fix-protocol 0.0.4 → 0.0.41

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Files changed (14) hide show
  1. checksums.yaml +4 -4
  2. data/README.md +3 -2
  3. data/lib/fix/protocol/field.rb +3 -1
  4. data/lib/fix/protocol/message.rb +8 -0
  5. data/lib/fix/protocol/message_class_mapping.rb +3 -1
  6. data/lib/fix/protocol/message_header.rb +1 -1
  7. data/lib/fix/protocol/messages/logout.rb +1 -1
  8. data/lib/fix/protocol/messages/market_data_incremental_refresh.rb +20 -0
  9. data/lib/fix/protocol/messages/market_data_request.rb +25 -16
  10. data/lib/fix/protocol/messages/market_data_snapshot.rb +23 -0
  11. data/lib/fix/protocol/messages/md_entry.rb +46 -0
  12. data/lib/fix/protocol/messages/md_entry_type.rb +3 -19
  13. data/lib/fix/protocol/version.rb +1 -1
  14. metadata +5 -2
checksums.yaml CHANGED
@@ -1,7 +1,7 @@
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  ---
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  SHA1:
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- metadata.gz: 3eaeccdfef785de62e4ba4d4c3fdf35f9b5e7deb
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- data.tar.gz: d39b8458438d5d4fbb1bd4ebd4e0f2bec636ff96
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+ metadata.gz: 9ac67d01fa57ccfa5afe685f930ddadbf019a811
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+ data.tar.gz: 19a31a25cd16be7ae00c3bd50d563d7976b58a4e
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  SHA512:
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- metadata.gz: 522826d4dccc9a32ded210c8ca7b1409221091e78c456550217d0543ee401c37cfaac28505ea9d2b49fa5bf4da92913ecda49edc34b2ae81c975891750fd519a
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- data.tar.gz: 97d715b60b8e49ab80d917d28f380e232c3e7fe5e7d469bd8875edcd6255bf1a7db44d9bf810252f56e5a1fce76eef9753dca683153f3d7c04e1e3035585301f
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+ metadata.gz: af15983b1cd341165148f5dbf8917a46f93ff6021cb2a452fd046ff21467b37e230ecba6313b17606bab47a55d1a95b2ca005e6f70a3ef1d8d53da794d75ed11
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+ data.tar.gz: 99b289677c11e08d5818b9db818871480b6395bc7200e883dacb9544a4d4ebc4792b3ed4a9c7fc5f74ca8f2c5e2671d0286a496a189a271bc3eef9d21fbd0b19
data/README.md CHANGED
@@ -11,8 +11,9 @@ Currently it only supports the FIX messages needed for our own use. Additional m
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11
  require 'fix/protocol'
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12
 
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  msg = FP::Messages::Logon.new
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- msg.header.sender_comp_id = 'MY_ID'
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- msg.header.target_comp_id = 'MY_COUNTERPARTY'
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+ msg.sender_comp_id = 'MY_ID'
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+ msg.target_comp_id = 'MY_COUNTERPARTY'
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+ msg.msg_seq_num = 0
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  msg.username = 'MY_USERNAME'
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  if msg.valid?
data/lib/fix/protocol/field.rb CHANGED
@@ -24,7 +24,7 @@ module Fix
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  # @return [String] A message fragment terminated by the separator byte
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  #
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  def dump
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- "#{tag}=#{@value}\x01"
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+ @value && "#{tag}=#{@value}\x01"
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  end
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30
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  #
@@ -40,6 +40,8 @@ module Fix
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  str.gsub(/^[^\x01]+\x01/, '')
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  elsif required
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  self.parse_failure = "Expected <#{str}> to start with a <#{tag}=...|> required field"
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+ else
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+ str
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  end
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  end
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data/lib/fix/protocol/message.rb CHANGED
@@ -1,5 +1,6 @@
1
1
  require 'polyglot'
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  require 'treetop'
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+ require 'forwardable'
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4
 
