fix Namespace Reference

Classes
class	BinaryToCancelOrderRequestConverter
	Converts a raw FIX message string into a CancelOrderRequest object. More...
class	BinaryToMarketDataRequestConverter
	Converts a raw FIX message string into a MarketDataRequest object. More...
class	BinaryToModifyOrderRequestConverter
	Converts a raw FIX message string into a ModifyOrderRequest object. More...
class	BinaryToOrderRequestConverter
	Converts a raw FIX message string into an OrderRequest object. More...
struct	BusinessMessageReject
	Represents the data required to build a FIX Business Message Reject (35=j) message. More...
struct	CancelOrderRequest
	Represents a parsed FIX Order Cancel Request message. More...
class	ExecutionReport
	Represents a FIX Execution Report (35=8) message. More...
class	ExecutionReportToBinaryConverter
	A static utility class for serializing an ExecutionReport into a FIX message. More...
class	FixServer
class	FixSession
struct	LogonRequest
	Represents a parsed FIX Logon (35=A) message. More...
struct	LogoutRequest
	Represents a parsed FIX Logout (35=5) message. More...
struct	MarketDataEntry
struct	MarketDataIncrementalEntry
struct	MarketDataIncrementalRefresh
class	MarketDataIncrementalRefreshToBinaryConverter
	Converts a MarketDataIncrementalRefresh object into a raw FIX message string. More...
struct	MarketDataRequest
	Represents a parsed FIX Market Data Request message. More...
struct	MarketDataSnapshotFullRefresh
class	MarketDataSnapshotFullRefreshToBinaryConverter
	Converts a MarketDataSnapshotFullRefresh object into a raw FIX message string. More...
struct	ModifyOrderRequest
	Represents a parsed FIX Order Cancel Replace Request (Modify Order) message. More...
class	OrderRequest
	Represents a parsed FIX New Order - Single (35=D) message. More...
struct	Reject
	Represents the data required to build a FIX Session-Level Reject (35=3) message. More...
struct	ResendRequest
	Represents a parsed FIX Resend Request (35=2) message. More...
struct	SequenceReset
	Represents a parsed FIX Sequence Reset (35=4) message. More...

Typedefs
using	ClientOrderID = uint64_t
	Type alias for a client-assigned order ID.
using	CompID = uint32_t
	Type alias for a component ID (e.g., SenderCompID, TargetCompID).
using	ExchangeOrderID = uint64_t
	Type alias for an exchange-assigned order ID.
using	Price = common::Price
	Type alias for a price field, inheriting from the common Price type.
using	Quantity = common::Quantity
	Type alias for a quantity field, inheriting from the common Quantity type.
using	SequenceNumber = uint64_t
	Type alias for a message sequence number.
using	Symbol = common::Symbol
	Type alias for a symbol field, inheriting from the common Symbol type.

Enumerations
enum class	MDEntryType : char {   Bid = '0' ,   Offer = '1' ,   Trade = '2' }
	Defines the type of market data entry (Tag 269). More...
enum class	MDUpdateAction : char {   New = '0' ,   Change = '1' ,   Delete = '2' }
	Defines the update action for a market data entry (Tag 279). More...
enum class	Tag {   BeginString = 8 ,   BodyLength = 9 ,   MsgType = 35 ,   SenderCompID = 49 ,   TargetCompID = 56 ,   MsgSeqNum = 34 ,   SendingTime = 52 ,   ClOrdID = 11 ,   OrigClOrdID = 41 ,   Symbol = 55 ,   Side = 54 ,   OrdType = 40 ,   OrderQty = 38 ,   Price = 44 ,   TimeInForce = 59 ,   StopPrice = 99 ,   SettlType = 63 ,   SettlDate = 64 ,   OrderID = 37 ,   ExecID = 17 ,   OrdStatus = 39 ,   Text = 58 ,   CumQty = 14 ,   LeavesQty = 151 ,   LastPx = 31 ,   LastQty = 32 ,   TransactTime = 60 ,   MDReqID = 262 ,   SubscriptionRequestType = 263 ,   MarketDepth = 264 ,   NoRelatedSym = 146 ,   MDUpdateAction = 279 ,   MDEntryType = 269 ,   MDEntryPx = 270 ,   MDEntrySize = 271 ,   MDEntryTime = 273 ,   NoMDEntries = 268 ,   MDEntryPositionNo = 290 ,   CheckSum = 10 }

Functions
common::OrderSide	charToOrderSide (char c)
	Converts a character representation of an order side to the common::OrderSide enum.
common::OrderType	charToOrderType (char c)
	Converts a character representation of an order type to the common::OrderType enum.
std::map< int, std::string_view >	splitToMap (std::string_view str, char delimiter)
	Splits a FIX message string view into a map of tags to values.

