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I am new to quickfix (I'm a student trying to teach myself), and have downloaded the examples from quickfix.org (in c++) and have been able to connect ordermatch to tradeclient and get them talking to each other. I changed the config file for ordermatch to allow multiple clients and got that working (ordermatch can receive orders from multiple clients and manage the order book).

I have been trying to find a way to alter ordermatch to send it's confirm messages to ALL clients, not just the sender.

I have a seperate implementation of a limit orderbook and want to crack the incoming messages (orders, cancels, etc) and store them in my limit orderbook. My orderbook watches the book an makes trading decisions based on it. The problem is, I can't figure out how to get ordermatch to send all updates to this client. Further, I am having a hard time figuring out how to "soup up" the tradeclient to not only send orders, but receive and crack them.

I'm thinking I need to have an acceptor and an initator in each application(in ordermatch and in one of the tradeclients)--I've read this is possible and common but can't find any sample code. Am I on the right track here, or is there a better way to set this up? Does anybody have some sample code they can share? I am not planning on using this for live trading so crude code is perfectly fine by me.

Thanks in advance

Brandon

Brandon
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  • Could you pass on the website or link where you read that the same application can be used both as an initiator and acceptor ? – DumbCoder May 10 '11 at 07:48
  • Hi Brandon, In general, any question you ask and you get the right answer, pls mark the answer as accepted (add a vote-up first if you want). This way it helps other people looking at the question. And sends a good acknowledgement to the person who answered. It also increases your chances of getting good answers. – Groovy Oct 05 '11 at 12:43

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Same application can act as Initiator for one session and Acceptor for different session. Infact you can have multiple Acceptor/Initiator sessions from same application. Config file needs to define multiple sessions. Or you can have separate config file for each session.

Groovy
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  • Thanks! I forgot to come back over here and say that I was able to pull this off using seperate configs for each session. – Brandon Aug 31 '11 at 04:05
  • Just because you can, doesn't mean you should though. Using the same fix application instance for acceptor and initiator will lead to all sorts of confusion – Andrew Rimmer Apr 12 '13 at 12:31
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If I understand correctly, I think what you're trying to do is intercept messages between an OMS and a broker (c.f. client and server) and act depending on what they contain. There are a few ways you could do this, including intercepting at the TCP layer, but I think that the easiest way might be to use 2 separate programs as @DumbCoder suggests and connect to one of them as an acceptor from your clients, process the messages and then pass them on to another program via another protocol and then send them on from the other program. Theoretically you can create another instance of the engine in your program and, by using different config files on creation (when FIX::FileStoreFactory storeFactory(*settings); is called) of each instance of the engine. However, I have never seen this done and so feel that it could cause problems. If you do try this method I would strongly advise putting the initiator and the connector in different dlls which might just separate the two engine instances enough.

MD-Tech
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  • TECH that is what I'm trying to do. I've never done anything similar to @DumbCoder and your suggestion. Does this idea have a general name? What protocol would you suggest (or what do you mean) when you say "via another protocol..". I'm looking for some hints at key words to start googling. In my mind I was thinking of trying to do what you said was theoretically possible (calling seperate configs) so if I figure out how to make that work I'll post a link to some code. How do I make sure I have the initiator/acceptor in different dlls? Thanks again. – Brandon May 13 '11 at 03:29
  • @Brandon - Rather than using a protocol based transfer, you can use a messaging library and not worry about everything. – DumbCoder May 13 '11 at 08:00
  • @DumbCoder I meant to imply that he should use messaging libraries and not the raw protocol, thanks for clarifying for me. – MD-Tech May 13 '11 at 08:18
  • @Brandon I would probably use xml for the transfer over internal tcp/ip connection (choose a library) as we use xml a lot here for RPCs etc. The dll solution requires making 3 projects; an acceptor, an initiator and the main program. All other than the main program are set to output dlls and these dlls are imported by your main program. If you need further help with this I can provide (work willing) – MD-Tech May 13 '11 at 08:21