4
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  require 'fix/protocol/message_part'
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  require 'fix/protocol/repeating_message_part'
@@ -13,6 +14,13 @@ module Fix
13
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  #
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  class Message < MessagePart
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+ extend Forwardable
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+ def_delegators :header,
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+ :sender_comp_id, :sender_comp_id=,
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+ :target_comp_id, :target_comp_id=,
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+ :msg_seq_num, :msg_seq_num=,
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+ :sending_time, :sending_time=
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+
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  part :header, klass: MessageHeader
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  def initialize
data/lib/fix/protocol/message_class_mapping.rb CHANGED
@@ -16,7 +16,9 @@ module Fix
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  '2' => :resend_request,
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  '3' => :reject,
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  '5' => :logout,
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- 'V' => :market_data_request
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+ 'V' => :market_data_request,
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+ 'W' => :market_data_snapshot,
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+ 'X' => :market_data_incremental_refresh
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  }
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  #
data/lib/fix/protocol/message_header.rb CHANGED
@@ -9,7 +9,7 @@ module Fix
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  class MessageHeader < MessagePart
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10
 
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  field :version, tag: 8, required: true, default: 'FIX.4.4'
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- field :body_length, tag: 9
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+ field :body_length, tag: 9, default: 0
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  field :msg_type, tag: 35, required: true
14
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  field :sender_comp_id, tag: 49, required: true
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  field :target_comp_id, tag: 56, required: true
data/lib/fix/protocol/messages/logout.rb CHANGED
@@ -7,7 +7,7 @@ module Fix
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  #
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  class Logout < Message
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9
 
10
- has_field :text, tag: 58
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+ field :text, tag: 58
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11
 
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  end
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  end
data/lib/fix/protocol/messages/market_data_incremental_refresh.rb ADDED
@@ -0,0 +1,20 @@
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+ require 'fix/protocol/messages/instrument'
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+ require 'fix/protocol/messages/md_entry'
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+
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+ module Fix
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+ module Protocol
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+ module Messages
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+
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+ #
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+ # A full market refresh
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+ #
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+ class MarketDataIncrementalRefresh < Message
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+
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+ field :md_req_id, tag: 262, required: true
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+ collection :md_entries, counter_tag: 268, klass: FP::Messages::MdEntry
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+
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+ end
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+ end
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+ end
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+ end
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+
data/lib/fix/protocol/messages/market_data_request.rb CHANGED
@@ -10,26 +10,35 @@ module Fix
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  #
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  class MarketDataRequest < Message
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12
 
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- # SUBSCRIPTION_TYPES = {
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- # snapshot: 1,
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- # updates: 2,
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- # unsubscribe: 3
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- # }
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  #
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- # MKT_DPTH_TYPES = {
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- # full: 0,
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- # top: 1
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- # }
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+ # The subscription type, see: http://www.onixs.biz/fix-dictionary/4.4/tagNum_263.html
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15
  #
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- # UPDATE_TYPES = {
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- # full: 0,
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- # incremental: 1
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- # }
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+ SUBSCRIPTION_TYPES = {
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+ snapshot: 1,
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+ updates: 2,
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+ unsubscribe: 3
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+ }
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+
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+ #
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+ # Whether to return the full book or only the best bid/ask
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+ #
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+ MKT_DPTH_TYPES = {
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+ full: 0,
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+ top: 1
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+ }
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+
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+ #
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+ # Whether to send a full market depth on each update, we'll probably only support the incremental type
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+ #
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+ UPDATE_TYPES = {
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+ full: 0,
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+ incremental: 1
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+ }
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  field :md_req_id, tag: 262, required: true
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- field :subscription_request_type, tag: 263, required: true, type: :integer #, mapping: SUBSCRIPTION_TYPES
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- field :market_depth, tag: 264, required: true, type: :integer #, mapping: MKT_DPTH_TYPES
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- field :md_update_type, tag: 265, required: true, type: :integer #, mapping: UPDATE_TYPES
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+ field :subscription_request_type, tag: 263, required: true, type: :integer, mapping: SUBSCRIPTION_TYPES
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+ field :market_depth, tag: 264, required: true, type: :integer, mapping: MKT_DPTH_TYPES
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+ field :md_update_type, tag: 265, required: true, type: :integer, mapping: UPDATE_TYPES
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42
 