Variables
constexpr std::string_view	FIX_BEGIN_STRING = "FIX.4.4"
	The BeginString field (Tag 8) for FIX protocol version.
constexpr int	MARKET_DEPTH_FULL_BOOK = 0
	Market Depth (Tag 264) for Full Book.
constexpr int	MARKET_DEPTH_TOP_OF_BOOK = 1
	Market Depth (Tag 264) for Top of Book.
constexpr char	MSG_TYPE_BUSINESS_MESSAGE_REJECT = 'j'
	Message Type (Tag 35) for Business Message Reject.
constexpr char	MSG_TYPE_EXECUTION_REPORT = '8'
	Message Type (Tag 35) for Execution Report.
constexpr char	MSG_TYPE_MARKET_DATA_INCREMENTAL_REFRESH = 'X'
	Message Type (Tag 35) for Market Data Incremental Refresh.
constexpr char	MSG_TYPE_MARKET_DATA_REQUEST = 'V'
	Message Type (Tag 35) for Market Data Request.
constexpr char	MSG_TYPE_MARKET_DATA_SNAPSHOT_FULL_REFRESH = 'W'
	Message Type (Tag 35) for Market Data Snapshot Full Refresh.
constexpr char	MSG_TYPE_NEW_ORDER_SINGLE = 'D'
	Message Type (Tag 35) for New Order Single.
constexpr char	MSG_TYPE_ORDER_CANCEL_REPLACE_REQUEST = 'G'
	Message Type (Tag 35) for Order Cancel Replace Request.
constexpr char	MSG_TYPE_ORDER_CANCEL_REQUEST = 'F'
	Message Type (Tag 35) for Order Cancel Request.
constexpr char	MSG_TYPE_REJECT = '3'
	Message Type (Tag 35) for Reject.
constexpr char	ORDER_SIDE_BUY = '1'
	Order Side (Tag 54) for Buy.
constexpr char	ORDER_SIDE_SELL = '2'
	Order Side (Tag 54) for Sell.
constexpr char	ORDER_STATUS_CANCELED = '4'
	Order Status (Tag 39) for Canceled order.
constexpr char	ORDER_STATUS_FILLED = '2'
	Order Status (Tag 39) for Filled order.
constexpr char	ORDER_STATUS_NEW = '0'
	Order Status (Tag 39) for New order.
constexpr char	ORDER_STATUS_PARTIALLY_FILLED = '1'
	Order Status (Tag 39) for Partially Filled order.
constexpr char	ORDER_STATUS_REJECTED = '8'
	Order Status (Tag 39) for Rejected order.
constexpr char	ORDER_TYPE_LIMIT = '2'
	Order Type (Tag 40) for Limit order.
constexpr char	ORDER_TYPE_MARKET = '1'
	Order Type (Tag 40) for Market order.
constexpr char	SOH = '\x01'
	Start of Header (SOH) character, used as a field delimiter in FIX messages.
constexpr char	SUBSCRIPTION_REQUEST_TYPE_SNAPSHOT = '0'
	Subscription Request Type (Tag 263) for Snapshot.
constexpr char	SUBSCRIPTION_REQUEST_TYPE_SNAPSHOT_AND_UPDATES = '1'
	Subscription Request Type (Tag 263) for Snapshot and Updates.
constexpr char	SUBSCRIPTION_REQUEST_TYPE_UNSUBSCRIBE = '2'
	Subscription Request Type (Tag 263) for Unsubscribe.
constexpr char	TIME_IN_FORCE_DAY = '0'
	Time In Force (Tag 59) for Day order.
constexpr char	TIME_IN_FORCE_FOK = '3'
	Time In Force (Tag 59) for Fill Or Kill (FOK) order.
constexpr char	TIME_IN_FORCE_GTC = '1'
	Time In Force (Tag 59) for Good Till Cancel (GTC) order.
constexpr char	TIME_IN_FORCE_IOC = '2'
	Time In Force (Tag 59) for Immediate Or Cancel (IOC) order.

Typedef Documentation

ClientOrderID

using fix::ClientOrderID = typedef uint64_t

Type alias for a client-assigned order ID.

CompID

using fix::CompID = typedef uint32_t

Type alias for a component ID (e.g., SenderCompID, TargetCompID).

ExchangeOrderID

using fix::ExchangeOrderID = typedef uint64_t

Type alias for an exchange-assigned order ID.

Price

using fix::Price = typedef common::Price

Type alias for a price field, inheriting from the common Price type.

