pure node js fix engine
npm install @niklasz/jspurefix> This is a custom fork of jspurefix. Please use the original instead.
1. fast 100% native clean fix engine for Node JS
1. supports tls encrypted sessions over tcp
1. represent data dictionary as quickfix or repo notation
1. compile interface types against definitions
1. ascii / fixml supported
1. parses repeat groups, components and raw data fields
1. views make convinient ways of accessing data
1. complete trade capture sample to get started
1. a skeleton example shows connection, login and session only
1. parse fix logs into human readable format - JSON, tokens
1. socket session management for login, heartbeat etc
1. implement httpInitiator or acceptor
This fix engine provides a fast easy API to parse or send finacial protocol FIX messages. It is implemented entirely in typescript and runs in Node JS. Messages of any complexity can be handled providing they are backed by a suitable data dictionary. All structures within a message will be resolved for easy access - groups of components containing groups etc.
compiled typescript is now included. Install the package from npm:
``shell`
npm install jspurefix
npm run unzip-repo
see our demo application
`shell`
https://github.com/TimelordUK/jspf-demo
if you wish to generate custom messages this is easily doing using quick fix XML format - see quickfix demo
edit the dictionary file data/generate and run the generator.
`shell`
npm run generate
check the messages generated in src\types
`shell`
https://github.com/TimelordUK/jspf-md-demo
import types for usage with a client
`typescript
import {
AsciiSession,
MsgView,
IJsFixConfig,
IJsFixLogger,
Dictionary,
MsgType,
IJsFixConfig,
initiator,
acceptor,
makeConfig
} from 'jspurefix'
// types for the specific FIX dialect
import {
ITradeCaptureReport,
ITradeCaptureReportRequest,
ITradeCaptureReportRequestAck
} from 'jspurefix/dist/types/FIX4.4/repo'
`
see example trade-capture-client - use
clone from git
unix
`shell`
git clone https://github.com/TimelordUK/jspurefix.git
cd jspurefix
script/build.sh
`shell`
npm install
npm run unzip-repo
./node_modules/.bin/tsc --version
./node_modules/.bin/tsc
npm run tcp-tc
windows
`shell`
git clone https://github.com/TimelordUK/jspurefix.git
cd jspurefix
script\build.cmd
or
`shell`
git clone https://github.com/TimelordUK/jspurefix.git
cd jspurefix
npm install
npm run unzip-repo
node_modules/.bin/tsc
npm run tcp-tc
The code provided in src/sample/tcp/trade_capture is a good place to start in building an application with this library. In this case both client and server are run together communicating over a socket. In reality a client is more likely connecting to an external acceptor such as CME, ICE.
There is also a skeleton application which shows all application code stripped away to just enough to create a connection, login and see the session.
Both examples will automatically close down after ~1 minute or can be terminated CTRL-C
ensure the repo dictionary has been unpacked above. This provides the data dictionary
used to parse messages.
run examples such as the trade capture, simple skeleton or http.
`shell`
npm run tcp-tc
`shell`
npm run tcp-sk
included is an example fixml over http application where an order is submitted and execution report returned.
`shell`
npm run http-oms
see example data\session\test-initiator-tls.json
to run the provided example tls trade capture a script such as script\getKey.ps1 can be run to generate self certified certificates. This is a powershell script that requires openssl in the tunnel e.g. /mingw64/bin/openssl. the ca field below is only required when using self certified and will not be needed for a third party vendor where certificates are provided. Set enableTrace flag whilst diagnosing the session.
`json`
{
"application": {
"reconnectSeconds": 10,
"type": "initiator",
"name": "test_client",
"tcp": {
"host" : "localhost",
"port": 2344,
"tls": {
"timeout": 10000,
"sessionTimeout": 10000,
"enableTrace": true,
"key": "data/session/certs/client/client.key",
"cert": "data/session/certs/client/client.crt",
"ca": [
"data/session/certs/ca/ca.crt"
]
}
},
"protocol": "ascii",
"dictionary": "repo44"
},
"Username": "js-tls-client",
"Password": "pwd-tls-client",
"EncryptMethod": 0,
"ResetSeqNumFlag": true,
"LastSentSeqNum": 10,
"LastReceivedSeqNum": 11,
"HeartBtInt": 30,
"SenderCompId": "init-tls-comp",
"TargetCompID": "accept-tls-comp",
"TargetSubID": "fix",
"BeginString": "FIX4.4",
"BodyLengthChars": 6
}
see example initiator file data\session\test-initiator-tls.json.
i.e. include field BodyLengthChars which defaults to 7 characters if omitted.
