B2BITS FIX Antenna HFT  1.0.13
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fix_algo.h File Reference
#include <boost/ptr_container/ptr_vector.hpp>
#include <TimeUtils.h>
#include <B2BITS_FIXMessagePool.h>
#include <B2BITS_Session.h>
+ Include dependency graph for fix_algo.h:

Classes

class  fix_algo::MlegTags
 

Namespaces

 fix_algo
 

Macros

#define FIX_ALGO_GLOB_VARS   namespace fix_algo { MlegTags g_mlegGrp; }
 

Typedefs

typedef boost::function< void(Parser::LiteFixMessage &)> fix_algo::FN_setGenManualCxlClordId
 

Functions

static void fix_algo::copyTag (int tag, const Parser::LiteFixMessage &srcMsg, Parser::LiteFixMessage &trgMsg, int startIndex, int endIndex)
 
static void fix_algo::copyTag (int srcTag, int trgTag, const Parser::LiteFixMessage &srcMsg, Parser::LiteFixMessage &trgMsg, int startIndex, int endIndex)
 
static void fix_algo::copyTag (int tag, const Parser::LiteFixMessage &src, Parser::LiteFixMessage &trg)
 
static void fix_algo::copyTag (int srcTag, int trgTag, const Parser::LiteFixMessage &src, Parser::LiteFixMessage &trg)
 
static void fix_algo::copyTagGroup (const std::vector< int > &tags, const Parser::LiteFixMessage &src, Parser::LiteFixMessage &trg, int begin, int end)
 
static void fix_algo::copyTagOrClear (int tag, const Engine::FIXMessage &srcMsg, Engine::FIXMessage &trgMsg, Engine::FIXFieldValue &v)
 
static void fix_algo::copyTagOrClear (int tag, const Parser::LiteFixMessage &srcMsg, Engine::FIXMessage &trgMsg, Engine::FIXFieldValue &v, int startIndex, int endIndex)
 
static void fix_algo::copyTagOrSetDef (int tag, const char *defaultValue, const Engine::FIXMessage &srcMsg, Engine::FIXMessage &trgMsg, Engine::FIXFieldValue &v)
 
static bool fix_algo::copyTagOrSetDef (int tag, const char *defaultValue, const Parser::LiteFixMessage &srcMsg, Engine::FIXMessage &trgMsg, Engine::FIXFieldValue &v, int startIndex, int endIndex)
 
template<class FixApplicationT >
static void fix_algo::fill_reject (FixApplicationT *app, const Engine::FIXMessage *msg, const char *reason, int reason_len, Engine::FIXMessage **msgToSend, uint64_t orderID37=0)
 
template<class FixApplicationT >
static void fix_algo::fill_reject (FixApplicationT *app, const Parser::LiteFixMessage *msg, const char *reason, int reason_len, Engine::FIXMessage *msgToSend[2], boost::ptr_vector< Parser::LiteFixMessage > &msgToSendV, Parser::LiteFixMessage *rejectMsg_8, Parser::LiteFixMessage *rejectMsg_9)
 
static void fix_algo::fill_reject_8 (const Engine::FIXMessage &orderMsg, Engine::FIXMessage &msg, const char *reason, int reason_len, uint64_t orderID37=0)
 
template<class FixApplicationT >
static void fix_algo::fill_reject_8_complex (FixApplicationT *app, const Parser::LiteFixMessage &orderMsg, boost::ptr_vector< Parser::LiteFixMessage > &msgToSendV, const char *reason, int reason_len, int Begin=0, int End=-1)
 
template<class FixApplicationT >
static void fix_algo::fill_reject_8_cross (FixApplicationT *app, const Parser::LiteFixMessage &orderMsg, boost::ptr_vector< Parser::LiteFixMessage > &msgToSendV, const char *reason, int reason_len)
 
