fix_application.h

#ifndef FIXAPPLICATION_H
#define FIXAPPLICATION_H

#include <iostream>
#include <vector>
#include "quickfix\Application.h"
#include "quickfix\FileLog.h"
#include "quickfix\FileStore.h"
#include "quickfix\fix44\CollateralInquiry.h"
#include "quickfix\fix44\CollateralInquiryAck.h"
#include "quickfix\fix44\CollateralReport.h"
#include "quickfix\fix44\ExecutionReport.h"
#include "quickfix\fix44\MarketDataRequest.h"
#include "quickfix\fix44\MarketDataRequestReject.h"
#include "quickfix\fix44\MarketDataSnapshotFullRefresh.h"
#include "quickfix\fix44\NewOrderList.h"
#include "quickfix\fix44\NewOrderSingle.h"
#include "quickfix\fix44\PositionReport.h"
#include "quickfix\fix44\RequestForPositions.h"
#include "quickfix\fix44\RequestForPositionsAck.h"
#include "quickfix\fix44\SecurityList.h"
#include "quickfix\fix44\TradingSessionStatus.h"
#include "quickfix\fix44\TradingSessionStatusRequest.h"
#include "quickfix\MessageCracker.h"
#include "quickfix\Session.h"
#include "quickfix\SessionID.h"
#include "quickfix\SessionSettings.h"
#include "quickfix\SocketInitiator.h"

using namespace std;
using namespace FIX;

class FixApplication : public MessageCracker, public Application
{
private:
	SessionSettings  *settings;
	FileStoreFactory *store_factory;
	FileLogFactory   *log_factory;
	SocketInitiator  *initiator;

	// Used as a counter for producing unique request identifiers
	unsigned int requestID;
	SessionID sessionID(bool md);
	vector<SessionID> sessions;
	vector<string> list_accountID;

	// Custom FXCM FIX fields
	enum FXCM_FIX_FIELDS
	{
		FXCM_FIELD_PRODUCT_ID      = 9080,
		FXCM_POS_ID                = 9041,
		FXCM_POS_OPEN_TIME         = 9042,
		FXCM_ERROR_DETAILS         = 9029,
		FXCM_REQUEST_REJECT_REASON = 9025,
		FXCM_USED_MARGIN           = 9038,
		FXCM_POS_CLOSE_TIME        = 9044,
		FXCM_MARGIN_CALL           = 9045,
		FXCM_ORD_TYPE              = 9050,
		FXCM_ORD_STATUS            = 9051,
		FXCM_CLOSE_PNL             = 9052,
		FXCM_SYM_POINT_SIZE        = 9002,
		FXCM_SYM_PRECISION         = 9001,
		FXCM_TRADING_STATUS        = 9096,
		FXCM_PEG_FLUCTUATE_PTS     = 9061,
		FXCM_NO_PARAMS             = 9016,
		FXCM_PARAM_NAME            = 9017,
		FXCM_PARAM_VALUE           = 9018
	};

public:
	FixApplication();
	// FIX Namespace. These are callbacks which indicate when the session is created,
	// when we logon and logout, and when messages are exchanged 
	void onCreate(const SessionID& session_ID);
	void onLogon(const SessionID& session_ID);
	void onLogout(const SessionID& session_ID);
	void toAdmin(Message& message, const SessionID& session_ID);
	void toApp(Message& message, const SessionID& session_ID);
	void fromAdmin(const Message& message, const SessionID& session_ID);
	void fromApp(const Message& message, const SessionID& session_ID);

	// Overloaded onMessage methods used in conjuction with MessageCracker class. FIX::MessageCracker
	// receives a generic Message in the FIX fromApp and fromAdmin callbacks, constructs the
	// message sub type and invokes the appropriate onMessage method below.
	void onMessage(const FIX44::TradingSessionStatus& tss, const SessionID& session_ID);
	void onMessage(const FIX44::CollateralInquiryAck& ack, const SessionID& session_ID);
	void onMessage(const FIX44::CollateralReport& cr, const SessionID& session_ID);
	void onMessage(const FIX44::RequestForPositionsAck& ack, const SessionID& session_ID);
	void onMessage(const FIX44::PositionReport& pr, const SessionID& session_ID);
	void onMessage(const FIX44::MarketDataRequestReject& mdr, const SessionID& session_ID);
	void onMessage(const FIX44::MarketDataSnapshotFullRefresh& mds, const SessionID& session_ID);
	void onMessage(const FIX44::ExecutionReport& er, const SessionID& session_ID);

	// Starts the FIX session. Throws FIX::ConfigError exception if our configuration settings
	// do not pass validation required to construct SessionSettings 
	void StartSession();
	// Logout and end session 
	void EndSession();

	// Sends TradingSessionStatusRequest message in order to receive as a response the
	// TradingSessionStatus message
	void GetTradingStatus();
	// Sends the CollateralInquiry message in order to receive as a response the
	// CollateralReport message.
	void GetAccounts();
	// Sends RequestForPositions which will return PositionReport messages if positions
	// matching the requested criteria exist; otherwise, a RequestForPositionsAck will be
	// sent with the acknowledgement that no positions exist. In our example, we request
	// positions for all accounts under our login
	void GetPositions();
	// Subscribes to the EUR/USD trading security
	void SubscribeMarketData(string strPair);
	// Unsubscribes from the EUR/USD trading security 
	void UnsubscribeMarketData();
	// Sends a basic NewOrderSingle message to buy EUR/USD at the 
	// current market price
	void MarketOrder();
	// Generate string value used to populate the fields in each message
	// which are used as a custom identifier
	string NextRequestID();
	// Adds string accountIDs to our vector<string> being used to
	// account for the accountIDs under our login
	void RecordAccount(string accountID);
};

#endif // FIXAPPLICATION_H