Merge branch 'master' of bitbucket.org:bluetradesys/spark into fix

spark_client.sln

@@ -23,6 +23,8 @@ Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_test", "src\client\sp
 EndProject
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_excel", "src\client\spark_excel\spark_excel.csproj", "{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}"
 EndProject
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "spark_fix", "src\client\spark_fix\spark_fix.csproj", "{D8031C13-7BEA-430A-BB60-40927D15CFC3}"
+EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
 		Debug|Any CPU = Debug|Any CPU
@@ -219,6 +221,26 @@ Global
 		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x64.Build.0 = Release|x64
 		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x86.ActiveCfg = Release|x64
 		{BE9F27C3-B583-47DF-95FA-1F8BBC89DCCB}.RelWithDebInfo|x86.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Debug|Any CPU.ActiveCfg = Debug|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Debug|x64.ActiveCfg = Debug|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Debug|x64.Build.0 = Debug|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Debug|x86.ActiveCfg = Debug|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|Any CPU.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|Any CPU.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|x64.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|x64.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|x86.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.MinSizeRel|x86.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Release|Any CPU.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Release|x64.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Release|x64.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.Release|x86.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|Any CPU.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|Any CPU.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|x64.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|x64.Build.0 = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|x86.ActiveCfg = Release|x64
+		{D8031C13-7BEA-430A-BB60-40927D15CFC3}.RelWithDebInfo|x86.Build.0 = Release|x64
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE

src/client/spark/Spark.csproj

@@ -9,7 +9,6 @@
     <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
     <Configurations>Debug;Release</Configurations>
     <Platforms>x64</Platforms>
-    <RuntimeIdentifiers>win7-x64</RuntimeIdentifiers>
     <PlatformTarget>AnyCPU</PlatformTarget>
     <LanguageTargets>$(MSBuildExtensionsPath)\$(VisualStudioVersion)\Bin\Microsoft.CSharp.targets</LanguageTargets>
     <ApplicationIcon>logo.ico</ApplicationIcon>

src/client/spark_api/Properties/AssemblyAttributes.cs

@@ -3,4 +3,5 @@ using System.Runtime.CompilerServices;
 [assembly: InternalsVisibleTo("spark_core")]
 [assembly: InternalsVisibleTo("sparkcmd")]
 [assembly: InternalsVisibleTo("spark_test")]
+[assembly: InternalsVisibleTo("spark_fix")]
 

src/client/spark_api/security/SecurityFormatter.cs

@@ -3,7 +3,7 @@ using System.Collections.Generic;
 using static bts.api.Security;
 
 namespace bts.api {
-   struct FutureLeg {
+   public struct FutureLeg {
       public readonly Venue exchange;
       public readonly string symbol, exchange_desc;
       public readonly FutureContractImmutable future;

src/client/spark_api/security/SecurityHelper.cs

@@ -4,7 +4,7 @@ using System.Linq;
 using static bts.api.Security;
 
 namespace bts.api {
-   internal static class SecurityHelper {
+   public static class SecurityHelper {
       public static IEnumerable<FutureLeg> get_flat_future_legs(SecurityImmutable sec) {
          switch (sec.ContractCase) {
             case ContractOneofCase.Spread: return _get_flat_future_legs(sec.Spread.Legs, 1);

src/client/spark_api/utils/Log.cs

@@ -36,6 +36,7 @@ namespace bts {
       Plugin,
       Sdk,
       Http,
+      Fix
       // Please keep this list in sync with logging.h/logging.cpp
    }
    
@@ -102,9 +103,10 @@ namespace bts {
       internal static Logger Assert => new Logger(Subsystem.Assert);
       internal static Logger Ui => new Logger(Subsystem.Ui);
       internal static Logger Testing => new Logger(Subsystem.Testing);
-      internal static Logger DataFlow => new Logger(Subsystem.DataFlow);
+      internal static Logger DataFlow => new Logger(Subsystem.DataFlow);      
       public static Logger Sdk => new Logger(Subsystem.Sdk);
       public static Logger Http => new Logger(Subsystem.Http);
+      internal static Logger FIX => new Logger(Subsystem.Fix);
 
       internal static void log_at(this Logger logger, Level level, string message) {
          switch (level) {

src/client/spark_core/admin/AdminModelWrapper.cs

@@ -0,0 +1,64 @@
+using bts;
+using bts.api.admin;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace bts.api.core
+{
+   public class AdminModelWrapper
+   {
+      readonly AdminDataImmutable? _admin_data;
+      public AdminDataImmutable? admin_data => _admin_data;
+      readonly string _user_name;
+      readonly List<BTSAccountImmutable> _allowed_accounts;
+      readonly Dictionary<string, string> _allowed_account_dict = new Dictionary<string, string>();
+      public AdminModelWrapper(AdminDataImmutable? admin_data = null, string user_name = null)
+      {
+         _admin_data = admin_data;
+         _user_name = user_name ?? string.Empty;
+         _allowed_accounts = search_admin(u => u.Name == _user_name).Where(x =>
+         {
+              return (x.Item2 != null && x.Item2.HasPermissions) || (x.Item3 != null && x.Item3.HasPermissions);
+         }).Select(xx => xx.Item1).ToList();
+         foreach (var val in _allowed_accounts)
+            _allowed_account_dict[val.Name] = val.Name;
+      }
+      public IEnumerable<BTSAccountImmutable> viewable_accounts()
+      {
+         return _allowed_accounts;
+      }
+      public bool can_view_account(string account)
+      {
+         return _allowed_account_dict.ContainsKey(account) || _user_name.ToLower().Equals("bts");
+      }
+
+      IEnumerable<Tuple<BTSAccountImmutable, TradingPermissionUnit, AdminPermissionUnit>> 
+         search_admin(Func<BTSUserImmutable, bool> predicate)
+      {
+         var rv = new List<Tuple<BTSAccountImmutable, TradingPermissionUnit, AdminPermissionUnit>>();
+         if (_admin_data.HasValue)
+         {
+            var users = _admin_data.Value.Users.Where(predicate);
+            if (users != null && users.Count() == 1)
+            {
+               var user = users.ElementAt(0);
+               if (user.HasUserData && user.UserData.HasAccountPermissions)
+               {
+                  foreach (var kv in user.UserData.AccountPermissions.AccountPermissions)
+                  {
+                     var account_id = kv.Key;
+                     var accounts = _admin_data.Value.Accounts.Where(a => a.Id == account_id);
+                     if (accounts != null && accounts.Count() == 1)
+                     {
+                        var account = accounts.ElementAt(0);
+                        rv.Add(Tuple.Create(account, kv.Value.TradingPermission, kv.Value.AdminPermission));
+                     }
+                  }
+               }
+            }
+         }
+         return rv;
+      }
+   }
+}

src/client/spark_core/admin/PermissionFilters.cs

@@ -0,0 +1,64 @@
+using bts;
+using bts.api;
+using bts.api.core;
+using bts.api.orderman;
+using bts.api.position;
+using bts.spark;
+using System;
+using System.Collections.Generic;
+using System.Collections.Immutable;
+using System.Collections.Specialized;
+using System.Linq;
+using System.Reactive.Concurrency;
+using System.Reactive.Linq;
+
+namespace bts.api.core
+{
+   public static class PermissionFilters
+   {
+      public static IObservable<Update<PositionUnitImmutable, int>> 
+         PermissionFilter(this IObservable<Update<PositionUnitImmutable, int>> source, IObservable<AdminModelWrapper> am)
+      {
+         var pred = Observable.Create<Func<PositionUnitImmutable, bool>>(observer =>
+         {
+            return am.Subscribe(x =>
+            {
+               Func<PositionUnitImmutable, bool> filter = (z => x.can_view_account(z.Account));
+               observer.OnNext(filter);
+            });
+         });
+
+         return source.Filter(pred);
+      }
+
+      public static IObservable<Update<OrderRecordImmutable, uint>> 
+         PermissionFilter(this IObservable<Update<OrderRecordImmutable, uint>> source, IObservable<AdminModelWrapper> am)
+      {
+         var pred = Observable.Create<Func<OrderRecordImmutable, bool>>(observer =>
+        {
+           return am.Subscribe(x =>
+           {
+               Func<OrderRecordImmutable, bool> filter = (z => x.can_view_account(z.Def.Account ?? string.Empty));
+               observer.OnNext(filter);
+           });
+        });
+
+         return source.Filter(pred);
+      }
+
+      public static IObservable<Update<FillImmutable, string>> 
+         PermissionFilter(this IObservable<Update<FillImmutable, string>> source, IObservable<AdminModelWrapper> am)
+      {
+         var pred = Observable.Create<Func<FillImmutable, bool>>(observer =>
+        {
+           return am.Subscribe(x =>
+           {
+               Func<FillImmutable, bool> filter = (z => x.can_view_account(z.Account));
+               observer.OnNext(filter);
+           });
+        });
+
+         return source.Filter(pred);
+      }
+   }
+}

src/client/spark_core/utils/GlobalExtensions.cs

@@ -66,7 +66,6 @@ namespace mbts {
             }
          }
       }
-
       public static void sync_with_models<T, TModel>(this IList<T> target, IEnumerable<TModel> models, Func<TModel, T> add_factory, Func<T, TModel, T> update_factory) {
          var model_list = models as IList<TModel> ?? models.ToList();
          if (model_list.Count == 0) {

src/client/spark_fix/FixInit.cs

@@ -0,0 +1,61 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+
+using QuickFix;
+using QuickFix.Fields;
+
+namespace bts.fix
+{
+   public class FixInit
+   {
+      static FixInit()
+      {
+         AppDomain.CurrentDomain.UnhandledException += CurrentDomain_UnhandledException;
+      }
+
+      static void CurrentDomain_UnhandledException(object sender, UnhandledExceptionEventArgs e)
+      {
+         var exception = e.ExceptionObject as Exception;
+         Log.FIX.error($"Unhandled Exception: {e.ExceptionObject} {exception?.StackTrace}");
+         if (e.IsTerminating)
+         {
+            Log.system_is_crashing("Unhandled exception", e.ExceptionObject);
+         }
+      }
+      
+      public static int start_acceptor(string settings_file, bool orders_allowed, string http_address = null)
+      {
+         SessionSettings settings = new SessionSettings(settings_file);
+         IApplication app = new FixRouter( (th, sess) =>
+         {
+            if(orders_allowed)
+               return new OrderSession(th, sess);
+            else
+               return new DropCopySession(th, sess);
+         });
+         IMessageStoreFactory storeFactory = new FileStoreFactory(settings);
+         ILogFactory logFactory = new FileLogFactory(settings);
+         IAcceptor acceptor = new ThreadedSocketAcceptor(app, storeFactory, settings, logFactory);
+
+         acceptor.Start();
+         HttpServer srv = null;
+         if (!string.IsNullOrEmpty(http_address))
+         {
+            if(!http_address.StartsWith("http"))
+               http_address = "http://127.0.0.1:5080/";
+            srv = new HttpServer(http_address, settings);
+            srv.Start();
+         }
+         Console.WriteLine("press <q> to quit");
+         while (Console.Read() != 'q') { }
+         acceptor.Stop();
+         if(srv != null)
+            srv.Stop();
+         return 0;
+
+      }
+   }
+}
+

src/client/spark_fix/FixRouter.cs

@@ -0,0 +1,231 @@
+using System;
+using System.Collections.Generic;
+using System.Collections.Concurrent;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Reactive.Concurrency;
+using System.Text;
+
+using QuickFix;
+using QuickFix.Fields;
+
+using bts.api;
+using bts.api.core;
+using bts.api.orderman;
+using bts.api.user;
+using bts.md;
+using bts.api.admin;
+
+using security_key = System.UInt32;
+
+namespace bts.fix
+{
+   interface IFixRouter
+   {
+      IEnumerable<SecurityImmutable> get_securities();
+      SecurityImmutable? lookup(security_key key);
+      SecurityImmutable? lookup(string desc);
+
+      void send(Message mess, SessionID sess);
+      void send_session_reject(SessionID sess, string text, Message refmessage = null);
+      void send_biz_reject(SessionID sess, string text, Message refmessage, int reason_code = 0);
+   }
+
+   class FixRouter : QuickFix.MessageCracker, IFIXSession, IFixRouter
+   {
+      readonly ConcurrentDictionary<SessionID, QuickFix.IApplication> _sessions = new ConcurrentDictionary<SessionID, IApplication>();
+      readonly Func<IFixRouter, SessionID, IApplication> _factory;
+      readonly MarketDataClient _md = new MarketDataClient();
+      readonly object _lock = new object();
+
+      public FixRouter(Func<IFixRouter, SessionID, IApplication> factory)
+      {
+         _factory = factory;
+      }
+
+      IApplication session(SessionID sessionID)
+      {
+         IApplication app;
+         if (!_sessions.TryGetValue(sessionID, out app))
+         {
+            app = _factory(this, sessionID);
+            _sessions[sessionID] = app;
+         }
+         return app;
+      }
+
+      public void send(Message mess, SessionID sess)
+      {
+         lock (_lock)
+         {
+            try
+            {
+               Session.SendToTarget(mess, sess);
+            }
+            catch (SessionNotFound)
+            {
+               Log.assert(false, "session not found " + sess);
+            }
+            catch (Exception ex)
+            {
+               Log.FIX.error(sess.ToString() + " " + ex.Message + " " + sess);
+            }
+         }
+      }
+
+      public void send_session_reject(SessionID sess, string text, Message refmessage = null)
+      {
+         QuickFix.FIX44.Reject rej = null;
+         if (refmessage != null && refmessage.Header.IsSetField(Tags.MsgSeqNum))
+            rej = new QuickFix.FIX44.Reject(new QuickFix.Fields.RefSeqNum(refmessage.Header.GetInt(Tags.MsgSeqNum)));
+         else
+            rej = new QuickFix.FIX44.Reject();
+         rej.Text = new Text(text);
+         send(rej, sess);
+      }
+
+      public void send_biz_reject(SessionID sess, string text, Message refmessage, int reason_code = 0)
+      {
+         QuickFix.FIX44.BusinessMessageReject rej = new QuickFix.FIX44.BusinessMessageReject();
+
+         rej.RefMsgType = new QuickFix.Fields.RefMsgType(refmessage.Header.GetString(Tags.MsgType));
+         rej.RefSeqNum = new QuickFix.Fields.RefSeqNum(refmessage.Header.GetInt(Tags.MsgSeqNum));
+         rej.BusinessRejectReason = new QuickFix.Fields.BusinessRejectReason(reason_code);
+         rej.Text = new Text(text);
+         send(rej, sess);
+      }      
+
+      void handle_session_exception(Exception ex, SessionID sessionID, Message message = null)
+      {
+         string msg = "==ERROR in session " + sessionID.ToString() + "== ";
+         msg += message?.GetType().Name ?? string.Empty;
+         msg += ex?.ToString() ?? string.Empty;
+         if(!string.IsNullOrEmpty(ex.StackTrace))
+            msg += Environment.NewLine + ex.StackTrace;
+
+         bts.Log.FIX.error(msg);
+         Console.WriteLine(msg);
+         //now shut this fucker down
+         try
+         {
+            var sess = Session.LookupSession(sessionID);
+            if(sess != null)
+               sess.Disconnect(msg);
+         }
+         catch { }
+      }
+
+      void handle_field_not_found(FieldNotFoundException ex, SessionID sess, Message message)
+      {
+         if(ex.Field > 0)
+            send_biz_reject(sess, $"Field {ex.Field} was expected but not found", message, 5 );
+         //QF does not include the tag number....
+         //throw new FieldNotFoundException($"Field {ex.Field} was expected but not found", ex);
+         else
+            throw ex;
+      }
+
+      public void FromAdmin(Message message, SessionID sessionID)
+      {
+         try
+         {
+            session(sessionID).FromAdmin(message, sessionID);
+         }
+         catch (FieldNotFoundException ex) { handle_field_not_found(ex, sessionID, message); }
+         catch (UnsupportedMessageType) { throw; }
+         catch (IncorrectTagValue) { throw; }
+         catch (Exception ex) { handle_session_exception(ex, sessionID, message); }
+      }
+
+      public void FromApp(Message message, SessionID sessionID)
+      {
+         try
+         {
+            session(sessionID).FromApp(message, sessionID);
+         }
+         catch (FieldNotFoundException ex) { handle_field_not_found(ex, sessionID, message); }
+         catch (UnsupportedMessageType) { throw; }
+         catch (IncorrectTagValue) { throw; }
+         catch (Exception ex) { handle_session_exception(ex, sessionID, message); }
+      }
+
+      public void OnCreate(SessionID sessionID)
+      {
+         try
+         {
+            session(sessionID).OnCreate(sessionID);    
+         }
+         catch (Exception ex)
+         {
+            handle_session_exception(ex, sessionID);
+         }      
+      }
+
+      public void OnLogon(SessionID sessionID)
+      {
+         try
+         {
+            session(sessionID).OnLogon(sessionID);
+         }
+         catch (Exception ex)
+         {
+            handle_session_exception(ex, sessionID);
+         }
+      }
+
+      public void OnLogout(SessionID sessionID)
+      {
+         try
+         {
+            //TODO stackoverflow?
+            session(sessionID).OnLogout(sessionID);
+         }
+         catch (Exception ex)
+         {
+            handle_session_exception(ex, sessionID);
+         }
+      }
+
+      public void ToAdmin(Message message, SessionID sessionID)
+      {
+         try
+         {
+            session(sessionID).ToAdmin(message, sessionID);
+         }
+         catch (FieldNotFoundException ex) { handle_field_not_found(ex, sessionID, message); }
+         catch (UnsupportedMessageType) {  throw; }
+         catch (IncorrectTagValue) { throw; }
+         catch (Exception ex) { handle_session_exception(ex, sessionID, message); }
+      }
+
+      public void ToApp(Message message, SessionID sessionID)
+      {
+         try
+         {
+            session(sessionID).ToApp(message, sessionID);
+         }
+         catch (FieldNotFoundException ex) { handle_field_not_found(ex, sessionID, message); }
+         catch (UnsupportedMessageType) { throw; }
+         catch (IncorrectTagValue) { throw; }
+         catch (Exception ex) { handle_session_exception(ex, sessionID, message); }
+      }
+
+      IEnumerable<SecurityImmutable> IFixRouter.get_securities()
+      {
+         return _md.securities;
+      }
+
+      SecurityImmutable? IFixRouter.lookup(uint key)
+      {
+         return _md.lookup(key);
+      }
+
+      SecurityImmutable? IFixRouter.lookup(string desc)
+      {
+         if (_md.lookup_security_key_from_desc(desc, out uint key))
+            return _md.lookup(key);
+         else
+            return null;
+      }
+   }
+}

