FIX三天日记-quick fix源码

一、概述

1.1 如何阅读?

对于一般人,没必要像对待常用公共组件一样,搞清楚每一个点,我们从使用的角度出发,把我们用到的功能读到即可。

1.2 如何下载 ?

https://github.com/quickfix/quickfix

1.3 大概都有哪些?

源码就在src\C++下,我们先大致浏览一下。

DataDictionary.cpp:解析诸如FIX42.xml的数据字典
Field
.cpp:数据字典中解析预定义的field
Message.cpp:数据字典中解析处理message节点
Http
.cpp: 实现http引擎的部分
Socket.cpp:会话层的通信
Session
.cpp: 会话层的东西
还有一些其他的文件,略去不说。这里还要注意还有几个子文件夹:fix40/,fix41/,fix42/,fix43/,fix44/,fix50/,fix50sp1。这几个文件夹下是具体实现了该版本的一些头文件。

1.4 我会用到哪些?

上篇文章有使用的例子,我们去掉多余部分,拿过来是这样的:


 
int main( int argc, char** argv )
{
  FIX::Initiator * initiator = 0;
  try
  {
    FIX::SessionSettings settings( file );
 
    Application application;
    FIX::FileStoreFactory storeFactory( settings );
    FIX::ScreenLogFactory logFactory( settings );
    initiator = new FIX::SocketInitiator( application, storeFactory, 
                                          settings, logFactory );
    initiator->start();
    application.run();
    initiator->stop();
    delete initiator;
'''
 
  }
  catch ( std::exception & e )
  {
'''
  }
}

请记住每一行代码,接下来,本文基本是每章讲解本代码中的一行。

二、SessionSettings

就是这一行:FIX::SessionSettings settings( file );

2.1 数据字典

Quickfix中进行数据字典的载入,解析本质是对几个xml文件的解析,是采用pugixml parser,官方网站:pugixml.org - Home。正如官网介绍的那样:

Light-weight, simple and fast XML parser for C++ with XPath support

然后Quickfix中在之上进行了一层自己的封装,形成PUGIXML_DOMAttributes类,PUGIXML_DOMNode类,PUGIXML_DOMDocument类。在头文件”PUGIXML_DOMDocument.h”中进行了定义,如下:

 class PUGIXML_DOMAttributes : public DOMAttributes
  {
  public:
    PUGIXML_DOMAttributes( pugi::xml_node pNode )
    : m_pNode(pNode) {}

    bool get( const std::string&, std::string& );
    DOMAttributes::map toMap();

  private:
    pugi::xml_node m_pNode;
  };

  /// XML node as represented by pugixml.
  class PUGIXML_DOMNode : public DOMNode
  {
  public:
    PUGIXML_DOMNode( pugi::xml_node pNode )
    : m_pNode(pNode) {}
    ~PUGIXML_DOMNode() {}

    DOMNodePtr getFirstChildNode();
    DOMNodePtr getNextSiblingNode();
    DOMAttributesPtr getAttributes();
    std::string getName();
    std::string getText();

  private:
    pugi::xml_node m_pNode;
  };
   /// XML document as represented by pugixml.
  class PUGIXML_DOMDocument : public DOMDocument
  {
  public:
    PUGIXML_DOMDocument() throw( ConfigError );
    ~PUGIXML_DOMDocument();

    bool load( std::istream& );
    bool load( const std::string& );
    bool xml( std::ostream& );

    DOMNodePtr getNode( const std::string& );

  private:
    pugi::xml_document m_pDoc;
  };
}

 

 其中大多数函数不需要特别关心,我们只需要重点关心PUGIXML_DOMDocument类中的load()函数,这也是最重要+最复杂的函数。

bool PUGIXML_DOMDocument::load( std::istream& stream )
    {
      try 
      { 
        return m_pDoc.load(stream);
      } 
      catch( ... ) { return false; }
    }
  
    bool PUGIXML_DOMDocument::load( const std::string& url )
    {
      try 
      { 
        return m_pDoc.load_file(url.c_str());
      } 
      catch( ... ) { return false; }
    }