34
43
  collection :md_entry_types, counter_tag: 267, klass: FP::Messages::MdEntryType
35
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  collection :instruments, counter_tag: 146, klass: FP::Messages::Instrument
data/lib/fix/protocol/messages/market_data_snapshot.rb ADDED
@@ -0,0 +1,23 @@
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+ require 'fix/protocol/messages/instrument'
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+ require 'fix/protocol/messages/md_entry'
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+
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+ module Fix
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+ module Protocol
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+ module Messages
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+
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+ #
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+ # A full market refresh
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+ #
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+ class MarketDataSnapshot < Message
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+
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+ field :md_req_id, tag: 262, required: true
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+
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+ part :instrument, klass: FP::Messages::Instrument
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+
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+ collection :md_entries, counter_tag: 268, klass: FP::Messages::MdEntry
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+
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+ end
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+ end
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+ end
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+ end
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+
data/lib/fix/protocol/messages/md_entry.rb ADDED
@@ -0,0 +1,46 @@
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+ module Fix
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+ module Protocol
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+ module Messages
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+
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+ #
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+ # A market data entry
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+ #
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+ class MdEntry < MessagePart
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+
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+ #
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+ # The MD entry type mapping
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+ #
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+ MD_ENTRY_TYPES = {
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+ bid: 0,
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+ ask: 1,
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+ trade: 2,
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+ index: 3,
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+ open: 4,
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+ close: 5,
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+ settlement: 6,
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+ high: 7,
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+ low: 8,
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+ vwap: 9,
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+ imbalance: 'A',
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+ volume: 'B',
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+ open_interest: 'C'
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+ }
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+
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+ #
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+ # The update actions when updating a market data entry
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+ #
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+ MD_UPDATE_ACTIONS = {
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+ new: 0,
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+ change: 1,
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+ delete: 2
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+ }
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+
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+ field :update_action, tag: 279, mapping: MD_UPDATE_ACTIONS
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+ field :md_entry_type, tag: 269, required: true, mapping: MD_ENTRY_TYPES
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+ field :md_entry_px, tag: 270
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+ field :currency, tag: 15
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+ field :md_entry_size, tag: 271
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+ end
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+ end
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+ end
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+ end
data/lib/fix/protocol/messages/md_entry_type.rb CHANGED
@@ -1,3 +1,5 @@
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+ require 'fix/protocol/messages/md_entry'
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+
1
3
  module Fix
2
4
  module Protocol
3
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  module Messages
@@ -7,25 +9,7 @@ module Fix
7
9
  #
8
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  class MdEntryType < MessagePart
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11
 
10
- #
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- # The MD entry type mapping
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- #
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- MD_ENTRY_TYPES = {
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- bid: 0,
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- ask: 1,
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- offer: 1,
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- trade: 2,
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- index: 3,
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- open: 4,
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- close: 5,
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- settlement: 6,
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- high: 7,
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- low: 8,
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- vwap: 9,
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- volume: 'B'
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- }
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-
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- field :md_entry_type, tag: 269, required: true, mapping: MD_ENTRY_TYPES
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+ field :md_entry_type, tag: 269, required: true, mapping: FP::Messages::MdEntry::MD_ENTRY_TYPES
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13
 
30
14
  end
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15
 
data/lib/fix/protocol/version.rb CHANGED
@@ -4,7 +4,7 @@ module Fix
4
4
  #
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  # The fix-protocol gem version string
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6
  #
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- VERSION = '0.0.4'
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+ VERSION = '0.0.41'
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8
 
9
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  end
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  end
metadata CHANGED
@@ -1,14 +1,14 @@
1
1
  --- !ruby/object:Gem::Specification
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  name: fix-protocol
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3
  version: !ruby/object:Gem::Version
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- version: 0.0.4
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+ version: 0.0.41
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  platform: ruby
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  authors:
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  - David François
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  autorequire:
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  bindir: bin
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  cert_chain: []
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- date: 2014-10-21 00:00:00.000000000 Z
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+ date: 2014-10-22 00:00:00.000000000 Z
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12
  dependencies:
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  - !ruby/object:Gem::Dependency
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  name: rspec
@@ -140,7 +140,10 @@ files:
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140
  - lib/fix/protocol/messages/instrument.rb
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141
  - lib/fix/protocol/messages/logon.rb
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142
  - lib/fix/protocol/messages/logout.rb
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+ - lib/fix/protocol/messages/market_data_incremental_refresh.rb
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144
  - lib/fix/protocol/messages/market_data_request.rb
145
+ - lib/fix/protocol/messages/market_data_snapshot.rb
146
+ - lib/fix/protocol/messages/md_entry.rb
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147
  - lib/fix/protocol/messages/md_entry_type.rb
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148
  - lib/fix/protocol/messages/reject.rb
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  - lib/fix/protocol/messages/resend_request.rb