src/client/spark_fix/HttpServer.cs

@@ -0,0 +1,585 @@
+using System;
+using System.IO;
+using System.Net;
+using System.Text;
+using System.Threading;
+using System.Web;
+using QuickFix;
+
+namespace bts.fix
+{
+   public class HttpServer : IDisposable
+   {
+      private readonly HttpListener _httpListener;
+      private Thread _connectionThread;
+      private Boolean _running, _disposed;
+      private readonly SessionSettings _sessionSettings;
+      private StringBuilder _sbHtmlHeader;
+
+
+      public HttpServer(string prefix, SessionSettings settings)
+      {
+         if (!HttpListener.IsSupported)
+         {
+            // Requires at least a Windows XP with Service Pack 2
+            throw new NotSupportedException(
+                "The Http Server cannot run on this operating system.");
+         }
+
+         _httpListener = new HttpListener();
+         _httpListener.Prefixes.Add(prefix);
+         _sessionSettings = settings;
+      }
+
+      public void Start()
+      {
+         if (!_httpListener.IsListening)
+         {
+            _httpListener.Start();
+            _running = true;
+            // Use a thread to listen to the Http requests
+            _connectionThread = new Thread(ConnectionThreadStart);
+            _connectionThread.Start();
+         }
+      }
+
+      public void Stop()
+      {
+         if (_httpListener.IsListening)
+         {
+            _running = false;
+            _httpListener.Stop();
+         }
+      }
+
+      private void ConnectionThreadStart()
+      {
+         try
+         {
+            while (_running)
+            {
+               // Grab the context and pass it to the processor methods to handle it
+               HttpListenerContext context = _httpListener.GetContext();
+               HttpListenerRequest request = context.Request;
+               HttpListenerResponse response = context.Response;
+               string responseString;
+
+               _sbHtmlHeader = new StringBuilder(@"<HEAD><CENTER><TITLE>QuickFIX Engine Web Interface</TITLE><H1>QuickFIX Engine Web Interface</H1></CENTER>");
+               _sbHtmlHeader.AppendFormat(@"<CENTER>[<A HREF='/'>HOME</A>]&nbsp;[<A HREF='{0}'>RELOAD</A>]</CENTER><HR/></HEADER><BODY>", request.Url.OriginalString);
+
+               switch (request.Url.AbsolutePath)
+               {
+                  case "/":
+                     responseString = ProcessRoot(request);
+                     break;
+                  case "/session":
+                     responseString = SessionDetails(request);
+                     break;
+                  case "/resetSession":
+                     responseString = ResetSession(request);
+                     break;
+                  case "/resetSessions":
+                     responseString = ResetSessions(request);
+                     break;
+                  case "/refreshSession":
+                     responseString = RefreshSession(request);
+                     break;
+                  case "/refreshSessions":
+                     responseString = RefreshSessions(request);
+                     break;
+                  case "/enableSessions":
+                     responseString = EnableSessions(request);
+                     break;
+                  case "/disableSessions":
+                     responseString = DisableSessions(request);
+                     break;
+                  default:
+                     responseString = ProcessRoot(request);
+                     break;
+               }
+
+               byte[] buffer = Encoding.UTF8.GetBytes(responseString);
+               response.ContentLength64 = buffer.Length;
+               Stream output = response.OutputStream;
+               output.Write(buffer, 0, buffer.Length);
+               output.Close();
+            }
+         }
+         catch (HttpListenerException)
+         {
+            Console.WriteLine("HTTP server was shut down.");
+         }
+      }
+
+      private string DisableSessions(HttpListenerRequest request)
+      {
+         bool confirm = false;
+         StringBuilder sbHtmlPageBody = _sbHtmlHeader;
+
+         if (request.QueryString["confirm"] != null)
+         {
+            if (Convert.ToInt16(request.QueryString["confirm"]) != 0)
+            {
+               confirm = true;
+               foreach (SessionID session in _sessionSettings.GetSessions())
+               {
+                  Session sessionDetails = Session.LookupSession(session);
+                  sessionDetails.Logout();
+               }
+            }
+         }
+
+         if (confirm)
+         {
+            sbHtmlPageBody = new StringBuilder();
+            sbHtmlPageBody.AppendFormat(@"<HEAD><META http-equiv='refresh' content=2;URL={0} /><CENTER><TITLE>QuickFIX Engine Web Interface</TITLE><H1>QuickFIX Engine Web Interface</H1></CENTER>", "/");
+            sbHtmlPageBody.AppendFormat("<CENTER><h2><A HREF='{0}'>Sessions</A> have been disabled</h2></CENTER>", "/");
+         }
+         else
+         {
+            sbHtmlPageBody.Append("<CENTER><h2>Are you sure you want to disable all sessions ?</h2></CENTER>");
+            sbHtmlPageBody.AppendFormat("<CENTER>[<A HREF='{0}?confirm=1'>YES, disable sessions</A>]&nbsp;[<A HREF='/'>NO, do not disable sessions</A>]</CENTER>", request.Url.OriginalString);
+         }
+         return sbHtmlPageBody.ToString();
+      }
+
+      private string EnableSessions(HttpListenerRequest request)
+      {
+         bool confirm = false;
+         string urlOriginalString = request.Url.OriginalString;
+         StringBuilder sbHtmlPageBody = _sbHtmlHeader;
+
+         if (request.QueryString["confirm"] != null)
+         {
+            if (Convert.ToInt16(request.QueryString["confirm"]) != 0)
+            {
+               confirm = true;
+               foreach (SessionID session in _sessionSettings.GetSessions())
+               {
+                  Session sessionDetails = Session.LookupSession(session);
+                  sessionDetails.Logon();
+               }
+            }
+         }
+
+         if (confirm)
+         {
+            sbHtmlPageBody = new StringBuilder();
+            sbHtmlPageBody.AppendFormat(@"<HEAD><META http-equiv='refresh' content=2;URL={0} /><CENTER><TITLE>QuickFIX Engine Web Interface</TITLE><H1>QuickFIX Engine Web Interface</H1></CENTER>", "/");
+            sbHtmlPageBody.AppendFormat("<CENTER><h2><A HREF='{0}'>Sessions</A> have been enabled</h2></CENTER>", "/");
+         }
+         else
+         {
+            sbHtmlPageBody.Append("<CENTER><h2>Are you sure you want to enable all sessions ?</h2></CENTER>");
+            sbHtmlPageBody.AppendFormat("<CENTER>[<A HREF='{0}?confirm=1'>YES, enable sessions</A>]&nbsp;[<A HREF='/'>NO, do not enable sessions</A>]</CENTER>", urlOriginalString);
+         }
+         return sbHtmlPageBody.ToString();
+      }
+
+      private string RefreshSession(HttpListenerRequest request)
+      {
+         SessionID sessionId = new SessionID(request.QueryString["beginstring"], request.QueryString["sendercompid"], request.QueryString["targetcompid"]);
+         Session sessionDetails = Session.LookupSession(sessionId);
+         if (sessionDetails == null) throw new Exception("Session not found");
+         StringBuilder sbHtmlPageBody = _sbHtmlHeader;
+         bool confirm = false;
+         string urlOriginalString = request.Url.OriginalString;
+
+         string url = "/session?" + GetParameterList(urlOriginalString);
+
+         if (request.QueryString["confirm"] != null)
+         {
+            if (Convert.ToInt16(request.QueryString["confirm"]) != 0)
+            {
+               confirm = true;
+               sessionDetails.Refresh();
+               url = RemoveQueryStringByKey(urlOriginalString, "confirm");
+            }
+         }
+
+         if (confirm)
+         {
+            sbHtmlPageBody = new StringBuilder();
+            sbHtmlPageBody.AppendFormat(@"<HEAD><META http-equiv='refresh' content=2;URL=/session?{0} /><CENTER><TITLE>QuickFIX Engine Web Interface</TITLE><H1>QuickFIX Engine Web Interface</H1></CENTER>", GetParameterList(urlOriginalString));
+            sbHtmlPageBody.AppendFormat(@"<CENTER>[<A HREF='/'>HOME</A>]&nbsp;[<A HREF='{0}'>RELOAD</A>]</CENTER><HR/></HEAD><BODY>", urlOriginalString);
+            sbHtmlPageBody.AppendFormat("<CENTER><h2><A HREF='/session?{0}'>{1}</A> has been refreshed</h2></CENTER>", GetParameterList(url), sessionId);
+         }
+         else
+         {
+            sbHtmlPageBody.AppendFormat("<CENTER><h2>Are you sure you want to refresh session <A HREF='{0}'>{1}</A>?</h2></CENTER>", url, sessionId);
+            sbHtmlPageBody.AppendFormat("<CENTER>[<A HREF='{0}&confirm=1'>YES, refresh session</A>]&nbsp;[<A HREF='{0}'>NO, do not refresh session</A>]</CENTER>", url);
+         }
+         return sbHtmlPageBody.ToString();
+      }
+
+      private string RefreshSessions(HttpListenerRequest request)
+      {
+         bool confirm = false;
+         string urlOriginalString = request.Url.OriginalString;
+         StringBuilder sbHtmlPageBody = _sbHtmlHeader;
+
+         if (request.QueryString["confirm"] != null)
+         {
+            if (Convert.ToInt16(request.QueryString["confirm"]) != 0)
+            {
+               confirm = true;
+               foreach (SessionID session in _sessionSettings.GetSessions())
+               {
+                  Session sessionDetails = Session.LookupSession(session);
+                  sessionDetails.Refresh();
+               }
+            }
+         }
+
+         if (confirm)
+         {
+            sbHtmlPageBody = new StringBuilder();
+            sbHtmlPageBody.AppendFormat(@"<HEAD><META http-equiv='refresh' content=2;URL={0} /><CENTER><TITLE>QuickFIX Engine Web Interface</TITLE><H1>QuickFIX Engine Web Interface</H1></CENTER>", "/");
+            sbHtmlPageBody.AppendFormat("<CENTER><h2><A HREF='{0}'>Sessions</A> have been refreshed</h2></CENTER>", "/");
+         }
+         else
+         {
+            sbHtmlPageBody.Append("<CENTER><h2>Are you sure you want to refresh all sessions ?</h2></CENTER>");
+            sbHtmlPageBody.AppendFormat("<CENTER>[<A HREF='{0}?confirm=1'>YES, refresh sessions</A>]&nbsp;[<A HREF='/'>NO, do not refresh sessions</A>]</CENTER>", urlOriginalString);
+         }
+         return sbHtmlPageBody.ToString();
+      }
+
+      private string ResetSessions(HttpListenerRequest request)
+      {
+         bool confirm = false;
+         string urlOriginalString = request.Url.OriginalString;
+         StringBuilder sbHtmlPageBody = _sbHtmlHeader;
+
+         if (request.QueryString["confirm"] != null)
+         {
+            if (Convert.ToInt16(request.QueryString["confirm"]) != 0)
+            {
+               confirm = true;
+               foreach (SessionID session in _sessionSettings.GetSessions())
+               {
+                  Session sessionDetails = Session.LookupSession(session);
+                  sessionDetails.Reset("Reset from WebInterface");
+               }
+            }
+         }
+
+         if (confirm)
+         {
+            sbHtmlPageBody = new StringBuilder();
+            sbHtmlPageBody.AppendFormat(@"<HEAD><META http-equiv='refresh' content=2;URL={0} /><CENTER><TITLE>QuickFIX Engine Web Interface</TITLE><H1>QuickFIX Engine Web Interface</H1></CENTER>", "/");
+            sbHtmlPageBody.AppendFormat("<CENTER><h2><A HREF='{0}'>Sessions</A> have been reset</h2></CENTER>", "/");
+         }
+         else
+         {
+            sbHtmlPageBody.Append("<CENTER><h2>Are you sure you want to reset all sessions ?</h2></CENTER>");
+            sbHtmlPageBody.AppendFormat("<CENTER>[<A HREF='{0}?confirm=1'>YES, reset sessions</A>]&nbsp;[<A HREF='/'>NO, do not reset sessions</A>]</CENTER>", urlOriginalString);
+         }
+         return sbHtmlPageBody.ToString();
+      }
+
+      private string ResetSession(HttpListenerRequest request)
+      {
+         SessionID sessionId = new SessionID(request.QueryString["beginstring"], request.QueryString["sendercompid"], request.QueryString["targetcompid"]);
+         Session sessionDetails = Session.LookupSession(sessionId);
+         if (sessionDetails == null) throw new Exception("Session not found");
+         StringBuilder sbHtmlPageBody = _sbHtmlHeader;
+
+         bool confirm = false;
+         string urlOriginalString = request.Url.OriginalString;
+
+         string url = "/session?" + GetParameterList(urlOriginalString);
+
+         if (request.QueryString["confirm"] != null)
+         {
+            if (Convert.ToInt16(request.QueryString["confirm"]) != 0)
+            {
+               confirm = true;
+               sessionDetails.Reset("Reset from WebInterface");
+               url = RemoveQueryStringByKey(urlOriginalString, "confirm");
+            }
+         }
+
+         if (confirm)
+         {
+            sbHtmlPageBody = new StringBuilder();
+            sbHtmlPageBody.AppendFormat(@"<HEAD><META http-equiv='refresh' content=2;URL=/session?{0} /><CENTER><TITLE>QuickFIX Engine Web Interface</TITLE><H1>QuickFIX Engine Web Interface</H1></CENTER>", GetParameterList(urlOriginalString));
+            sbHtmlPageBody.AppendFormat(@"<CENTER>[<A HREF='/'>HOME</A>]&nbsp;[<A HREF='{0}'>RELOAD</A>]</CENTER><HR/></HEAD><BODY>", urlOriginalString);
+            sbHtmlPageBody.AppendFormat("<CENTER><h2><A HREF='/session?{0}'>{1}</A> has been reset</h2></CENTER>", GetParameterList(url), sessionId);
+         }
+         else
+         {
+            sbHtmlPageBody.AppendFormat("<CENTER><h2>Are you sure you want to reset session <A HREF='{0}'>{1}</A>?</h2></CENTER>", url, sessionId);
+            sbHtmlPageBody.AppendFormat("<CENTER>[<A HREF='{0}&confirm=1'>YES, reset session</A>]&nbsp;[<A HREF='{0}'>NO, do not reset session</A>]</CENTER>", url);
+         }
+         return sbHtmlPageBody.ToString();
+      }
+
+
+      private string ProcessRoot(HttpListenerRequest request)
+      {
+         StringBuilder sbHtmlPageBody = _sbHtmlHeader;
+
+         //Session count
+         sbHtmlPageBody.AppendFormat("<CENTER><b><i>{0} Sessions managed by QuickFIX</b></i></CENTER><HR/>", _sessionSettings.GetSessions().Count);
+
+         //session management links
+         sbHtmlPageBody.AppendFormat(@"<CENTER><A HREF='/resetSessions{0}'>RESET</A>&nbsp;<A HREF='/refreshSessions'>REFRESH</A>&nbsp;<A HREF='/enableSessions'>ENABLE</A>&nbsp;<A HREF='/disableSessions'>DISABLE</A></CENTER><HR/></HEADER><BODY>", GetParameterList(request.Url.OriginalString));
+
+         //Start the table generation
+         sbHtmlPageBody.Append("<table id=\"sessionlist\" style=\"border-width:1; padding:2; width:100%\">");
+
+         sbHtmlPageBody.Append("<tr>");
+         sbHtmlPageBody.Append(AddCell("Session", true));
+         sbHtmlPageBody.Append(AddCell("Type", true));
+         sbHtmlPageBody.Append(AddCell("Enabled", true));
+         sbHtmlPageBody.Append(AddCell("Session Time", true));
+         sbHtmlPageBody.Append(AddCell("Logged On", true));
+         sbHtmlPageBody.Append(AddCell("Next Incoming", true));
+         sbHtmlPageBody.Append(AddCell("Next Outgoing", true));
+         sbHtmlPageBody.Append("</tr>");
+
+         foreach (SessionID session in _sessionSettings.GetSessions())
+         {
+            Session sessionDetails = Session.LookupSession(session);
+            sbHtmlPageBody.Append("<tr>");
+            sbHtmlPageBody.Append(AddCell(String.Format(
+                "<a href=\"session?BeginString={0}&SenderCompID={1}&TargetCompID={2}\">{0}:{1}->{2}</a>",
+                session.BeginString, session.SenderCompID, session.TargetCompID)));
+            sbHtmlPageBody.Append(AddCell(sessionDetails.IsInitiator ? "initiator" : "acceptor"));
+            sbHtmlPageBody.Append(AddCell(sessionDetails.IsEnabled ? "yes" : "no"));
+            sbHtmlPageBody.Append(AddCell(sessionDetails.IsSessionTime ? "yes" : "no"));
+            sbHtmlPageBody.Append(AddCell(sessionDetails.IsLoggedOn ? "yes" : "no"));
+            sbHtmlPageBody.Append(AddCell(sessionDetails.NextTargetMsgSeqNum.ToString()));
+            sbHtmlPageBody.Append(AddCell(sessionDetails.NextSenderMsgSeqNum.ToString()));
+            sbHtmlPageBody.Append("</tr>");
+         }
+
+         sbHtmlPageBody.Append("</table>");
+         return sbHtmlPageBody.ToString();
+      }
+
+      public string SessionDetails(HttpListenerRequest request)
+      {
+         SessionID sessionId = new SessionID(request.QueryString["beginstring"], request.QueryString["sendercompid"], request.QueryString["targetcompid"]);
+         Session sessionDetails = Session.LookupSession(sessionId);
+         if (sessionDetails == null) throw new Exception("Session not found");
+         StringBuilder sbHtmlPageBody = _sbHtmlHeader;
+
+         string url = request.Url.OriginalString;
+         string urlOriginalString = request.Url.OriginalString;
+
+         if (request.QueryString["enabled"] != null)
+         {
+            if (!Convert.ToBoolean(request.QueryString["enabled"]))
+               sessionDetails.Logout();
+            else
+               sessionDetails.Logon();
+
+            url = RemoveQueryStringByKey(urlOriginalString, "Enabled");
+         }
+
+         if (request.QueryString["next incoming"] != null)
+         {
+            int value = Convert.ToInt16(request.QueryString["next incoming"]);
+            sessionDetails.NextTargetMsgSeqNum = value <= 0 ? 1 : value;
+            url = RemoveQueryStringByKey(urlOriginalString, "next incoming");
+         }
+
+         if (request.QueryString["Next Outgoing"] != null)
+         {
+            int value = Convert.ToInt16(request.QueryString["Next Outgoing"]);
+            sessionDetails.NextSenderMsgSeqNum = value <= 0 ? 1 : value;
+            url = RemoveQueryStringByKey(urlOriginalString, "Next Outgoing");
+         }
+
+         if (request.QueryString["SendRedundantResendRequests"] != null)
+         {
+            sessionDetails.SendRedundantResendRequests = Convert.ToBoolean(request.QueryString["SendRedundantResendRequests"]);
+            url = RemoveQueryStringByKey(urlOriginalString, "SendRedundantResendRequests");
+         }
+
+         if (request.QueryString["CheckCompId"] != null)
+         {
+            sessionDetails.CheckCompID = Convert.ToBoolean(request.QueryString["CheckCompId"]);
+            url = RemoveQueryStringByKey(urlOriginalString, "CheckCompId");
+         }
+
+         if (request.QueryString["CheckLatency"] != null)
+         {
+            sessionDetails.CheckLatency = Convert.ToBoolean(request.QueryString["CheckLatency"]);
+            url = RemoveQueryStringByKey(urlOriginalString, "CheckLatency");
+         }
+
+         if (request.QueryString["MaxLatency"] != null)
+         {
+            int value = Convert.ToInt16(request.QueryString["MaxLatency"]);
+            sessionDetails.MaxLatency = value <= 0 ? 1 : value;
+            url = RemoveQueryStringByKey(urlOriginalString, "MaxLatency");
+         }
+
+         if (request.QueryString["LogonTimeout"] != null)
+         {
+            int value = Convert.ToInt16(request.QueryString["LogonTimeout"]);
+            sessionDetails.LogonTimeout = value <= 0 ? 1 : value;
+            url = RemoveQueryStringByKey(urlOriginalString, "LogonTimeout");
+         }
+
+         if (request.QueryString["LogoutTimeout"] != null)
+         {
+            int value = Convert.ToInt16(request.QueryString["LogoutTimeout"]);
+            sessionDetails.LogoutTimeout = value <= 0 ? 1 : value;
+            url = RemoveQueryStringByKey(urlOriginalString, "LogoutTimeout");
+         }
+
+         if (request.QueryString["ResetOnLogon"] != null)
+         {
+            sessionDetails.ResetOnLogon = Convert.ToBoolean(request.QueryString["ResetOnLogon"]);
+            url = RemoveQueryStringByKey(urlOriginalString, "ResetOnLogon");
+         }
+
+         if (request.QueryString["ResetOnLogout"] != null)
+         {
+            sessionDetails.ResetOnLogout = Convert.ToBoolean(request.QueryString["ResetOnLogout"]);
+            url = RemoveQueryStringByKey(urlOriginalString, "ResetOnLogout");
+         }
+
+         if (request.QueryString["ResetOnDisconnect"] != null)
+         {
+            sessionDetails.ResetOnDisconnect = Convert.ToBoolean(request.QueryString["ResetOnDisconnect"]);
+            url = RemoveQueryStringByKey(urlOriginalString, "ResetOnDisconnect");
+         }
+
+         if (request.QueryString["RefreshOnLogon"] != null)
+         {
+            sessionDetails.RefreshOnLogon = Convert.ToBoolean(request.QueryString["RefreshOnLogon"]);
+            url = RemoveQueryStringByKey(urlOriginalString, "RefreshOnLogon");
+         }
+
+         if (request.QueryString["MillisecondsInTimestamp"] != null)
+         {
+            sessionDetails.MillisecondsInTimeStamp = Convert.ToBoolean(request.QueryString["MillisecondsInTimestamp"]);
+            url = RemoveQueryStringByKey(urlOriginalString, "MillisecondsInTimestamp");
+         }
+
+         if (request.QueryString["PersistMessages"] != null)
+         {
+            sessionDetails.PersistMessages = Convert.ToBoolean(request.QueryString["PersistMessages"]);
+            url = RemoveQueryStringByKey(urlOriginalString, "PersistMessages");
+         }
+
+
+         sbHtmlPageBody.AppendFormat(@"<CENTER>{0}</CENTER><HR/>", sessionId);
+         sbHtmlPageBody.AppendFormat(@"<CENTER>[<A HREF='/resetSession?{0}'>RESET</A>]&nbsp;[<A HREF='/refreshSession?{0}'>REFRESH</A>]</CENTER><HR/></HEADER><BODY>", GetParameterList(urlOriginalString));
+
+         sbHtmlPageBody.Append("<table id=\"session_details\" style=\"border-width:1; padding:2; width:100%\">");
+
+         sbHtmlPageBody.Append(AddRow("Enabled", sessionDetails.IsEnabled, url));
+         sbHtmlPageBody.Append(AddRow("ConnectionType", sessionDetails.IsInitiator ? "initiator" : "acceptor"));
+         sbHtmlPageBody.Append(AddRow("SessionTime", sessionDetails.IsSessionTime));
+         sbHtmlPageBody.Append(AddRow("LoggedOn", sessionDetails.IsLoggedOn));
+         sbHtmlPageBody.Append(AddRow("Next Incoming", sessionDetails.NextTargetMsgSeqNum, url));
+         sbHtmlPageBody.Append(AddRow("Next Outgoing", sessionDetails.NextSenderMsgSeqNum, url));
+         sbHtmlPageBody.Append(AddRow("SendRedundantResendRequests", sessionDetails.SendRedundantResendRequests, url));
+         sbHtmlPageBody.Append(AddRow("CheckCompId", sessionDetails.CheckCompID, url));
+         sbHtmlPageBody.Append(AddRow("CheckLatency", sessionDetails.CheckLatency, url));
+         sbHtmlPageBody.Append(AddRow("MaxLatency", sessionDetails.MaxLatency, url));
+         sbHtmlPageBody.Append(AddRow("LogonTimeout", sessionDetails.LogonTimeout, url));
+         sbHtmlPageBody.Append(AddRow("LogoutTimeout", sessionDetails.LogoutTimeout, url));
+         sbHtmlPageBody.Append(AddRow("ResetOnLogon", sessionDetails.ResetOnLogon, url));
+         sbHtmlPageBody.Append(AddRow("ResetOnLogout", sessionDetails.ResetOnLogout, url));
+         sbHtmlPageBody.Append(AddRow("ResetOnDisconnect", sessionDetails.ResetOnDisconnect, url));
+         sbHtmlPageBody.Append(AddRow("RefreshOnLogon", sessionDetails.RefreshOnLogon, url));
+         sbHtmlPageBody.Append(AddRow("MillisecondsInTimestamp", sessionDetails.MillisecondsInTimeStamp, url));
+         sbHtmlPageBody.Append(AddRow("PersistMessages", sessionDetails.PersistMessages, url));
+
+         sbHtmlPageBody.Append("</table>");
+         return sbHtmlPageBody.ToString();
+      }
+
+      public static string RemoveQueryStringByKey(string url, string key)
+      {
+         var uri = new Uri(url);
+
+         // this gets all the query string key value pairs as a collection
+         var newQueryString = HttpUtility.ParseQueryString(uri.Query);
+
+         // this removes the key if exists
+         newQueryString.Remove(key);
+
+         // this gets the page path from root without QueryString
+         string pagePathWithoutQueryString = uri.GetLeftPart(UriPartial.Path);
+
+         return newQueryString.Count > 0
+             ? $"{pagePathWithoutQueryString}?{newQueryString}"
+             : pagePathWithoutQueryString;
+      }
+
+      public static string GetParameterList(string url)
+      {
+         return HttpUtility.ParseQueryString((new Uri(url).Query)).ToString();
+      }
+
+      private static string AddRow(string colName, bool value, string url = "")
+      {
+         string valueAsStr = value ? "yes" : "no";
+         string innerHtml = url.Length > 0
+             ? $"<a href=\" {url}&{colName}={!value} \">toggle</a>"
+             : "";
+         return AddRow(colName, valueAsStr, innerHtml);
+      }
+
+      private static string AddRow(string colName, int value, string url = "")
+      {
+         string innerHtml = $"<a href=\" {url}&{colName}={value - 10} \"> << </a>" +
+                            $"<a href=\" {url}&{colName}={value - 1} \"> < </a>" +
+                            " | " +
+                            $"<a href=\" {url}&{colName}={value + 1} \"> > </a>" +
+                            $"<a href=\" {url}&{colName}={value + 10} \"> >> </a>";
+         return AddRow(colName, value.ToString(), innerHtml);
+      }
+      private static string AddRow(string colName, string value, string innerHtml = "")
+      {
+         StringBuilder row = new StringBuilder();
+         row.Append("<tr>");
+         row.Append(AddCell(colName));
+         row.Append(AddCell(value));
+         row.Append(AddCell(innerHtml));
+         row.Append("</tr>");
+         return row.ToString();
+      }
+
+      private static string AddCell(string cellContent, bool header = false)
+      {
+         string entryType = header ? "th" : "td";
+         return "<" + entryType + " align=\"left\">" + cellContent + "</" + entryType + ">";
+      }
+
+      public virtual void Dispose()
+      {
+         Dispose(true);
+         GC.SuppressFinalize(this);
+      }
+
+      private void Dispose(bool disposing)
+      {
+         if (_disposed)
+         {
+            return;
+         }
+         if (disposing)
+         {
+            if (_running)
+            {
+               Stop();
+            }
+            if (_connectionThread != null)
+            {
+               _connectionThread.Abort();
+               _connectionThread = null;
+            }
+         }
+         _disposed = true;
+      }
+   }
+}

src/client/spark_fix/Properties/AssemblyAttributes.cs

@@ -0,0 +1,2 @@
+using System.Runtime.CompilerServices;
+

src/client/spark_fix/README.md

@@ -0,0 +1,2 @@
+# BTS Spark FIX Adapter
+

src/client/spark_fix/session/DropCopySession.cs

@@ -0,0 +1,269 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Reactive.Concurrency;
+using System.Text;
+
+using QuickFix;
+using QuickFix.Fields;
+
+using bts.api;
+using bts.api.core;
+using bts.api.orderman;
+using bts.api.user;
+using bts.api.admin;
+using System.Collections.Concurrent;
+using System.Runtime.CompilerServices;
+
+namespace bts.fix
+{
+   class DropCopySession : SessionBase
+   {
+      protected IDisposable _fillsdisp;
+      protected IDisposable _ordersdisp;
+      protected static Lazy<OrderService> _orderservice = new Lazy<OrderService>(() => bts.api.Locator.locate<OrderService>(), true);
+
+      protected readonly ConcurrentDictionary<uint, OrderRecordImmutable> _order_cache = new ConcurrentDictionary<uint, OrderRecordImmutable>();
+      protected readonly ConcurrentDictionary<uint, string> _fix_clorderids = new ConcurrentDictionary<uint, string>();
+      public DropCopySession(IFixRouter router, SessionID sess) : base(router, sess)
+      {
+      }
+
+      override public void OnLogon(SessionID sessionID)
+      {
+         Log.assert_d(sessionID.Equals(_sess));
+         var msg = sessionID.ToString() + " Logged on";
+         log_info(msg);
+
+         subscribe_fills_and_orders(sessionID);
+      }
+      override public void OnLogout(SessionID sessionID)
+      {
+         Log.assert_d(sessionID.Equals(_sess));
+         var msg = sessionID.ToString() + " Logged out";
+         log_info(msg);
+
+         if (_ordersdisp != null)
+            _ordersdisp.Dispose();
+         if (_fillsdisp != null)
+            _fillsdisp.Dispose();
+      }      
+
+      override public void FromApp(Message message, SessionID sessionID)
+      {
+         Log.assert_d(sessionID.Equals(_sess));
+         MsgType type = Message.IdentifyType(message.ToString());
+         switch (type.getValue())
+         {
+            case MsgType.ORDER_STATUS_REQUEST:
+            case MsgType.SECURITYDEFINITIONREQUEST:
+               log_info("IN: " + message);
+               Crack(message, sessionID);
+               break;
+            default:
+               log_info("UNSUPPORTED MESSAGE IN: " + type.getValue());
+               throw new UnsupportedMessageType();
+         }
+      }
+
+      virtual public void OnMessage(QuickFix.FIX44.OrderStatusRequest req, SessionID s)
+      {
+         uint oid = uint.Parse(req.OrderID.getValue());
+         if (_order_cache.TryGetValue(oid, out OrderRecordImmutable order))
+         {
+            var ostat = build_order_status(s, order);
+            ostat.OrdStatusReqID = new OrdStatusReqID(req.OrdStatusReqID.getValue());
+            _router.send(ostat, s);
+         }
+      }
+
+      virtual public void OnMessage(QuickFix.FIX44.SecurityDefinitionRequest req, SessionID s)
+      {
+         if (req.SecurityRequestType.getValue() == SecurityRequestType.REQUEST_LIST_SECURITIES)
+         {
+            var secs = _router.get_securities();
+            if (req.IsSetSymbol())
+               secs = secs.Where(x => x.Symbol.ToLower() == req.Symbol.getValue().ToLower());
+            if (req.IsSetSecurityType())
+               secs = secs.Where(x => security_types_equal(x.security_type(), req.SecurityType));
+            if (req.IsSetSecurityExchange())
+               secs = secs.Where(x => exchanges_equal(x.Exchange, req.SecurityExchange));
+
+            var def = new QuickFix.FIX44.SecurityDefinition(req.SecurityReqID,
+                                                            new SecurityResponseID(Guid.NewGuid().ToString()),
+                                                            new SecurityResponseType(SecurityResponseType.LIST_OF_SECURITIES_RETURNED_PER_REQUEST));
+            _router.send(def, s);
+         }
+         else
+            throw new IncorrectTagValue(req.SecurityRequestType.Tag);
+      }
+
+
+
+      virtual protected void subscribe_fills_and_orders(SessionID sessionID)
+      {
+         var scheduler = TaskPoolScheduler.Default;
+         var interval = TimeSpan.FromMilliseconds(500);
+         var on_orders = _orderservice.Value.subscribei_orders().Naggle(interval, scheduler).PermissionFilter(_adminobservable).Table().Cache();
+         var on_fills = _orderservice.Value.subscribei_fills().Naggle(interval, scheduler).PermissionFilter(_adminobservable).Table().Cache();
+
+         _ordersdisp = on_orders.Subscribe(o =>
+         {
+            foreach (var order in o.added)
+            {
+               var ostat = build_order_status(sessionID, order);
+               _order_cache[order.Key] = order;
+               _router.send(ostat, sessionID);
+            }
+            foreach (var order in o.changed)
+            {
+               var ostat = build_order_status(sessionID, order, true);
+               _router.send(ostat, sessionID);
+            }
+         });
+
+         _fillsdisp = on_fills.Subscribe(f =>
+         {
+            foreach (var fill in f.added)
+            {
+               var fi = build_fill(sessionID, fill);
+               _router.send(fi, sessionID);
+            }
+            foreach (var fill in f.changed)
+            {
+               var fi = build_fill(sessionID, fill, true);
+               _router.send(fi, sessionID);
+            }
+         });
+      }
+
+
+      virtual protected void process_order_state(in OrderStateImmutable state, ref uint filled, ref uint leaves, ref double avgprx,
+                                                 ref QuickFix.Fields.OrdStatus fstatus, ref NativeOrderStateImmutable? native, FillImmutable? fill = null)
+      {
+         filled = state.FilledQuantity;
+         leaves = state.Quantity - state.FilledQuantity;
+         avgprx = state.AvgPrice;
+         fstatus = translate_status(state, ref native);         
+      }
+
+      protected bts.api.SecurityImmutable? resolve_execution_report_security(bts.api.SecurityImmutable? sec, QuickFix.FIX44.ExecutionReport report)
+      {
+         report.SecurityExchange = convert_exchange(sec.Value.Exchange);
+         var sectype = sec.Value.security_type();
+         report.SecurityType = convert_security_type(sectype);
+         if (sec.Value.HasGlbx)
+            report.SecurityDesc = new SecurityDesc(sec.Value.Glbx.SecurityDesc);
+
+         switch (sectype)
+         {
+            case bts.api.SecurityType.Future:
+               report.MaturityMonthYear = new MaturityMonthYear(sec.Value.EarliestExpiration().ToString("yyyyMMdd"));
+               break;
+            case bts.api.SecurityType.Spread: //TODO this is not quite right for spreads of spreads            
+               var leg = sec.Value.Spread.Legs.OrderBy(x => x.Security.EarliestExpiration()).First();
+               report.MaturityMonthYear = new MaturityMonthYear(leg.Security.EarliestExpiration().ToString("yyyyMMdd"));
+               break;
+            default:
+               throw new UnsupportedMessageType();               
+         }
+         return sec;
+      }
+
+      virtual protected QuickFix.FIX44.ExecutionReport build_fill(SessionID sess, in FillImmutable fill, bool change = false)
+      {
+         var exec = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.PARTIAL_FILL);
+         QuickFix.Fields.OrdStatus status = new QuickFix.Fields.OrdStatus();
+         uint filled = 0; uint leaves = 0; double prx = 0.0;
+         OrderRecordImmutable order;  NativeOrderStateImmutable? native = null;
+         if (_order_cache.TryGetValue(fill.OrderKey, out order))
+         {
+            process_order_state(order.State, ref filled, ref leaves, ref prx, ref status, ref native);
+            if(Convert.ToDouble(order.State.Quantity) == fill.LastShares)
+               exec = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.FILL);
+         }
+         if (change)
+            exec = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.TRADE_CORRECT);
+
+         var sec = _router.lookup(fill.SecurityKey);
+         QuickFix.FIX44.ExecutionReport report = new QuickFix.FIX44.ExecutionReport(
+             new OrderID(fill.OrderKey.ToString()),
+             new ExecID(fill.FillKey.ToString()), 
+             exec,
+             status,
+             new Symbol(sec?.Symbol ?? string.Empty),
+             new QuickFix.Fields.Side(fill.Side == bts.api.Side.Buy ? QuickFix.Fields.Side.BUY : QuickFix.Fields.Side.SELL),
+             new LeavesQty(leaves),
+             new CumQty(filled),
+             new AvgPx(Convert.ToDecimal(prx)));
+             
+         report.Account = new Account(fill.Account);
+         report.LastQty = new LastQty(Convert.ToDecimal(fill.LastShares));
+         report.LastPx = new LastPx(Convert.ToDecimal(fill.LastPrice));
+         var ts = fill.HasTimestamp ? fill.Timestamp.ToDateTime() : DateTime.MinValue;
+         report.TransactTime = new TransactTime(ts, true);
+         report.TradeDate = new TradeDate(ts.ToString("yyyyMMdd"));
+         sec = resolve_execution_report_security(sec, report);
+         if (native.HasValue && !string.IsNullOrEmpty(native.Value.ExchangeOrderId))
+            report.SecondaryOrderID = new SecondaryOrderID(native.Value.ExchangeOrderId);
+
+         if (sec.HasValue && sec.Value.security_type() == bts.api.SecurityType.Spread || 
+             sec.Value.security_type() == bts.api.SecurityType.Synthetic)
+         {
+            if (fill.FillKind == bts.api.orderman.Fill.Types.FillKind.Leg)
+               report.MultiLegReportingType = new MultiLegReportingType('2');
+            else
+               report.MultiLegReportingType = new MultiLegReportingType('3');
+         }
+         return report;
+      }
+
+      virtual protected QuickFix.FIX44.ExecutionReport build_order_status(SessionID sess, in OrderRecordImmutable order, bool change = false)
+      {
+         var exec = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.NEW);
+         if (_order_cache.TryGetValue(order.Key, out OrderRecordImmutable _))
+            exec = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.ORDER_STATUS);
+            
+         QuickFix.Fields.OrdStatus status = new QuickFix.Fields.OrdStatus();         
+         uint filled = 0; uint leaves = 0; double prx = 0.0;  NativeOrderStateImmutable? native = null;
+         process_order_state(order.State, ref filled, ref leaves, ref prx, ref status, ref native);
+
+         var sec = _router.lookup(order.Def.SecurityKey);
+         QuickFix.FIX44.ExecutionReport report = new QuickFix.FIX44.ExecutionReport(
+             new OrderID(order.Key.ToString()),
+             new ExecID("0"),
+             exec,
+             status,
+             new Symbol(sec?.Symbol ?? string.Empty),
+             new QuickFix.Fields.Side(order.Def.Side == bts.api.Side.Buy ? QuickFix.Fields.Side.BUY : QuickFix.Fields.Side.SELL),
+             new LeavesQty(leaves),
+             new CumQty(filled),
+             new AvgPx(Convert.ToDecimal(prx)));
+
+         report.Account = new Account(order.Def.Account);
+         report.OrderQty = new OrderQty(order.State.Quantity);
+         report.Price = new Price(Convert.ToDecimal(order.State.Price));
+         report.TimeInForce = new QuickFix.Fields.TimeInForce((char)order.Def.TimeInForce);
+         var ts = order.State.LastChange.ToDateTime();
+         report.TransactTime = new TransactTime(ts, true);
+         if(!string.IsNullOrEmpty(order.State.LastMsg))
+            report.Text = new Text(order.State.LastMsg);
+
+         sec = resolve_execution_report_security(sec, report);
+         if (native.HasValue)
+         {
+            report.OrdType = new OrdType((char)native.Value.NativeType);        
+            if(!string.IsNullOrEmpty(native.Value.ExchangeOrderId))
+               report.SecondaryOrderID = new SecondaryOrderID(native.Value.ExchangeOrderId);            
+         }
+         //TODO Big race here, we need a correlation id of some sort
+         if (_fix_clorderids.TryGetValue(order.Key, out string clorderid))
+         {
+            report.ClOrdID = new ClOrdID(clorderid);
+         }
+         return report;         
+      }      
+
+   }
+}

src/client/spark_fix/session/IFIXSession.cs

@@ -0,0 +1,8 @@
+using System;
+
+namespace bts.fix
+{
+   interface IFIXSession : QuickFix.IApplication
+   {
+   }
+}

src/client/spark_fix/session/OrderSession.cs

@@ -0,0 +1,167 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+
+using QuickFix;
+using QuickFix.Fields;
+
+using bts.api;
+using bts.api.orderman;
+
+namespace bts.fix
+{
+   /* Some test fix
+   order for 4 lot CLZ8 
+   8=FIX.4.4
9=156
35=D
49=SPARK
56=CLIENT1
34=1
50=30737
97=Y
52=20000809-20:20:50
11=90001008
1=ACC A
21=2
55=SIM:CLZ8
54=1
38=4
40=2
59=0
44=74
60=20000809-18:20:32
207=SIM
10=045
   