这个函数就是对给定一个xml路径然后装载后返回一个pugi::xml_document的对象。

2.2 数据字典解析

 上面的类实现了诸如FIX44.xml的载入处理,数据字典中定义了很多结构节点,比如fields,messages,groups等,DataDictionary.cpp是真正对这些xml文件进行解析的源文件。DataDictionary.h中部分源代码如下:

class DataDictionary
{
  typedef std::set < int > MsgFields;
  typedef std::map < std::string, MsgFields > MsgTypeToField;
  typedef std::set < std::string > MsgTypes;
  typedef std::set < int > Fields;
  typedef std::map < int, bool > NonBodyFields;
  typedef std::vector< int > OrderedFields;
  typedef message_order OrderedFieldsArray;
  typedef std::map < int, TYPE::Type > FieldTypes;
  typedef std::set < std::string > Values;
  typedef std::map < int, Values > FieldToValue;
  typedef std::map < int, std::string > FieldToName;
  typedef std::map < std::string, int > NameToField;
  typedef std::map < std::pair < int, std::string > , std::string  > ValueToName;
  // while FieldToGroup structure seems to be overcomplicated
  // in reality it yields a lot of performance because:
  // 1) avoids memory copying;
  // 2) first lookup is done by comparing integers and not string objects
  // TODO: use hash_map with good hashing algorithm
  typedef std::map < std::string, std::pair < int, DataDictionary* > > FieldPresenceMap;
  typedef std::map < int, FieldPresenceMap > FieldToGroup;

public:
  DataDictionary();
  DataDictionary( const DataDictionary& copy );
  DataDictionary( std::istream& stream ) throw( ConfigError );
  DataDictionary( const std::string& url ) throw( ConfigError );
  virtual ~DataDictionary();

  void readFromURL( const std::string& url ) throw( ConfigError );
  void readFromDocument( DOMDocumentPtr pDoc ) throw( ConfigError );
  void readFromStream( std::istream& stream ) throw( ConfigError );

......
};
....

 可以看到DataDictionary类中定义了很多的std::map和std::vector,这些容器都是用来存储从FIX4X.xml文件中解析来的内容,一些映射,但是是否过于繁琐,我没有深究。

比如:

typedef std::map < int, std::string > FieldToName;

 

表示存储field和实际的字段名的映射,比如8对应BeginString;

typedef std::map < int, Values > FieldToValue;

表示枚举当中的int值跟实际的字段名的映射,比如:


   
   
   
   
   
   
  

3代表ABSOLUTE;1代表PER_UNIT

另外需要注意的成员函数readFrom*()系列,底层就是上一章中的类,进行xml的载入。

void DataDictionary::readFromURL( const std::string& url )
  throw( ConfigError )
  {
    DOMDocumentPtr pDoc = DOMDocumentPtr(new PUGIXML_DOMDocument());
  
    if(!pDoc->load(url))
    ¦ throw ConfigError(url + ": Could not parse data dictionary file");
  
    try 
    {
    ¦ readFromDocument( pDoc );
    }
    catch( ConfigError& e ) 
    {
    ¦ throw ConfigError( url + ": " + e.what() );
    }
  }
  
  void DataDictionary::readFromStream( std::istream& stream )
  throw( ConfigError )
  {
>*  DOMDocumentPtr pDoc = DOMDocumentPtr(new PUGIXML_DOMDocument());
  
    if(!pDoc->load(stream))
    ¦ throw ConfigError("Could not parse data dictionary stream");
  
    readFromDocument( pDoc );
  }
  
>*void DataDictionary::readFromDocument( DOMDocumentPtr pDoc )
  throw( ConfigError )
  {
    // VERSION
    DOMNodePtr pFixNode = pDoc->getNode("/fix");
    if(!pFixNode.get())
...
}

