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NAME

Protocol::FIX - Financial Information eXchange (FIX) messages parser/serializer

SYNOPSIS

    use Protocol::FIX;

    my $proto = Protocol::FIX->new('FIX44')->extension('t/data/extension-sample.xml');

    my $serialized = $proto->serialize_message('IOI', [
            SenderCompID => 'me',
            TargetCompID => 'you',
            MsgSeqNum    => 1,
            SendingTime  => '20090107-18:15:16',
            IOIID        => 'abc',
            IOITransType => 'CANCEL',
            IOIQty       => 'LARGE',
            Side         => 'BORROW',
            Instrument => [
                Symbol  => 'EURUSD',
                EvntGrp => [ NoEvents => [ [EventType => 'PUT'], [EventType => 'CALL'], [EventType => 'OTHER'] ] ],
            ],
            OrderQtyData  => [
                OrderQty => '499',
            ],
        ]);
    # managed fields (BeginString, MsgType, and CheckSum) are handled automatically,
    # no need to provide them

    my ($message_instance, $error) = $proto->parse_message(\$serialized);
    print("No error on parsing message");
    print "Message, ", $message_instance->name, " / ", $message_instance->category, "\n";

    print "Field 'SenderCompID' value: ", $message_instance->value('SenderCompID'), "\n";

    print "Component 'OrderQtyData' access: ",
        $message_instance->value('OrderQtyData')->value('OrderQty'), "\n";

    my $group = $message_instance->value('Instrument')->value('EvntGrp')->value('NoEvents');
    print "0th group 'NoEvents' of component 'Instrument/EvntGrp' access: ",
        $group->[0]->value('EventType'), "\n";

    my $buff = '';
    ($message_instance, $error) = $proto->parse_message(\$buff);
    # no error nor message_instance, as there is no enough data.

See also the "eg" folder for sample of FIX-server.

DESCRIPTION

With this module you can easily create new FIX messages in human-readable way, i.e. use names like OrderQty => '499', instead of directly wring string like '39=499'; and vise versa, you can parse the gibberish FIX messages to access fields in human-readable way too.

The module checks that mandatory fields are present, and that field values bypass the validation.

METHODS

new

    new($class, $version)

Creates new protocol instance for the specified FIX protocol version. Currently shipped version is 'FIX44'.

The xml with protocol definition was taken at http://quickfixengine.org/.

extension

    extension($self, $extension_path)

Modifies the protocol, by loading XML extension.

The extension might contain additional messages or fields. The extenation XML should conform the format as the protocol definition itself, i.e.:

    <fix type='FIX' major='4' minor='4' servicepack='0'>
            <messages>
                    <message name='Logon' msgtype='A' msgcat='admin'>
                            <field name='EncryptMethod' required='Y' />
                            <field name='HeartBtInt' required='Y' />
                            <field name='ResetSeqNumFlag' required='N' />
                            <field name='Username' required='N' />
                            <field name='Password' required='N' />
                            <field name='AwesomeField' required='Y' />
                    </message>
            </messages>
            <fields>
                    <field number='33000' name='AwesomeField' type='STRING' />
            </fields>
    </fix>

serialize_message

    serialize_message($self, $message_name, $payload)

Returns serialized string for the supplied $message_name and $payload. Dies in case of end-user (developer) error, e.g. if mandatory field is absent.

parse_message

    parse_message($self, $buff_ref)

    my ($message_instance, $error) = $protocol->parse($buff_ref);

Tries to parse FIX message in the buffer refernce.

In the case of success it returns MessageInstance and $error is undef. The string in $buff_ref will be consumed.

In the case of protocol error, the $message_instance will be undef, and $error will contain the error description. The string in $buff_ref will be kept untouched.

In the case, when there is no enough data in $buff_ref both $error and $message_instance will be undef. The string in $buff_ref will be kept untouched, i.e. waiting futher accumulation of bytes from network.

In other cases it dies; that indicates either end-user (developer) error or bug in the module.

METHODS (for protocol developers)

humanize

    humanize ($buffer)

Returns human-readable string for the buffer. I.e. is just substitutes SOH to " | ".

This might be usable during development of own FIX-client/server.

is_composite

    is_composite($object)

Checks whether the supplied $object conforms "composte" concept. I.e. is it is Field, LGroup, Component or Mesassage.

field_by_name

    field_by_name($self, $field_name)

Returns Field object by it's name or dies with error.

field_by_number

    field_by_number($self, $field_number)

Returns Field object by it's number or dies with error.

component_by_name

    component_by_name($self, $name)

Returns Component object by it's name or dies with error.

message_by_name

    message_by_name($self, $name)

Returns Message object by it's name or dies with error.

    header($self)

Returns Message's header

trailer

    trailer($self)

Returns Message's trailer

id

    id($self)

Returns Protocol's ID string, as it appears in FIX message (BeginString field).

managed_composites

    managed_composites()

Returns list of fields, managed by protocol. Currently the list consists of fields: BeginString, MsgType, and CheckSum