Exchange | FIX Gateway & Session Manager

The exchange_fix component is a standalone server responsible for handling client connections over the Financial Information eXchange (FIX) protocol. It acts as the primary gateway for clients to submit orders to the BetaTrader trading engine.

Overview

This component implements a fully asynchronous, multi-client FIX server using the Asio networking library. It listens for incoming TCP connections, manages client sessions, and translates FIX messages into commands for the exchange_app.

Key Responsibilities

• Accepting Connections: Listens on a configured TCP port for new client connections.
• Session Management: Manages the lifecycle of each client session via FixSessionManager, including authentication and sequence number validation.
• Message Processing:
  • Deserializes FIX messages into internal request objects.
  • Uses OutboundMessageBuilder for consistent, protocol-compliant binary FIX serialization (BodyLength, Checksum).
  • Submits commands to the exchange_app.
• Execution Reporting:
  • Subscribes to execution events and routes them to the correct session.

Architecture

The system is designed with a clear separation of concerns between the transport layer (exchange_fix) and the business logic layer (exchange_app / exchange_matching). Communication is achieved via an asynchronous publisher-subscriber pattern.

graph TD
    subgraph "Client"
        C[FIX Client]
    end
 
    subgraph "@fix (Transport & Adaptor Layer)"
        A[Asio Acceptor] -->|Creates| S1[FixSession 1]
        A -->|Creates| S2[FixSession 2]
        
        S1 --"1. Submits Commands"--> TC_REF
        S2 --"1. Submits Commands"--> TC_REF
        TC_REF(TradingCore Ref)
 
        SERVER[FixServer] -- "Owns" --> MGR[FixSessionManager]
        MGR -- "Authenticates" --> S1
        MGR -- "Uses" --> SEQ_REPO[SequenceRepository]
        
        SUB[Subscriber] --"3. Forwards Report"--> SERVER
        SERVER --"4. Dispatches to Session"--> S1
    end
 
    subgraph "exchange_app / exchange_matching"
        TC[TradingCore Instance] --"2. Publishes fix::ExecutionReport"--> SUB
    end
 
    C --"TCP Link"--> A

Key Components

• **FixServer**: Top-level server class that owns the Asio acceptor and session map.
• **FixSession**: Represents a single connected client, managing the async read/write loop.
• **FixSessionManager**: Thread-safe manager of session state, keyed by SenderCompID (not connection ID). Maintains a two-map indirection (connectionId → compId → SessionState) so that sequence numbers persist across client reconnections. All public methods are mutex-protected for safe cross-thread access.
• **OutboundMessageBuilder**: Centralized utility for constructing binary FIX strings including Checksum and BodyLength.
• **FixUtils**: Shared parsing and formatting helpers.

Session Lifecycle

1. Connection: TCP connection is accepted and a FixSession is created.
2. Logon (35=A): FixSessionManager authenticates the SenderCompID against the database and links the connection ID to the CompID.
3. Authentication & Recovery: Retrieves or initializes persistent sequence numbers for the CompID via SequenceRepository. Existing state survives across reconnections.
4. Sequencing: Every subsequent message must have a valid MsgSeqNum (34). Gaps trigger a ResendRequest. Outbound sequences are incremented and persisted atomically via useNextOutboundSequence().
5. Logout (35=5): Outbound sequence is captured first, then the session is marked offline. Connection mapping is cleaned up after the logout acknowledgment is sent.

Order Lifecycle

The FIX Gateway translates client messages into internal commands and routes them to the exchange_app:

• New Order Single (35=D) -> trading_core::NewOrder
• Order Cancel Request (35=F) -> trading_core::CancelOrder
• Order Cancel/Replace Request (35=G) -> trading_core::ModifyOrder

Building and Running

The FIX server is built as a separate executable target named fix_server.

1. Build the target: bash cmake --build . --target fix_server
2. Run the server: bash ./build/exchange/exchange_fix/fix

Future Enhancements and TODOs

• Heartbeat Management: Automatically send TestRequests and track latency.
• Sequence Number Persistence: ✅ Implemented — sequence numbers are persisted via SequenceRepository and survive server restarts.
• Market Data Integration: Connect MarketDataRequest handlers to the actual engine snapshots.
• ResendRequest Handling: Implement outbound message caching to support proper gap-fill responses.