`json`
{
"BodsyLengthChars": 6
}
If the message sequences are persisted over multiple sessions and are not reset on logon (ie. "ResetSeqNumFlag": false,),`
then the previously used sequence numbers can be set as follows:json`
{
"ResetSeqNumFlag": false,
"LastSentSeqNum": 10,
"LastReceivedSeqNum": 11
}
By default, the library will not resend past messages as this requires persisting messages which depending on the volume,
may also require a database. If you want to support resending you must override AsciiSession.onResendRequest() with a resending logic.`
Additionally, make sure to include the original message sequence and the duplicate message flag in the FIX object:typescript
{
...messageBodyData,
StandardHeader: { PossDupFlag: true, MsgSeqNum: sequenceNumber},
}
`
json
{
"ClOrdID": "acceptor-order-id",
"HandlInst": "2",
"OrdType": "2",
"Side": "2",
"TransactTime": "2021-08-03T08:23:57.041Z",
"Symbol": "some ticker",
"StandardHeader": {
"PossDupFlag": true,
"MsgSeqNum": 2
}
}
`Unit Tests
there is a comprehensive suite of tests which can be run
shell
npm t
`bash
PASS src/test/elastic-buffer.test.ts
RUNS src/test/session.test.ts
PASS src/test/encode-proxy.test.tsst.ts
PASS src/test/execution-report.test.ts
PASS src/test/view-decode.test.ts
PASS src/test/ascii-encoder.test.ts
PASS src/test/ascii-parser.test.ts
PASS src/test/includes.test.ts
PASS src/test/fixml-alloc-parse.test.ts (9.433s)
PASS src/test/repo-full-fixml-msg.test.ts (6.025s)
PASS src/test/fixml-mkt-data-settle-parse.test.ts (6.021s)
PASS src/test/qf-full-msg.test.ts
PASS src/test/logon.test.ts
PASS src/test/fixml-mkt-data-fut-parse.test.ts (7.761s)
PASS src/test/time-formatter.test.ts
PASS src/test/ascii-segment.test.ts
PASS src/test/session-state.test.ts
PASS src/test/fixml-tc-bi-lateral-parse.test.ts (7.534s)
PASS src/test/ascii-tag-pos.test.ts
PASS src/test/fix-log-replay.test.ts
PASS src/test/repo-full-ascii-msg.test.ts
PASS src/test/session.test.ts (52.637s)Test Suites: 21 passed, 21 total
Tests: 204 passed, 204 total
Snapshots: 0 total
Time: 54.606s, estimated 65s
Ran all test suites.
`Dictionary Definitions
base definitions on existing template e.g. quickfix format FIX44.xml
create an alias in data/dictionary.json
compile interfaces
shell
npm run cmd -- --dict=repo42 --compile
`use the alias in a session file e.g. data/session/test-httpInitiator.json
sample trade-capture-client.ts
the method onApplicationMsg is called when a message is received. In this case the client has inherited from AsciiSession which carries out the session management.
typescript
constructor (public readonly config: IJsFixConfig) {
super(config)
this.logReceivedMsgs = true
this.reports = new Dictionary()
this.fixLog = config.logFactory.plain( jsfix.${config.description.application.name}.txt)
this.logger = config.logFactory.logger(${this.me}:TradeCaptureClient)
} protected onApplicationMsg (msgType: string, view: MsgView): void {
this.logger.info(
${view.toJson()})
switch (msgType) {
case MsgType.TradeCaptureReport: {
// create an object and cast to the interface
const tc: ITradeCaptureReport = view.toObject()
this.reports.addUpdate(tc.TradeReportID, tc)
this.logger.info([reports: ${this.reports.count()}] received tc ExecID = ${tc.ExecID} TradeReportID = ${tc.TradeReportID} Symbol = ${tc.Instrument.Symbol} ${tc.LastQty} @ ${tc.LastPx})
break
} case MsgType.TradeCaptureReportRequestAck: {
const tc: ITradeCaptureReportRequestAck = view.toObject()
this.logger.info(
received tcr ack ${tc.TradeRequestID} ${tc.TradeRequestStatus})
break
}
}
}
`the client onReady method is called when a connection is made and logon established and confirmed. In this case, client sends a trade capture request to the server.