Quantity

using fix::Quantity = typedef common::Quantity

Type alias for a quantity field, inheriting from the common Quantity type.

SequenceNumber

using fix::SequenceNumber = typedef uint64_t

Type alias for a message sequence number.

Symbol

using fix::Symbol = typedef common::Symbol

Type alias for a symbol field, inheriting from the common Symbol type.

Enumeration Type Documentation

MDEntryType

enum class fix::MDEntryType : char

strong

Defines the type of market data entry (Tag 269).

Enumerator
Bid
Offer
Trade

MDUpdateAction

enum class fix::MDUpdateAction : char

strong

Defines the update action for a market data entry (Tag 279).

Enumerator
New
Change
Delete

Tag

enum class fix::Tag

strong

Enumerator
BeginString	Begin String (FIX.x.y)
BodyLength	Message Body Length.
MsgType	Message Type.
SenderCompID	Sender's Company ID.
TargetCompID	Target's Company ID.
MsgSeqNum	Message Sequence Number.
SendingTime	Time of message transmission.
ClOrdID	Client Order ID.
OrigClOrdID	Original Client Order ID.
Symbol	Security Symbol.
Side	Side of order (Buy/Sell)
OrdType	Order Type (Market, Limit, etc.)
OrderQty	Quantity ordered.
Price	Price of order.
TimeInForce	Time in Force.
StopPrice	Stop Price.
SettlType	Settlement Type.
SettlDate	Settlement Date.
OrderID	Order ID.
ExecID	Execution ID.
OrdStatus	Order Status.
Text	Free format text.
CumQty	Cumulative Quantity.
LeavesQty	Quantity remaining.
LastPx	Last Traded Price.
LastQty	Last Traded Quantity.
TransactTime	Transaction Time.
MDReqID	Market Data Request ID.
SubscriptionRequestType	Subscription Request Type.
MarketDepth	Market Depth.
NoRelatedSym	Number of Related Symbols.
MDUpdateAction	Market Data Update Action.
MDEntryType	Market Data Entry Type.
MDEntryPx	Market Data Entry Price.
MDEntrySize	Market Data Entry Size.
MDEntryTime	Market Data Entry Time.
NoMDEntries	Number of Market Data Entries.
MDEntryPositionNo	Market Data Entry Position Number.
CheckSum	Checksum.

Function Documentation

charToOrderSide()

common::OrderSide fix::charToOrderSide

(

char

c

)

Converts a character representation of an order side to the common::OrderSide enum.

Parameters

c	The character to convert (e.g., '1' for Buy).

Returns

The corresponding common::OrderSide enum value.

Exceptions

std::invalid_argument

if the character is not a valid order side.

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charToOrderType()

common::OrderType fix::charToOrderType

(

char

c

)

Converts a character representation of an order type to the common::OrderType enum.

Parameters

c	The character to convert (e.g., '2' for Limit).

Returns

The corresponding common::OrderType enum value.

Exceptions

std::invalid_argument

if the character is not a valid order type.

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splitToMap()

std::map< int, std::string_view > fix::splitToMap	(	std::string_view	str,
		char	delimiter
	)

Splits a FIX message string view into a map of tags to values.

Parameters

str	The string view of the FIX message.
delimiter	The delimiter character (usually SOH).

Returns

A map where keys are FIX tags and values are the corresponding string views.

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Variable Documentation

FIX_BEGIN_STRING

constexpr std::string_view fix::FIX_BEGIN_STRING = "FIX.4.4"

constexpr

The BeginString field (Tag 8) for FIX protocol version.

MARKET_DEPTH_FULL_BOOK

constexpr int fix::MARKET_DEPTH_FULL_BOOK = 0

constexpr

Market Depth (Tag 264) for Full Book.

MARKET_DEPTH_TOP_OF_BOOK

constexpr int fix::MARKET_DEPTH_TOP_OF_BOOK = 1

constexpr

Market Depth (Tag 264) for Top of Book.

MSG_TYPE_BUSINESS_MESSAGE_REJECT

constexpr char fix::MSG_TYPE_BUSINESS_MESSAGE_REJECT = 'j'

constexpr

Message Type (Tag 35) for Business Message Reject.

MSG_TYPE_EXECUTION_REPORT

constexpr char fix::MSG_TYPE_EXECUTION_REPORT = '8'

constexpr

Message Type (Tag 35) for Execution Report.

MSG_TYPE_MARKET_DATA_INCREMENTAL_REFRESH

constexpr char fix::MSG_TYPE_MARKET_DATA_INCREMENTAL_REFRESH = 'X'

constexpr

Message Type (Tag 35) for Market Data Incremental Refresh.