template<class FixApplicationT >
static void fix_algo::fill_reject_8_order_list (FixApplicationT *app, const Parser::LiteFixMessage &orderMsg, boost::ptr_vector< Parser::LiteFixMessage > &msgToSendV, const char *reason, int reason_len)
 
static void fix_algo::fill_reject_9 (const Engine::FIXMessage &orderMsg, Engine::FIXMessage &msg, const char *reason, int reason_len, uint64_t orderID37=0)
 
template<class FixApplicationT >
static void fix_algo::fill_reply_8_complex (FixApplicationT *app, bool isReject, const Parser::LiteFixMessage &orderMsg, boost::ptr_vector< Parser::LiteFixMessage > &msgToSendV, const char *reason, int reason_len, int Begin, int End)
 
template<class FixApplicationT >
static void fix_algo::fill_reply_8_cross (FixApplicationT *app, bool isReject, const Parser::LiteFixMessage &orderMsg, boost::ptr_vector< Parser::LiteFixMessage > &msgToSendV, const char *reason, int reason_len)
 
template<class FixApplicationT >
static void fix_algo::fill_reply_8_order_list (FixApplicationT *app, bool isReject, const char *clordid, const Parser::LiteFixMessage &orderMsg, boost::ptr_vector< Parser::LiteFixMessage > &msgToSendV, const char *reason, int reason_len)
 
template<class FixApplicationT >
static void fix_algo::fill_ucxl (FixApplicationT *app, const char *clordid, const Parser::LiteFixMessage *msg, const char *reason, int reason_len, Engine::FIXMessage *msgToSend[2], boost::ptr_vector< Parser::LiteFixMessage > &msgToSendV, Parser::LiteFixMessage *ucxlMsg_8)
 
static void fix_algo::fill_ucxl_8 (const Engine::FIXMessage &orderMsg, Engine::FIXMessage &msg, const char *reason, int reason_len)
 
template<class FixApplicationT >
static void fix_algo::fill_ucxl_8_complex (FixApplicationT *app, const Parser::LiteFixMessage &orderMsg, boost::ptr_vector< Parser::LiteFixMessage > &msgToSendV, const char *reason, int reason_len, int Begin=0, int End=-1)
 
template<class FixApplicationT >
static void fix_algo::fill_ucxl_8_cross (FixApplicationT *app, const Parser::LiteFixMessage &orderMsg, boost::ptr_vector< Parser::LiteFixMessage > &msgToSendV, const char *reason, int reason_len)
 
template<class FixApplicationT >
static void fix_algo::fill_ucxl_8_order_list (FixApplicationT *app, const char *clordid, const Parser::LiteFixMessage &orderMsg, boost::ptr_vector< Parser::LiteFixMessage > &msgToSendV, const char *reason, int reason_len)
 
static void fix_algo::fillStreetCancel (const char *clordid, const Engine::AsciiString &orderID37, const Parser::LiteFixMessage &orderMsg, const char *reason, Parser::LiteFixMessage &msg, FN_setGenManualCxlClordId setGenManualCxlClordId, bool isBOX, bool isNYSE, bool isARCA_or_AMEX_for_complex=false, const std::vector< int > &mlegGrpTags=g_mlegGrp.tags_)
 
static const char * fix_algo::findTag (const char *msgBuf, int msgLen, const char *sohTagEqualSignToFind, int sohTagEqualSignToFind_len, int *tagValueFound_len)
 
static bool fix_algo::getGTCPersistedProps (const Parser::LiteFixMessage &msg, bool &isExchange, bool &isOut, Engine::AsciiString &clientClordID, Engine::AsciiString &tag6606, Engine::AsciiString &account, Engine::AsciiString &traderCompID, Engine::AsciiString &clientID, uint64_t &orderID37)
 
static bool fix_algo::getTag (int tag, const Parser::LiteFixMessage &srcMsg, int startIndex, int endIndex, const char **value, int *length)
 
static Engine::AsciiString fix_algo::getTag (int tag, const Parser::LiteFixMessage &srcMsg, int startIndex, int endIndex)
 