typescript
protected onReady (view: MsgView): void {
this.logger.info('ready')
const tcr: ITradeCaptureReportRequest = TradeFactory.tradeCaptureReportRequest('all-trades', new Date())
// send request to server
this.send(MsgType.TradeCaptureReportRequest, tcr)
const logoutSeconds = 32
this.logger.info(will logout after ${logoutSeconds})
setTimeout(() => {
this.done()
}, logoutSeconds * 1000)
}`working with Views
see src/test/view-decode.test.ts
note that a view can only be used within a callback context unless it is cloned. Once returned, the memory is re-used for next message. It is intended to convert to an object or parsed into an application specific message.
fetch a group view
typescript
const noMDEntriesView: MsgView = view.getView('NoMDEntries')
const mmEntryView: MsgView = noMDEntriesView.getGroupInstance(1) const mmEntryExpireTimeAsString: string = mmEntryView.getString('ExpireTime')
expect(mmEntryExpireTimeAsString).toEqual('20180608-20:53:14.000')
expect(mmEntryView.getString(126)).toEqual('20180608-20:53:14.000')
`fetch single tags
typescript
const erView: MsgView = views[0]
expect(erView.getString(35)).toEqual('8')
expect(erView.getString('MsgType')).toEqual('8')
expect(erView.getString(8)).toEqual('FIX4.4')
expect(erView.getTyped(9)).toEqual(6542)
expect(erView.getTyped('TotNumReports')).toEqual(19404)
expect(erView.getTyped('StrikePrice')).toEqual(52639)
`fetch repeated tag
typescript
const erView: MsgView = views[0]
expect(erView.getStrings('PartyID')).toEqual(['magna.', 'iaculis', 'vitae,'])
`fetch a set of tags
typescript
const [a, b, c, d] = view.getTypedTags([8, 9, 35, 49])
expect(a).toEqual('FIX4.4')
expect(b).toEqual(2955)
expect(c).toEqual('W')
expect(d).toEqual('sender-10')
`convert view into an object which can be used alongside an interface for intellisense.
typescript
import { ITradeCaptureReport } from '../../../types/FIX4.4/repo/trade_capture_report'
import { ITradeCaptureReportRequest } from '../../../types/FIX4.4/repo/trade_capture_report_request' const tc: ITradeCaptureReport = view.toObject()
`from data/examples/FIX.4.4/quickfix/execution-report
get first in group fetched from object where group is array
typescript
import { IUndInstrmtGrp } from '../types/FIX4.4/quickfix/set/und_instrmt_grp'
import { IUnderlyingInstrument } from '../types/FIX4.4/quickfix/set/underlying_instrument'
const erView: MsgView = views[0]
const undInstrmtGrpView: MsgView = erView.getView('UndInstrmtGrp')
const undInstrmtGrpViewAsObject: IUndInstrmtGrp = undInstrmtGrpView.toObject()
expect(undInstrmtGrpViewAsObject.NoUnderlyings.length).toEqual(2)
const underlying0: IUnderlyingInstrument = undInstrmtGrpViewAsObject.NoUnderlyings[0].UnderlyingInstrument
expect(underlying0.UnderlyingSymbol).toEqual('massa.')