到这里,数据字典的解析就完成了。简单的理解就是,读入xml文件,然后针对xml文件里的内容,把内容做成映射用map和vector存储。

2.3 数据字典存储

SessionSettings

/// Container for setting dictionaries mapped to sessions.
class SessionSettings
{
public:
  SessionSettings() { m_resolveEnvVars = false; }
  SessionSettings( std::istream& stream, bool resolveEnvVars = false ) EXCEPT ( ConfigError );
  SessionSettings( const std::string& file, bool resolveEnvVars = false ) EXCEPT ( ConfigError );
''''''

  typedef std::map < SessionID, Dictionary > Dictionaries;
  std::set < SessionID > getSessions() const;

private:

  Dictionaries m_settings;
  Dictionary m_defaults;
'''

  friend std::istream& operator>>( std::istream&, SessionSettings& ) EXCEPT ( ConfigError );
  friend std::ostream& operator<<( std::ostream&, const SessionSettings& );
};

是通过友元函数 operator >> 从任意的流中读取配置,通过一个sessonid的set和一个sessionid->dictionary的map,管理每个段。

三、Application

3.1 Application

若是须要使用QuickFIX开发FIX应用,则须要实现FIX::Application接口,并重载不一样FIX协议版本的MessageCracker::OnMessage接口,如FIX42::MessageCracker。

class Application
{
public:
  virtual ~Application() {};
  /// Notification of a session begin created
  virtual void onCreate( const SessionID& ) = 0;
 
  /// Notification of a session successfully logging on
  virtual void onLogon( const SessionID& ) = 0;
 
  /// Notification of a session logging off or disconnecting
  virtual void onLogout( const SessionID& ) = 0;
 
  /// Notification of admin message being sent to target
  virtual void toAdmin( Message&, const SessionID& ) = 0;
 
  /// Notification of app message being sent to target
  virtual void toApp( Message&, const SessionID& )
  EXCEPT ( DoNotSend ) = 0;
 
  /// Notification of admin message being received from target
  virtual void fromAdmin( const Message&, const SessionID& )
  EXCEPT ( FieldNotFound, IncorrectDataFormat, IncorrectTagValue, RejectLogon ) = 0;
 
  /// Notification of app message being received from target
  virtual void fromApp( const Message&, const SessionID& )
  EXCEPT ( FieldNotFound, IncorrectDataFormat, IncorrectTagValue, UnsupportedMessageType ) = 0;
};


 onCreate:当Fix Session创建时调用。
onLogon:当Fix Session登陆成功时调用。
onLogout:当Fix Session退出时调用。
fromAdmin:当收到一个Admin类型消息时调用。
fromApp:当收到一个不属于Admin 类型消息时调用。
toAdmin:当发送一个admin类型消息调用。
toApp:当发送一个非admin(业务类型)消息调用。

admin一般是服务提供方,app是客户端


3.2 MessageCracker

除了实现FIX::Application接口,还需要重新实现FIX::MessageCracker从具体的FIX协议版本实现继承而来的onMessage方法,crack接口就可以根据message类型匹配到你实现的具体onMessage接口上。

  void crack( const Message& message,
              const SessionID& sessionID )
  {
    const FIX::BeginString& beginString = 
      FIELD_GET_REF( message.getHeader(), BeginString );

    crack( message, sessionID, beginString );
  }

  void crack( const Message& message,
              const SessionID& sessionID,
              const BeginString& beginString )
  {
    if ( beginString == BeginString_FIX40 )
      ((FIX40::MessageCracker&)(*this)).crack((const FIX40::Message&) message, sessionID);
    else if ( beginString == BeginString_FIX41 )
      ((FIX41::MessageCracker&)(*this)).crack((const FIX41::Message&) message, sessionID);
    else if ( beginString == BeginString_FIX42 )
      ((FIX42::MessageCracker&)(*this)).crack((const FIX42::Message&) message, sessionID);
    else if ( beginString == BeginString_FIX43 )
      ((FIX43::MessageCracker&)(*this)).crack((const FIX43::Message&) message, sessionID);
    else if ( beginString == BeginString_FIX44 )
      ((FIX44::MessageCracker&)(*this)).crack((const FIX44::Message&) message, sessionID);
    else if ( beginString == BeginString_FIXT11 )
    {
      if( message.isAdmin() )
      {
        ((FIXT11::MessageCracker&)(*this)).crack((const FIXT11::Message&) message, sessionID);
      }
      else
      {
'''
      }
    }
  }

