fixparser/examples/example_quickfix_executor.ts

FIX.Latest / 5.0 SP2 Parser / AI Agent Trading

/**
 * This example will connect to the C++ QuickFIX engine.
 * Clone https://github.com/quickfix/quickfix
 * build and run ./bin/run_tradeclient.sh.
 *
 * FIX session flow:
 * Initiator (us) connects over TCP to port 5001.
 * Upon connection, QuickFIX sends a Logon message. We respond to the Logon message.
 * You can send orders from QuickFIX. We respond with a ExecutionReport.
 */
import {
    ExecType,
    FIXServer,
    Field,
    Fields,
    LicenseManager,
    type Message,
    Messages,
    OrdStatus,
} from 'fixparser/FIXServer';

const SENDER: string = 'EXECUTOR';
const TARGET: string = 'CLIENT1';

const initializeConnection = async () => {
    // NOTE: This feature requires a FIXParser Pro license
    await LicenseManager.setLicenseKey(process.env.FIXPARSER_LICENSE_KEY);

    const fixServer = new FIXServer();
    fixServer.createServer({
        host: 'localhost',
        port: 5001,
        sender: SENDER,
        target: TARGET,
        onOpen: () => console.log('Open'),
        onMessage: (message: Message) => {
            console.log('server received message', message.description, message.messageString.replace(/\x01/g, '|'));
            // Respond with ExecutionReport
            if (message.messageType === Messages.NewOrderSingle) {
                sendExecutionReport(message);
            }
        },
        onClose: () => console.log('Disconnected'),
    });

    const sendExecutionReport = (message: Message) => {
        const executionReport = fixServer.createMessage(
            new Field(Fields.MsgType, Messages.ExecutionReport),
            new Field(Fields.MsgSeqNum, fixServer.getNextTargetMsgSeqNum()),
            new Field(Fields.SenderCompID, SENDER),
            new Field(Fields.SendingTime, fixServer.getTimestamp()),
            new Field(Fields.TargetCompID, TARGET),
            new Field(Fields.AvgPx, message.getField(Fields.Price) ? message.getField(Fields.Price)?.value : 0),
            new Field(
                Fields.ClOrdID,
                message.getField(Fields.ClOrdID) ? message.getField(Fields.ClOrdID)?.value : 'N/A',
            ),
            new Field(
                Fields.ExecID,
                message.getField(Fields.ClOrdID) ? message.getField(Fields.ClOrdID)?.value : 'N/A',
            ),
            new Field(Fields.ExecType, ExecType.New),
            new Field(Fields.CumQty, message.getField(Fields.OrderQty) ? message.getField(Fields.OrderQty)?.value : 0),
            new Field(Fields.Symbol, message.getField(Fields.Symbol) ? message.getField(Fields.Symbol)?.value : 'N/A'),
            new Field(Fields.LastPx, message.getField(Fields.Price) ? message.getField(Fields.Price)?.value : 0),
            new Field(
                Fields.OrderID,
                message.getField(Fields.ClOrdID) ? message.getField(Fields.ClOrdID)?.value : 'N/A',
            ),
            new Field(
                Fields.OrderQty,
                message.getField(Fields.OrderQty) ? message.getField(Fields.OrderQty)?.value : 0,
            ),
            new Field(Fields.OrdStatus, OrdStatus.Filled),
            new Field(Fields.Side, message.getField(Fields.Side) ? message.getField(Fields.Side)?.value : 'N/A'),
            new Field(Fields.LeavesQty, 0),
        );
        const messages = fixServer.parse(executionReport.encode());
        console.log('sending message', messages[0].description, messages[0].messageString.replace(/\x01/g, '|'));
        fixServer.send(executionReport);
    };
};

initializeConnection().catch((err) => console.error('Error initializing connection:', err));