+   
+   order for 4 lot CLZ8-CLH9
+   8=FIX.4.4
9=156
35=D
49=SPARK
56=CLIENT1
34=1
50=30737
97=Y
52=20000809-20:20:50
11=90001008
1=ACC A
21=2
55=SIM:CLZ8-CLH9
54=1
38=4
40=2
59=0
44=74
60=20000809-18:20:32
207=SIM
10=045

+   
+    */
+
+   class OrderSession : DropCopySession
+   {
+      public OrderSession(IFixRouter router, SessionID sess) : base(router, sess)
+      {
+      }
+
+      override public void FromApp(Message message, SessionID sessionID)
+      {
+         Log.assert_d(sessionID.Equals(_sess));
+         MsgType type = Message.IdentifyType(message.ToString());
+         switch (type.getValue())
+         {
+            case MsgType.ORDER_STATUS_REQUEST: //handled in DropCopySession
+            case MsgType.SECURITYDEFINITIONREQUEST: //handled in DropCopySession
+
+            case MsgType.NEWORDERSINGLE:
+            case MsgType.ORDERCANCELREPLACEREQUEST:
+            case MsgType.ORDERCANCELREQUEST:
+               log_info("IN: " + message);
+               Crack(message, sessionID);
+               break;
+            default:
+               log_info("UNSUPPORTED MESSAGE IN: " + type.getValue());
+               throw new UnsupportedMessageType();
+         }
+      }
+
+      virtual public void OnMessage(QuickFix.FIX44.OrderCancelRequest cancel, SessionID s)
+      {
+         var id = cancel.OrderID.getValue();
+         if(!uint.TryParse(id, out uint key))
+            throw new IncorrectTagValue(cancel.OrderID.Tag);            
+         var resp = _orderservice.Value.cancel_order(new Cancel { OrderKey = key });
+         if (resp.ErrorCode != OrderError.Ok)
+         {
+            send_cancel_reject(s, "Cancel Rejected: " + resp.ErrorCode.ToString() + " - " + resp.Msg, cancel);
+         }
+      }
+
+      virtual public void OnMessage(QuickFix.FIX44.OrderCancelReplaceRequest replace, SessionID s)
+      {
+         var id = replace.OrderID.getValue();
+         if (!uint.TryParse(id, out uint key))
+            throw new IncorrectTagValue(replace.OrderID.Tag);
+         double price = Convert.ToDouble(replace.Price.getValue());
+         uint sz = Convert.ToUInt32(Math.Abs(replace.OrderQty.getValue()));
+         var resp = _orderservice.Value.update_order(new Update
+         {
+            OrderKey = key,
+            Price = price,
+            Quantity = sz,
+         });
+         if (resp.ErrorCode != OrderError.Ok)
+         {
+            send_cancel_reject(s, "Cancel Rejected: " + resp.ErrorCode.ToString() + " - " + resp.Msg, replace);
+         }
+      }
+
+      virtual public void OnMessage(QuickFix.FIX44.NewOrderSingle create, SessionID s)
+      {
+         Venue ven = convert_exchange(create.SecurityExchange);
+         if (ven == bts.api.Venue.Unset)
+            throw new IncorrectTagValue(create.SecurityExchange.Tag);
+
+         var sec = _router.lookup(create.Symbol.getValue());
+         if (!sec.HasValue)
+            sec = _router.lookup(create.SecurityDesc.getValue());
+         if (!sec.HasValue)
+            throw new IncorrectTagValue(create.SecurityDesc.Tag);
+
+         OrderDefinition def = null;
+         try
+         {
+            string manual = "Y";
+            if(create.IsSetField(Tags.ManualOrderIndicator))
+               manual = create.GetField(Tags.ManualOrderIndicator);
+            def = new OrderDefinition()
+            {
+               Account = create.Account.getValue(),
+               AccountId = lookup_account(create.Account.getValue()),
+               SecurityKey = sec.Value.Id,
+               Side = (api.Side)(int)create.Side.getValue(),
+               TimeInForce = (api.orderman.TimeInForce)(int)create.TimeInForce.getValue(),
+               User = _user_name,
+               UserId = lookup_user(_user_name),
+               ManualOrderIndicator = manual == "Y" ?  bts.api.orderman.ManualOrderIndicator.Yes : bts.api.orderman.ManualOrderIndicator.No,
+            };
+         }
+         catch
+         {
+            throw new IncorrectTagValue(create.TimeInForce.Tag);
+         }
+
+         set_ordertype(def, create, out bool price_req);
+         Create cr = new Create();
+         cr.NewOrder = def;
+         try
+         {
+            if (price_req)
+               cr.Price = Convert.ToDouble(create.Price.getValue());
+         }
+         catch
+         {
+            throw new IncorrectTagValue(create.Price.Tag);
+         }
+         try
+         {
+            cr.Quantity = Convert.ToUInt32(Math.Abs(create.OrderQty.getValue()));
+         }
+         catch
+         {
+            throw new IncorrectTagValue(create.OrderQty.Tag);
+         }
+         var resp = _orderservice.Value.create_order(cr);
+         if (resp.ErrorCode != OrderError.Ok)
+         {
+            _router.send_biz_reject(s, "Order Rejected: " + resp.ErrorCode.ToString() + " - " + resp.Msg, create);
+         }
+      }
+
+      private void set_ordertype(OrderDefinition def, QuickFix.FIX44.NewOrderSingle req, out bool price_req)
+      {
+         price_req = false;
+         switch (req.OrdType.getValue())
+         {
+            case '1':
+               def.CustomDef = new CustomOrderDefinition { Market = new MarketOrderDefinition() };
+               break;
+            case '2':
+               def.CustomDef = new CustomOrderDefinition { Limit = new LimitOrderDefinition() };
+               price_req = true;
+               break;
+            case '3':
+               def.CustomDef = new CustomOrderDefinition { Stop = new StopOrderDefinition() {StopPrice = Convert.ToDouble(req.StopPx.getValue()) } };
+               break;
+            case '4':
+               def.CustomDef = new CustomOrderDefinition { StopLimit = new StopLimitOrderDefinition() { StopPrice = Convert.ToDouble(req.StopPx.getValue()) } };
+               price_req = true;
+               break;
+            default:
+               throw new IncorrectTagValue(req.OrdType.Tag);
+         }
+      }
+   }
+}

src/client/spark_fix/session/SessionBase.cs

@@ -0,0 +1,361 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reactive.Linq;
+using System.Reactive.Concurrency;
+using System.Text;
+using System.Collections.Concurrent;
+using System.Runtime.CompilerServices;
+
+using QuickFix;
+using QuickFix.Fields;
+
+using mbts;
+using bts.api;
+using bts.api.core;
+using bts.api.orderman;
+using bts.api.user;
+using bts.api.admin;
+
+
+namespace bts.fix
+{
+   abstract class SessionBase : QuickFix.MessageCracker, IFIXSession
+   {      
+      protected static AuthService _authservice = bts.api.Locator.locate<AuthService>();      
+      protected static Lazy<AdminService> _adminservice = new Lazy<AdminService>(() => bts.api.Locator.locate<AdminService>(), true);
+      protected static Lazy<bts.metrics.ShellLatencyService> _latencyservice = 
+         new Lazy<bts.metrics.ShellLatencyService>(() => bts.api.Locator.locate<bts.metrics.ShellLatencyService>(), true);
+
+      protected string _user_name;
+      protected AuthToken _token;
+
+      protected IDisposable _admindisp;
+      protected IObservable<AdminModelWrapper> _adminobservable;
+      protected AdminDataImmutable? _admin_data;      
+
+      protected readonly IFixRouter _router;
+      protected readonly SessionID _sess;
+      
+      public SessionBase(IFixRouter router, SessionID sess)
+      {
+         _router = router;
+         _sess = sess;
+
+         _clockdisp = _latencyservice.Value.subscribe_clock().Subscribe(x =>
+         {
+            var t = x.all.FirstOrDefault();
+            if(t != null)
+               _clock = t.Timestamp;
+         });
+
+         _adminobservable = _adminservice.Value.subscribei_admin_data().Select(x =>
+         {
+            return new AdminModelWrapper(x.all.TryFirst(), _user_name);
+         });
+         _admindisp = _adminobservable.Subscribe(x => _admin_data = x.admin_data);         
+      }
+
+      abstract public void FromApp(Message message, SessionID sessionID);
+      abstract public void OnLogon(SessionID sessionID); //subscribe to your stuff 
+      abstract public void OnLogout(SessionID sessionID); //unsub
+      
+      virtual public void ToApp(Message message, SessionID sessionID)
+      {
+         Log.assert_d(sessionID.Equals(_sess));
+         log_info("OUT: " + message);
+      }
+
+      readonly IDisposable _clockdisp; ulong _clock = 0;
+      virtual public void FromAdmin(Message message, SessionID sessionID)
+      {
+         Log.assert_d(sessionID.Equals(_sess));
+
+         MsgType type = Message.IdentifyType(message.ToString());
+         switch (type.getValue())
+         {
+            case MsgType.LOGON:
+               {
+                  try
+                  {
+                     QuickFix.FIX44.Logon msg = (QuickFix.FIX44.Logon)message;
+                     _user_name = msg.Username.getValue();
+                     string pass = string.Empty;
+                     if(msg.IsSetPassword())
+                        pass = msg.Password.getValue();
+                     var resp = _authservice.authenticate_login(new AuthenticateLoginRequest { 
+                                                                Login = msg.Username.getValue(), Password = pass});
+                     if (resp != null && resp.IsValid)
+                        _token = resp.Token;
+                     else
+                        throw new RejectLogon("Logon rejected " + resp?.Reason ?? string.Empty);
+                  }
+                  catch (RejectLogon)
+                  {
+                     throw;
+                  }
+                  catch (Exception ex)
+                  {
+                     throw new RejectLogon("Logon rejected " + ex.ToString());
+                  }
+               }
+               break;
+            case MsgType.HEARTBEAT:
+               {
+                  QuickFix.FIX44.Heartbeat hb = (QuickFix.FIX44.Heartbeat)message;
+                  handle_heartbeat(hb, sessionID);
+               }
+               break;               
+            default:
+               log_info("ADMININ: " + message);
+               break;
+         }
+      }
+
+      async protected void handle_heartbeat(QuickFix.FIX44.Heartbeat hb, SessionID sessionID)
+      {
+         var resp = await _latencyservice.Value.report_async(new bts.metrics.Report { HostName = "BTSFIX_" + sessionID.ToString(), 
+                                                                                      Timestamp = _clock, User = _user_name });
+         if (resp.success)
+            _router.send(hb, sessionID);         
+      }
+
+      virtual public void ToAdmin(Message message, SessionID sessionID)
+      {
+         Log.assert_d(sessionID.Equals(_sess));
+         log_info("ADMINOUT: " + message);
+      }
+
+      virtual public void OnCreate(SessionID sessionID)
+      {
+         log_info("CREATE");
+      }
+
+      virtual public void OnMessage(QuickFix.FIX44.BusinessMessageReject n, SessionID s)
+      {
+         //Log.assert(false, "biz reject wtf " + n.EncodedText.getValue());
+         Log.FIX.warn(_sess.ToString() + " Business Reject " + n.BusinessRejectReason.getValue() + " " + n.Text.getValue());
+      }
+      virtual public void OnMessage(QuickFix.FIX44.News n, SessionID s)
+      {
+         log_info("news " + n.EncodedHeadline.getValue());
+      }      
+
+
+      protected void log_info(string message, [CallerFilePath] string file = "", [CallerLineNumber] int line = 0)
+      {
+         Log.FIX.info(_sess.ToString() + " " + message, file, line);
+      }
+
+      protected void log_error(string message, [CallerFilePath] string file = "", [CallerLineNumber] int line = 0)
+      {
+         Log.FIX.error(_sess.ToString() + " " + message, file, line);
+      }
+
+      protected void send_cancel_reject(SessionID sess, string text, Message refmessage)
+      {
+         QuickFix.FIX44.OrderCancelReject rej = new QuickFix.FIX44.OrderCancelReject();
+         if (refmessage is QuickFix.FIX44.OrderCancelRequest cancel)
+         {
+            if (cancel.IsSetClOrdID())
+               rej.SetField(cancel.ClOrdID);
+            if (cancel.IsSetOrigClOrdID())
+               rej.SetField(cancel.OrigClOrdID);
+            if (cancel.IsSetOrderID())
+               rej.SetField(cancel.OrderID);
+            rej.CxlRejResponseTo = new CxlRejResponseTo('1');
+            rej.Text = new Text(text);
+            _router.send(rej, sess);
+         }
+         else if (refmessage is QuickFix.FIX44.OrderCancelReplaceRequest replace)
+         {
+            if (replace.IsSetClOrdID())
+               rej.SetField(replace.ClOrdID);
+            if (replace.IsSetOrigClOrdID())
+               rej.SetField(replace.OrigClOrdID);
+            if (replace.IsSetOrderID())
+               rej.SetField(replace.OrderID);
+            rej.CxlRejResponseTo = new CxlRejResponseTo('2');
+            rej.Text = new Text(text);
+            _router.send(rej, sess);
+         }
+         else 
+            throw new UnsupportedMessageType();
+
+      }      
+
+      protected bool security_types_equal(bts.api.SecurityType btstype, QuickFix.Fields.SecurityType fixtype)
+      {
+         return btstype == convert_security_type(fixtype);
+      }
+
+      protected QuickFix.Fields.SecurityType convert_security_type(bts.api.SecurityType btstype)
+      {
+         switch (btstype)
+         {
+            case bts.api.SecurityType.Future:
+               return new QuickFix.Fields.SecurityType("FUT");
+            case bts.api.SecurityType.Option:
+               return new QuickFix.Fields.SecurityType("OPT");
+            case bts.api.SecurityType.Spread:
+               return new QuickFix.Fields.SecurityType("MLEG");
+            case bts.api.SecurityType.Stock:
+               return new QuickFix.Fields.SecurityType("CS");
+            case bts.api.SecurityType.Synthetic:
+               return new QuickFix.Fields.SecurityType("SYNTH");
+            default:
+               return new QuickFix.Fields.SecurityType();
+         }
+      }
+
+      protected bts.api.SecurityType convert_security_type(QuickFix.Fields.SecurityType fixtype)
+      {
+         switch (fixtype.getValue())
+         {
+            case "FUT":
+               return bts.api.SecurityType.Future;
+            case "OPT":
+               return bts.api.SecurityType.Option;
+            case "MLEG":
+               return bts.api.SecurityType.Spread;
+            case "CS":
+               return bts.api.SecurityType.Stock;
+            case "SYNTH":
+               return bts.api.SecurityType.Synthetic;
+            default:
+               return bts.api.SecurityType.Unset;
+         }
+      }
+
+      protected bool exchanges_equal(bts.api.Venue btstype, QuickFix.Fields.SecurityExchange fixtype)
+      {
+         return btstype == convert_exchange(fixtype);
+      }
+
+      protected QuickFix.Fields.SecurityExchange convert_exchange(bts.api.Venue btstype)
+      {
+         switch (btstype)
+         {
+            case bts.api.Venue.Bts:
+               return new QuickFix.Fields.SecurityExchange("BTS");
+            case bts.api.Venue.Cboe:
+               return new QuickFix.Fields.SecurityExchange("XCBO");
+            case bts.api.Venue.Cboecfe:
+               return new QuickFix.Fields.SecurityExchange("XCBF");
+            case bts.api.Venue.Glbx:
+               return new QuickFix.Fields.SecurityExchange("XCME");
+            case bts.api.Venue.Ice:
+               return new QuickFix.Fields.SecurityExchange("IEPA");
+            case bts.api.Venue.Sim:
+               return new QuickFix.Fields.SecurityExchange("SIM");
+            default:
+               return new QuickFix.Fields.SecurityExchange();
+         }
+      }
+
+      protected bts.api.Venue convert_exchange(QuickFix.Fields.SecurityExchange fixtype)
+      {
+         switch (fixtype.getValue())
+         {
+            case "BTS":
+               return bts.api.Venue.Bts;
+            case "XCBO":
+               return bts.api.Venue.Cboe;
+            case "XCBF":
+               return bts.api.Venue.Cboecfe;
+            case "GLBX":
+            case "XCME":
+            case "XCBT":
+            case "XCEC":
+            case "XNYM":
+               return bts.api.Venue.Glbx;
+            case "IEPA":
+            case "IFUS":
+            case "IFEU":
+            case "IFLL":
+               return bts.api.Venue.Ice;
+            case "SIM":
+               return bts.api.Venue.Sim;
+            default:
+               return bts.api.Venue.Unset;
+         }
+      }      
+
+      protected QuickFix.Fields.OrdStatus translate_status(in bts.api.orderman.OrderStateImmutable state, 
+                                                           ref bts.api.orderman.NativeOrderStateImmutable? native)
+      {
+         native = null;
+         if (state.HasMarket && state.Market.HasNativeState && state.Market.NativeState.NativeStatus != NativeOrderStatus.Unacknowledged)
+         {
+            native = state.Market.NativeState;
+            return new OrdStatus((char)native?.NativeStatus);
+         }
+         else if (state.HasLimit && state.Limit.HasNativeState && state.Limit.NativeState.NativeStatus != NativeOrderStatus.Unacknowledged)
+         {
+            native = state.Limit.NativeState;
+            return new OrdStatus((char)native?.NativeStatus);
+         }
+         else if (state.HasStop && state.Stop.HasNativeState && state.Stop.NativeState.NativeStatus != NativeOrderStatus.Unacknowledged)
+         {
+            native = state.Stop.NativeState;
+            return new OrdStatus((char)native?.NativeStatus);
+         }
+         else if (state.HasStopLimit && state.StopLimit.HasNativeState && state.StopLimit.NativeState.NativeStatus != NativeOrderStatus.Unacknowledged)
+         {
+            native = state.StopLimit.NativeState;
+            return new OrdStatus((char)native?.NativeStatus);
+         }
+         else
+         {
+            switch (state.Status)
+            {
+               case OrderStatus.Canceled:
+                  return new OrdStatus(OrdStatus.CANCELED);
+               case OrderStatus.Completed:
+                  return new OrdStatus(OrdStatus.FILLED);
+               case OrderStatus.Disconnected:
+                  return new OrdStatus(OrdStatus.STOPPED);
+               case OrderStatus.Error:
+                  return new OrdStatus(OrdStatus.REJECTED);
+               case OrderStatus.Inactive:
+                  return new OrdStatus(OrdStatus.PENDING_NEW);
+               case OrderStatus.PendingWorking:
+                  return new OrdStatus(OrdStatus.PENDING_NEW);
+               case OrderStatus.RejectedBySpark:
+                  return new OrdStatus(OrdStatus.REJECTED);
+               case OrderStatus.Working:
+                  {
+                     if (state.FilledQuantity < state.Quantity)
+                        return new OrdStatus(OrdStatus.PARTIALLY_FILLED);
+                     else
+                        return new OrdStatus(OrdStatus.NEW);
+                  }
+               default:
+                  return new OrdStatus();
+            }
+         }
+      }
+
+      protected uint lookup_account(string acct)
+      {
+         if (_admin_data.HasValue)
+         {
+            var ac = _admin_data.Value.Accounts.Where(x => x.Name == acct).TryFirst();
+            if(ac.HasValue)
+               return ac.Value.Id;
+         }
+         throw new IncorrectTagValue(new Account().Tag);
+      }
+      
+      protected uint lookup_user(string user)
+      {
+         if (_admin_data.HasValue)
+         {
+            var ac = _admin_data.Value.Users.Where(x => x.Name == user).TryFirst();
+            if (ac.HasValue)
+               return ac.Value.Id;
+         }
+         throw new IncorrectTagValue(new Username().Tag);
+      }
+   }
+}

src/client/spark_fix/spark_fix.cfg

@@ -0,0 +1,42 @@
+#http://www.quickfixengine.org/quickfix/doc/html/configuration.html
+#https://www.onixs.biz/fix-dictionary.html
+
+[DEFAULT]
+ConnectionType=acceptor
+SocketAcceptPort=5001
+SocketReuseAddress=Y
+StartTime=00:00:00
+EndTime=00:00:00
+FileLogPath=log
+UseDataDictionary=Y
+ResetOnLogon=Y
+ResetOnLogout=Y
+ResetOnDisconnect=Y
+
+HeartBtInt=30
+LogonTimeout=30
+
+SSLEnable=N
+# SSLEnable=Y
+# # It is recommended to install the certificate and refer to it by name instead of using filename + password
+# SSLCertificate=QuickFixn-TestServer.pfx
+# SSLCertificatePassword=QuickFixn-TestServer
+# # For production refer to certificate by name instead: SSLCertificate=CN=QuickFixn-TestServer
+# SSLCACertificate=QuickFixn-TestCA.cer
+# SSLCheckCertificateRevocation=N
+
+
+[SESSION]
+BeginString=FIX.4.4
+SenderCompID=SPARK
+TargetCompID=CLIENT1
+FileStorePath=store
+DataDictionary=./spec/fix/FIX44.xml
+
+[SESSION]
+BeginString=FIX.4.4
+SenderCompID=SPARK
+TargetCompID=CLIENT2
+FileStorePath=store
+DataDictionary=./spec/fix/FIX44.xml
+

src/client/spark_fix/spark_fix.csproj

@@ -0,0 +1,41 @@
+<Project Sdk="Microsoft.NET.Sdk">
+  <PropertyGroup>  
+    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+    
+    <Authors>Blue Trading Systems</Authors>
+    <Company>Blue Trading Systems</Company>
+    <Product>Spark</Product>
+    <Description />
+    <Platforms>x64</Platforms>
+    <PlatformTarget>AnyCPU</PlatformTarget>
+    <TreatWarningsAsErrors>true</TreatWarningsAsErrors>
+    <WarningsAsErrors />
+    <LangVersion>7.2</LangVersion>
+    <Version>1.0.0</Version>
+  </PropertyGroup>
+  
+  <ItemGroup>
+    <PackageReference Include="Google.Protobuf" Version="3.6.1" />
+    <PackageReference Include="System.Reactive" Version="3.1.1" />
+    <PackageReference Include="System.Reactive.PlatformServices" Version="3.1.1" />
+	 <PackageReference Include="NUnit" Version="3.10.1" />  
+    
+    <PackageReference Include="QuickFix.Net.NETCore" Version="1.8.1" />     
+    <PackageReference Include="QuickFix.Net.NETCore.FIX44" Version="1.8.1" />         
+  </ItemGroup>
+
+  <ItemGroup> 
+    <ProjectReference Include="../spark_api/spark_api.csproj"/>
+    <ProjectReference Include="../spark_core/spark_core.csproj"/>
+  </ItemGroup>
+  
+  <Target Name="copy_fix" AfterTargets="PostBuildEvent"  >
+    <Copy SourceFiles="./spark_fix.cfg" DestinationFolder="$(OutputPath)\" SkipUnchangedFiles="true" />
+    <Copy SourceFiles="./spec/fix/FIX44.xml" DestinationFolder="$(OutputPath)/spec/fix/" SkipUnchangedFiles="true" />
+  </Target>  
+  
+  <Target Name="copy_fix471" AfterTargets="PostBuildEvent"  >
+    <Copy SourceFiles="./spark_fix.cfg" DestinationFolder="$(OutputPath)/../net471" SkipUnchangedFiles="true" />
+    <Copy SourceFiles="./spec/fix/FIX44.xml" DestinationFolder="$(OutputPath)/../net471/spec/fix/" SkipUnchangedFiles="true" />
+  </Target>  
+</Project>