四、*Factory 

就是这两行:

FIX::FileStoreFactory storeFactory( settings );

FIX::ScreenLogFactory logFactory( settings );

逻辑比较简单,就是读了上文介绍的settings,然后存下来,存储结构如下:

  std::string m_path;

  SessionSettings m_settings;

五、initiator/Acceptor

也就是这一行 initiator = new FIX::SocketInitiator( application, storeFactory, settings, logFactory );

这俩大概差不多,先看一个。

主要代码如下:

/**
 * Base for classes which act as an acceptor for incoming connections.
 *
 * Most users will not need to implement one of these.  The default
 * SocketAcceptor implementation will be used in most cases.
 */
class Acceptor
{
public:
''''''
  Acceptor( Application&, MessageStoreFactory&,
            const SessionSettings&, LogFactory& ) EXCEPT ( ConfigError );

  virtual ~Acceptor();

''''''
  /// Poll the acceptor
  bool poll( double timeout = 0.0 ) EXCEPT ( ConfigError, RuntimeError );

  /// Stop acceptor.
  void stop( bool force = false );

  /// Check to see if any sessions are currently logged on
  bool isLoggedOn();
  Session* getSession( const std::string& msg, Responder& );
  const std::set& getSessions() const { return m_sessionIDs; }
  Session* getSession( const SessionID& sessionID ) const;
  const Dictionary* const getSessionSettings( const SessionID& sessionID ) const;

  bool has( const SessionID& id )
  { return m_sessions.find( id ) != m_sessions.end(); }

  bool isStopped() { return m_stop; }

  Application& getApplication() { return m_application; }
  MessageStoreFactory& getMessageStoreFactory()
  { return m_messageStoreFactory; }

private:
''''''

  static THREAD_PROC startThread( void* p );

  typedef std::set < SessionID > SessionIDs;
  typedef std::map < SessionID, Session* > Sessions;

  thread_id m_threadid;
  Sessions m_sessions;
  SessionIDs m_sessionIDs;
  Application& m_application;
  MessageStoreFactory& m_messageStoreFactory;
protected:
  SessionSettings m_settings;
private:
  LogFactory* m_pLogFactory;
  Log* m_pLog;
  NullLog m_nullLog;
  bool m_firstPoll;
  bool m_stop;
};

基本包含了之前介绍的大部分类,如

Session相关的(SessionSettings/set/map)、

Application(用于接收并处理消息的)、LogFactory(写日志的对象)

5.1 init

功能就是把配置的每一个session初始化,很简单。

void Acceptor::initialize() EXCEPT ( ConfigError )
{
  std::set < SessionID > sessions = m_settings.getSessions();
  std::set < SessionID > ::iterator i;

  if ( !sessions.size() )
    throw ConfigError( "No sessions defined" );

  SessionFactory factory( m_application, m_messageStoreFactory,
                          m_pLogFactory );

  for ( i = sessions.begin(); i != sessions.end(); ++i )
  {
    if ( m_settings.get( *i ).getString( CONNECTION_TYPE ) == "acceptor" )
    {
      m_sessionIDs.insert( *i );
      m_sessions[ *i ] = factory.create( *i, m_settings.get( *i ) );
    }
  }

  if ( !m_sessions.size() )
    throw ConfigError( "No sessions defined for acceptor" );
}

5.2 start

这一行:Acceptor/initiator->start();

  1. 调用 SocketAcceptor::onInitialize() 创建 socket 句柄,进行监听端口。
  2. 启动线程,调用 SocketAcceptor::onStart(),检测对端的连接
void Acceptor::start() EXCEPT ( ConfigError, RuntimeError )
{
    m_stop = false;
    onConfigure( m_settings );
    onInitialize( m_settings );

