fix-message decoding (groups = vector)

[awb99]

The FIX Protocol requires that fields within repeating groups follow the same order as listed in the message definition within the FIX Specification document.

; fix-dictionary definition
{:msg-type “W”
 :name “MarketDataFullRefresh”
 :type :vector
 :fields [{:tag 55 :name :symbol :type :string}
            {:tag 109 :name subscription-id :type :integer :optional true}
           {:tag 205 :name :no-quotes :type :vector
            :fields [{:tag 209 :name :price :type :double}
                        {:tag 210 :name :side :type :enum]}
                        {:tag 211 :name :ordertype :type :enum :optional true]}
]}

; example fix message
; note that all optional fields are missing, and this is still a valid fix message.
[55 "EURUSD"
 205 2    ; group quotes, 2 quotes follow, tags need to be in order
 209 1.1077 ;quote1 price
 210 1 ;quote1 side
 209 1.0998 ;quote2 price
 210 2] ; quote2 side

; decoded message
{:symbol "EURUSD"
 :quotes [{:side :sell :price 1.1077}
               {:side :buy :price 1.0998}]}

;; note: fix messages also have a header (ids and time) and a footer (checksum)

Seq of tag-value-tuples

(declare decode-vector)

(defn decode-tag-value [field tag-value read-next]
(let [[tag value] tag-value]
  (if tag
    (let [{:keys [name type fields]} field]
(case type
  :string [name value]
  :integer [name (to-int value)]
  :double [name (to-double value)]
  :vector [name (decode-vector value fields read-next)]))
  [:end nil])))

(defn decode-component [fields read-next read-undo]
(map (fn [field]
            (let [tag-value (read-next)]
            (if (= (:tag tag-value) (:tag field)
               (decode-tag-value field tag-value read-next)
               (do (read-undo)      
               nil)) fields))

(defn decode-vector [nr fields read-next read-undo]
  (map. #(decode-component fields read-next read-undo) (range nr)))

(defn decode-msg [fields read

[awb99]

api differences are explained here as well: https://github.com/newstrading/NT-universalfx/tree/master/Documents/TradingApis

[awb99]

nice fix message specification for ctrader: https://help.ctrader.com/fix/specification/#background-of-fix-api-in-fx-trading its downloaded to spec/ctrader

[awb99]

rapidaddition specs are in spec/rapid onix specs are in spec/onix

[awb99]

FIX Dictionaries

• as edn (not json) - why? 1. more compact, 2. can add comments. 3. can use keywords
• perhaps utilize this format instead of the json that we use at the moment: https://help.ctrader.com/fix/FIX44-CSERVER.xml
• message decoding: support vectors (applies to marketdata-snapshot + security-list-response)