = entry.getAsUInt64(FIXTag::EventTime);
            }
        }
    }

Typedef Documentation

typedef Message< TagValue > Cme::Mdp::FIXMessage