src/client/spark_fix/spec/fix/FIX40.xml

@@ -0,0 +1,828 @@
+<fix major="4" minor="0">
+  <header>
+    <field name="BeginString" required="Y"/>
+    <field name="BodyLength" required="Y"/>
+    <field name="MsgType" required="Y"/>
+    <field name="SenderCompID" required="Y"/>
+    <field name="TargetCompID" required="Y"/>
+    <field name="OnBehalfOfCompID" required="N"/>
+    <field name="DeliverToCompID" required="N"/>
+    <field name="SecureDataLen" required="N"/>
+    <field name="SecureData" required="N"/>
+    <field name="MsgSeqNum" required="Y"/>
+    <field name="SenderSubID" required="N"/>
+    <field name="TargetSubID" required="N"/>
+    <field name="OnBehalfOfSubID" required="N"/>
+    <field name="DeliverToSubID" required="N"/>
+    <field name="PossDupFlag" required="N"/>
+    <field name="PossResend" required="N"/>
+    <field name="SendingTime" required="Y"/>
+    <field name="OrigSendingTime" required="N"/>
+  </header>
+  <trailer>
+    <field name="SignatureLength" required="N"/>
+    <field name="Signature" required="N"/>
+    <field name="CheckSum" required="Y"/>
+  </trailer>
+  <messages>
+    <message name="Heartbeat" msgtype="0" msgcat="admin">
+      <field name="TestReqID" required="N"/>
+    </message>
+    <message name="Logon" msgtype="A" msgcat="admin">
+      <field name="EncryptMethod" required="Y"/>
+      <field name="HeartBtInt" required="Y"/>
+      <field name="RawDataLength" required="N"/>
+      <field name="RawData" required="N"/>
+    </message>
+    <message name="TestRequest" msgtype="1" msgcat="admin">
+      <field name="TestReqID" required="Y"/>
+    </message>
+    <message name="ResendRequest" msgtype="2" msgcat="admin">
+      <field name="BeginSeqNo" required="Y"/>
+      <field name="EndSeqNo" required="Y"/>
+    </message>
+    <message name="Reject" msgtype="3" msgcat="admin">
+      <field name="RefSeqNum" required="Y"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="SequenceReset" msgtype="4" msgcat="admin">
+      <field name="GapFillFlag" required="N"/>
+      <field name="NewSeqNo" required="Y"/>
+    </message>
+    <message name="Logout" msgtype="5" msgcat="admin">
+      <field name="Text" required="N"/>
+    </message>
+    <message name="Advertisement" msgtype="7" msgcat="app">
+      <field name="AdvId" required="Y"/>
+      <field name="AdvTransType" required="Y"/>
+      <field name="AdvRefID" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="AdvSide" required="Y"/>
+      <field name="Shares" required="Y"/>
+      <field name="Price" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="TransactTime" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="IndicationofInterest" msgtype="6" msgcat="app">
+      <field name="IOIid" required="Y"/>
+      <field name="IOITransType" required="Y"/>
+      <field name="IOIRefID" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="IOIShares" required="Y"/>
+      <field name="Price" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="ValidUntilTime" required="N"/>
+      <field name="IOIQltyInd" required="N"/>
+      <field name="IOIOthSvc" required="N"/>
+      <field name="IOINaturalFlag" required="N"/>
+      <field name="IOIQualifier" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="News" msgtype="B" msgcat="app">
+      <field name="OrigTime" required="N"/>
+      <field name="Urgency" required="N"/>
+      <field name="RelatdSym" required="N" repeating="Y"/>
+      <group name="LinesOfText" required="Y">
+        <field name="Text" required="Y"/>
+      </group>
+      <field name="RawDataLength" required="N"/>
+      <field name="RawData" required="N"/>
+    </message>
+    <message name="Email" msgtype="C" msgcat="app">
+      <field name="EmailType" required="Y"/>
+      <field name="OrigTime" required="N"/>
+      <field name="RelatdSym" required="N" repeating="Y"/>
+      <field name="OrderID" required="N"/>
+      <field name="ClOrdID" required="N"/>
+      <group name="LinesOfText" required="Y">
+        <field name="Text" required="Y"/>
+      </group>
+      <field name="RawDataLength" required="N"/>
+      <field name="RawData" required="N"/>
+    </message>
+    <message name="QuoteRequest" msgtype="R" msgcat="app">
+      <field name="QuoteReqID" required="Y"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="PrevClosePx" required="N"/>
+      <field name="Side" required="N"/>
+      <field name="OrderQty" required="N"/>
+    </message>
+    <message name="Quote" msgtype="S" msgcat="app">
+      <field name="QuoteReqID" required="N"/>
+      <field name="QuoteID" required="Y"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="BidPx" required="Y"/>
+      <field name="OfferPx" required="N"/>
+      <field name="BidSize" required="N"/>
+      <field name="OfferSize" required="N"/>
+      <field name="ValidUntilTime" required="N"/>
+    </message>
+    <message name="NewOrderSingle" msgtype="D" msgcat="app">
+      <field name="ClOrdID" required="Y"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="Account" required="N"/>
+      <field name="SettlmntTyp" required="N"/>
+      <field name="FutSettDate" required="N"/>
+      <field name="HandlInst" required="Y"/>
+      <field name="ExecInst" required="N"/>
+      <field name="MinQty" required="N"/>
+      <field name="MaxFloor" required="N"/>
+      <field name="ExDestination" required="N"/>
+      <field name="ProcessCode" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="PrevClosePx" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="LocateReqd" required="N"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="OrdType" required="Y"/>
+      <field name="Price" required="N"/>
+      <field name="StopPx" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="IOIid" required="N"/>
+      <field name="QuoteID" required="N"/>
+      <field name="TimeInForce" required="N"/>
+      <field name="ExpireTime" required="N"/>
+      <field name="Commission" required="N"/>
+      <field name="CommType" required="N"/>
+      <field name="Rule80A" required="N"/>
+      <field name="ForexReq" required="N"/>
+      <field name="SettlCurrency" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="ExecutionReport" msgtype="8" msgcat="app">
+      <field name="OrderID" required="Y"/>
+      <field name="ClOrdID" required="N"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="ListID" required="N"/>
+      <field name="ExecID" required="Y"/>
+      <field name="ExecTransType" required="Y"/>
+      <field name="ExecRefID" required="N"/>
+      <field name="OrdStatus" required="Y"/>
+      <field name="OrdRejReason" required="N"/>
+      <field name="Account" required="N"/>
+      <field name="SettlmntTyp" required="N"/>
+      <field name="FutSettDate" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="OrdType" required="N"/>
+      <field name="Price" required="N"/>
+      <field name="StopPx" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="TimeInForce" required="N"/>
+      <field name="ExpireTime" required="N"/>
+      <field name="ExecInst" required="N"/>
+      <field name="Rule80A" required="N"/>
+      <field name="LastShares" required="Y"/>
+      <field name="LastPx" required="Y"/>
+      <field name="LastMkt" required="N"/>
+      <field name="LastCapacity" required="N"/>
+      <field name="CumQty" required="Y"/>
+      <field name="AvgPx" required="Y"/>
+      <field name="TradeDate" required="N"/>
+      <field name="TransactTime" required="N"/>
+      <field name="ReportToExch" required="N"/>
+      <field name="Commission" required="N"/>
+      <field name="CommType" required="N"/>
+      <group name="NoMiscFees" required="N">
+        <field name="MiscFeeAmt" required="N"/>
+        <field name="MiscFeeCurr" required="N"/>
+        <field name="MiscFeeType" required="N"/>
+      </group>
+      <field name="NetMoney" required="N"/>
+      <field name="SettlCurrAmt" required="N"/>
+      <field name="SettlCurrency" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="DontKnowTrade" msgtype="Q" msgcat="app">
+      <field name="OrderID" required="N"/>
+      <field name="ExecID" required="N"/>
+      <field name="DKReason" required="Y"/>
+      <field name="Symbol" required="Y"/>
+      <field name="Side" required="Y"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="LastShares" required="Y"/>
+      <field name="LastPx" required="Y"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="OrderCancelReplaceRequest" msgtype="G" msgcat="app">
+      <field name="OrderID" required="N"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="OrigClOrdID" required="Y"/>
+      <field name="ClOrdID" required="Y"/>
+      <field name="ListID" required="N"/>
+      <field name="Account" required="N"/>
+      <field name="SettlmntTyp" required="N"/>
+      <field name="FutSettDate" required="N"/>
+      <field name="HandlInst" required="Y"/>
+      <field name="ExecInst" required="N"/>
+      <field name="MinQty" required="N"/>
+      <field name="MaxFloor" required="N"/>
+      <field name="ExDestination" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="OrdType" required="Y"/>
+      <field name="Price" required="N"/>
+      <field name="StopPx" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="TimeInForce" required="N"/>
+      <field name="ExpireTime" required="N"/>
+      <field name="Commission" required="N"/>
+      <field name="CommType" required="N"/>
+      <field name="Rule80A" required="N"/>
+      <field name="ForexReq" required="N"/>
+      <field name="SettlCurrency" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="OrderCancelRequest" msgtype="F" msgcat="app">
+      <field name="OrigClOrdID" required="Y"/>
+      <field name="OrderID" required="N"/>
+      <field name="ClOrdID" required="Y"/>
+      <field name="ListID" required="N"/>
+      <field name="CxlType" required="Y"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="OrderCancelReject" msgtype="9" msgcat="app">
+      <field name="OrderID" required="Y"/>
+      <field name="ClOrdID" required="Y"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="ListID" required="N"/>
+      <field name="CxlRejReason" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="OrderStatusRequest" msgtype="H" msgcat="app">
+      <field name="OrderID" required="N"/>
+      <field name="ClOrdID" required="Y"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Side" required="Y"/>
+    </message>
+    <message name="Allocation" msgtype="J" msgcat="app">
+      <field name="AllocID" required="Y"/>
+      <field name="AllocTransType" required="Y"/>
+      <field name="RefAllocID" required="N"/>
+      <group name="NoOrders" required="Y">
+        <field name="ClOrdID" required="Y"/>
+        <field name="OrderID" required="N"/>
+        <field name="ListID" required="N"/>
+        <field name="WaveNo" required="N"/>
+      </group>
+      <group name="NoExecs" required="N">
+        <field name="ExecID" required="N"/>
+        <field name="LastShares" required="N"/>
+        <field name="LastPx" required="N"/>
+        <field name="LastMkt" required="N"/>
+      </group>
+      <field name="Side" required="Y"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Shares" required="Y"/>
+      <field name="AvgPx" required="Y"/>
+      <field name="Currency" required="N"/>
+      <field name="AvgPrxPrecision" required="N"/>
+      <field name="TradeDate" required="Y"/>
+      <field name="TransactTime" required="N"/>
+      <field name="SettlmntTyp" required="N"/>
+      <field name="FutSettDate" required="N"/>
+      <field name="NetMoney" required="N"/>
+      <group name="NoMiscFees" required="N">
+        <field name="MiscFeeAmt" required="N"/>
+        <field name="MiscFeeCurr" required="N"/>
+        <field name="MiscFeeType" required="N"/>
+      </group>
+      <field name="SettlCurrAmt" required="N"/>
+      <field name="SettlCurrency" required="N"/>
+      <field name="OpenClose" required="N"/>
+      <field name="Text" required="N"/>
+      <group name="NoAllocs" required="Y">
+        <field name="AllocAccount" required="Y"/>
+        <field name="AllocShares" required="Y"/>
+        <field name="ProcessCode" required="N"/>
+        <field name="ExecBroker" required="N"/>
+        <field name="ClientID" required="N"/>
+        <field name="Commission" required="N"/>
+        <field name="CommType" required="N"/>
+        <group name="NoDlvyInst" required="N">
+          <field name="BrokerOfCredit" required="N"/>
+          <field name="DlvyInst" required="N"/>
+        </group>
+      </group>
+    </message>
+    <message name="AllocationACK" msgtype="P" msgcat="app">
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="AllocID" required="Y"/>
+      <field name="TradeDate" required="Y"/>
+      <field name="TransactTime" required="N"/>
+      <field name="AllocStatus" required="Y"/>
+      <field name="AllocRejCode" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="NewOrderList" msgtype="E" msgcat="app">
+      <field name="ListID" required="Y"/>
+      <field name="WaveNo" required="N"/>
+      <field name="ListSeqNo" required="Y"/>
+      <field name="ListNoOrds" required="Y"/>
+      <field name="ListExecInst" required="N"/>
+      <field name="ClOrdID" required="Y"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="Account" required="N"/>
+      <field name="SettlmntTyp" required="N"/>
+      <field name="FutSettDate" required="N"/>
+      <field name="HandlInst" required="Y"/>
+      <field name="ExecInst" required="N"/>
+      <field name="MinQty" required="N"/>
+      <field name="MaxFloor" required="N"/>
+      <field name="ExDestination" required="N"/>
+      <field name="ProcessCode" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="PrevClosePx" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="LocateReqd" required="N"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="OrdType" required="Y"/>
+      <field name="Price" required="N"/>
+      <field name="StopPx" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="TimeInForce" required="N"/>
+      <field name="ExpireTime" required="N"/>
+      <field name="Commission" required="N"/>
+      <field name="CommType" required="N"/>
+      <field name="Rule80A" required="N"/>
+      <field name="ForexReq" required="N"/>
+      <field name="SettlCurrency" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="ListStatus" msgtype="N" msgcat="app">
+      <field name="ListID" required="Y"/>
+      <field name="WaveNo" required="N"/>
+      <field name="NoRpts" required="Y"/>
+      <field name="RptSeq" required="Y"/>
+      <group name="NoOrders" required="Y">
+        <field name="ClOrdID" required="Y"/>
+        <field name="CumQty" required="Y"/>
+        <field name="CxlQty" required="Y"/>
+        <field name="AvgPx" required="Y"/>
+      </group>
+    </message>
+    <message name="ListExecute" msgtype="L" msgcat="app">
+      <field name="ListID" required="Y"/>
+      <field name="WaveNo" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="ListCancelRequest" msgtype="K" msgcat="app">
+      <field name="ListID" required="Y"/>
+      <field name="WaveNo" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="ListStatusRequest" msgtype="M" msgcat="app">
+      <field name="ListID" required="Y"/>
+      <field name="WaveNo" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+  </messages>
+  <fields>
+    <field number="1" name="Account" type="STRING"/>
+    <field number="2" name="AdvId" type="INT"/>
+    <field number="3" name="AdvRefID" type="INT"/>
+    <field number="4" name="AdvSide" type="STRING">
+      <value enum="B" description="BUY"/>
+      <value enum="S" description="SELL"/>
+      <value enum="X" description="CROSS"/>
+      <value enum="T" description="TRADE"/>
+    </field>
+    <field number="5" name="AdvTransType" type="STRING">
+      <value enum="N" description="NEW"/>
+      <value enum="C" description="CANCEL"/>
+      <value enum="R" description="REPLACE"/>
+    </field>
+    <field number="6" name="AvgPx" type="FLOAT"/>
+    <field number="7" name="BeginSeqNo" type="INT"/>
+    <field number="8" name="BeginString" type="STRING"/>
+    <field number="9" name="BodyLength" type="INT"/>
+    <field number="10" name="CheckSum" type="STRING"/>
+    <field number="11" name="ClOrdID" type="STRING"/>
+    <field number="12" name="Commission" type="FLOAT"/>
+    <field number="13" name="CommType" type="STRING">
+      <value enum="1" description="PER_SHARE"/>
+      <value enum="2" description="PERCENTAGE"/>
+      <value enum="3" description="ABSOLUTE"/>
+    </field>
+    <field number="14" name="CumQty" type="INT"/>
+    <field number="15" name="Currency" type="STRING"/>
+    <field number="16" name="EndSeqNo" type="INT"/>
+    <field number="17" name="ExecID" type="INT"/>
+    <field number="18" name="ExecInst" type="MULTIPLEVALUESTRING">
+      <value enum="1" description="NOT_HELD"/>
+      <value enum="2" description="WORK"/>
+      <value enum="3" description="GO_ALONG"/>
+      <value enum="4" description="OVER_THE_DAY"/>
+      <value enum="5" description="HELD"/>
+      <value enum="6" description="PARTICIPATE_DONT_INITIATE"/>
+      <value enum="7" description="STRICT_SCALE"/>
+      <value enum="8" description="TRY_TO_SCALE"/>
+      <value enum="9" description="STAY_ON_BIDSIDE"/>
+      <value enum="0" description="STAY_ON_OFFERSIDE"/>
+      <value enum="A" description="NO_CROSS"/>
+      <value enum="B" description="OK_TO_CROSS"/>
+      <value enum="C" description="CALL_FIRST"/>
+      <value enum="D" description="PERCENT_OF_VOLUME"/>
+      <value enum="E" description="DO_NOT_INCREASE_DNI"/>
+      <value enum="F" description="DO_NOT_REDUCE_DNR"/>
+      <value enum="G" description="ALL_OR_NONE_AON"/>
+      <value enum="I" description="INSTITUTIONS_ONLY"/>
+      <value enum="L" description="LAST_PEG"/>
+      <value enum="M" description="MIDPRICE_PEG"/>
+      <value enum="N" description="NONNEGOTIABLE"/>
+      <value enum="O" description="OPENING_PEG"/>
+      <value enum="P" description="MARKET_PEG"/>
+      <value enum="R" description="PRIMARY_PEG"/>
+      <value enum="S" description="SUSPEND"/>
+    </field>
+    <field number="19" name="ExecRefID" type="INT"/>
+    <field number="20" name="ExecTransType" type="STRING">
+      <value enum="0" description="NEW"/>
+      <value enum="1" description="CANCEL"/>
+      <value enum="2" description="CORRECT"/>
+      <value enum="3" description="STATUS"/>
+    </field>
+    <field number="21" name="HandlInst" type="STRING">
+      <value enum="1" description="AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION"/>
+      <value enum="2" description="AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK"/>
+      <value enum="3" description="MANUAL_ORDER_BEST_EXECUTION"/>
+    </field>
+    <field number="22" name="IDSource" type="STRING">
+      <value enum="1" description="CUSIP"/>
+      <value enum="2" description="SEDOL"/>
+      <value enum="3" description="QUIK"/>
+      <value enum="4" description="ISIN_NUMBER"/>
+      <value enum="5" description="RIC_CODE"/>
+    </field>
+    <field number="23" name="IOIid" type="INT"/>
+    <field number="24" name="IOIOthSvc" type="STRING"/>
+    <field number="25" name="IOIQltyInd" type="STRING">
+      <value enum="L" description="LOW"/>
+      <value enum="M" description="MEDIUM"/>
+      <value enum="H" description="HIGH"/>
+    </field>
+    <field number="26" name="IOIRefID" type="INT"/>
+    <field number="27" name="IOIShares" type="STRING"/>
+    <field number="28" name="IOITransType" type="STRING">
+      <value enum="N" description="NEW"/>
+      <value enum="C" description="CANCEL"/>
+      <value enum="R" description="REPLACE"/>
+    </field>
+    <field number="29" name="LastCapacity" type="STRING">
+      <value enum="1" description="AGENT"/>
+      <value enum="2" description="CROSS_AS_AGENT"/>
+      <value enum="3" description="CROSS_AS_PRINCIPAL"/>
+      <value enum="4" description="PRINCIPAL"/>
+    </field>
+    <field number="30" name="LastMkt" type="STRING"/>
+    <field number="31" name="LastPx" type="FLOAT"/>
+    <field number="32" name="LastShares" type="INT"/>
+    <field number="33" name="LinesOfText" type="INT"/>
+    <field number="34" name="MsgSeqNum" type="INT"/>
+    <field number="35" name="MsgType" type="STRING"/>
+    <field number="36" name="NewSeqNo" type="INT"/>
+    <field number="37" name="OrderID" type="STRING"/>
+    <field number="38" name="OrderQty" type="INT"/>
+    <field number="39" name="OrdStatus" type="STRING">
+      <value enum="0" description="NEW"/>
+      <value enum="1" description="PARTIALLY_FILLED"/>
+      <value enum="2" description="FILLED"/>
+      <value enum="3" description="DONE_FOR_DAY"/>
+      <value enum="4" description="CANCELED"/>
+      <value enum="5" description="REPLACED"/>
+      <value enum="6" description="PENDING_CANCELREPLACE"/>
+      <value enum="7" description="STOPPED"/>
+      <value enum="8" description="REJECTED"/>
+      <value enum="9" description="SUSPENDED"/>
+      <value enum="A" description="PENDING_NEW"/>
+      <value enum="B" description="CALCULATED"/>
+      <value enum="C" description="EXPIRED"/>
+    </field>
+    <field number="40" name="OrdType" type="STRING">
+      <value enum="1" description="MARKET"/>
+      <value enum="2" description="LIMIT"/>
+      <value enum="3" description="STOP"/>
+      <value enum="4" description="STOP_LIMIT"/>
+      <value enum="5" description="MARKET_ON_CLOSE"/>
+      <value enum="6" description="WITH_OR_WITHOUT"/>
+      <value enum="7" description="LIMIT_OR_BETTER"/>
+      <value enum="8" description="LIMIT_WITH_OR_WITHOUT"/>
+      <value enum="9" description="ON_BASIS"/>
+      <value enum="A" description="ON_CLOSE"/>
+      <value enum="B" description="LIMIT_ON_CLOSE"/>
+      <value enum="C" description="FOREX"/>
+      <value enum="D" description="PREVIOUSLY_QUOTED"/>
+      <value enum="E" description="PREVIOUSLY_INDICATED"/>
+      <value enum="P" description="PEGGED"/>
+    </field>
+    <field number="41" name="OrigClOrdID" type="STRING"/>
+    <field number="42" name="OrigTime" type="TIME"/>
+    <field number="43" name="PossDupFlag" type="STRING">
+      <value enum="Y" description="POSSIBLE_DUPLICATE"/>
+      <value enum="N" description="ORIGINAL_TRANSMISSION"/>
+    </field>
+    <field number="44" name="Price" type="FLOAT"/>
+    <field number="45" name="RefSeqNum" type="INT"/>
+    <field number="46" name="RelatdSym" type="STRING"/>
+    <field number="47" name="Rule80A" type="STRING">
+      <value enum="A" description="AGENCY_SINGLE_ORDER"/>
+      <value enum="D" description="PROGRAM_ORDER_INDEX_ARB_FOR_MEMBER_FIRMORG"/>
+      <value enum="C" description="PROGRAM_ORDER_NONINDEX_ARB_FOR_MEMBER_FIRMORG"/>
+      <value enum="J" description="PROGRAM_ORDER_INDEX_ARB_FOR_INDIVIDUAL_CUSTOMER"/>
+      <value enum="K" description="PROGRAM_ORDER_NONINDEX_ARB_FOR_INDIVIDUAL_CUSTOMER"/>
+      <value enum="U" description="PROGRAM_ORDER_INDEX_ARB_FOR_OTHER_AGENCY"/>
+      <value enum="Y" description="PROGRAM_ORDER_NONINDEX_ARB_FOR_OTHER_AGENCY"/>
+      <value enum="M" description="PROGRAM_ORDER_INDEX_ARB_FOR_OTHER_MEMBER"/>
+      <value enum="N" description="PROGRAM_ORDER_NONINDEX_ARB_FOR_OTHER_MEMBER"/>
+      <value enum="W" description="ALL_OTHER_ORDERS_AS_AGENT_FOR_OTHER_MEMBER"/>
+    </field>
+    <field number="48" name="SecurityID" type="STRING"/>
+    <field number="49" name="SenderCompID" type="STRING"/>
+    <field number="50" name="SenderSubID" type="STRING"/>
+    <field number="52" name="SendingTime" type="TIME"/>
+    <field number="53" name="Shares" type="INT"/>
+    <field number="54" name="Side" type="STRING">
+      <value enum="1" description="BUY"/>
+      <value enum="2" description="SELL"/>
+      <value enum="3" description="BUY_MINUS"/>
+      <value enum="4" description="SELL_PLUS"/>
+      <value enum="5" description="SELL_SHORT"/>
+      <value enum="6" description="SELL_SHORT_EXEMPT"/>
+    </field>
+    <field number="55" name="Symbol" type="STRING"/>
+    <field number="56" name="TargetCompID" type="STRING"/>
+    <field number="57" name="TargetSubID" type="STRING"/>
+    <field number="58" name="Text" type="STRING"/>
+    <field number="59" name="TimeInForce" type="STRING">
+      <value enum="0" description="DAY"/>
+      <value enum="1" description="GOOD_TILL_CANCEL"/>
+      <value enum="2" description="AT_THE_OPENING"/>
+      <value enum="3" description="IMMEDIATE_OR_CANCEL"/>
+      <value enum="4" description="FILL_OR_KILL"/>
+      <value enum="5" description="GOOD_TILL_CROSSING"/>
+      <value enum="6" description="GOOD_TILL_DATE"/>
+    </field>
+    <field number="60" name="TransactTime" type="TIME"/>
+    <field number="61" name="Urgency" type="STRING">
+      <value enum="0" description="NORMAL"/>
+      <value enum="1" description="FLASH"/>
+      <value enum="2" description="BACKGROUND"/>
+    </field>
+    <field number="62" name="ValidUntilTime" type="TIME"/>
+    <field number="63" name="SettlmntTyp" type="STRING">
+      <value enum="0" description="REGULAR"/>
+      <value enum="1" description="CASH"/>
+      <value enum="2" description="NEXT_DAY"/>
+      <value enum="3" description="TPLUS2"/>
+      <value enum="4" description="TPLUS3"/>
+      <value enum="5" description="TPLUS4"/>
+      <value enum="6" description="FUTURE"/>
+      <value enum="7" description="WHEN_ISSUED"/>
+      <value enum="8" description="SELLERS_OPTION"/>
+      <value enum="9" description="TPLUS5"/>
+    </field>
+    <field number="64" name="FutSettDate" type="DATE"/>
+    <field number="65" name="SymbolSfx" type="STRING"/>
+    <field number="66" name="ListID" type="STRING"/>
+    <field number="67" name="ListSeqNo" type="INT"/>
+    <field number="68" name="ListNoOrds" type="INT"/>
+    <field number="69" name="ListExecInst" type="STRING"/>
+    <field number="70" name="AllocID" type="INT"/>
+    <field number="71" name="AllocTransType" type="STRING">
+      <value enum="0" description="NEW"/>
+      <value enum="1" description="REPLACE"/>
+      <value enum="2" description="CANCEL"/>
+    </field>
+    <field number="72" name="RefAllocID" type="INT"/>
+    <field number="73" name="NoOrders" type="INT"/>
+    <field number="74" name="AvgPrxPrecision" type="INT"/>
+    <field number="75" name="TradeDate" type="DATE"/>
+    <field number="76" name="ExecBroker" type="STRING"/>
+    <field number="77" name="OpenClose" type="STRING"/>
+    <field number="78" name="NoAllocs" type="INT"/>
+    <field number="79" name="AllocAccount" type="STRING"/>
+    <field number="80" name="AllocShares" type="INT"/>
+    <field number="81" name="ProcessCode" type="STRING">
+      <value enum="0" description="REGULAR"/>
+      <value enum="1" description="SOFT_DOLLAR"/>
+      <value enum="2" description="STEPIN"/>
+      <value enum="3" description="STEPOUT"/>
+      <value enum="4" description="SOFTDOLLAR_STEPIN"/>
+      <value enum="5" description="SOFTDOLLAR_STEPOUT"/>
+      <value enum="6" description="PLAN_SPONSOR"/>
+    </field>
+    <field number="82" name="NoRpts" type="INT"/>
+    <field number="83" name="RptSeq" type="INT"/>
+    <field number="84" name="CxlQty" type="INT"/>
+    <field number="85" name="NoDlvyInst" type="INT"/>
+    <field number="86" name="DlvyInst" type="STRING"/>
+    <field number="87" name="AllocStatus" type="INT">
+      <value enum="0" description="ACCEPTED"/>
+      <value enum="1" description="REJECTED"/>
+      <value enum="2" description="PARTIAL_ACCEPT"/>
+      <value enum="3" description="RECEIVED"/>
+    </field>
+    <field number="88" name="AllocRejCode" type="INT">
+      <value enum="0" description="UNKNOWN_ACCOUNT"/>
+      <value enum="1" description="INCORRECT_QUANTITY"/>
+      <value enum="2" description="INCORRECT_AVERAGE_PRICE"/>
+      <value enum="3" description="UNKNOWN_EXECUTING_BROKER_MNEMONIC"/>
+      <value enum="4" description="COMMISSION_DIFFERENCE"/>
+      <value enum="5" description="UNKNOWN_ORDERID"/>
+      <value enum="6" description="UNKNOWN_LISTID"/>
+      <value enum="7" description="OTHER"/>
+    </field>
+    <field number="89" name="Signature" type="DATA"/>
+    <field number="90" name="SecureDataLen" type="INT"/>
+    <field number="91" name="SecureData" type="DATA"/>
+    <field number="92" name="BrokerOfCredit" type="STRING"/>
+    <field number="93" name="SignatureLength" type="INT"/>
+    <field number="94" name="EmailType" type="STRING">
+      <value enum="0" description="NEW"/>
+      <value enum="1" description="REPLY"/>
+      <value enum="2" description="ADMIN_REPLY"/>
+    </field>
+    <field number="95" name="RawDataLength" type="INT"/>
+    <field number="96" name="RawData" type="DATA"/>
+    <field number="97" name="PossResend" type="STRING"/>
+    <field number="98" name="EncryptMethod" type="INT">
+      <value enum="0" description="NONE_OTHER"/>
+      <value enum="1" description="PKCS"/>
+      <value enum="2" description="DES"/>
+      <value enum="3" description="PKCSDES"/>
+      <value enum="4" description="PGPDES"/>
+      <value enum="5" description="PGPDESMD5"/>
+      <value enum="6" description="PEMDESMD5"/>
+    </field>
+    <field number="99" name="StopPx" type="FLOAT"/>
+    <field number="100" name="ExDestination" type="STRING">
+      <value enum="0" description="NONE"/>
+      <value enum="4" description="POSIT"/>
+    </field>
+    <field number="102" name="CxlRejReason" type="INT">
+      <value enum="0" description="TOO_LATE_TO_CANCEL"/>
+      <value enum="1" description="UNKNOWN_ORDER"/>
+    </field>
+    <field number="103" name="OrdRejReason" type="INT">
+      <value enum="0" description="BROKER_OPTION"/>
+      <value enum="1" description="UNKNOWN_SYMBOL"/>
+      <value enum="2" description="EXCHANGE_CLOSED"/>
+      <value enum="3" description="ORDER_EXCEEDS_LIMIT"/>
+      <value enum="4" description="TOO_LATE_TO_ENTER"/>
+    </field>
+    <field number="104" name="IOIQualifier" type="STRING">
+      <value enum="X" description="CROSSING_OPPORTUNITY"/>
+      <value enum="O" description="AT_THE_OPEN"/>
+      <value enum="M" description="MORE_BEHIND"/>
+      <value enum="P" description="TAKING_A_POSITION"/>
+      <value enum="V" description="VERSUS"/>
+      <value enum="Q" description="CURRENT_QUOTE"/>
+      <value enum="C" description="AT_THE_CLOSE"/>
+      <value enum="S" description="PORTFOLIO_SHOWN"/>
+      <value enum="I" description="IN_TOUCH_WITH"/>
+      <value enum="W" description="INDICATION_WORKING_AWAY"/>
+      <value enum="A" description="ALL_OR_NONE"/>
+      <value enum="L" description="LIMIT"/>
+      <value enum="T" description="THROUGH_THE_DAY"/>
+    </field>
+    <field number="105" name="WaveNo" type="STRING"/>
+    <field number="106" name="Issuer" type="STRING"/>
+    <field number="107" name="SecurityDesc" type="STRING"/>
+    <field number="108" name="HeartBtInt" type="INT"/>
+    <field number="109" name="ClientID" type="STRING"/>
+    <field number="110" name="MinQty" type="INT"/>
+    <field number="111" name="MaxFloor" type="INT"/>
+    <field number="112" name="TestReqID" type="STRING"/>
+    <field number="113" name="ReportToExch" type="STRING">
+      <value enum="Y" description="YES"/>
+      <value enum="N" description="NO"/>
+    </field>
+    <field number="114" name="LocateReqd" type="STRING">
+      <value enum="Y" description="YES"/>
+      <value enum="N" description="NO"/>
+    </field>
+    <field number="115" name="OnBehalfOfCompID" type="STRING"/>
+    <field number="116" name="OnBehalfOfSubID" type="STRING"/>
+    <field number="117" name="QuoteID" type="STRING"/>
+    <field number="118" name="NetMoney" type="FLOAT"/>
+    <field number="119" name="SettlCurrAmt" type="FLOAT"/>
+    <field number="120" name="SettlCurrency" type="STRING"/>
+    <field number="121" name="ForexReq" type="STRING">
+      <value enum="Y" description="YES"/>
+      <value enum="N" description="NO"/>
+    </field>
+    <field number="122" name="OrigSendingTime" type="TIME"/>
+    <field number="123" name="GapFillFlag" type="STRING">
+      <value enum="Y" description="GAP_FILL_MESSAGE_MSGSEQNUM_FIELD_VALID"/>
+      <value enum="N" description="SEQUENCE_RESET_IGNORE_MSGSEQNUM"/>
+    </field>
+    <field number="124" name="NoExecs" type="INT"/>
+    <field number="125" name="CxlType" type="STRING">
+      <value enum="P" description="PARTIAL_CANCEL"/>
+      <value enum="F" description="FULL_REMAINING_QUANTITY"/>
+    </field>
+    <field number="126" name="ExpireTime" type="TIME"/>
+    <field number="127" name="DKReason" type="STRING">
+      <value enum="A" description="UNKNOWN_SYMBOL"/>
+      <value enum="B" description="WRONG_SIDE"/>
+      <value enum="C" description="QUANTITY_EXCEEDS_ORDER"/>
+      <value enum="D" description="NO_MATCHING_ORDER"/>
+      <value enum="E" description="PRICE_EXCEEDS_LIMIT"/>
+      <value enum="Z" description="OTHER" />
+    </field>
+    <field number="128" name="DeliverToCompID" type="STRING"/>
+    <field number="129" name="DeliverToSubID" type="STRING"/>
+    <field number="130" name="IOINaturalFlag" type="STRING">
+      <value enum="Y" description="NATURAL"/>
+      <value enum="N" description="NOT_NATURAL"/>
+    </field>
+    <field number="131" name="QuoteReqID" type="STRING"/>
+    <field number="132" name="BidPx" type="FLOAT"/>
+    <field number="133" name="OfferPx" type="FLOAT"/>
+    <field number="134" name="BidSize" type="INT"/>
+    <field number="135" name="OfferSize" type="INT"/>
+    <field number="136" name="NoMiscFees" type="INT"/>
+    <field number="137" name="MiscFeeAmt" type="FLOAT"/>
+    <field number="138" name="MiscFeeCurr" type="STRING"/>
+    <field number="139" name="MiscFeeType" type="STRING">
+      <value enum="1" description="REGULATORY"/>
+      <value enum="2" description="TAX"/>
+      <value enum="3" description="LOCAL_COMMISSION"/>
+      <value enum="4" description="EXCHANGE_FEES"/>
+      <value enum="5" description="STAMP"/>
+      <value enum="6" description="LEVY"/>
+      <value enum="7" description="OTHER"/>
+    </field>
+    <field number="140" name="PrevClosePx" type="FLOAT"/>
+  </fields>
+</fix>