static int fix_algo::getTagAsInt (const Parser::LiteFixMessage &msg, int tag, int start, int end)
 
static Engine::AsciiString fix_algo::getTagAsString (const Parser::LiteFixMessage &msg, int tag, int start, int end)
 
static void fix_algo::initMsg (Parser::LiteFixMessage *msg, const char *msgType)
 
template<class FieldValueT >
static bool fix_algo::isAB (const FieldValueT &type)
 
template<class FieldValueT >
static bool fix_algo::isAC (const FieldValueT &type)
 
template<class FieldValueT >
static bool fix_algo::isComplexOrderType (const FieldValueT &type)
 
template<class FieldValueT >
static bool fix_algo::isCrossOrListType (const FieldValueT &type)
 
template<class FieldValueT >
static bool fix_algo::isCrossType (const FieldValueT &type)
 
template<class FieldValueT >
static bool fix_algo::isD (const FieldValueT &type)
 
template<class FieldValueT >
static bool fix_algo::isDG (const FieldValueT &type)
 
template<class FieldValueT >
static bool fix_algo::isDGF (const FieldValueT &type)
 
template<class FieldValueT >
static bool fix_algo::isDGF (const Parser::LiteFixMessage &msg, const FieldValueT &type, bool &isComplex_CBOE_Order)
 
template<class FieldValueT >
static bool fix_algo::isEB (const FieldValueT &type)
 
template<class FieldValueT >
static bool fix_algo::isG (const FieldValueT &type)
 
template<class FieldValueT >
static bool fix_algo::isGF (const FieldValueT &type)
 
static bool fix_algo::isMLEG167 (const Parser::LiteFixMessage &msg)
 
template<class FieldValueT >
static bool fix_algo::isOrderListType (const FieldValueT &type)
 
static bool fix_algo::isSMHTag (int tag)
 
template<class FixApplicationT >
static Parser::LiteFixMessagefix_algo::new_8_for_reject (FixApplicationT *app)
 
template<class FixApplicationT >
static Parser::LiteFixMessagefix_algo::new_8_for_ucxl (FixApplicationT *app)
 
template<class FixApplicationT >
static Parser::LiteFixMessagefix_algo::new_9_for_reject (FixApplicationT *app)
 
template<class FixApplicationT >
Parser::LiteFixMessagefix_algo::new_F (FixApplicationT *app)
 
template<class FixApplicationT >
Parser::LiteFixMessagefix_algo::new_GMDAck (FixApplicationT *app)
 
template<class FixApplicationT >
static Parser::LiteFixMessagefix_algo::new_j_for_reject (FixApplicationT *app)
 
template<class FixApplicationT >
Parser::LiteFixMessagefix_algo::new_testReq (FixApplicationT *app)
 
template<class FixApplicationT >
static Parser::LiteFixMessagefix_algo::newMessage (FixApplicationT *app, const char *msgType)
 
static void fix_algo::reorderSMHForMiax (Parser::LiteFixMessage &msg, const std::string &sender, const std::string &target, const std::string &senderSubID, const std::string &targetSubID, Engine::FIXMessagePool *tmpMsgPool, Engine::PutMessageOptions &opt)
 
static void fix_algo::stripGTCPersistedProps (Parser::LiteFixMessage &msg)
 
static Parser::LiteFixMessagefix_algo::toLiteMessage (Engine::FIXMessage *msg)
 
template<class FixApplicationT >
static Parser::LiteFixMessagefix_algo::turnToLiteMessage (FixApplicationT *app, Engine::FIXMessage *msg, int initMaxFields=0)
 
static Parser::LiteFixMessagefix_algo::turnToLiteMessageGlob (Engine::FIXMessage *msg, int initMaxFields=0)
 

Variables

MlegTags fix_algo::g_mlegGrp
 

Macro Definition Documentation

#define FIX_ALGO_GLOB_VARS   namespace fix_algo { MlegTags g_mlegGrp; }