`fetch nested structure in one call
typescript
const legGrpView = view.getView('InstrmtLegGrp.NoLegs')
expect(legGrpView).toBeTruthy()
const legGrp: IInstrumentLeg[] = legGrpView.toObject()
expect(legGrp).toBeTruthy()
expect(Array.isArray(legGrp))
expect(legGrp.length).toEqual(2)
`get a tokenised view of tags in view
typescript
console.log(view.toString())
`get a component from parent - this is very low cost
typescript
const instrumentView: MsgView = view.getView('Instrument')
const instrumentObject: IInstrument = view.getView('Instrument').toObject()
`FIXML
Please see sample code src/sample/http for an example of how fixml can be used. Note regardless of using AsciiChars or Fixml application code looks very similar for example the client in this case.
typescript
protected onReady (view: MsgView): void {
this.logger.info('onReady')
const logoutSeconds = this.logoutSeconds
const req = this.factory.createOrder('IBM', Side.Buy, 10000, 100.12)
this.send('NewOrderSingle', req)
this.logger.info(will logout after ${logoutSeconds})
setTimeout(() => {
this.done()
}, 11 * 1000)
} public createOrder (symbol: string, side: Side, qty: number, price: number): INewOrderSingle {
const id: number = this.id++
return {
ClOrdID:
Cli${id},
Account: this.account,
Side: side,
Price: price,
OrdType: OrdType.Limit,
OrderQtyData: {
OrderQty: qty
} as IOrderQtyData,
Instrument: {
Symbol: symbol,
SecurityID: '459200101',
SecurityIDSource: SecurityIDSource.IsinNumber
} as IInstrument,
TimeInForce: TimeInForce.GoodTillCancelGtc
} as INewOrderSingle
}
`this renders to this message sent over http
xml
`the server receives this message and sends back an execution report :-
typescript
protected onApplicationMsg (msgType: string, view: MsgView): void {
// dispatch messages
this.logger.info(view.toJson())
switch (msgType) {
case 'Order': {
const order: INewOrderSingle = view.toObject()
this.logger.info(received order id ${order.ClOrdID})
const fill: IExecutionReport = this.factory.fillOrder(order)
this.send('ExecutionReport', fill)
}
}
} public fillOrder (order: INewOrderSingle): IExecutionReport {
const id: number = this.execId++
return {
ClOrdID: order.ClOrdID,
OrdType: order.OrdType,
TransactTime: new Date(),
AvgPx: order.Price,
LeavesQty: 0,
LastPx: order.Price,
ExecType: ExecType.OrderStatus,
OrdStatus: OrdStatus.Filled,
ExecID:
exec${id},
Side: order.Side,
Price: order.Price,
OrderQtyData: {
OrderQty: order.OrderQtyData.OrderQty
} as IOrderQtyData,
Instrument: {
Symbol: order.Instrument.Symbol,
SecurityID: order.Instrument.SecurityID,
SecurityIDSource: SecurityIDSource.IsinNumber
} as IInstrument
} as IExecutionReport
}
`the fixml is sent back to the client :-
xml
`performance on Windows Intel Core I7-4770 @ 3.5 GHz
These messages have been randomly generated with command line tool. They are syntactically valid.
$3
shell
npm run repo44-bench-er
`shell
[8]: repeats = 250000, fields = 58, length = 604 chars, elapsed ms 3658, 14.632 micros per msg
`$3
shell
npm run repo44-bench-sd
`shell
[d]: repeats = 150000, fields = 223, length = 2233 chars, elapsed ms 7962, 53.080000000000005 micros per msg
`$3
shell
npm run repo44-bench-tc
`shell
[AE]: repeats = 30000, fields = 613, length = 5818 chars, elapsed ms 5206, 173.53333333333333 micros per msg
`Log parsing
the command line tool jsfix can be used to parse any fix log providing an appropriate dictionary is provided.