    HttpServer::startGlobal( m_settings );

    if( !thread_spawn( &startThread, this, m_threadid ) )
        throw RuntimeError("Unable to spawn thread");
}

其他的操作大同小异,可以自己阅读

5.3 SocketAcceptor::onInitialize

主要功能就是对每个session设置监听

void SocketAcceptor::onInitialize(const SessionSettings& s)
    EXCEPT ( RuntimeError )
{
    short port = 0;
    try
    {
        m_pServer = new SocketServer(1);

        std::set sessions = s.getSessions();
        std::set::iterator i = sessions.begin();
        for( ; i != sessions.end(); ++i )
        {
            const Dictionary& settings = s.get( *i );
            port = (short)settings.getInt( SOCKET_ACCEPT_PORT );
''''''
            // 管理监听端口与 SeesionID 的对应关系
            m_portToSessions[port].insert(*i);
            // 为每个监听的端口创建 Socket 句柄: socket_handle
            m_pServer->add( port, reuseAddress, noDelay, sendBufSize, rcvBufSize );
        }
    }
    catch( SocketException& e )
    {
''''''
    }
}

5.4 

5.2中的第二步调用

THREAD_PROC Acceptor::startThread( void* p )
{
  Acceptor * pAcceptor = static_cast < Acceptor* > ( p );
  pAcceptor->onStart();
  return 0;
}

六、session

回顾所有我们浏览的代码,唯独没有介绍session,最后来看一下。

6.1 session创建

用factory(初始化心跳、session)

Session* SessionFactory::create( const SessionID& sessionID,
                                 const Dictionary& settings ) EXCEPT ( ConfigError )
{
    std::string connectionType = settings.getString( CONNECTION_TYPE );
    if ( connectionType != "acceptor" && connectionType != "initiator" )
        throw ConfigError( "Invalid ConnectionType" );

    if( connectionType == "acceptor" && settings.has(SESSION_QUALIFIER) )
        throw ConfigError( "SessionQualifier cannot be used with acceptor." );
    // 初始化心跳
    HeartBtInt heartBtInt( 0 );
    if ( connectionType == "initiator" )
    {
        heartBtInt = HeartBtInt( settings.getInt( HEARTBTINT ) );
        if ( heartBtInt <= 0 ) throw ConfigError( "Heartbeat must be greater than zero" );
    }
    // 创建 Session 对象
    SmartPtr pSession;
    pSession.reset( new Session( m_application, m_messageStoreFactory,
                                sessionID, dataDictionaryProvider, sessionTimeRange,
                                heartBtInt, m_pLogFactory ) );

    return pSession.release();
}

其中session对象内属性太多,挑一些重要的看:

Application(会话)、

SessionID(标识唯一session)、

m_sessionTime/m_logonTime(主要用于之前讲的24小时重新连接,对应配置)、

m_senderDefaultApplVerID/m_targetDefaultApplVerID(发送端/接收端默 Fix 协议版本号)、

m_state(session状态)、

send()(发送消息函数)、

next()(处理收到的消息,比较重要)

6.2 next()

精简过的代码如下

void Session::next( const Message& message, const UtcTimeStamp& timeStamp, bool queued )
{
  const Header& header = message.getHeader();

  try
  {
    //检查时间
    if ( !checkSessionTime(timeStamp) )
      { reset(); return; }
    //获取类型,下面根据类型分处理方法
    const MsgType& msgType = FIELD_GET_REF( header, MsgType );
    //校验时间
    const BeginString& beginString = FIELD_GET_REF( header, BeginString );
    // make sure these fields are present
    FIELD_THROW_IF_NOT_FOUND( header, SenderCompID );
    FIELD_THROW_IF_NOT_FOUND( header, TargetCompID );

    if ( beginString != m_sessionID.getBeginString() )
      throw UnsupportedVersion();

    const DataDictionary& sessionDataDictionary = 
        m_dataDictionaryProvider.getSessionDataDictionary(m_sessionID.getBeginString());