src/client/spark_fix/spec/fix/FIXT11.xml

@@ -0,0 +1,313 @@
+<?xml version='1.0' encoding='UTF-8'?>
+<fix type='FIXT' major='1' minor='1' servicepack='0'>
+  <header>
+    <field name='BeginString' required='Y'/>
+    <field name='BodyLength' required='Y'/>
+    <field name='MsgType' required='Y'/>
+    <field name='SenderCompID' required='Y'/>
+    <field name='TargetCompID' required='Y'/>
+    <field name='OnBehalfOfCompID' required='N'/>
+    <field name='DeliverToCompID' required='N'/>
+    <field name='SecureDataLen' required='N'/>
+    <field name='SecureData' required='N'/>
+    <field name='MsgSeqNum' required='Y'/>
+    <field name='SenderSubID' required='N'/>
+    <field name='SenderLocationID' required='N'/>
+    <field name='TargetSubID' required='N'/>
+    <field name='TargetLocationID' required='N'/>
+    <field name='OnBehalfOfSubID' required='N'/>
+    <field name='OnBehalfOfLocationID' required='N'/>
+    <field name='DeliverToSubID' required='N'/>
+    <field name='DeliverToLocationID' required='N'/>
+    <field name='PossDupFlag' required='N'/>
+    <field name='PossResend' required='N'/>
+    <field name='SendingTime' required='Y'/>
+    <field name='OrigSendingTime' required='N'/>
+    <field name='XmlDataLen' required='N'/>
+    <field name='XmlData' required='N'/>
+    <field name='MessageEncoding' required='N'/>
+    <field name='LastMsgSeqNumProcessed' required='N'/>
+    <component name='HopGrp' required='N'/>
+    <field name='ApplVerID' required='N'/>
+    <field name='CstmApplVerID' required='N'/>
+  </header>
+  <trailer>
+    <field name='SignatureLength' required='N'/>
+    <field name='Signature' required='N'/>
+    <field name='CheckSum' required='Y'/>
+  </trailer>
+  <messages>
+    <message msgcat='admin' msgtype='0' name='Heartbeat'>
+      <field name='TestReqID' required='N'/>
+    </message>
+    <message msgcat='admin' msgtype='1' name='TestRequest'>
+      <field name='TestReqID' required='Y'/>
+    </message>
+    <message msgcat='admin' msgtype='2' name='ResendRequest'>
+      <field name='BeginSeqNo' required='Y'/>
+      <field name='EndSeqNo' required='Y'/>
+    </message>
+    <message msgcat='admin' msgtype='3' name='Reject'>
+      <field name='RefSeqNum' required='Y'/>
+      <field name='RefTagID' required='N'/>
+      <field name='RefMsgType' required='N'/>
+      <field name='SessionRejectReason' required='N'/>
+      <field name='Text' required='N'/>
+      <field name='EncodedTextLen' required='N'/>
+      <field name='EncodedText' required='N'/>
+    </message>
+    <message msgcat='admin' msgtype='4' name='SequenceReset'>
+      <field name='GapFillFlag' required='N'/>
+      <field name='NewSeqNo' required='Y'/>
+    </message>
+    <message msgcat='admin' msgtype='5' name='Logout'>
+      <field name='Text' required='N'/>
+      <field name='EncodedTextLen' required='N'/>
+      <field name='EncodedText' required='N'/>
+    </message>
+    <message msgcat='admin' msgtype='A' name='Logon'>
+      <field name='EncryptMethod' required='Y'/>
+      <field name='HeartBtInt' required='Y'/>
+      <field name='RawDataLength' required='N'/>
+      <field name='RawData' required='N'/>
+      <field name='ResetSeqNumFlag' required='N'/>
+      <field name='NextExpectedMsgSeqNum' required='N'/>
+      <field name='MaxMessageSize' required='N'/>
+      <field name='TestMessageIndicator' required='N'/>
+      <field name='Username' required='N'/>
+      <field name='Password' required='N'/>
+      <field name='DefaultApplVerID' required='Y'/>
+      <component name='MsgTypeGrp' required='N'/>
+    </message>
+  </messages>
+  <components>
+    <component name='HopGrp'>
+      <group name='NoHops' required='N'>
+        <field name='HopCompID' required='N'/>
+        <field name='HopSendingTime' required='N'/>
+        <field name='HopRefID' required='N'/>
+      </group>
+    </component>
+    <component name='MsgTypeGrp'>
+      <group name='NoMsgTypes' required='N'>
+        <field name='RefMsgType' required='N'/>
+        <field name='MsgDirection' required='N'/>
+        <field name='RefApplVerID' required='N'/>
+        <field name='RefCstmApplVerID' required='N'/>
+      </group>
+    </component>
+  </components>
+  <fields>
+    <field name='BeginSeqNo' number='7' type='SEQNUM'/>
+    <field name='BeginString' number='8' type='STRING'/>
+    <field name='BodyLength' number='9' type='LENGTH'/>
+    <field name='CheckSum' number='10' type='STRING'/>
+    <field name='EndSeqNo' number='16' type='SEQNUM'/>
+    <field name='MsgSeqNum' number='34' type='SEQNUM'/>
+    <field number='35' name='MsgType' type='STRING'>
+      <value enum='0' description='HEARTBEAT'/>
+      <value enum='1' description='TEST_REQUEST'/>
+      <value enum='2' description='RESEND_REQUEST'/>
+      <value enum='3' description='REJECT'/>
+      <value enum='4' description='SEQUENCE_RESET'/>
+      <value enum='5' description='LOGOUT'/>
+      <value enum='6' description='INDICATION_OF_INTEREST'/>
+      <value enum='7' description='ADVERTISEMENT'/>
+      <value enum='8' description='EXECUTION_REPORT'/>
+      <value enum='9' description='ORDER_CANCEL_REJECT'/>
+      <value enum='A' description='LOGON'/>
+      <value enum='B' description='NEWS'/>
+      <value enum='C' description='EMAIL'/>
+      <value enum='D' description='ORDER_SINGLE'/>
+      <value enum='E' description='ORDER_LIST'/>
+      <value enum='F' description='ORDER_CANCEL_REQUEST'/>
+      <value enum='G' description='ORDER_CANCEL_REPLACE_REQUEST'/>
+      <value enum='H' description='ORDER_STATUS_REQUEST'/>
+      <value enum='J' description='ALLOCATION_INSTRUCTION'/>
+      <value enum='K' description='LIST_CANCEL_REQUEST'/>
+      <value enum='L' description='LIST_EXECUTE'/>
+      <value enum='M' description='LIST_STATUS_REQUEST'/>
+      <value enum='N' description='LIST_STATUS'/>
+      <value enum='P' description='ALLOCATION_INSTRUCTION_ACK'/>
+      <value enum='Q' description='DONT_KNOW_TRADE'/>
+      <value enum='R' description='QUOTE_REQUEST'/>
+      <value enum='S' description='QUOTE'/>
+      <value enum='T' description='SETTLEMENT_INSTRUCTIONS'/>
+      <value enum='V' description='MARKET_DATA_REQUEST'/>
+      <value enum='W' description='MARKET_DATA_SNAPSHOT_FULL_REFRESH'/>
+      <value enum='X' description='MARKET_DATA_INCREMENTAL_REFRESH'/>
+      <value enum='Y' description='MARKET_DATA_REQUEST_REJECT'/>
+      <value enum='Z' description='QUOTE_CANCEL'/>
+      <value enum='a' description='QUOTE_STATUS_REQUEST'/>
+      <value enum='b' description='MASS_QUOTE_ACKNOWLEDGEMENT'/>
+      <value enum='c' description='SECURITY_DEFINITION_REQUEST'/>
+      <value enum='d' description='SECURITY_DEFINITION'/>
+      <value enum='e' description='SECURITY_STATUS_REQUEST'/>
+      <value enum='f' description='SECURITY_STATUS'/>
+      <value enum='g' description='TRADING_SESSION_STATUS_REQUEST'/>
+      <value enum='h' description='TRADING_SESSION_STATUS'/>
+      <value enum='i' description='MASS_QUOTE'/>
+      <value enum='j' description='BUSINESS_MESSAGE_REJECT'/>
+      <value enum='k' description='BID_REQUEST'/>
+      <value enum='l' description='BID_RESPONSE'/>
+      <value enum='m' description='LIST_STRIKE_PRICE'/>
+      <value enum='n' description='XML_MESSAGE'/>
+      <value enum='o' description='REGISTRATION_INSTRUCTIONS'/>
+      <value enum='p' description='REGISTRATION_INSTRUCTIONS_RESPONSE'/>
+      <value enum='q' description='ORDER_MASS_CANCEL_REQUEST'/>
+      <value enum='r' description='ORDER_MASS_CANCEL_REPORT'/>
+      <value enum='s' description='NEW_ORDER_CROSS'/>
+      <value enum='t' description='CROSS_ORDER_CANCEL_REPLACE_REQUEST'/>
+      <value enum='u' description='CROSS_ORDER_CANCEL_REQUEST'/>
+      <value enum='v' description='SECURITY_TYPE_REQUEST'/>
+      <value enum='w' description='SECURITY_TYPES'/>
+      <value enum='x' description='SECURITY_LIST_REQUEST'/>
+      <value enum='y' description='SECURITY_LIST'/>
+      <value enum='z' description='DERIVATIVE_SECURITY_LIST_REQUEST'/>
+      <value enum='AA' description='DERIVATIVE_SECURITY_LIST'/>
+      <value enum='AB' description='NEW_ORDER_MULTILEG'/>
+      <value enum='AC' description='MULTILEG_ORDER_CANCEL_REPLACE'/>
+      <value enum='AD' description='TRADE_CAPTURE_REPORT_REQUEST'/>
+      <value enum='AE' description='TRADE_CAPTURE_REPORT'/>
+      <value enum='AF' description='ORDER_MASS_STATUS_REQUEST'/>
+      <value enum='AG' description='QUOTE_REQUEST_REJECT'/>
+      <value enum='AH' description='RFQ_REQUEST'/>
+      <value enum='AI' description='QUOTE_STATUS_REPORT'/>
+      <value enum='AJ' description='QUOTE_RESPONSE'/>
+      <value enum='AK' description='CONFIRMATION'/>
+      <value enum='AL' description='POSITION_MAINTENANCE_REQUEST'/>
+      <value enum='AM' description='POSITION_MAINTENANCE_REPORT'/>
+      <value enum='AN' description='REQUEST_FOR_POSITIONS'/>
+      <value enum='AO' description='REQUEST_FOR_POSITIONS_ACK'/>
+      <value enum='AP' description='POSITION_REPORT'/>
+      <value enum='AQ' description='TRADE_CAPTURE_REPORT_REQUEST_ACK'/>
+      <value enum='AR' description='TRADE_CAPTURE_REPORT_ACK'/>
+      <value enum='AS' description='ALLOCATION_REPORT'/>
+      <value enum='AT' description='ALLOCATION_REPORT_ACK'/>
+      <value enum='AU' description='CONFIRMATION_ACK'/>
+      <value enum='AV' description='SETTLEMENT_INSTRUCTION_REQUEST'/>
+      <value enum='AW' description='ASSIGNMENT_REPORT'/>
+      <value enum='AX' description='COLLATERAL_REQUEST'/>
+      <value enum='AY' description='COLLATERAL_ASSIGNMENT'/>
+      <value enum='AZ' description='COLLATERAL_RESPONSE'/>
+      <value enum='BA' description='COLLATERAL_REPORT'/>
+      <value enum='BB' description='COLLATERAL_INQUIRY'/>
+      <value enum='BC' description='NETWORK_STATUS_REQUEST'/>
+      <value enum='BD' description='NETWORK_STATUS_RESPONSE'/>
+      <value enum='BE' description='USER_REQUEST'/>
+      <value enum='BF' description='USER_RESPONSE'/>
+      <value enum='BG' description='COLLATERAL_INQUIRY_ACK'/>
+      <value enum='BH' description='CONFIRMATION_REQUEST'/>
+      <value enum='BI' description='TRADING_SESSION_LIST_REQUEST'/>
+      <value enum='BJ' description='TRADING_SESSION_LIST'/>
+      <value enum='BK' description='SECURITY_LIST_UPDATE_REPORT'/>
+      <value enum='BL' description='ADJUSTED_POSITION_REPORT'/>
+      <value enum='BM' description='ALLOCATION_INSTRUCTION_ALERT'/>
+      <value enum='BN' description='EXECUTION_ACKNOWLEDGEMENT'/>
+      <value enum='BO' description='CONTRARY_INTENTION_REPORT'/>
+      <value enum='BP' description='SECURITY_DEFINITION_UPDATE_REPORT'/>
+    </field>
+    <field name='NewSeqNo' number='36' type='SEQNUM'/>
+    <field name='PossDupFlag' number='43' type='BOOLEAN'/>
+    <field name='RefSeqNum' number='45' type='SEQNUM'/>
+    <field name='SenderCompID' number='49' type='STRING'/>
+    <field name='SenderSubID' number='50' type='STRING'/>
+    <field name='SendingTime' number='52' type='UTCTIMESTAMP'/>
+    <field name='TargetCompID' number='56' type='STRING'/>
+    <field name='TargetSubID' number='57' type='STRING'/>
+    <field name='Text' number='58' type='STRING'/>
+    <field name='Signature' number='89' type='DATA'/>
+    <field name='SecureDataLen' number='90' type='LENGTH'/>
+    <field name='SecureData' number='91' type='DATA'/>
+    <field name='SignatureLength' number='93' type='LENGTH'/>
+    <field name='RawDataLength' number='95' type='LENGTH'/>
+    <field name='RawData' number='96' type='DATA'/>
+    <field name='PossResend' number='97' type='BOOLEAN'/>
+    <field name='EncryptMethod' number='98' type='INT'>
+      <value description='NONE_OTHER' enum='0'/>
+      <value description='PKCS' enum='1'/>
+      <value description='DES' enum='2'/>
+      <value description='PKCS_DES' enum='3'/>
+      <value description='PGP_DES' enum='4'/>
+      <value description='PGP_DES_MD5' enum='5'/>
+      <value description='PEM_DES_MD5' enum='6'/>
+    </field>
+    <field name='HeartBtInt' number='108' type='INT'/>
+    <field name='TestReqID' number='112' type='STRING'/>
+    <field name='OnBehalfOfCompID' number='115' type='STRING'/>
+    <field name='OnBehalfOfSubID' number='116' type='STRING'/>
+    <field name='OrigSendingTime' number='122' type='UTCTIMESTAMP'/>
+    <field name='GapFillFlag' number='123' type='BOOLEAN'/>
+    <field name='DeliverToCompID' number='128' type='STRING'/>
+    <field name='DeliverToSubID' number='129' type='STRING'/>
+    <field name='ResetSeqNumFlag' number='141' type='BOOLEAN'/>
+    <field name='SenderLocationID' number='142' type='STRING'/>
+    <field name='TargetLocationID' number='143' type='STRING'/>
+    <field name='OnBehalfOfLocationID' number='144' type='STRING'/>
+    <field name='DeliverToLocationID' number='145' type='STRING'/>
+    <field name='XmlDataLen' number='212' type='LENGTH'/>
+    <field name='XmlData' number='213' type='DATA'/>
+    <field number='347' name='MessageEncoding' type='STRING'>
+      <value enum='ISO-2022-JP' description='ISO_2022_JP'/>
+      <value enum='EUC-JP' description='EUC_JP'/>
+      <value enum='SHIFT_JIS' description='SHIFT_JIS'/>
+      <value enum='UTF-8' description='UTF_8'/>
+    </field>
+    <field name='EncodedTextLen' number='354' type='LENGTH'/>
+    <field name='EncodedText' number='355' type='DATA'/>
+    <field name='LastMsgSeqNumProcessed' number='369' type='SEQNUM'/>
+    <field name='RefTagID' number='371' type='INT'/>
+    <field name='RefMsgType' number='372' type='STRING'/>
+    <field name='SessionRejectReason' number='373' type='INT'>
+      <value description='INVALID_TAG_NUMBER' enum='0'/>
+      <value description='REQUIRED_TAG_MISSING' enum='1'/>
+      <value description='SENDINGTIME_ACCURACY_PROBLEM' enum='10'/>
+      <value description='INVALID_MSGTYPE' enum='11'/>
+      <value description='XML_VALIDATION_ERROR' enum='12'/>
+      <value description='TAG_APPEARS_MORE_THAN_ONCE' enum='13'/>
+      <value description='TAG_SPECIFIED_OUT_OF_REQUIRED_ORDER' enum='14'/>
+      <value description='REPEATING_GROUP_FIELDS_OUT_OF_ORDER' enum='15'/>
+      <value description='INCORRECT_NUMINGROUP_COUNT_FOR_REPEATING_GROUP' enum='16'/>
+      <value description='NON_DATA_VALUE_INCLUDES_FIELD_DELIMITER' enum='17'/>
+      <value description='TAG_NOT_DEFINED_FOR_THIS_MESSAGE_TYPE' enum='2'/>
+      <value description='UNDEFINED_TAG' enum='3'/>
+      <value description='TAG_SPECIFIED_WITHOUT_A_VALUE' enum='4'/>
+      <value description='VALUE_IS_INCORRECT' enum='5'/>
+      <value description='INCORRECT_DATA_FORMAT_FOR_VALUE' enum='6'/>
+      <value description='DECRYPTION_PROBLEM' enum='7'/>
+      <value description='SIGNATURE_PROBLEM' enum='8'/>
+      <value description='COMPID_PROBLEM' enum='9'/>
+      <value description='OTHER' enum='99'/>
+    </field>
+    <field name='MaxMessageSize' number='383' type='LENGTH'/>
+    <field name='NoMsgTypes' number='384' type='NUMINGROUP'/>
+    <field name='MsgDirection' number='385' type='CHAR'>
+      <value description='RECEIVE' enum='R'/>
+      <value description='SEND' enum='S'/>
+    </field>
+    <field name='TestMessageIndicator' number='464' type='BOOLEAN'/>
+    <field name='Username' number='553' type='STRING'/>
+    <field name='Password' number='554' type='STRING'/>
+    <field name='NoHops' number='627' type='NUMINGROUP'/>
+    <field name='HopCompID' number='628' type='STRING'/>
+    <field name='HopSendingTime' number='629' type='UTCTIMESTAMP'/>
+    <field name='HopRefID' number='630' type='SEQNUM'/>
+    <field name='NextExpectedMsgSeqNum' number='789' type='SEQNUM'/>
+    <field name='ApplVerID' number='1128' type='STRING'>
+      <value description='FIX27' enum='0'/>
+      <value description='FIX30' enum='1'/>
+      <value description='FIX40' enum='2'/>
+      <value description='FIX41' enum='3'/>
+      <value description='FIX42' enum='4'/>
+      <value description='FIX43' enum='5'/>
+      <value description='FIX44' enum='6'/>
+      <value description='FIX50' enum='7'/>
+      <value description='FIX50SP1' enum='8'/>
+      <value description='FIX50SP2' enum='9'/>
+    </field>
+    <field name='CstmApplVerID' number='1129' type='STRING'/>
+    <field name='RefApplVerID' number='1130' type='STRING'/>
+    <field name='RefCstmApplVerID' number='1131' type='STRING'/>
+    <field name='DefaultApplVerID' number='1137' type='STRING'/>
+  </fields>
+</fix>

src/client/spark_test/spark_test.csproj

@@ -2,6 +2,7 @@
 
   <PropertyGroup>
     <TargetFramework>netstandard2.0</TargetFramework>
+    
     <Platform>x64</Platform>
     <PlatformTarget>x64</PlatformTarget>
   </PropertyGroup>

src/client/sparkcmd/Cmd/FIXCommand.cs

@@ -0,0 +1,58 @@
+using System;
+using System.Linq;
+using CommandLine;
+
+using bts.fix;
+
+namespace bts 
+{
+   [Verb("fix", HelpText = "Fix command")]
+   public class FIXCommandOptions
+   {
+      [Option('f', "config", Required = true)]
+      public string config_file { get; set; }
+
+      [Option('i', "initiator", Default = false, Required = false)]
+      public bool initiator{ get; set; }
+
+      [Option('w', "http", Required = false)]
+      public string http{ get; set; }
+
+      [Option('o', "order_session", Default = false, Required = false)]
+      public bool order_session{ get; set; }
+
+      [Option('d', "dropcopy_only", Default = false, Required = false)]
+      public bool dropcopy_only { get; set; }
+   }
+      
+   public class FIXCommand 
+   {      
+      public static int Run(FIXCommandOptions opt) 
+      {
+         if (opt.order_session)
+         {
+            Console.WriteLine("Starting FIX ORDERS Acceptor using " + opt.config_file);
+            if(!string.IsNullOrEmpty(opt.http))
+               Console.WriteLine(" Http server " + opt.http);
+            return FixInit.start_acceptor(opt.config_file, true, (string.IsNullOrEmpty(opt.http) ? null : opt.http));
+         }
+         else if (opt.dropcopy_only)
+         {
+            Console.WriteLine("Starting FIX DROP Acceptor using " + opt.config_file);
+            if (!string.IsNullOrEmpty(opt.http))
+               Console.WriteLine(" Http server " + opt.http);
+            return FixInit.start_acceptor(opt.config_file, false, (string.IsNullOrEmpty(opt.http) ? null : opt.http));
+         }
+         else if (opt.initiator)
+         {
+            Console.WriteLine("Initiator not supported yet");
+            return -1;
+         }
+         string[] args = Parser.Default.FormatCommandLine(opt).Split(' ');
+         var res = Parser.Default.ParseArguments<FIXCommandOptions>(args);
+         var help = CommandLine.Text.HelpText.AutoBuild(res, h => h, r => r).ToString();
+         Console.WriteLine(help);
+         return -1;
+      }
+   }
+}

src/client/sparkcmd/Program.cs

@@ -44,7 +44,8 @@ namespace sparkcmd {
             SettingsManagerOptions,
             TestCommandOptions,
             OrderStressOptions,
-            MBOCommandOptions
+            MBOCommandOptions,
+            FIXCommandOptions
              >(BTS.remove_config_arg(args))
          .MapResult<
                ConfigcheckOptions,
@@ -55,6 +56,7 @@ namespace sparkcmd {
                TestCommandOptions,
                OrderStressOptions,
                MBOCommandOptions,
+               FIXCommandOptions,
                int>(
             Configcheck.Run,
             ScriptClientCommand.Run,
@@ -64,6 +66,7 @@ namespace sparkcmd {
             TestCommand.Run,
             OrderStress.Run,
             MBOCommand.Run,
+            FIXCommand.Run,
             errors => 1);
       }
    }

src/client/sparkcmd/sparkcmd.csproj

@@ -17,7 +17,9 @@
     <ProjectReference Include="../spark_api/spark_api.csproj" />
     <!--<ProjectReference Include="..\spark\Spark.csproj" />-->
     <ProjectReference Include="..\spark_core\spark_core.csproj" />
+    <ProjectReference Include="..\spark_fix\spark_fix.csproj" />
     <ProjectReference Include="..\spark_test\spark_test.csproj" />
+    <ProjectReference Include="../spark_fix/spark_fix.csproj" />
     <!--<Proto3 Include="**/*.proto" />-->
   </ItemGroup>
 

src/data_files/files/fix/spark_fix.cfg

@@ -0,0 +1,41 @@
+#http://www.quickfixengine.org/quickfix/doc/html/configuration.html
+#https://www.onixs.biz/fix-dictionary.html
+
+[DEFAULT]
+ConnectionType=acceptor
+SocketAcceptPort=5001
+SocketReuseAddress=Y
+StartTime=00:00:00
+EndTime=00:00:00
+UseDataDictionary=Y
+ResetOnLogon=Y
+ResetOnLogout=Y
+ResetOnDisconnect=Y
+HeartBtInt=30
+LogonTimeout=30
+FileLogPath=data_files/fix/log/
+FileStorePath=data_files/fix/store/
+
+SSLEnable=N
+# SSLEnable=Y
+# # It is recommended to install the certificate and refer to it by name instead of using filename + password
+# SSLCertificate=QuickFixn-TestServer.pfx
+# SSLCertificatePassword=QuickFixn-TestServer
+# # For production refer to certificate by name instead: SSLCertificate=CN=QuickFixn-TestServer
+# SSLCACertificate=QuickFixn-TestCA.cer
+# SSLCheckCertificateRevocation=N
+
+
+[SESSION]
+BeginString=FIX.4.4
+SenderCompID=SPARKFIX
+TargetCompID=CLIENT1
+DataDictionary=data_files/fix/spec/fix/FIX44.xml
+
+[SESSION]
+BeginString=FIX.4.4
+SenderCompID=SPARKFIX
+TargetCompID=CLIENT2
+DataDictionary=data_files/fix/spec/fix/FIX44.xml
+
+