parsing fields
shell
npm run cmd -- --dict=repo44 --fix=data/examples/FIX.4.4/jsfix.test_client.txt --delimiter="|" --type=AD --tokens
`shell
[0] 8 (BeginString) = FIX4.4, [1] 9 (BodyLength) = 0000135
[2] 35 (MsgType) = AD[TradeCaptureReportRequest], [3] 49 (SenderCompID) = init-comp
[4] 56 (TargetCompID) = accept-comp, [5] 34 (MsgSeqNum) = 2
[6] 57 (TargetSubID) = fix, [7] 52 (SendingTime) = 20180923-16:07:04.763
[8] 568 (TradeRequestID) = all-trades, [9] 569 (TradeRequestType) = 0[AllTrades]
[10] 263 (SubscriptionRequestType) = 1[SnapshotAndUpdates], [11] 580 (NoDates) = 1
[12] 75 (TradeDate) = 20180923, [13] 10 (CheckSum) = 250
`stats on entire file
shell
npm run cmd -- --dict=repo44 --fix=data/examples/FIX.4.4/jsfix.test_client.txt --delimiter="|" --stats
`json
messages 13 elapsed ms 8
{
"0": 1,
"5": 2,
"A": 2,
"AD": 1,
"AQ": 2,
"AE": 5
}
`benchmark parsing repeated reads of file
cmd
npm run cmd -- --dict=repo44 --fix=data/examples/FIX.4.4/jsfix.test_client.txt --delimiter="|" --stats --repeats=20
`json
messages 13 elapsed ms 0
{
"0": 1,
"5": 2,
"A": 2,
"AD": 1,
"AQ": 2,
"AE": 5
}
`parse message type in a file
cmd
npm run cmd -- --dict=repo44 --fix=data/examples/FIX.4.4/jsfix.test_client.txt --delimiter="|" --type=AD --objects
`json
{
"StandardHeader": {
"BeginString": "FIX4.4",
"BodyLength": 135,
"MsgType": "AD",
"SenderCompID": "init-comp",
"TargetCompID": "accept-comp",
"MsgSeqNum": 2,
"TargetSubID": "fix",
"SendingTime": "2018-09-23T16:07:04.763Z"
},
"TradeRequestID": "all-trades",
"TradeRequestType": 0,
"SubscriptionRequestType": "1",
"TrdCapDtGrp": [
{
"TradeDate": "2018-09-22T23:00:00.000Z"
}
],
"StandardTrailer": {
"CheckSum": "250"
}
}
`as above where --type=AE --objects
json
{
"StandardHeader": {
"BeginString": "FIX4.4",
"BodyLength": 213,
"MsgType": "AE",
"SenderCompID": "accept-comp",
"TargetCompID": "init-comp",
"MsgSeqNum": 4,
"TargetSubID": "fix",
"SendingTime": "2018-09-23T16:07:04.986Z"
},
"TradeReportID": "100001",
"TradeReportTransType": 0,
"TradeReportType": 0,
"TrdType": 0,
"ExecID": "600001",
"OrdStatus": "2",
"PreviouslyReported": false,
"Instrument": {
"Symbol": "Gold",
"SecurityID": "Gold.INC"
},
"LastQty": 107,
"LastPx": 45.38,
"TradeDate": "2018-09-22T23:00:00.000Z",
"TransactTime": "2018-09-23T16:07:04.776Z",
"StandardTrailer": {
"CheckSum": "54"
}
}
`show all structures within a message
shell
npm run cmd -- --dict=repo44 --fix=data/examples/FIX.4.4/jsfix.test_client.txt --delimiter="|" --type=AD --structures
`json
[
{
"name": "StandardHeader",
"depth": 2,
"startTag": 8,
"startPosition": 0,
"endTag": 52,
"endPosition": 7,
"delimiterTag": 0,
"delimiterPositions": []
},
{
"name": "TrdCapDtGrp",
"depth": 1,
"startTag": 580,
"startPosition": 11,
"endTag": 75,
"endPosition": 12,
"delimiterTag": 75,
"delimiterPositions": [
12
]
},
{
"name": "StandardTrailer",
"depth": 1,
"startTag": 10,
"startPosition": 13,
"endTag": 10,
"endPosition": 13,
"delimiterTag": 0,
"delimiterPositions": []
},
{
"name": "TradeCaptureReportRequest",
"depth": 1,
"startTag": 8,
"startPosition": 0,
"endTag": 10,
"endPosition": 13,
"delimiterTag": 0,
"delimiterPositions": []
},
{
"name": "StandardTrailer",
"depth": 0,
"startTag": 10,
"startPosition": 14,
"endTag": 10,
"endPosition": 13,
"delimiterTag": 0,
"delimiterPositions": []
}
]
``