MSG_TYPE_MARKET_DATA_REQUEST

constexpr char fix::MSG_TYPE_MARKET_DATA_REQUEST = 'V'

constexpr

Message Type (Tag 35) for Market Data Request.

MSG_TYPE_MARKET_DATA_SNAPSHOT_FULL_REFRESH

constexpr char fix::MSG_TYPE_MARKET_DATA_SNAPSHOT_FULL_REFRESH = 'W'

constexpr

Message Type (Tag 35) for Market Data Snapshot Full Refresh.

MSG_TYPE_NEW_ORDER_SINGLE

constexpr char fix::MSG_TYPE_NEW_ORDER_SINGLE = 'D'

constexpr

Message Type (Tag 35) for New Order Single.

MSG_TYPE_ORDER_CANCEL_REPLACE_REQUEST

constexpr char fix::MSG_TYPE_ORDER_CANCEL_REPLACE_REQUEST = 'G'

constexpr

Message Type (Tag 35) for Order Cancel Replace Request.

MSG_TYPE_ORDER_CANCEL_REQUEST

constexpr char fix::MSG_TYPE_ORDER_CANCEL_REQUEST = 'F'

constexpr

Message Type (Tag 35) for Order Cancel Request.

MSG_TYPE_REJECT

constexpr char fix::MSG_TYPE_REJECT = '3'

constexpr

Message Type (Tag 35) for Reject.

ORDER_SIDE_BUY

constexpr char fix::ORDER_SIDE_BUY = '1'

constexpr

Order Side (Tag 54) for Buy.

ORDER_SIDE_SELL

constexpr char fix::ORDER_SIDE_SELL = '2'

constexpr

Order Side (Tag 54) for Sell.

ORDER_STATUS_CANCELED

constexpr char fix::ORDER_STATUS_CANCELED = '4'

constexpr

Order Status (Tag 39) for Canceled order.

ORDER_STATUS_FILLED

constexpr char fix::ORDER_STATUS_FILLED = '2'

constexpr

Order Status (Tag 39) for Filled order.

ORDER_STATUS_NEW

constexpr char fix::ORDER_STATUS_NEW = '0'

constexpr

Order Status (Tag 39) for New order.

ORDER_STATUS_PARTIALLY_FILLED

constexpr char fix::ORDER_STATUS_PARTIALLY_FILLED = '1'

constexpr

Order Status (Tag 39) for Partially Filled order.

ORDER_STATUS_REJECTED

constexpr char fix::ORDER_STATUS_REJECTED = '8'

constexpr

Order Status (Tag 39) for Rejected order.

ORDER_TYPE_LIMIT

constexpr char fix::ORDER_TYPE_LIMIT = '2'

constexpr

Order Type (Tag 40) for Limit order.

ORDER_TYPE_MARKET

constexpr char fix::ORDER_TYPE_MARKET = '1'

constexpr

Order Type (Tag 40) for Market order.

SOH

constexpr char fix::SOH = '\x01'

constexpr

Start of Header (SOH) character, used as a field delimiter in FIX messages.

SUBSCRIPTION_REQUEST_TYPE_SNAPSHOT

constexpr char fix::SUBSCRIPTION_REQUEST_TYPE_SNAPSHOT = '0'

constexpr

Subscription Request Type (Tag 263) for Snapshot.

SUBSCRIPTION_REQUEST_TYPE_SNAPSHOT_AND_UPDATES

constexpr char fix::SUBSCRIPTION_REQUEST_TYPE_SNAPSHOT_AND_UPDATES = '1'

constexpr

Subscription Request Type (Tag 263) for Snapshot and Updates.

SUBSCRIPTION_REQUEST_TYPE_UNSUBSCRIBE

constexpr char fix::SUBSCRIPTION_REQUEST_TYPE_UNSUBSCRIBE = '2'

constexpr

Subscription Request Type (Tag 263) for Unsubscribe.

TIME_IN_FORCE_DAY

constexpr char fix::TIME_IN_FORCE_DAY = '0'

constexpr

Time In Force (Tag 59) for Day order.

TIME_IN_FORCE_FOK

constexpr char fix::TIME_IN_FORCE_FOK = '3'

constexpr

Time In Force (Tag 59) for Fill Or Kill (FOK) order.

TIME_IN_FORCE_GTC

constexpr char fix::TIME_IN_FORCE_GTC = '1'

constexpr

Time In Force (Tag 59) for Good Till Cancel (GTC) order.

TIME_IN_FORCE_IOC

constexpr char fix::TIME_IN_FORCE_IOC = '2'

constexpr

Time In Force (Tag 59) for Immediate Or Cancel (IOC) order.