    if( m_sessionID.isFIXT() && message.isApp() )
    {
      ApplVerID applVerID = m_targetDefaultApplVerID;
      header.getFieldIfSet(applVerID);
      const DataDictionary& applicationDataDictionary = 
        m_dataDictionaryProvider.getApplicationDataDictionary(applVerID);
      DataDictionary::validate( message, &sessionDataDictionary, &applicationDataDictionary );
    }
    else
    {
      sessionDataDictionary.validate( message );
    }

    if ( msgType == MsgType_Logon )
      nextLogon( message, timeStamp );
    else if ( msgType == MsgType_Heartbeat )
      nextHeartbeat( message, timeStamp );
    else if ( msgType == MsgType_TestRequest )
      nextTestRequest( message, timeStamp );
    else if ( msgType == MsgType_SequenceReset )
      nextSequenceReset( message, timeStamp );
    else if ( msgType == MsgType_Logout )
      nextLogout( message, timeStamp );
    else if ( msgType == MsgType_ResendRequest )
      nextResendRequest( message, timeStamp );
    else if ( msgType == MsgType_Reject )
      nextReject( message, timeStamp );
    else
    {
      if ( !verify( message ) ) return ;
      //内含Session::doTargetTooLow() 来处理序列号过小的消息
      //    Session::doTargetTooHigh() 来处理序列号过大的消息
      m_state.incrNextTargetMsgSeqNum();
    }
  }
  ''''''


  if( !queued )
    nextQueued( timeStamp );

  if( isLoggedOn() )
    next();
}

经过各种检查后,根据type调用不同的处理方法,然后操作queue进行下次操作。

这里调用的函数太多了,挑一个复杂的看一下。

6.3 nextResendRequest()

当收到 type是ResendRequest 消息时,回调用nextResendRequest() 处理:

void Session::nextResendRequest(const Message& resendRequest, const UtcTimeStamp& timeStamp)
{
    // ...

    // 从缓存拿出需要重传的消息片段(从MessageStore中的消息,如果是FileStore,那么就会从文件中取出)
    std::vector < std::string > messages;
    m_state.get( beginSeqNo, endSeqNo, messages );

    // ...
    for ( i = messages.begin(); i != messages.end(); ++i )
    {
        // 重新计算消息的校验和
        // ...

        if ( Message::isAdminMsgType( msgType ) )
        {
            // 跳过管理消息
            if ( !begin ) begin = msgSeqNum;
        }
        else
        {
            // 在 resend 里会回调 Application::toApp
            if ( resend( msg ) )
            {
                // 有需要跳过的管理消息,则用一条 SeqReset-GapFill 消息替代
                if ( begin ) generateSequenceReset( begin, msgSeqNum );
                
                // 发送应用消息
                send( msg.toString(messageString) );
                m_state.onEvent( "Resending Message: "
                        + IntConvertor::convert( msgSeqNum ) );
                begin = 0;
                appMessageJustSent = true;
            }
            else
            { if ( !begin ) begin = msgSeqNum; }
        }
        current = msgSeqNum + 1;
    }

    // 结尾还有需要跳过的管理消息,需要用一条 SeqReset-GapFill 消息替代
    if ( begin )
    {
        generateSequenceReset( begin, msgSeqNum + 1 );
    }

    // 序列号同步。为什么在重传借宿后还需要再发送一个 SeqReset-GapFill 消息?
    if ( endSeqNo > msgSeqNum )
    {
        endSeqNo = EndSeqNo(endSeqNo + 1);
        int next = m_state.getNextSenderMsgSeqNum();
        if( endSeqNo > next )
            endSeqNo = EndSeqNo(next);
        if ( appMessageJustSent )
            beginSeqNo = msgSeqNum + 1;
        generateSequenceReset( beginSeqNo, endSeqNo );
    }

    resendRequest.getHeader().getField( msgSeqNum );
    if( !isTargetTooHigh(msgSeqNum) && !isTargetTooLow(msgSeqNum) )
        m_state.incrNextTargetMsgSeqNum();
}

作者修行尚浅,这里只是浅读一下源码,由于使用经验不足,肯定对一些知识的认识不足,以后多加改正。

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