src/data_files/files/fix/spec/fix/FIX40.xml

@@ -0,0 +1,828 @@
+<fix major="4" minor="0">
+  <header>
+    <field name="BeginString" required="Y"/>
+    <field name="BodyLength" required="Y"/>
+    <field name="MsgType" required="Y"/>
+    <field name="SenderCompID" required="Y"/>
+    <field name="TargetCompID" required="Y"/>
+    <field name="OnBehalfOfCompID" required="N"/>
+    <field name="DeliverToCompID" required="N"/>
+    <field name="SecureDataLen" required="N"/>
+    <field name="SecureData" required="N"/>
+    <field name="MsgSeqNum" required="Y"/>
+    <field name="SenderSubID" required="N"/>
+    <field name="TargetSubID" required="N"/>
+    <field name="OnBehalfOfSubID" required="N"/>
+    <field name="DeliverToSubID" required="N"/>
+    <field name="PossDupFlag" required="N"/>
+    <field name="PossResend" required="N"/>
+    <field name="SendingTime" required="Y"/>
+    <field name="OrigSendingTime" required="N"/>
+  </header>
+  <trailer>
+    <field name="SignatureLength" required="N"/>
+    <field name="Signature" required="N"/>
+    <field name="CheckSum" required="Y"/>
+  </trailer>
+  <messages>
+    <message name="Heartbeat" msgtype="0" msgcat="admin">
+      <field name="TestReqID" required="N"/>
+    </message>
+    <message name="Logon" msgtype="A" msgcat="admin">
+      <field name="EncryptMethod" required="Y"/>
+      <field name="HeartBtInt" required="Y"/>
+      <field name="RawDataLength" required="N"/>
+      <field name="RawData" required="N"/>
+    </message>
+    <message name="TestRequest" msgtype="1" msgcat="admin">
+      <field name="TestReqID" required="Y"/>
+    </message>
+    <message name="ResendRequest" msgtype="2" msgcat="admin">
+      <field name="BeginSeqNo" required="Y"/>
+      <field name="EndSeqNo" required="Y"/>
+    </message>
+    <message name="Reject" msgtype="3" msgcat="admin">
+      <field name="RefSeqNum" required="Y"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="SequenceReset" msgtype="4" msgcat="admin">
+      <field name="GapFillFlag" required="N"/>
+      <field name="NewSeqNo" required="Y"/>
+    </message>
+    <message name="Logout" msgtype="5" msgcat="admin">
+      <field name="Text" required="N"/>
+    </message>
+    <message name="Advertisement" msgtype="7" msgcat="app">
+      <field name="AdvId" required="Y"/>
+      <field name="AdvTransType" required="Y"/>
+      <field name="AdvRefID" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="AdvSide" required="Y"/>
+      <field name="Shares" required="Y"/>
+      <field name="Price" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="TransactTime" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="IndicationofInterest" msgtype="6" msgcat="app">
+      <field name="IOIid" required="Y"/>
+      <field name="IOITransType" required="Y"/>
+      <field name="IOIRefID" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="IOIShares" required="Y"/>
+      <field name="Price" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="ValidUntilTime" required="N"/>
+      <field name="IOIQltyInd" required="N"/>
+      <field name="IOIOthSvc" required="N"/>
+      <field name="IOINaturalFlag" required="N"/>
+      <field name="IOIQualifier" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="News" msgtype="B" msgcat="app">
+      <field name="OrigTime" required="N"/>
+      <field name="Urgency" required="N"/>
+      <field name="RelatdSym" required="N" repeating="Y"/>
+      <group name="LinesOfText" required="Y">
+        <field name="Text" required="Y"/>
+      </group>
+      <field name="RawDataLength" required="N"/>
+      <field name="RawData" required="N"/>
+    </message>
+    <message name="Email" msgtype="C" msgcat="app">
+      <field name="EmailType" required="Y"/>
+      <field name="OrigTime" required="N"/>
+      <field name="RelatdSym" required="N" repeating="Y"/>
+      <field name="OrderID" required="N"/>
+      <field name="ClOrdID" required="N"/>
+      <group name="LinesOfText" required="Y">
+        <field name="Text" required="Y"/>
+      </group>
+      <field name="RawDataLength" required="N"/>
+      <field name="RawData" required="N"/>
+    </message>
+    <message name="QuoteRequest" msgtype="R" msgcat="app">
+      <field name="QuoteReqID" required="Y"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="PrevClosePx" required="N"/>
+      <field name="Side" required="N"/>
+      <field name="OrderQty" required="N"/>
+    </message>
+    <message name="Quote" msgtype="S" msgcat="app">
+      <field name="QuoteReqID" required="N"/>
+      <field name="QuoteID" required="Y"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="BidPx" required="Y"/>
+      <field name="OfferPx" required="N"/>
+      <field name="BidSize" required="N"/>
+      <field name="OfferSize" required="N"/>
+      <field name="ValidUntilTime" required="N"/>
+    </message>
+    <message name="NewOrderSingle" msgtype="D" msgcat="app">
+      <field name="ClOrdID" required="Y"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="Account" required="N"/>
+      <field name="SettlmntTyp" required="N"/>
+      <field name="FutSettDate" required="N"/>
+      <field name="HandlInst" required="Y"/>
+      <field name="ExecInst" required="N"/>
+      <field name="MinQty" required="N"/>
+      <field name="MaxFloor" required="N"/>
+      <field name="ExDestination" required="N"/>
+      <field name="ProcessCode" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="PrevClosePx" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="LocateReqd" required="N"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="OrdType" required="Y"/>
+      <field name="Price" required="N"/>
+      <field name="StopPx" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="IOIid" required="N"/>
+      <field name="QuoteID" required="N"/>
+      <field name="TimeInForce" required="N"/>
+      <field name="ExpireTime" required="N"/>
+      <field name="Commission" required="N"/>
+      <field name="CommType" required="N"/>
+      <field name="Rule80A" required="N"/>
+      <field name="ForexReq" required="N"/>
+      <field name="SettlCurrency" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="ExecutionReport" msgtype="8" msgcat="app">
+      <field name="OrderID" required="Y"/>
+      <field name="ClOrdID" required="N"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="ListID" required="N"/>
+      <field name="ExecID" required="Y"/>
+      <field name="ExecTransType" required="Y"/>
+      <field name="ExecRefID" required="N"/>
+      <field name="OrdStatus" required="Y"/>
+      <field name="OrdRejReason" required="N"/>
+      <field name="Account" required="N"/>
+      <field name="SettlmntTyp" required="N"/>
+      <field name="FutSettDate" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="OrdType" required="N"/>
+      <field name="Price" required="N"/>
+      <field name="StopPx" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="TimeInForce" required="N"/>
+      <field name="ExpireTime" required="N"/>
+      <field name="ExecInst" required="N"/>
+      <field name="Rule80A" required="N"/>
+      <field name="LastShares" required="Y"/>
+      <field name="LastPx" required="Y"/>
+      <field name="LastMkt" required="N"/>
+      <field name="LastCapacity" required="N"/>
+      <field name="CumQty" required="Y"/>
+      <field name="AvgPx" required="Y"/>
+      <field name="TradeDate" required="N"/>
+      <field name="TransactTime" required="N"/>
+      <field name="ReportToExch" required="N"/>
+      <field name="Commission" required="N"/>
+      <field name="CommType" required="N"/>
+      <group name="NoMiscFees" required="N">
+        <field name="MiscFeeAmt" required="N"/>
+        <field name="MiscFeeCurr" required="N"/>
+        <field name="MiscFeeType" required="N"/>
+      </group>
+      <field name="NetMoney" required="N"/>
+      <field name="SettlCurrAmt" required="N"/>
+      <field name="SettlCurrency" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="DontKnowTrade" msgtype="Q" msgcat="app">
+      <field name="OrderID" required="N"/>
+      <field name="ExecID" required="N"/>
+      <field name="DKReason" required="Y"/>
+      <field name="Symbol" required="Y"/>
+      <field name="Side" required="Y"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="LastShares" required="Y"/>
+      <field name="LastPx" required="Y"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="OrderCancelReplaceRequest" msgtype="G" msgcat="app">
+      <field name="OrderID" required="N"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="OrigClOrdID" required="Y"/>
+      <field name="ClOrdID" required="Y"/>
+      <field name="ListID" required="N"/>
+      <field name="Account" required="N"/>
+      <field name="SettlmntTyp" required="N"/>
+      <field name="FutSettDate" required="N"/>
+      <field name="HandlInst" required="Y"/>
+      <field name="ExecInst" required="N"/>
+      <field name="MinQty" required="N"/>
+      <field name="MaxFloor" required="N"/>
+      <field name="ExDestination" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="OrdType" required="Y"/>
+      <field name="Price" required="N"/>
+      <field name="StopPx" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="TimeInForce" required="N"/>
+      <field name="ExpireTime" required="N"/>
+      <field name="Commission" required="N"/>
+      <field name="CommType" required="N"/>
+      <field name="Rule80A" required="N"/>
+      <field name="ForexReq" required="N"/>
+      <field name="SettlCurrency" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="OrderCancelRequest" msgtype="F" msgcat="app">
+      <field name="OrigClOrdID" required="Y"/>
+      <field name="OrderID" required="N"/>
+      <field name="ClOrdID" required="Y"/>
+      <field name="ListID" required="N"/>
+      <field name="CxlType" required="Y"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="OrderCancelReject" msgtype="9" msgcat="app">
+      <field name="OrderID" required="Y"/>
+      <field name="ClOrdID" required="Y"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="ListID" required="N"/>
+      <field name="CxlRejReason" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="OrderStatusRequest" msgtype="H" msgcat="app">
+      <field name="OrderID" required="N"/>
+      <field name="ClOrdID" required="Y"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Side" required="Y"/>
+    </message>
+    <message name="Allocation" msgtype="J" msgcat="app">
+      <field name="AllocID" required="Y"/>
+      <field name="AllocTransType" required="Y"/>
+      <field name="RefAllocID" required="N"/>
+      <group name="NoOrders" required="Y">
+        <field name="ClOrdID" required="Y"/>
+        <field name="OrderID" required="N"/>
+        <field name="ListID" required="N"/>
+        <field name="WaveNo" required="N"/>
+      </group>
+      <group name="NoExecs" required="N">
+        <field name="ExecID" required="N"/>
+        <field name="LastShares" required="N"/>
+        <field name="LastPx" required="N"/>
+        <field name="LastMkt" required="N"/>
+      </group>
+      <field name="Side" required="Y"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="Shares" required="Y"/>
+      <field name="AvgPx" required="Y"/>
+      <field name="Currency" required="N"/>
+      <field name="AvgPrxPrecision" required="N"/>
+      <field name="TradeDate" required="Y"/>
+      <field name="TransactTime" required="N"/>
+      <field name="SettlmntTyp" required="N"/>
+      <field name="FutSettDate" required="N"/>
+      <field name="NetMoney" required="N"/>
+      <group name="NoMiscFees" required="N">
+        <field name="MiscFeeAmt" required="N"/>
+        <field name="MiscFeeCurr" required="N"/>
+        <field name="MiscFeeType" required="N"/>
+      </group>
+      <field name="SettlCurrAmt" required="N"/>
+      <field name="SettlCurrency" required="N"/>
+      <field name="OpenClose" required="N"/>
+      <field name="Text" required="N"/>
+      <group name="NoAllocs" required="Y">
+        <field name="AllocAccount" required="Y"/>
+        <field name="AllocShares" required="Y"/>
+        <field name="ProcessCode" required="N"/>
+        <field name="ExecBroker" required="N"/>
+        <field name="ClientID" required="N"/>
+        <field name="Commission" required="N"/>
+        <field name="CommType" required="N"/>
+        <group name="NoDlvyInst" required="N">
+          <field name="BrokerOfCredit" required="N"/>
+          <field name="DlvyInst" required="N"/>
+        </group>
+      </group>
+    </message>
+    <message name="AllocationACK" msgtype="P" msgcat="app">
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="AllocID" required="Y"/>
+      <field name="TradeDate" required="Y"/>
+      <field name="TransactTime" required="N"/>
+      <field name="AllocStatus" required="Y"/>
+      <field name="AllocRejCode" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="NewOrderList" msgtype="E" msgcat="app">
+      <field name="ListID" required="Y"/>
+      <field name="WaveNo" required="N"/>
+      <field name="ListSeqNo" required="Y"/>
+      <field name="ListNoOrds" required="Y"/>
+      <field name="ListExecInst" required="N"/>
+      <field name="ClOrdID" required="Y"/>
+      <field name="ClientID" required="N"/>
+      <field name="ExecBroker" required="N"/>
+      <field name="Account" required="N"/>
+      <field name="SettlmntTyp" required="N"/>
+      <field name="FutSettDate" required="N"/>
+      <field name="HandlInst" required="Y"/>
+      <field name="ExecInst" required="N"/>
+      <field name="MinQty" required="N"/>
+      <field name="MaxFloor" required="N"/>
+      <field name="ExDestination" required="N"/>
+      <field name="ProcessCode" required="N"/>
+      <field name="Symbol" required="Y"/>
+      <field name="SymbolSfx" required="N"/>
+      <field name="SecurityID" required="N"/>
+      <field name="IDSource" required="N"/>
+      <field name="Issuer" required="N"/>
+      <field name="SecurityDesc" required="N"/>
+      <field name="PrevClosePx" required="N"/>
+      <field name="Side" required="Y"/>
+      <field name="LocateReqd" required="N"/>
+      <field name="OrderQty" required="Y"/>
+      <field name="OrdType" required="Y"/>
+      <field name="Price" required="N"/>
+      <field name="StopPx" required="N"/>
+      <field name="Currency" required="N"/>
+      <field name="TimeInForce" required="N"/>
+      <field name="ExpireTime" required="N"/>
+      <field name="Commission" required="N"/>
+      <field name="CommType" required="N"/>
+      <field name="Rule80A" required="N"/>
+      <field name="ForexReq" required="N"/>
+      <field name="SettlCurrency" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="ListStatus" msgtype="N" msgcat="app">
+      <field name="ListID" required="Y"/>
+      <field name="WaveNo" required="N"/>
+      <field name="NoRpts" required="Y"/>
+      <field name="RptSeq" required="Y"/>
+      <group name="NoOrders" required="Y">
+        <field name="ClOrdID" required="Y"/>
+        <field name="CumQty" required="Y"/>
+        <field name="CxlQty" required="Y"/>
+        <field name="AvgPx" required="Y"/>
+      </group>
+    </message>
+    <message name="ListExecute" msgtype="L" msgcat="app">
+      <field name="ListID" required="Y"/>
+      <field name="WaveNo" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="ListCancelRequest" msgtype="K" msgcat="app">
+      <field name="ListID" required="Y"/>
+      <field name="WaveNo" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+    <message name="ListStatusRequest" msgtype="M" msgcat="app">
+      <field name="ListID" required="Y"/>
+      <field name="WaveNo" required="N"/>
+      <field name="Text" required="N"/>
+    </message>
+  </messages>
+  <fields>
+    <field number="1" name="Account" type="STRING"/>
+    <field number="2" name="AdvId" type="INT"/>
+    <field number="3" name="AdvRefID" type="INT"/>
+    <field number="4" name="AdvSide" type="STRING">
+      <value enum="B" description="BUY"/>
+      <value enum="S" description="SELL"/>
+      <value enum="X" description="CROSS"/>
+      <value enum="T" description="TRADE"/>
+    </field>
+    <field number="5" name="AdvTransType" type="STRING">
+      <value enum="N" description="NEW"/>
+      <value enum="C" description="CANCEL"/>
+      <value enum="R" description="REPLACE"/>
+    </field>
+    <field number="6" name="AvgPx" type="FLOAT"/>
+    <field number="7" name="BeginSeqNo" type="INT"/>
+    <field number="8" name="BeginString" type="STRING"/>
+    <field number="9" name="BodyLength" type="INT"/>
+    <field number="10" name="CheckSum" type="STRING"/>
+    <field number="11" name="ClOrdID" type="STRING"/>
+    <field number="12" name="Commission" type="FLOAT"/>
+    <field number="13" name="CommType" type="STRING">
+      <value enum="1" description="PER_SHARE"/>
+      <value enum="2" description="PERCENTAGE"/>
+      <value enum="3" description="ABSOLUTE"/>
+    </field>
+    <field number="14" name="CumQty" type="INT"/>
+    <field number="15" name="Currency" type="STRING"/>
+    <field number="16" name="EndSeqNo" type="INT"/>
+    <field number="17" name="ExecID" type="INT"/>
+    <field number="18" name="ExecInst" type="MULTIPLEVALUESTRING">
+      <value enum="1" description="NOT_HELD"/>
+      <value enum="2" description="WORK"/>
+      <value enum="3" description="GO_ALONG"/>
+      <value enum="4" description="OVER_THE_DAY"/>
+      <value enum="5" description="HELD"/>
+      <value enum="6" description="PARTICIPATE_DONT_INITIATE"/>
+      <value enum="7" description="STRICT_SCALE"/>
+      <value enum="8" description="TRY_TO_SCALE"/>
+      <value enum="9" description="STAY_ON_BIDSIDE"/>
+      <value enum="0" description="STAY_ON_OFFERSIDE"/>
+      <value enum="A" description="NO_CROSS"/>
+      <value enum="B" description="OK_TO_CROSS"/>
+      <value enum="C" description="CALL_FIRST"/>
+      <value enum="D" description="PERCENT_OF_VOLUME"/>
+      <value enum="E" description="DO_NOT_INCREASE_DNI"/>
+      <value enum="F" description="DO_NOT_REDUCE_DNR"/>
+      <value enum="G" description="ALL_OR_NONE_AON"/>
+      <value enum="I" description="INSTITUTIONS_ONLY"/>
+      <value enum="L" description="LAST_PEG"/>
+      <value enum="M" description="MIDPRICE_PEG"/>
+      <value enum="N" description="NONNEGOTIABLE"/>
+      <value enum="O" description="OPENING_PEG"/>
+      <value enum="P" description="MARKET_PEG"/>
+      <value enum="R" description="PRIMARY_PEG"/>
+      <value enum="S" description="SUSPEND"/>
+    </field>
+    <field number="19" name="ExecRefID" type="INT"/>
+    <field number="20" name="ExecTransType" type="STRING">
+      <value enum="0" description="NEW"/>
+      <value enum="1" description="CANCEL"/>
+      <value enum="2" description="CORRECT"/>
+      <value enum="3" description="STATUS"/>
+    </field>
+    <field number="21" name="HandlInst" type="STRING">
+      <value enum="1" description="AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION"/>
+      <value enum="2" description="AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK"/>
+      <value enum="3" description="MANUAL_ORDER_BEST_EXECUTION"/>
+    </field>
+    <field number="22" name="IDSource" type="STRING">
+      <value enum="1" description="CUSIP"/>
+      <value enum="2" description="SEDOL"/>
+      <value enum="3" description="QUIK"/>
+      <value enum="4" description="ISIN_NUMBER"/>
+      <value enum="5" description="RIC_CODE"/>
+    </field>
+    <field number="23" name="IOIid" type="INT"/>
+    <field number="24" name="IOIOthSvc" type="STRING"/>
+    <field number="25" name="IOIQltyInd" type="STRING">
+      <value enum="L" description="LOW"/>
+      <value enum="M" description="MEDIUM"/>
+      <value enum="H" description="HIGH"/>
+    </field>
+    <field number="26" name="IOIRefID" type="INT"/>
+    <field number="27" name="IOIShares" type="STRING"/>
+    <field number="28" name="IOITransType" type="STRING">
+      <value enum="N" description="NEW"/>
+      <value enum="C" description="CANCEL"/>
+      <value enum="R" description="REPLACE"/>
+    </field>
+    <field number="29" name="LastCapacity" type="STRING">
+      <value enum="1" description="AGENT"/>
+      <value enum="2" description="CROSS_AS_AGENT"/>
+      <value enum="3" description="CROSS_AS_PRINCIPAL"/>
+      <value enum="4" description="PRINCIPAL"/>
+    </field>
+    <field number="30" name="LastMkt" type="STRING"/>
+    <field number="31" name="LastPx" type="FLOAT"/>
+    <field number="32" name="LastShares" type="INT"/>
+    <field number="33" name="LinesOfText" type="INT"/>
+    <field number="34" name="MsgSeqNum" type="INT"/>
+    <field number="35" name="MsgType" type="STRING"/>
+    <field number="36" name="NewSeqNo" type="INT"/>
+    <field number="37" name="OrderID" type="STRING"/>
+    <field number="38" name="OrderQty" type="INT"/>
+    <field number="39" name="OrdStatus" type="STRING">
+      <value enum="0" description="NEW"/>
+      <value enum="1" description="PARTIALLY_FILLED"/>
+      <value enum="2" description="FILLED"/>
+      <value enum="3" description="DONE_FOR_DAY"/>
+      <value enum="4" description="CANCELED"/>
+      <value enum="5" description="REPLACED"/>
+      <value enum="6" description="PENDING_CANCELREPLACE"/>
+      <value enum="7" description="STOPPED"/>
+      <value enum="8" description="REJECTED"/>
+      <value enum="9" description="SUSPENDED"/>
+      <value enum="A" description="PENDING_NEW"/>
+      <value enum="B" description="CALCULATED"/>
+      <value enum="C" description="EXPIRED"/>
+    </field>
+    <field number="40" name="OrdType" type="STRING">
+      <value enum="1" description="MARKET"/>
+      <value enum="2" description="LIMIT"/>
+      <value enum="3" description="STOP"/>
+      <value enum="4" description="STOP_LIMIT"/>
+      <value enum="5" description="MARKET_ON_CLOSE"/>
+      <value enum="6" description="WITH_OR_WITHOUT"/>
+      <value enum="7" description="LIMIT_OR_BETTER"/>
+      <value enum="8" description="LIMIT_WITH_OR_WITHOUT"/>
+      <value enum="9" description="ON_BASIS"/>
+      <value enum="A" description="ON_CLOSE"/>
+      <value enum="B" description="LIMIT_ON_CLOSE"/>
+      <value enum="C" description="FOREX"/>
+      <value enum="D" description="PREVIOUSLY_QUOTED"/>
+      <value enum="E" description="PREVIOUSLY_INDICATED"/>
+      <value enum="P" description="PEGGED"/>
+    </field>
+    <field number="41" name="OrigClOrdID" type="STRING"/>
+    <field number="42" name="OrigTime" type="TIME"/>
+    <field number="43" name="PossDupFlag" type="STRING">
+      <value enum="Y" description="POSSIBLE_DUPLICATE"/>
+      <value enum="N" description="ORIGINAL_TRANSMISSION"/>
+    </field>
+    <field number="44" name="Price" type="FLOAT"/>
+    <field number="45" name="RefSeqNum" type="INT"/>
+    <field number="46" name="RelatdSym" type="STRING"/>
+    <field number="47" name="Rule80A" type="STRING">
+      <value enum="A" description="AGENCY_SINGLE_ORDER"/>
+      <value enum="D" description="PROGRAM_ORDER_INDEX_ARB_FOR_MEMBER_FIRMORG"/>
+      <value enum="C" description="PROGRAM_ORDER_NONINDEX_ARB_FOR_MEMBER_FIRMORG"/>
+      <value enum="J" description="PROGRAM_ORDER_INDEX_ARB_FOR_INDIVIDUAL_CUSTOMER"/>
+      <value enum="K" description="PROGRAM_ORDER_NONINDEX_ARB_FOR_INDIVIDUAL_CUSTOMER"/>
+      <value enum="U" description="PROGRAM_ORDER_INDEX_ARB_FOR_OTHER_AGENCY"/>
+      <value enum="Y" description="PROGRAM_ORDER_NONINDEX_ARB_FOR_OTHER_AGENCY"/>
+      <value enum="M" description="PROGRAM_ORDER_INDEX_ARB_FOR_OTHER_MEMBER"/>
+      <value enum="N" description="PROGRAM_ORDER_NONINDEX_ARB_FOR_OTHER_MEMBER"/>
+      <value enum="W" description="ALL_OTHER_ORDERS_AS_AGENT_FOR_OTHER_MEMBER"/>
+    </field>
+    <field number="48" name="SecurityID" type="STRING"/>
+    <field number="49" name="SenderCompID" type="STRING"/>
+    <field number="50" name="SenderSubID" type="STRING"/>
+    <field number="52" name="SendingTime" type="TIME"/>
+    <field number="53" name="Shares" type="INT"/>
+    <field number="54" name="Side" type="STRING">
+      <value enum="1" description="BUY"/>
+      <value enum="2" description="SELL"/>
+      <value enum="3" description="BUY_MINUS"/>
+      <value enum="4" description="SELL_PLUS"/>
+      <value enum="5" description="SELL_SHORT"/>
+      <value enum="6" description="SELL_SHORT_EXEMPT"/>
+    </field>
+    <field number="55" name="Symbol" type="STRING"/>
+    <field number="56" name="TargetCompID" type="STRING"/>
+    <field number="57" name="TargetSubID" type="STRING"/>
+    <field number="58" name="Text" type="STRING"/>
+    <field number="59" name="TimeInForce" type="STRING">
+      <value enum="0" description="DAY"/>
+      <value enum="1" description="GOOD_TILL_CANCEL"/>
+      <value enum="2" description="AT_THE_OPENING"/>
+      <value enum="3" description="IMMEDIATE_OR_CANCEL"/>
+      <value enum="4" description="FILL_OR_KILL"/>
+      <value enum="5" description="GOOD_TILL_CROSSING"/>
+      <value enum="6" description="GOOD_TILL_DATE"/>
+    </field>
+    <field number="60" name="TransactTime" type="TIME"/>
+    <field number="61" name="Urgency" type="STRING">
+      <value enum="0" description="NORMAL"/>
+      <value enum="1" description="FLASH"/>
+      <value enum="2" description="BACKGROUND"/>
+    </field>
+    <field number="62" name="ValidUntilTime" type="TIME"/>
+    <field number="63" name="SettlmntTyp" type="STRING">
+      <value enum="0" description="REGULAR"/>
+      <value enum="1" description="CASH"/>
+      <value enum="2" description="NEXT_DAY"/>
+      <value enum="3" description="TPLUS2"/>
+      <value enum="4" description="TPLUS3"/>
+      <value enum="5" description="TPLUS4"/>
+      <value enum="6" description="FUTURE"/>
+      <value enum="7" description="WHEN_ISSUED"/>
+      <value enum="8" description="SELLERS_OPTION"/>
+      <value enum="9" description="TPLUS5"/>
+    </field>
+    <field number="64" name="FutSettDate" type="DATE"/>
+    <field number="65" name="SymbolSfx" type="STRING"/>
+    <field number="66" name="ListID" type="STRING"/>
+    <field number="67" name="ListSeqNo" type="INT"/>
+    <field number="68" name="ListNoOrds" type="INT"/>
+    <field number="69" name="ListExecInst" type="STRING"/>
+    <field number="70" name="AllocID" type="INT"/>
+    <field number="71" name="AllocTransType" type="STRING">
+      <value enum="0" description="NEW"/>
+      <value enum="1" description="REPLACE"/>
+      <value enum="2" description="CANCEL"/>
+    </field>
+    <field number="72" name="RefAllocID" type="INT"/>
+    <field number="73" name="NoOrders" type="INT"/>
+    <field number="74" name="AvgPrxPrecision" type="INT"/>
+    <field number="75" name="TradeDate" type="DATE"/>
+    <field number="76" name="ExecBroker" type="STRING"/>
+    <field number="77" name="OpenClose" type="STRING"/>
+    <field number="78" name="NoAllocs" type="INT"/>
+    <field number="79" name="AllocAccount" type="STRING"/>
+    <field number="80" name="AllocShares" type="INT"/>
+    <field number="81" name="ProcessCode" type="STRING">
+      <value enum="0" description="REGULAR"/>
+      <value enum="1" description="SOFT_DOLLAR"/>
+      <value enum="2" description="STEPIN"/>
+      <value enum="3" description="STEPOUT"/>
+      <value enum="4" description="SOFTDOLLAR_STEPIN"/>
+      <value enum="5" description="SOFTDOLLAR_STEPOUT"/>
+      <value enum="6" description="PLAN_SPONSOR"/>
+    </field>
+    <field number="82" name="NoRpts" type="INT"/>
+    <field number="83" name="RptSeq" type="INT"/>
+    <field number="84" name="CxlQty" type="INT"/>
+    <field number="85" name="NoDlvyInst" type="INT"/>
+    <field number="86" name="DlvyInst" type="STRING"/>
+    <field number="87" name="AllocStatus" type="INT">
+      <value enum="0" description="ACCEPTED"/>
+      <value enum="1" description="REJECTED"/>
+      <value enum="2" description="PARTIAL_ACCEPT"/>
+      <value enum="3" description="RECEIVED"/>
+    </field>
+    <field number="88" name="AllocRejCode" type="INT">
+      <value enum="0" description="UNKNOWN_ACCOUNT"/>
+      <value enum="1" description="INCORRECT_QUANTITY"/>
+      <value enum="2" description="INCORRECT_AVERAGE_PRICE"/>
+      <value enum="3" description="UNKNOWN_EXECUTING_BROKER_MNEMONIC"/>
+      <value enum="4" description="COMMISSION_DIFFERENCE"/>
+      <value enum="5" description="UNKNOWN_ORDERID"/>
+      <value enum="6" description="UNKNOWN_LISTID"/>
+      <value enum="7" description="OTHER"/>
+    </field>
+    <field number="89" name="Signature" type="DATA"/>
+    <field number="90" name="SecureDataLen" type="INT"/>
+    <field number="91" name="SecureData" type="DATA"/>
+    <field number="92" name="BrokerOfCredit" type="STRING"/>
+    <field number="93" name="SignatureLength" type="INT"/>
+    <field number="94" name="EmailType" type="STRING">
+      <value enum="0" description="NEW"/>
+      <value enum="1" description="REPLY"/>
+      <value enum="2" description="ADMIN_REPLY"/>
+    </field>
+    <field number="95" name="RawDataLength" type="INT"/>
+    <field number="96" name="RawData" type="DATA"/>
+    <field number="97" name="PossResend" type="STRING"/>
+    <field number="98" name="EncryptMethod" type="INT">
+      <value enum="0" description="NONE_OTHER"/>
+      <value enum="1" description="PKCS"/>
+      <value enum="2" description="DES"/>
+      <value enum="3" description="PKCSDES"/>
+      <value enum="4" description="PGPDES"/>
+      <value enum="5" description="PGPDESMD5"/>
+      <value enum="6" description="PEMDESMD5"/>
+    </field>
+    <field number="99" name="StopPx" type="FLOAT"/>
+    <field number="100" name="ExDestination" type="STRING">
+      <value enum="0" description="NONE"/>
+      <value enum="4" description="POSIT"/>
+    </field>
+    <field number="102" name="CxlRejReason" type="INT">
+      <value enum="0" description="TOO_LATE_TO_CANCEL"/>
+      <value enum="1" description="UNKNOWN_ORDER"/>
+    </field>
+    <field number="103" name="OrdRejReason" type="INT">
+      <value enum="0" description="BROKER_OPTION"/>
+      <value enum="1" description="UNKNOWN_SYMBOL"/>
+      <value enum="2" description="EXCHANGE_CLOSED"/>
+      <value enum="3" description="ORDER_EXCEEDS_LIMIT"/>
+      <value enum="4" description="TOO_LATE_TO_ENTER"/>
+    </field>
+    <field number="104" name="IOIQualifier" type="STRING">
+      <value enum="X" description="CROSSING_OPPORTUNITY"/>
+      <value enum="O" description="AT_THE_OPEN"/>
+      <value enum="M" description="MORE_BEHIND"/>
+      <value enum="P" description="TAKING_A_POSITION"/>
+      <value enum="V" description="VERSUS"/>
+      <value enum="Q" description="CURRENT_QUOTE"/>
+      <value enum="C" description="AT_THE_CLOSE"/>
+      <value enum="S" description="PORTFOLIO_SHOWN"/>
+      <value enum="I" description="IN_TOUCH_WITH"/>
+      <value enum="W" description="INDICATION_WORKING_AWAY"/>
+      <value enum="A" description="ALL_OR_NONE"/>
+      <value enum="L" description="LIMIT"/>
+      <value enum="T" description="THROUGH_THE_DAY"/>
+    </field>
+    <field number="105" name="WaveNo" type="STRING"/>
+    <field number="106" name="Issuer" type="STRING"/>
+    <field number="107" name="SecurityDesc" type="STRING"/>
+    <field number="108" name="HeartBtInt" type="INT"/>
+    <field number="109" name="ClientID" type="STRING"/>
+    <field number="110" name="MinQty" type="INT"/>
+    <field number="111" name="MaxFloor" type="INT"/>
+    <field number="112" name="TestReqID" type="STRING"/>
+    <field number="113" name="ReportToExch" type="STRING">
+      <value enum="Y" description="YES"/>
+      <value enum="N" description="NO"/>
+    </field>
+    <field number="114" name="LocateReqd" type="STRING">
+      <value enum="Y" description="YES"/>
+      <value enum="N" description="NO"/>
+    </field>
+    <field number="115" name="OnBehalfOfCompID" type="STRING"/>
+    <field number="116" name="OnBehalfOfSubID" type="STRING"/>
+    <field number="117" name="QuoteID" type="STRING"/>
+    <field number="118" name="NetMoney" type="FLOAT"/>
+    <field number="119" name="SettlCurrAmt" type="FLOAT"/>
+    <field number="120" name="SettlCurrency" type="STRING"/>
+    <field number="121" name="ForexReq" type="STRING">
+      <value enum="Y" description="YES"/>
+      <value enum="N" description="NO"/>
+    </field>
+    <field number="122" name="OrigSendingTime" type="TIME"/>
+    <field number="123" name="GapFillFlag" type="STRING">
+      <value enum="Y" description="GAP_FILL_MESSAGE_MSGSEQNUM_FIELD_VALID"/>
+      <value enum="N" description="SEQUENCE_RESET_IGNORE_MSGSEQNUM"/>
+    </field>
+    <field number="124" name="NoExecs" type="INT"/>
+    <field number="125" name="CxlType" type="STRING">
+      <value enum="P" description="PARTIAL_CANCEL"/>
+      <value enum="F" description="FULL_REMAINING_QUANTITY"/>
+    </field>
+    <field number="126" name="ExpireTime" type="TIME"/>
+    <field number="127" name="DKReason" type="STRING">
+      <value enum="A" description="UNKNOWN_SYMBOL"/>
+      <value enum="B" description="WRONG_SIDE"/>
+      <value enum="C" description="QUANTITY_EXCEEDS_ORDER"/>
+      <value enum="D" description="NO_MATCHING_ORDER"/>
+      <value enum="E" description="PRICE_EXCEEDS_LIMIT"/>
+      <value enum="Z" description="OTHER" />
+    </field>
+    <field number="128" name="DeliverToCompID" type="STRING"/>
+    <field number="129" name="DeliverToSubID" type="STRING"/>
+    <field number="130" name="IOINaturalFlag" type="STRING">
+      <value enum="Y" description="NATURAL"/>
+      <value enum="N" description="NOT_NATURAL"/>
+    </field>
+    <field number="131" name="QuoteReqID" type="STRING"/>
+    <field number="132" name="BidPx" type="FLOAT"/>
+    <field number="133" name="OfferPx" type="FLOAT"/>
+    <field number="134" name="BidSize" type="INT"/>
+    <field number="135" name="OfferSize" type="INT"/>
+    <field number="136" name="NoMiscFees" type="INT"/>
+    <field number="137" name="MiscFeeAmt" type="FLOAT"/>
+    <field number="138" name="MiscFeeCurr" type="STRING"/>
+    <field number="139" name="MiscFeeType" type="STRING">
+      <value enum="1" description="REGULATORY"/>
+      <value enum="2" description="TAX"/>
+      <value enum="3" description="LOCAL_COMMISSION"/>
+      <value enum="4" description="EXCHANGE_FEES"/>
+      <value enum="5" description="STAMP"/>
+      <value enum="6" description="LEVY"/>
+      <value enum="7" description="OTHER"/>
+    </field>
+    <field number="140" name="PrevClosePx" type="FLOAT"/>
+  </fields>
+</fix>

