c# - QuickFix/N 如何最好地处理多个 FIX 版本

Question

我连接到几个都使用 FXI4.2 的 API，但现在我想连接到另一个使用自己的 FIX4.4 版本的 API。

我有一个向各种 API 发送订单的路由器应用程序，看来我需要复制我的所有方法(例如 OnMessage()、NewSingleOrder 等)以应对 2 个 FIX 协议(protocol)。

是否有更聪明的方法来避免这种重复？

主持人:我知道这现在有点开放，但一旦我得到一些初步反馈，我会添加一些代码片段。

public void OnMessage(QuickFix.FIX42.MarketDataIncrementalRefresh message, SessionID sessionID)
{
    int count = message.NoMDEntries.getValue();
    QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup repeatingMDItem = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();

    DateTime sourceDT = DateTime.ParseExact(message.Header.GetField(52), "yyyyMMdd-HH:mm:ss.fff", ci);
    DateTime dt = TimeZoneInfo.ConvertTimeToUtc(sourceDT, utcZone);
    DateTime nowUTC = TimeZoneInfo.ConvertTime(DateTime.UtcNow, utcZone, utcZone);
    TimeSpan diffToUK = nowUTC - dt;

    for (int i = 1; i <= count; i++)
    {

        message.GetGroup(i, repeatingMDItem);

        String symbol = repeatingMDItem.GetField(55);

        int tickBandNoDecPlaces = int.Parse(repeatingMDItem.GetField(5071));
        masterForm.MDATA.AddData(symbol, tickBandNoDecPlaces, sourceDT);
    }
}

问题:FIX44 会接受所有以前的 FIX 吗？

我怎样才能使它与哪个 FIX 版本无关？

        public void OnMessage(QuickFix.FIX42.MarketDataSnapshotFullRefresh message, SessionID sessionID)
        {
            OnMessageAgnostic(message, sessionID);
        }

        public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh message, SessionID sessionID)
        {
            OnMessageAgnostic(message, sessionID);
        }

        public int FixVersion(QuickFix.Message message)
        {
               switch (message.GetString(8)) // BeginString
                    {
                        case Values.BeginString_FIX42:
                            return 42;
                        case Values.BeginString_FIX44:
                            return 44;
                        default:
                            throw new NotSupportedException("This version of FIX is unsupported");
                    }
        }

        public void OnMessageAgnostic(QuickFix.Message message, SessionID sessionID)
        {

             int count;
             if (FixVersion(message)==44)
             {
                  count = ((QuickFix.FIX44.MarketDataSnapshotFullRefresh)message).NoMDEntries.getValue();
             }
        }

Answer 1

问题在于，来自不同版本的 FIX 消息类型除了它们的基类之外没有任何关系 - 在最低级别，所有 FIX 消息都派生自 Message。您需要从消息中获取所需的信息，以与版本无关的方式(尽可能)对其进行打包，然后针对这些与版本无关的数据结构编写代码。

我建议你让 message cracker 为你做初始过滤，如果你可以让它处理的话，然后将消息提供给可以处理特定类型消息的处理程序:

public void OnMessage(QuickFix.FIX42.MarketDataIncrementalRefresh message, SessionID sessionID)
{
    this.marketDataIncrementalRefreshHandler.Handle(message);
}

public void OnMessage(QuickFix.FIX44.MarketDataIncrementalRefresh message, SessionID sessionID)
{
    this.marketDataIncrementalRefreshHandler.Handle(message);
}

... elsewhere ...

public interface FixMessageHandler
{
    void Handle(Message msg);
}

public class MarketDataIncrementalRefreshHandler : FixMessageHandler
{
    public void Handle(Message msg)
    {
        DateTime sourceDT = DateTime.ParseExact(message.Header.GetField(52), "yyyyMMdd-HH:mm:ss.fff", ci);
        DateTime dt = TimeZoneInfo.ConvertTimeToUtc(sourceDT, utcZone);
        DateTime nowUTC = TimeZoneInfo.ConvertTime(DateTime.UtcNow, utcZone, utcZone);
        TimeSpan diffToUK = nowUTC - dt;

        var noMDEntriesGroups = this.GetAllNoMDEntries(msg)
        foreach (var noMDEntriesGroup in noMDEntriesGroups)
        {
            masterForm.MDATA.AddData(
                noMDEntriesGroup.Symbol,
                noMDEntriesGroup.TickBandNoDecPlaces,
                sourceDT);
        }
    }

    private IEnumerable<NoMDEntriesGroup> GetAllNoMDEntries(Message msg)
    {
        switch (message.GetString(8)) // BeginString
        {
            case Values.BeginString_FIX42:
                return this.GetAllNoMDEntries((QuickFix.FIX42.MarketDataSnapshotFullRefresh)msg);
            case Values.BeginString_FIX44:
                return this.GetAllNoMDEntries((QuickFix.FIX44.MarketDataSnapshotFullRefresh)msg);
            default:
                throw new NotSupportedException("This version of FIX is unsupported");
        }
    }

    private IEnumerable<NoMDEntriesGroup> GetAllNoMDEntries(QuickFix.FIX42.MarketDataSnapshotFullRefresh msg)
    {
        int count = message.NoMDEntries.getValue();
        QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup repeatingMDItem = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
        for (int i = 1; i <= count; i++)
        {
            message.GetGroup(i, repeatingMDItem);

            yield return new NoMDEntriesGroup
            {
                Symbol = repeatingMDItem.GetField(55),
                TickBandNoDecPlaces = int.Parse(repeatingMDItem.GetField(5071)
            };
        }
    }

    private IEnumerable<NoMDEntriesGroup> GetAllNoMDEntries(QuickFix.FIX44.MarketDataSnapshotFullRefresh msg)
    {
        // Should be practically identical to the above version, with 4.4 subbed for 4.2
    }

    private class NoMDEntriesGroup
    {
        public string Symbol { get; set; }
        public int TickBandNoDecPlaces { get; set; }
    }
}