Nest Quickfix

A powerful NestJS implementation of the FIX (Financial Information eXchange) protocol, providing high-performance, reliable messaging for financial trading applications.

Features

- Full support for FIX 4.4 and FIX 5.0 protocols
- Built-in session management and message validation
- Automatic message recovery and sequence number handling
- High performance TCP message handling
- Redis-based session storage
- Event-driven architecture with decorators
- TypeScript decorators for easy message handling
- Comprehensive logging
- Room-based message broadcasting
- Authentication and authorization
- Automatic reconnection
- SSL/TLS support
- Sequence number management
- Heartbeat monitoring
- Message validation
- Custom message store support

Installation

``bash


Using npm

npm install @sotatech/nest-quickfix

Using yarn

yarn add @sotatech/nest-quickfix

Using pnpm

pnpm add @sotatech/nest-quickfix
`

Quick Start

$3

`typescript
import { Module } from '@nestjs/common';
import { FIXModule } from '@sotatech/nest-quickfix';

@Module({
imports: [
FIXModule.register({
config: {
application: {
name: 'MyApp',
dictionary: 'FIX44',
protocol: 'ascii',
reconnectSeconds: 30,
tcp: {
host: 'localhost',
port: 9876,
tls: {
enabled: true,
key: '/path/to/key.pem',
cert: '/path/to/cert.pem',
},
},
type: 'acceptor', // or 'initiator'
},
BeginString: 'FIX.4.4',
SenderCompID: 'SENDER',
TargetCompID: 'TARGET',
HeartBtInt: 30,
ResetSeqNumFlag: true,
},
store: {
type: 'redis', // or 'memory'
sessionPrefix: 'fix:',
redis: {
host: 'localhost',
port: 6379,
password: 'optional',
},
},
auth: {
getAllowedSenderCompIds: async () => ['001', '002'],
validateCredentials: async (account, password) => {
return account === 'valid_account' && password === 'valid_password';
},
},
}),
],
})
export class AppModule {}
`

$3

`typescript
import { Controller } from '@nestjs/common';
import {
Message,
OnLogon,
Session,
FixService,
Field,
Fields,
MsgType,
OnFixMessage,
OnConnected,
OnDisconnected,
OnLogout,
} from '@sotatech/nest-quickfix';

@Controller()
export class AppController {
constructor(private readonly fixService: FixService) {}

@OnLogon()
async onLogon(session: Session, message: Message) {
// Join a room for broadcasting
session.join('ROOM_117');

// Send Trading Session Status
const statusMsg = new Message(
new Field(Fields.BeginString, 'FIX.4.4'),
new Field(Fields.MsgType, MsgType.TradingSessionStatus),
new Field(Fields.TradingSessionID, '1'),
);

// Send to specific session
this.fixService.to('ROOM_117').send(statusMsg);
}

@OnFixMessage(MsgType.NewOrderSingle)
async onNewOrder(session: Session, message: Message) {
// Handle new order message
const orderId = message.getField(Fields.ClOrdID);
const symbol = message.getField(Fields.Symbol);
const side = message.getField(Fields.Side);
const quantity = message.getField(Fields.OrderQty);
const price = message.getField(Fields.Price);

// Process order...
}

@OnFixMessage(MsgType.OrderCancelRequest)
async onCancelRequest(session: Session, message: Message) {
// Handle cancel request
const origOrderId = message.getField(Fields.OrigClOrdID);
// Process cancel...
}

@OnDisconnected()
async onDisconnected(session: Session) {
// Handle disconnection
console.log(Session ${session.getSessionId()} disconnected);
}
}
`

$3

`typescript
import { Injectable } from '@nestjs/common';
import {
FixService,
Message,
Field,
Fields,
MsgType,
Side,
OrdType,
TimeInForce,
RejectMessage,
} from '@sotatech/nest-quickfix';

@Injectable()
export class TradingService {
constructor(private readonly fixService: FixService) {}

// Send new order
async sendNewOrder() {
const order = new Message(
new Field(Fields.MsgType, MsgType.NewOrderSingle),
new Field(Fields.ClOrdID, 'ORDER123'),
new Field(Fields.Symbol, 'AAPL'),
new Field(Fields.Side, Side.Buy),
new Field(Fields.OrderQty, 100),
new Field(Fields.Price, 150.5),
new Field(Fields.OrdType, OrdType.Limit),
new Field(Fields.TimeInForce, TimeInForce.Day),
);

this.fixService.to('TARGET').send(order);
}

// Send reject message
async sendReject(refSeqNum: number, reason: string) {
const reject = new RejectMessage(refSeqNum, reason, MsgType.NewOrderSingle);
this.fixService.to('TARGET').send(reject);
}
}
`

Available Decorators

- @OnLogon() - Handle logon events
- @OnLogout() - Handle logout events
- @OnConnected() - Handle connection events
- @OnDisconnected() - Handle disconnection events
- @OnFixMessage(msgType?) - Handle all or specific message types

Message Types (MsgType)

`typescript
export enum MsgType {
Heartbeat = '0',
TestRequest = '1',
ResendRequest = '2',
Reject = '3',
SequenceReset = '4',
Logout = '5',
ExecutionReport = '8',
OrderSingle = 'D',
OrderCancel = 'F',
OrderStatus = 'H',
NewOrderList = 'E',
QuoteRequest = 'R',
Quote = 'S',
MarketDataRequest = 'V',
MarketDataSnapshotFullRefresh = 'W',
SecurityDefinitionRequest = 'c',
SecurityDefinition = 'd',
SecurityStatusRequest = 'e',
TradingSessionStatus = 'h',
// ... and more
}
``

Documentation

For more detailed documentation, please visit our Wiki

License

MIT