src/data_files/files/fix/spec/fix/FIXT11.xml

@@ -0,0 +1,313 @@
+<?xml version='1.0' encoding='UTF-8'?>
+<fix type='FIXT' major='1' minor='1' servicepack='0'>
+  <header>
+    <field name='BeginString' required='Y'/>
+    <field name='BodyLength' required='Y'/>
+    <field name='MsgType' required='Y'/>
+    <field name='SenderCompID' required='Y'/>
+    <field name='TargetCompID' required='Y'/>
+    <field name='OnBehalfOfCompID' required='N'/>
+    <field name='DeliverToCompID' required='N'/>
+    <field name='SecureDataLen' required='N'/>
+    <field name='SecureData' required='N'/>
+    <field name='MsgSeqNum' required='Y'/>
+    <field name='SenderSubID' required='N'/>
+    <field name='SenderLocationID' required='N'/>
+    <field name='TargetSubID' required='N'/>
+    <field name='TargetLocationID' required='N'/>
+    <field name='OnBehalfOfSubID' required='N'/>
+    <field name='OnBehalfOfLocationID' required='N'/>
+    <field name='DeliverToSubID' required='N'/>
+    <field name='DeliverToLocationID' required='N'/>
+    <field name='PossDupFlag' required='N'/>
+    <field name='PossResend' required='N'/>
+    <field name='SendingTime' required='Y'/>
+    <field name='OrigSendingTime' required='N'/>
+    <field name='XmlDataLen' required='N'/>
+    <field name='XmlData' required='N'/>
+    <field name='MessageEncoding' required='N'/>
+    <field name='LastMsgSeqNumProcessed' required='N'/>
+    <component name='HopGrp' required='N'/>
+    <field name='ApplVerID' required='N'/>
+    <field name='CstmApplVerID' required='N'/>
+  </header>
+  <trailer>
+    <field name='SignatureLength' required='N'/>
+    <field name='Signature' required='N'/>
+    <field name='CheckSum' required='Y'/>
+  </trailer>
+  <messages>
+    <message msgcat='admin' msgtype='0' name='Heartbeat'>
+      <field name='TestReqID' required='N'/>
+    </message>
+    <message msgcat='admin' msgtype='1' name='TestRequest'>
+      <field name='TestReqID' required='Y'/>
+    </message>
+    <message msgcat='admin' msgtype='2' name='ResendRequest'>
+      <field name='BeginSeqNo' required='Y'/>
+      <field name='EndSeqNo' required='Y'/>
+    </message>
+    <message msgcat='admin' msgtype='3' name='Reject'>
+      <field name='RefSeqNum' required='Y'/>
+      <field name='RefTagID' required='N'/>
+      <field name='RefMsgType' required='N'/>
+      <field name='SessionRejectReason' required='N'/>
+      <field name='Text' required='N'/>
+      <field name='EncodedTextLen' required='N'/>
+      <field name='EncodedText' required='N'/>
+    </message>
+    <message msgcat='admin' msgtype='4' name='SequenceReset'>
+      <field name='GapFillFlag' required='N'/>
+      <field name='NewSeqNo' required='Y'/>
+    </message>
+    <message msgcat='admin' msgtype='5' name='Logout'>
+      <field name='Text' required='N'/>
+      <field name='EncodedTextLen' required='N'/>
+      <field name='EncodedText' required='N'/>
+    </message>
+    <message msgcat='admin' msgtype='A' name='Logon'>
+      <field name='EncryptMethod' required='Y'/>
+      <field name='HeartBtInt' required='Y'/>
+      <field name='RawDataLength' required='N'/>
+      <field name='RawData' required='N'/>
+      <field name='ResetSeqNumFlag' required='N'/>
+      <field name='NextExpectedMsgSeqNum' required='N'/>
+      <field name='MaxMessageSize' required='N'/>
+      <field name='TestMessageIndicator' required='N'/>
+      <field name='Username' required='N'/>
+      <field name='Password' required='N'/>
+      <field name='DefaultApplVerID' required='Y'/>
+      <component name='MsgTypeGrp' required='N'/>
+    </message>
+  </messages>
+  <components>
+    <component name='HopGrp'>
+      <group name='NoHops' required='N'>
+        <field name='HopCompID' required='N'/>
+        <field name='HopSendingTime' required='N'/>
+        <field name='HopRefID' required='N'/>
+      </group>
+    </component>
+    <component name='MsgTypeGrp'>
+      <group name='NoMsgTypes' required='N'>
+        <field name='RefMsgType' required='N'/>
+        <field name='MsgDirection' required='N'/>
+        <field name='RefApplVerID' required='N'/>
+        <field name='RefCstmApplVerID' required='N'/>
+      </group>
+    </component>
+  </components>
+  <fields>
+    <field name='BeginSeqNo' number='7' type='SEQNUM'/>
+    <field name='BeginString' number='8' type='STRING'/>
+    <field name='BodyLength' number='9' type='LENGTH'/>
+    <field name='CheckSum' number='10' type='STRING'/>
+    <field name='EndSeqNo' number='16' type='SEQNUM'/>
+    <field name='MsgSeqNum' number='34' type='SEQNUM'/>
+    <field number='35' name='MsgType' type='STRING'>
+      <value enum='0' description='HEARTBEAT'/>
+      <value enum='1' description='TEST_REQUEST'/>
+      <value enum='2' description='RESEND_REQUEST'/>
+      <value enum='3' description='REJECT'/>
+      <value enum='4' description='SEQUENCE_RESET'/>
+      <value enum='5' description='LOGOUT'/>
+      <value enum='6' description='INDICATION_OF_INTEREST'/>
+      <value enum='7' description='ADVERTISEMENT'/>
+      <value enum='8' description='EXECUTION_REPORT'/>
+      <value enum='9' description='ORDER_CANCEL_REJECT'/>
+      <value enum='A' description='LOGON'/>
+      <value enum='B' description='NEWS'/>
+      <value enum='C' description='EMAIL'/>
+      <value enum='D' description='ORDER_SINGLE'/>
+      <value enum='E' description='ORDER_LIST'/>
+      <value enum='F' description='ORDER_CANCEL_REQUEST'/>
+      <value enum='G' description='ORDER_CANCEL_REPLACE_REQUEST'/>
+      <value enum='H' description='ORDER_STATUS_REQUEST'/>
+      <value enum='J' description='ALLOCATION_INSTRUCTION'/>
+      <value enum='K' description='LIST_CANCEL_REQUEST'/>
+      <value enum='L' description='LIST_EXECUTE'/>
+      <value enum='M' description='LIST_STATUS_REQUEST'/>
+      <value enum='N' description='LIST_STATUS'/>
+      <value enum='P' description='ALLOCATION_INSTRUCTION_ACK'/>
+      <value enum='Q' description='DONT_KNOW_TRADE'/>
+      <value enum='R' description='QUOTE_REQUEST'/>
+      <value enum='S' description='QUOTE'/>
+      <value enum='T' description='SETTLEMENT_INSTRUCTIONS'/>
+      <value enum='V' description='MARKET_DATA_REQUEST'/>
+      <value enum='W' description='MARKET_DATA_SNAPSHOT_FULL_REFRESH'/>
+      <value enum='X' description='MARKET_DATA_INCREMENTAL_REFRESH'/>
+      <value enum='Y' description='MARKET_DATA_REQUEST_REJECT'/>
+      <value enum='Z' description='QUOTE_CANCEL'/>
+      <value enum='a' description='QUOTE_STATUS_REQUEST'/>
+      <value enum='b' description='MASS_QUOTE_ACKNOWLEDGEMENT'/>
+      <value enum='c' description='SECURITY_DEFINITION_REQUEST'/>
+      <value enum='d' description='SECURITY_DEFINITION'/>
+      <value enum='e' description='SECURITY_STATUS_REQUEST'/>
+      <value enum='f' description='SECURITY_STATUS'/>
+      <value enum='g' description='TRADING_SESSION_STATUS_REQUEST'/>
+      <value enum='h' description='TRADING_SESSION_STATUS'/>
+      <value enum='i' description='MASS_QUOTE'/>
+      <value enum='j' description='BUSINESS_MESSAGE_REJECT'/>
+      <value enum='k' description='BID_REQUEST'/>
+      <value enum='l' description='BID_RESPONSE'/>
+      <value enum='m' description='LIST_STRIKE_PRICE'/>
+      <value enum='n' description='XML_MESSAGE'/>
+      <value enum='o' description='REGISTRATION_INSTRUCTIONS'/>
+      <value enum='p' description='REGISTRATION_INSTRUCTIONS_RESPONSE'/>
+      <value enum='q' description='ORDER_MASS_CANCEL_REQUEST'/>
+      <value enum='r' description='ORDER_MASS_CANCEL_REPORT'/>
+      <value enum='s' description='NEW_ORDER_CROSS'/>
+      <value enum='t' description='CROSS_ORDER_CANCEL_REPLACE_REQUEST'/>
+      <value enum='u' description='CROSS_ORDER_CANCEL_REQUEST'/>
+      <value enum='v' description='SECURITY_TYPE_REQUEST'/>
+      <value enum='w' description='SECURITY_TYPES'/>
+      <value enum='x' description='SECURITY_LIST_REQUEST'/>
+      <value enum='y' description='SECURITY_LIST'/>
+      <value enum='z' description='DERIVATIVE_SECURITY_LIST_REQUEST'/>
+      <value enum='AA' description='DERIVATIVE_SECURITY_LIST'/>
+      <value enum='AB' description='NEW_ORDER_MULTILEG'/>
+      <value enum='AC' description='MULTILEG_ORDER_CANCEL_REPLACE'/>
+      <value enum='AD' description='TRADE_CAPTURE_REPORT_REQUEST'/>
+      <value enum='AE' description='TRADE_CAPTURE_REPORT'/>
+      <value enum='AF' description='ORDER_MASS_STATUS_REQUEST'/>
+      <value enum='AG' description='QUOTE_REQUEST_REJECT'/>
+      <value enum='AH' description='RFQ_REQUEST'/>
+      <value enum='AI' description='QUOTE_STATUS_REPORT'/>
+      <value enum='AJ' description='QUOTE_RESPONSE'/>
+      <value enum='AK' description='CONFIRMATION'/>
+      <value enum='AL' description='POSITION_MAINTENANCE_REQUEST'/>
+      <value enum='AM' description='POSITION_MAINTENANCE_REPORT'/>
+      <value enum='AN' description='REQUEST_FOR_POSITIONS'/>
+      <value enum='AO' description='REQUEST_FOR_POSITIONS_ACK'/>
+      <value enum='AP' description='POSITION_REPORT'/>
+      <value enum='AQ' description='TRADE_CAPTURE_REPORT_REQUEST_ACK'/>
+      <value enum='AR' description='TRADE_CAPTURE_REPORT_ACK'/>
+      <value enum='AS' description='ALLOCATION_REPORT'/>
+      <value enum='AT' description='ALLOCATION_REPORT_ACK'/>
+      <value enum='AU' description='CONFIRMATION_ACK'/>
+      <value enum='AV' description='SETTLEMENT_INSTRUCTION_REQUEST'/>
+      <value enum='AW' description='ASSIGNMENT_REPORT'/>
+      <value enum='AX' description='COLLATERAL_REQUEST'/>
+      <value enum='AY' description='COLLATERAL_ASSIGNMENT'/>
+      <value enum='AZ' description='COLLATERAL_RESPONSE'/>
+      <value enum='BA' description='COLLATERAL_REPORT'/>
+      <value enum='BB' description='COLLATERAL_INQUIRY'/>
+      <value enum='BC' description='NETWORK_STATUS_REQUEST'/>
+      <value enum='BD' description='NETWORK_STATUS_RESPONSE'/>
+      <value enum='BE' description='USER_REQUEST'/>
+      <value enum='BF' description='USER_RESPONSE'/>
+      <value enum='BG' description='COLLATERAL_INQUIRY_ACK'/>
+      <value enum='BH' description='CONFIRMATION_REQUEST'/>
+      <value enum='BI' description='TRADING_SESSION_LIST_REQUEST'/>
+      <value enum='BJ' description='TRADING_SESSION_LIST'/>
+      <value enum='BK' description='SECURITY_LIST_UPDATE_REPORT'/>
+      <value enum='BL' description='ADJUSTED_POSITION_REPORT'/>
+      <value enum='BM' description='ALLOCATION_INSTRUCTION_ALERT'/>
+      <value enum='BN' description='EXECUTION_ACKNOWLEDGEMENT'/>
+      <value enum='BO' description='CONTRARY_INTENTION_REPORT'/>
+      <value enum='BP' description='SECURITY_DEFINITION_UPDATE_REPORT'/>
+    </field>
+    <field name='NewSeqNo' number='36' type='SEQNUM'/>
+    <field name='PossDupFlag' number='43' type='BOOLEAN'/>
+    <field name='RefSeqNum' number='45' type='SEQNUM'/>
+    <field name='SenderCompID' number='49' type='STRING'/>
+    <field name='SenderSubID' number='50' type='STRING'/>
+    <field name='SendingTime' number='52' type='UTCTIMESTAMP'/>
+    <field name='TargetCompID' number='56' type='STRING'/>
+    <field name='TargetSubID' number='57' type='STRING'/>
+    <field name='Text' number='58' type='STRING'/>
+    <field name='Signature' number='89' type='DATA'/>
+    <field name='SecureDataLen' number='90' type='LENGTH'/>
+    <field name='SecureData' number='91' type='DATA'/>
+    <field name='SignatureLength' number='93' type='LENGTH'/>
+    <field name='RawDataLength' number='95' type='LENGTH'/>
+    <field name='RawData' number='96' type='DATA'/>
+    <field name='PossResend' number='97' type='BOOLEAN'/>
+    <field name='EncryptMethod' number='98' type='INT'>
+      <value description='NONE_OTHER' enum='0'/>
+      <value description='PKCS' enum='1'/>
+      <value description='DES' enum='2'/>
+      <value description='PKCS_DES' enum='3'/>
+      <value description='PGP_DES' enum='4'/>
+      <value description='PGP_DES_MD5' enum='5'/>
+      <value description='PEM_DES_MD5' enum='6'/>
+    </field>
+    <field name='HeartBtInt' number='108' type='INT'/>
+    <field name='TestReqID' number='112' type='STRING'/>
+    <field name='OnBehalfOfCompID' number='115' type='STRING'/>
+    <field name='OnBehalfOfSubID' number='116' type='STRING'/>
+    <field name='OrigSendingTime' number='122' type='UTCTIMESTAMP'/>
+    <field name='GapFillFlag' number='123' type='BOOLEAN'/>
+    <field name='DeliverToCompID' number='128' type='STRING'/>
+    <field name='DeliverToSubID' number='129' type='STRING'/>
+    <field name='ResetSeqNumFlag' number='141' type='BOOLEAN'/>
+    <field name='SenderLocationID' number='142' type='STRING'/>
+    <field name='TargetLocationID' number='143' type='STRING'/>
+    <field name='OnBehalfOfLocationID' number='144' type='STRING'/>
+    <field name='DeliverToLocationID' number='145' type='STRING'/>
+    <field name='XmlDataLen' number='212' type='LENGTH'/>
+    <field name='XmlData' number='213' type='DATA'/>
+    <field number='347' name='MessageEncoding' type='STRING'>
+      <value enum='ISO-2022-JP' description='ISO_2022_JP'/>
+      <value enum='EUC-JP' description='EUC_JP'/>
+      <value enum='SHIFT_JIS' description='SHIFT_JIS'/>
+      <value enum='UTF-8' description='UTF_8'/>
+    </field>
+    <field name='EncodedTextLen' number='354' type='LENGTH'/>
+    <field name='EncodedText' number='355' type='DATA'/>
+    <field name='LastMsgSeqNumProcessed' number='369' type='SEQNUM'/>
+    <field name='RefTagID' number='371' type='INT'/>
+    <field name='RefMsgType' number='372' type='STRING'/>
+    <field name='SessionRejectReason' number='373' type='INT'>
+      <value description='INVALID_TAG_NUMBER' enum='0'/>
+      <value description='REQUIRED_TAG_MISSING' enum='1'/>
+      <value description='SENDINGTIME_ACCURACY_PROBLEM' enum='10'/>
+      <value description='INVALID_MSGTYPE' enum='11'/>
+      <value description='XML_VALIDATION_ERROR' enum='12'/>
+      <value description='TAG_APPEARS_MORE_THAN_ONCE' enum='13'/>
+      <value description='TAG_SPECIFIED_OUT_OF_REQUIRED_ORDER' enum='14'/>
+      <value description='REPEATING_GROUP_FIELDS_OUT_OF_ORDER' enum='15'/>
+      <value description='INCORRECT_NUMINGROUP_COUNT_FOR_REPEATING_GROUP' enum='16'/>
+      <value description='NON_DATA_VALUE_INCLUDES_FIELD_DELIMITER' enum='17'/>
+      <value description='TAG_NOT_DEFINED_FOR_THIS_MESSAGE_TYPE' enum='2'/>
+      <value description='UNDEFINED_TAG' enum='3'/>
+      <value description='TAG_SPECIFIED_WITHOUT_A_VALUE' enum='4'/>
+      <value description='VALUE_IS_INCORRECT' enum='5'/>
+      <value description='INCORRECT_DATA_FORMAT_FOR_VALUE' enum='6'/>
+      <value description='DECRYPTION_PROBLEM' enum='7'/>
+      <value description='SIGNATURE_PROBLEM' enum='8'/>
+      <value description='COMPID_PROBLEM' enum='9'/>
+      <value description='OTHER' enum='99'/>
+    </field>
+    <field name='MaxMessageSize' number='383' type='LENGTH'/>
+    <field name='NoMsgTypes' number='384' type='NUMINGROUP'/>
+    <field name='MsgDirection' number='385' type='CHAR'>
+      <value description='RECEIVE' enum='R'/>
+      <value description='SEND' enum='S'/>
+    </field>
+    <field name='TestMessageIndicator' number='464' type='BOOLEAN'/>
+    <field name='Username' number='553' type='STRING'/>
+    <field name='Password' number='554' type='STRING'/>
+    <field name='NoHops' number='627' type='NUMINGROUP'/>
+    <field name='HopCompID' number='628' type='STRING'/>
+    <field name='HopSendingTime' number='629' type='UTCTIMESTAMP'/>
+    <field name='HopRefID' number='630' type='SEQNUM'/>
+    <field name='NextExpectedMsgSeqNum' number='789' type='SEQNUM'/>
+    <field name='ApplVerID' number='1128' type='STRING'>
+      <value description='FIX27' enum='0'/>
+      <value description='FIX30' enum='1'/>
+      <value description='FIX40' enum='2'/>
+      <value description='FIX41' enum='3'/>
+      <value description='FIX42' enum='4'/>
+      <value description='FIX43' enum='5'/>
+      <value description='FIX44' enum='6'/>
+      <value description='FIX50' enum='7'/>
+      <value description='FIX50SP1' enum='8'/>
+      <value description='FIX50SP2' enum='9'/>
+    </field>
+    <field name='CstmApplVerID' number='1129' type='STRING'/>
+    <field name='RefApplVerID' number='1130' type='STRING'/>
+    <field name='RefCstmApplVerID' number='1131' type='STRING'/>
+    <field name='DefaultApplVerID' number='1137' type='STRING'/>
+  </fields>
+</fix>

src/lib/CMakeLists.txt

@@ -142,4 +142,4 @@ if (WIN32)
   include(${CMAKE_SOURCE_DIR}/tools/vs_filters.cmake)
 endif()
 
- 
+ 

src/lib/config/defaults/fix.conf

@@ -0,0 +1,8 @@
+
+Fix {
+   value {
+      enable_acceptor: true
+      allow_orders: true
+      fix_config_file: 'spark_fix.cfg'
+   }
+}

src/lib/config/protos/fix.proto

@@ -0,0 +1,9 @@
+syntax='proto2';
+
+package bts.config;
+
+message Fix {
+  optional bool enable_acceptor = 5 [default = false];
+  optional bool allow_orders = 10 [default = false];
+  optional string fix_config_file = 20;  
+}

src/lib/logging/logging.h

@@ -46,6 +46,7 @@ constexpr log::Subsystem DataFlow   {Latency.ordinal+1     };
 constexpr log::Subsystem Plugin     {DataFlow.ordinal+1    };
 constexpr log::Subsystem Sdk        {Plugin.ordinal+1      };
 constexpr log::Subsystem Http       {Sdk.ordinal+1   };
+constexpr log::Subsystem Fix        {Http.ordinal+1   };
 
 struct LoggerHandle {
    LoggerHandle(LoggerHandle const&) = delete;

src/lib/md/HandleIndex.h

@@ -0,0 +1,110 @@
+#pragma once
+#ifndef _WIN32
+
+#include "lib/domain_model/Security.h"
+#include "lib/md/MDConsumerHandle.h"
+#include "lib/md/MDClient.h"
+#include "lib/md/ExchangeOrderKey.h"
+
+#include "lib/utils/LockBox.h"
+
+#include <tuple>
+#include <vector>
+#include <unordered_map>
+#include <optional>
+#include <functional>
+
+
+namespace bts { 
+namespace md { 
+   
+security_key default_key(const MDConsumerHandle& h) 
+{ 
+   auto&& key = h.key();
+   return key; 
+}
+
+std::string desc_key(const MDConsumerHandle& h) 
+{ 
+   auto&& sec = h.get_normalized_security();
+   auto&& desc = securities::descriptor(sec);
+   return desc;
+}
+
+template<auto Key_Func>
+class HandleIndex 
+{
+   MDClient& _client;
+   int _sub;
+   std::optional<MDConsumer> _consumer;
+
+public:
+   typedef decltype( Key_Func(std::declval<MDConsumerHandle>()) ) KeyType;
+   utils::LockBox<std::unordered_map<KeyType,MDConsumerHandle>> handle_index;
+   utils::LockBox<std::unordered_map<KeyType,SecurityPtr>> security_index;
+   
+   
+   HandleIndex(md::MDClient& client) : 
+      _client(client),
+      _sub(0),
+      _consumer(std::nullopt),
+      handle_index(),
+      security_index()
+   {
+      _sub = _client.on_consumer().subscribe([=](const MDConsumer& c) { on_consumer(c); });
+      on_consumer( _client.current_consumer() );
+   }
+   virtual ~HandleIndex() 
+   { 
+      _client.on_consumer().unsubscribe(_sub); 
+   }   
+
+private:
+   void on_consumer(const MDConsumer& c) 
+   {
+      MDConsumer temp(c);
+      if (temp.all_heartbeats_ok()) 
+      {
+         auto existing = _consumer ? _consumer->id() : 0;
+         LOG(md,Info, "Updating HandleIndex MDConsumer. Old {} new {}", existing, temp.id());
+         // clear the index
+         handle_index.lock([](auto& index) { index.clear(); });
+         security_index.lock([](auto& index) { index.clear(); });
+         // Swap to new consumer
+         if (_consumer) 
+         {
+            _consumer->swap(temp);
+         }
+         else 
+         { 
+            _consumer = temp; 
+         }
+         // Subscribe to on_security
+         auto id = _consumer->id();
+         _consumer->on_security([this,id](const SecurityPtr& sec, MDConsumerHandle handle) 
+         {
+            if (_consumer->id() == id) 
+            {
+               handle_index.lock([this, handle](auto& index) 
+               {
+                  auto key = Key_Func(handle);
+                  index[ key ] = handle;
+               });
+               security_index.lock([this, handle, &sec](auto& index) 
+               {
+                  auto key = Key_Func(handle);
+                  index[ key ] = sec;
+               });               
+            }
+         });
+      }
+   }
+};
+
+typedef HandleIndex<default_key> KeyHandleIndex;
+typedef HandleIndex<desc_key> DescHandleIndex;
+
+}}
+
+
+#endif

src/lib/md/MBOServiceServer.cpp

@@ -8,6 +8,8 @@
 #include "MDClient.h"
 #include "ExchangeOrderKey.h"
 #include "MBOProcessor.h"
+#include "MDClient.h"
+#include "HandleIndex.h"
 
 #include "lib/utils/LockBox.h"
 
@@ -21,55 +23,6 @@ using namespace bts::api::orderman;
 namespace bts { 
 namespace md { 
 
-//
-// Simple class to handle MD recovery and maintain an index of SecurityKey=>MDConsumerHandle
-
-class HandleIndex {
-   MDClient& _client;
-   int _sub;
-   std::optional<MDConsumer> _consumer;
-
-public:
-   utils::LockBox<std::unordered_map<SecurityKey,MDConsumerHandle>> index;
-
-   HandleIndex(md::MDClient& client): 
-      _client(client),
-      _sub(0),
-      _consumer(std::nullopt),
-      index() {
-         _sub = _client.on_consumer().subscribe([=](const MDConsumer& c) { on_consumer(c); });
-         on_consumer(_client.current_consumer());
-      }
-
-   ~HandleIndex() { _client.on_consumer().unsubscribe(_sub); }
-
-
-private:
-   void on_consumer(const MDConsumer& c) {
-      MDConsumer temp(c);
-      if (temp.all_heartbeats_ok()) {
-         auto existing = _consumer ? _consumer->id() : 0;
-         LOG(md,Info, "Updateing MBOService MDConsumer. Old {} new {}", existing, temp.id());
-         // clear the index
-         index.lock([](auto& index) { index.clear(); });
-         // Swap to new consumer
-         if (_consumer) {
-            _consumer->swap(temp);
-         }
-         else { _consumer = temp; }
-         // Subscribe to on_security
-         auto id = _consumer->id();
-         _consumer->on_security([this,id](const SecurityPtr&, MDConsumerHandle handle) {
-            if (_consumer->id() == id) {
-               index.lock([handle](auto& index) {
-                  index[SecurityKey(handle.key())] = handle;
-               });
-            }
-         });
-      }
-   }
-};
-
 class ActiveOrder {
    SecurityKey _security;
    SparkOrderKey _id;
@@ -111,7 +64,7 @@ struct MBOServiceImpl {
    MBOServiceImpl(
       api::ServiceContext& ctx,
       utils::Dispatcher& d,
-      md::MDClient& c,
+      MDClient& c,
       MBOServiceBase::PiqPublisher&& pub
       ):
       dispatcher(d),
@@ -124,10 +77,10 @@ struct MBOServiceImpl {
    {}
 
    utils::Dispatcher& dispatcher;
-   md::MDClient& client;
+   MDClient& client;
    OrderService orders;
 
-   HandleIndex handle_index;
+   KeyHandleIndex handle_index;
    MBOServiceBase::PiqPublisher publish;
    utils::DispatcherTimer timer;
 
@@ -162,10 +115,10 @@ std::optional<uint32_t> search_orders(const ExchangeOrderKey oid, const std::vec
    return std::nullopt;
 }
 
-bool update_position(const HandleIndex& handles, ActiveOrder& order) {
-   const auto& index = handles.index;
+bool update_position(const KeyHandleIndex& handles, ActiveOrder& order) {
+   const auto& index = handles.handle_index;
    auto handle = index.lock([id=order.security_id()](const auto& index) {
-      auto iter = index.find(id);
+      auto iter = index.find(id.value());
       return iter != index.end() ? iter->second : MDConsumerHandle {};
    });
 
@@ -300,8 +253,8 @@ MBOServiceServer::~MBOServiceServer() { }
 void MBOServiceServer::get_orders_for_security(const MBOSecurityQuery& request, const api::Response<PositionData>& reply) {
    PositionData response;
    response.set_security_id(request.security_id());
-   auto handle = _me->handle_index.index.lock([id=request.security_id()](const auto& index) {
-      auto iter = index.find(SecurityKey(id));
+   auto handle = _me->handle_index.handle_index.lock([id=request.security_id()](const auto& index) {
+      auto iter = index.find(id);
       return iter != index.end() ? iter->second : MDConsumerHandle {};
    });
 

src/server/sparkd/CMakeLists.txt

@@ -18,6 +18,11 @@ target_include_directories( sparkd PUBLIC ${CMAKE_SOURCE_DIR}/src ${CMAKE_BINARY
 
 set_source_files_properties(exchange_sim/ExchangeSim.cpp PROPERTIES COMPILE_FLAGS --std=c++14)
 set_source_files_properties(exchange_sim/ExchangeSimApplication.cpp PROPERTIES COMPILE_FLAGS --std=c++14)
+set_source_files_properties(fix/FixInit.cpp PROPERTIES COMPILE_FLAGS --std=c++14)
+set_source_files_properties(fix/FixRouter.cpp PROPERTIES COMPILE_FLAGS --std=c++14)
+set_source_files_properties(fix/SessionBase.cpp PROPERTIES COMPILE_FLAGS --std=c++14)
+set_source_files_properties(fix/OrderSession.cpp PROPERTIES COMPILE_FLAGS --std=c++14)
+set_source_files_properties(fix/DropCopySession.cpp PROPERTIES COMPILE_FLAGS --std=c++14)
 
 # linking
 target_link_libraries( sparkd

src/server/sparkd/cmds/Run.cpp

@@ -4,6 +4,7 @@
 #include "lib/api/public/ServiceContext.h"
 #include "lib/config/config.h"
 #include "lib/config/protos/Ports.pb.h"
+#include "lib/config/protos/fix.pb.h"
 #include "lib/config/protos/quickbus_cfg.pb.h"
 #include "lib/logging/logging.h"
 #include "lib/os/os.h"
@@ -37,12 +38,14 @@
 #include "server/sparkd/support/ShellLatencyServer.h"
 #include "server/sparkd/user/AdminServiceServer.h"
 #include "server/sparkd/user/AuthServiceServer.h"
+#include "server/sparkd/fix/FixInit.h"
 #include "server/sparkd/subprocess/SubProcessRunner.h"
 
 #include "lib/orderman/orders/algo/algo_orders/ProRataAlgo.h"
 #include "lib/orderman/orders/algo/algo_orders/ScratchAlgo.h"
 
 #include <thread>
+#include <algorithm>
 
 namespace bts {
 namespace cmd {
@@ -103,6 +106,12 @@ int Run::execute(std::vector<std::string> const &) {
    position::MarginServiceServer margin_service(sc, mdclient);
    metrics::ShellLatencyServer shell_latency_service(
        sc, stats, utils::Dispatcher::background());
+       
+   if(config::get<config::Fix>().enable_acceptor())
+   {
+      threading::make_thread("SparkFix", [&sc, &mdclient]() { fix::FixInit::start_acceptor(sc, mdclient); })
+       .detach();      
+   }
 
    auto bg_health =
        std::make_shared<metrics::IntCounterMetric>("spark_background_thread");

src/server/sparkd/cmds/RunFix.cpp

@@ -0,0 +1,41 @@
+#include "RunFix.h"
+#include "server/sparkd/fix/FixInit.h"
+
+#include "lib/api/public/ServiceContext.h"
+#include "lib/config/config.h"
+#include "lib/config/protos/Ports.pb.h"
+#include "lib/config/protos/quickbus_cfg.pb.h"
+#include "lib/logging/logging.h"
+#include "lib/os/os.h"
+#include "lib/quickbus/quickbus.h"
+#include "lib/utils/Dispatcher.h"
+#include "lib/utils/thread_manager.h"
+
+#include "lib/config/protos/toggles.pb.h"
+#include "lib/md/SyntheticSecurityService.h"
+#include "lib/md/MDClient.h"
+
+
+namespace bts {
+namespace cmd {
+
+int RunFix::execute(std::vector<std::string> const &)
+{
+   config::QuickbusNodeCfg qb_cfg;
+   auto &ports = config::get<config::Ports>();
+   qb_cfg.set_my_port(ports.qbus_port());
+   qbus::Quickbus quickbus(qb_cfg,
+                           qbus::Quickbus::ThreadOptions::deferred_start);
+   api::ServiceContext sc(&quickbus);
+
+   api::synthetic::SyntheticSecurityService synthetic_service(sc);
+   md::MDClient mdclient(&utils::Dispatcher::background(), &synthetic_service);
+   
+   threading::make_thread("SparkFix", [&sc, &mdclient]() { fix::FixInit::start_acceptor(sc, mdclient); })
+      .detach();      
+   return 0;
+}
+
+std::string RunFix::help () {return "\t run fix acceptor";}
+
+}}

src/server/sparkd/cmds/RunFix.h

@@ -0,0 +1,17 @@
+#pragma once
+
+#include "ICmd.h"
+
+namespace bts {
+namespace cmd {
+
+class RunFix : public ICmd 
+{
+public:
+   int execute(std::vector<std::string> const &args);
+   std::string help ();
+};
+
+}}
+
+

src/server/sparkd/fix/AdminModelWrapper.cpp

@@ -0,0 +1,38 @@
+#include "AdminModelWrapper.h"
+
+#include "lib/api/service_helpers/AdminServiceUtils.h"
+
+#include <string>
+
+namespace bts
+{
+
+AdminModelWrapper::AdminModelWrapper(const bts::api::admin::AdminData& data, const std::string& user_name) : 
+   data(data),
+   _user_name(user_name),
+   _allowed_accounts()
+{
+   auto user = bts::admin::AdminServiceUtils::find_user(data, _user_name);
+   if(user && user->has_user_data() && user->user_data().has_account_permissions())
+   {
+      for(const auto& a : user->user_data().account_permissions().account_permissions())
+      {
+         auto account = bts::admin::AdminServiceUtils::find_account(data, a.first);
+         if(account)
+         {
+            if(a.second.has_trading_permission() && a.second.trading_permission().has_permissions())
+               _allowed_accounts[account->name()] = 0;
+            if(a.second.has_admin_permission() && a.second.admin_permission().has_permissions())
+               _allowed_accounts[account->name()] = 0;
+         }
+      }
+   }
+}
+
+bool AdminModelWrapper::can_view_account(const std::string& account)
+{
+   auto it = _allowed_accounts.find(account);
+   return it != _allowed_accounts.end() || _user_name == "bts";
+}
+   
+}

src/server/sparkd/fix/AdminModelWrapper.h

@@ -0,0 +1,28 @@
+#pragma once
+
+#include "lib/api/services/AdminService.pb.h"
+#include "lib/api/services/AdminService.client.pb.h"
+
+#include <string>
+#include <unordered_map>
+
+namespace bts
+{
+   
+//see AdminModelWrapper.cs
+   
+namespace api { namespace admin { class AdminData; } }
+class AdminModelWrapper
+{
+public:
+   AdminModelWrapper(const bts::api::admin::AdminData& data, const std::string& user_name);
+   
+   bool can_view_account(const std::string& account);
+   const bts::api::admin::AdminData data;
+   
+private:
+   std::string _user_name;
+   std::unordered_map<std::string, int> _allowed_accounts;   
+};
+   
+}

src/server/sparkd/fix/DropCopySession.cpp

@@ -0,0 +1,374 @@
+#include "DropCopySession.h"
+#include "FixRouter.h"
+
+#include "lib/api/service_helpers/AdminServiceUtils.h"
+#include "lib/domain_model/Security.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/bts_assert.h"
+#include "lib/utils/helper_macros.h"
+
+#include <quickfix/fix44/OrderStatusRequest.h>
+#include <quickfix/fix44/SecurityDefinitionRequest.h>
+#include <quickfix/fix44/SecurityDefinition.h>
+#include <quickfix/fix44/ExecutionReport.h>
+
+#include <boost/date_time/posix_time/posix_time.hpp>
+#include <google/protobuf/timestamp.pb.h>
+#include <google/protobuf/util/time_util.h>
+
+namespace bts {
+namespace fix {
+   
+struct DropCopySession::PImpl
+{
+   rxcpp::observable<bts::api::orderman::OrdersUpdate> filtered_orders;
+   rxcpp::observable<bts::api::orderman::FillsUpdate> filtered_fills;
+   PImpl()
+   {
+   }
+};
+
+DropCopySession::DropCopySession(bts::api::ServiceContext& sc, IFixRouter& rt, const FIX::SessionID& id) : 
+   SessionBase(sc, rt, id),   
+   _orderservice( sc.locate<api::orderman::OrderService>() ),
+   _order_cache(),
+   me(new PImpl())
+{
+}
+
+DropCopySession::~DropCopySession()
+{
+}
+
+void DropCopySession::onLogon(const FIX::SessionID& sessionID)
+{
+   bts_assert(sessionID == _sess);
+   LOG(Fix, Info, "Logged on {}", sessionID.toString());
+   subscribe_fills_and_orders(sessionID);   
+}
+   
+void DropCopySession::onLogout(const FIX::SessionID& sessionID)
+{
+   me->filtered_orders.finally([] () {} );
+   me->filtered_fills.finally([] () {} );
+   
+   bts_assert(sessionID == _sess);
+   LOG(Fix, Info, "Logged out {}", sessionID.toString());
+}
+
+void DropCopySession::fromApp(const FIX::Message &message,const FIX::SessionID &sessionID) 
+                              throw(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType)
+{
+   bts_assert(sessionID == _sess);
+   auto mt = message.getHeader().getField(FIX::FIELD::MsgType);
+   if(mt == FIX44::OrderStatusRequest::MsgType() ||
+      mt == FIX44::SecurityDefinitionRequest::MsgType()
+      )
+   {
+      LOG(Fix, Info, "DC IN: {}", message.toString() );
+      crack(message, sessionID);
+   }
+   else
+   {
+      LOG(Fix, Info, "DC IN: Unsupported message in {}", mt );
+      throw FIX::UnsupportedMessageType(mt);
+   }
+}
+                
+void DropCopySession::onMessage(const FIX44::OrderStatusRequest& req, const FIX::SessionID& s)
+{
+   uint oid = atoi(req.getField(FIX::FIELD::OrderID).c_str());
+   _order_cache.lock([&] (auto& order_cache)
+   {
+      auto it = order_cache.find(oid);
+      if(it != order_cache.end())
+      {
+         auto&& ostat = build_order_status(s, *it->second);
+         ostat.setField(FIX::FIELD::OrdStatusReqID, req.getField(FIX::FIELD::OrdStatusReqID));
+         _router.send(ostat, s);
+      }
+   });
+}
+   
+void DropCopySession::onMessage(const FIX44::SecurityDefinitionRequest& req, const FIX::SessionID& s)
+{
+   if (req.getField(FIX::FIELD::SecurityRequestType) == std::to_string(FIX::SecurityRequestType_ALL_SECURITIES))
+   {
+      auto&& secs = _router.get_securities();
+      // if (req.isSetField(FIX::FIELD::Symbol))
+      //    secs = secs.Where(x => x.Symbol.ToLower() == req.Symbol.getValue().ToLower());
+      // if (req.IsSetSecurityType())
+      //    secs = secs.Where(x => security_types_equal(x.security_type(), req.SecurityType));
+      // if (req.IsSetSecurityExchange())
+      //    secs = secs.Where(x => exchanges_equal(x.Exchange, req.SecurityExchange));
+
+      auto def = FIX44::SecurityDefinition(FIX::SecurityReqID(req.getField(FIX::FIELD::SecurityReqID)),
+                                           FIX::SecurityResponseID(""),
+                                           FIX::SecurityResponseType(FIX::SecurityResponseType_LIST_OF_SECURITIES_RETURNED_PER_REQUEST));
+      _router.send(def, s);
+   }
+   else
+      throw FIX::IncorrectTagValue(FIX::FIELD::SecurityRequestType);
+}
+
+
+
+void DropCopySession::subscribe_fills_and_orders(const FIX::SessionID sessionID)
+{
+   //TODO put this in our C++ pipe and smoke it
+   //var on_orders = _orderservice.Value.subscribei_orders().Naggle(interval, scheduler).PermissionFilter(_adminobservable).Table().Cache();
+   //var on_fills = _orderservice.Value.subscribei_fills().Naggle(interval, scheduler).PermissionFilter(_adminobservable).Table().Cache();
+   
+   me->filtered_orders = _adminobservable.combine_latest(_orderservice.subscribe_orders())
+               .map( [] (auto& tuple) -> auto
+               {
+                  std::shared_ptr<AdminModelWrapper> admin = std::get<0>(tuple);
+                  auto&& update = std::get<1>(tuple);
+                  
+                  auto all = update.all();
+                  all.erase(std::remove_if(all.begin(), all.end(), 
+                            [admin](auto& i) -> bool { return !admin->can_view_account(i->def().account()); }), all.end());
+                            
+                  auto added = update.added();
+                  added.erase(std::remove_if(added.begin(), added.end(), 
+                            [admin](auto& i) -> bool { return !admin->can_view_account(i->def().account()); }), added.end());
+                            
+                  auto changed = update.changed();
+                  changed.erase(std::remove_if(changed.begin(), changed.end(), 
+                            [admin](auto& i) -> bool  { return !admin->can_view_account(i.current()->def().account()); }), changed.end());
+                            
+                  auto removed = update.removed();
+                  removed.erase(std::remove_if(removed.begin(), removed.end(), 
+                            [admin](auto& i) -> bool { return !admin->can_view_account(i->def().account()); }), removed.end());
+                            
+                  bts::api::orderman::OrdersUpdate newupdate(all, added, changed, removed);
+                  return newupdate;
+               });
+               //.buffer_with_time( std::chrono::milliseconds(500) );              
+      
+   me->filtered_orders.subscribe([this, sessionID](const auto& update) 
+      {
+         // for(auto& update : updatevec)
+         // {
+            for(auto& order : update.added())
+            {
+               auto&& ostat = build_order_status(sessionID, *order);
+               _order_cache.lock( [&order] (auto& order_cache)
+               {
+                  order_cache[order->key()] = order;
+               });
+               _router.send(ostat, sessionID);
+            }
+            for(auto& order : update.changed())
+            {
+               auto&& ostat = build_order_status(sessionID, *order.current(), true);
+               _router.send(ostat, sessionID);
+            }            
+         // }         
+      });     
+      
+   me->filtered_fills = _adminobservable.combine_latest(_orderservice.subscribe_fills())
+               .map( [] (auto& tuple) -> auto
+               {
+                  std::shared_ptr<AdminModelWrapper> admin = std::get<0>(tuple);
+                  auto&& update = std::get<1>(tuple);
+                  
+                  auto all = update.all();
+                  all.erase(std::remove_if(all.begin(), all.end(), 
+                            [admin](auto& i) -> bool { return !admin->can_view_account(i->account()); }), all.end());
+                            
+                  auto added = update.added();
+                  added.erase(std::remove_if(added.begin(), added.end(), 
+                            [admin](auto& i) -> bool { return !admin->can_view_account(i->account()); }), added.end());
+                            
+                  auto changed = update.changed();
+                  changed.erase(std::remove_if(changed.begin(), changed.end(), 
+                            [admin](auto& i) -> bool  { return !admin->can_view_account(i.current()->account()); }), changed.end());
+                            
+                  auto removed = update.removed();
+                  removed.erase(std::remove_if(removed.begin(), removed.end(), 
+                            [admin](auto& i) -> bool { return !admin->can_view_account(i->account()); }), removed.end());
+                            
+                  bts::api::orderman::FillsUpdate newupdate(all, added, changed, removed);
+                  return newupdate;
+               });
+               //.buffer_with_time( std::chrono::milliseconds(500) );        
+               
+   me->filtered_fills.subscribe([this, sessionID](const auto& update) 
+      {
+         // for(auto& update : updatevec)
+         // {
+            for(auto& fill : update.added())
+            {
+               auto&& fi = build_fill(sessionID, *fill);
+               _router.send(fi, sessionID);
+            }
+            for(auto& fill : update.changed())
+            {
+               auto&& fi = build_fill(sessionID, *fill.current(), true);
+               _router.send(fi, sessionID);
+            }            
+         // }         
+      });                   
+}
+   
+void DropCopySession::process_order_state(const bts::api::orderman::OrderState& state, uint& filled, uint& leaves, double& avgprx,
+                                          FIX::OrdStatus& fstatus, bts::api::orderman::NativeOrderState& native, const bts::api::orderman::Fill* fill)
+{
+   UNUSED(fill);
+   filled = state.filled_quantity();
+   leaves = state.quantity() - filled;
+   avgprx = state.avg_price();;
+   fstatus = translate_status(state, &native);        
+}
+
+md::SecurityPtr DropCopySession::resolve_execution_report_security(md::SecurityPtr sec, FIX44::ExecutionReport& report)
+{
+   if(!sec)
+      return nullptr;      
+   auto sectype = bts::admin::AdminServiceUtils::security_type(*sec);
+   report.setField(FIX::FIELD::SecurityExchange, convert_exchange(sec->exchange()).getString());   
+   report.setField(FIX::FIELD::SecurityType, convert_security_type(sectype).getString());
+   if(sec->has_glbx() || sec->has_ice())
+      report.setField(FIX::FIELD::SecurityDesc, securities::descriptor(*sec));
+      
+   if(sectype == bts::api::SecurityType::SECURITYTYPE_FUTURE)
+   {
+      auto dt = securities::expiration(*sec);
+      report.setField(FIX::FIELD::MaturityMonthYear, boost::gregorian::to_iso_string(dt));
+   }
+   else if(sectype == bts::api::SecurityType::SECURITYTYPE_SPREAD)
+   {
+      //TODO this is not quite right for spreads of spreads            
+      auto dt = securities::expiration(*sec); //smallest
+      report.setField(FIX::FIELD::MaturityMonthYear, boost::gregorian::to_iso_string(dt));
+   }
+   else
+      throw FIX::UnsupportedMessageType();
+   return sec;
+}
+
+FIX44::ExecutionReport DropCopySession::build_fill(const FIX::SessionID& sess, 
+                                                   const bts::api::orderman::Fill& fill, bool change)
+{
+   UNUSED(sess);
+   auto exec = FIX::ExecType(FIX::ExecType_PARTIAL_FILL);
+   FIX::OrdStatus status;
+   uint filled = 0; uint leaves = 0; double prx = 0.0;
+   api::orderman::NativeOrderState native;
+   
+   _order_cache.lock([&] (auto& order_cache)
+   {
+      auto orderit = order_cache.find(fill.order_key());
+      if(orderit != order_cache.end())
+      {
+         const api::orderman::OrderRecord& order = *orderit->second;
+         process_order_state(order.state(), filled, leaves, prx, status, native);
+         if( ((double)order.state().quantity()) == fill.last_shares())
+            exec = FIX::ExecType(FIX::ExecType_FILL);
+      }
+   });
+   if (change)
+      exec = FIX::ExecType(FIX::ExecType_TRADE_CORRECT);
+
+   auto sec = _router.lookup(fill.security_key());
+   FIX44::ExecutionReport report (
+         FIX::OrderID(std::to_string(fill.order_key())),
+         FIX::ExecID(fill.fill_key()),
+         exec,
+         status,
+         FIX::Side(fill.side() == bts::api::SIDE_BUY ? FIX::Side_BUY : FIX::Side_SELL),
+         FIX::LeavesQty(leaves),
+         FIX::CumQty(filled),
+         FIX::AvgPx(prx)
+         );         
+         
+   if(sec)
+      report.setField(FIX::FIELD::Symbol, sec->symbol());
+   report.setField(FIX::FIELD::Account, FIX::Account(fill.account()).getString() );
+   report.setField(FIX::FIELD::LastQty, FIX::LastQty(fill.last_shares()).getString() );
+   report.setField(FIX::FIELD::LastPx, FIX::LastPx(fill.last_price()).getString() );
+   
+   auto ts = fill.has_timestamp() ? fill.timestamp() : google::protobuf::Timestamp();
+   //report.setField(FIX::FIELD::TransactTime, FIX::TransactTime(ts, true).getString());
+   //report.setField(FIX::FIELD::TradeDate, FIX::TradeDate(ts.ToString("yyyyMMdd"));
+   report.setField(FIX::FIELD::TransactTime, google::protobuf::util::TimeUtil::ToString(ts));
+   report.setField(FIX::FIELD::TradeDate, google::protobuf::util::TimeUtil::ToString(ts));
+   
+   sec = resolve_execution_report_security(sec, report);
+   
+   if (native.exchange_order_id() != "")
+      report.setField(FIX::FIELD::SecondaryOrderID, FIX::SecondaryOrderID(native.exchange_order_id()).getString());
+
+   if (sec && (bts::admin::AdminServiceUtils::security_type(*sec) == bts::api::SECURITYTYPE_SPREAD || 
+              bts::admin::AdminServiceUtils::security_type(*sec) == bts::api::SECURITYTYPE_SYNTHETIC) )
+   {
+      if (fill.fill_kind() == bts::api::orderman::Fill::FILL_KIND_LEG)
+         report.setField(FIX::FIELD::MultiLegReportingType, FIX::MultiLegReportingType('2').getString());
+      else
+         report.setField(FIX::FIELD::MultiLegReportingType, FIX::MultiLegReportingType('3').getString());
+   }
+   return report;
+
+}
+   
+FIX44::ExecutionReport DropCopySession::build_order_status(const FIX::SessionID& sess, 
+                                                           const bts::api::orderman::OrderRecord& order, bool change )
+{
+   UNUSED(sess);
+   UNUSED(change);
+   auto exec = FIX::ExecType(FIX::ExecType_NEW);
+   _order_cache.lock( [&exec, &order] (auto& order_cache)
+   {
+      auto it = order_cache.find(order.key());
+      if(it != order_cache.end())
+         exec = FIX::ExecType(FIX::ExecType_ORDER_STATUS);
+   });
+      
+   FIX::OrdStatus status;
+   uint filled = 0; uint leaves = 0; double prx = 0.0;  
+   api::orderman::NativeOrderState native;
+   process_order_state(order.state(), filled, leaves, prx, status, native);
+
+   auto sec = _router.lookup(order.def().security_key());
+   FIX44::ExecutionReport report(
+         FIX::OrderID(std::to_string(order.key())),
+         FIX::ExecID("0"),
+         exec,
+         status,         
+         FIX::Side(order.def().side() == bts::api::SIDE_BUY ? FIX::Side_BUY : FIX::Side_SELL),
+         FIX::LeavesQty(leaves),
+         FIX::CumQty(filled),
+         FIX::AvgPx(prx));
+
+   if(sec)
+      report.setField(FIX::Symbol(sec->symbol()));
+   report.setField(FIX::FIELD::Account, FIX::Account(order.def().account()).getString() );
+   report.setField(FIX::FIELD::OrderQty, FIX::OrderQty(order.state().quantity()).getString() );
+   report.setField(FIX::FIELD::Price, FIX::Price(order.state().price()).getString() );
+   report.setField(FIX::FIELD::TimeInForce, FIX::TimeInForce((char)order.def().time_in_force()).getString() );
+   auto ts = order.state().last_change();
+   report.setField(FIX::FIELD::TransactTime, google::protobuf::util::TimeUtil::ToString(ts));
+   
+   if(order.state().last_msg() != "")
+      report.setField(FIX::FIELD::Text, FIX::Text(order.state().last_msg()));
+   sec = resolve_execution_report_security(sec, report);
+   if (native.exchange_order_id() != "")
+   {
+      report.setField(FIX::FIELD::OrdType, FIX::OrdType((char)native.native_type()).getString());;        
+      report.setField(FIX::FIELD::SecondaryOrderID, FIX::SecondaryOrderID(native.exchange_order_id()).getString());;        
+   }
+   //TODO Big race here, we need a correlation id of some sort
+   _fix_clorderids.lock([&order, &report] (auto& fix_clorderids)
+   {
+      auto fixit = fix_clorderids.find(order.key());
+      if(fixit != fix_clorderids.end())   
+         report.setField(FIX::FIELD::ClOrdID, FIX::ClOrdID(fixit->second).getString());
+   });
+   return report;         
+
+}
+
+
+
+}}

src/server/sparkd/fix/DropCopySession.h

@@ -0,0 +1,61 @@
+#pragma once
+
+#include "SessionBase.h"
+#include "lib/md/SecurityPtr.h"
+
+#include <quickfix/Message.h>
+#include <quickfix/SessionID.h>
+
+#include <string>
+#include <iostream>
+#include <fstream>
+#include <memory>
+#include <unordered_map>
+
+namespace FIX44
+{
+   class OrderStatusRequest;
+   class SecurityDefinitionRequest;
+}
+
+namespace bts {
+
+namespace fix {
+
+class DropCopySession : public SessionBase
+{
+public:
+   DropCopySession(bts::api::ServiceContext&, IFixRouter&, const FIX::SessionID&);
+   virtual ~DropCopySession();
+   
+   void onLogon(const FIX::SessionID&);
+   void onLogout(const FIX::SessionID&);
+
+   void fromApp(const FIX::Message &message,const FIX::SessionID &sessionID) 
+                throw(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType);
+                
+   void onMessage(const FIX44::OrderStatusRequest& m, const FIX::SessionID& s);    
+   void onMessage(const FIX44::SecurityDefinitionRequest& m, const FIX::SessionID& s);    
+
+protected:   
+   virtual void subscribe_fills_and_orders(const FIX::SessionID sessionID);
+   virtual void process_order_state(const bts::api::orderman::OrderState& state, uint& filled, uint& leaves, double& avgprx,
+                                    FIX::OrdStatus& fstatus, bts::api::orderman::NativeOrderState& native, const bts::api::orderman::Fill* fill = nullptr);
+
+   md::SecurityPtr resolve_execution_report_security(md::SecurityPtr sec, FIX44::ExecutionReport& report);
+   virtual FIX44::ExecutionReport build_fill(const FIX::SessionID& sess, const bts::api::orderman::Fill& fill, bool change = false);
+   virtual FIX44::ExecutionReport build_order_status(const FIX::SessionID& sess, const bts::api::orderman::OrderRecord& order, bool change = false);
+   
+protected:   
+   bts::api::orderman::OrderService _orderservice;
+   
+   utils::LockBox< std::unordered_map<uint, std::shared_ptr<const bts::api::orderman::OrderRecord>> > _order_cache;
+   utils::LockBox< std::unordered_map<uint, std::string> > _fix_clorderids;
+   
+private:
+   struct PImpl;
+   std::shared_ptr<PImpl> me;
+
+};         
+         
+}}

src/server/sparkd/fix/FixInit.cpp

@@ -0,0 +1,74 @@
+#include "FixInit.h"
+
+#include "IFixSession.h"
+#include "FixRouter.h"
+#include "OrderSession.h"
+#include "DropCopySession.h"
+#include "lib/config/config.h"
+#include "lib/config/protos/fix.pb.h"
+#include "lib/os/os.h"
+#include "lib/utils/bts_assert.h"
+#include "lib/utils/bts_chrono.h"
+#include "lib/config/protos/logging.pb.h"
+#include "lib/utils/file_utils.h"
+#include "lib/utils/helper_macros.h"
+
+#include <quickfix/FileStore.h>
+#include <quickfix/SocketAcceptor.h>
+#include <quickfix/SessionSettings.h>
+#include <quickfix/FileLog.h>
+#include <quickfix/Message.h>
+#include <quickfix/SessionID.h>
+
+#include <boost/algorithm/string/replace.hpp>
+ 
+#include <string>
+#include <iostream>
+#include <fstream>
+#include <memory>
+
+namespace bts
+{
+namespace fix
+{
+   
+boost::filesystem::path fix_path ()
+{
+   auto store_root = os::bts_data_path();
+   std::string base_path = store_root; 
+   boost::filesystem::path result = utils::normalize_data_path (base_path);
+   result /= "fix";
+   return result;
+}
+         
+int FixInit::start_acceptor(bts::api::ServiceContext& sc, md::MDClient& md)
+{   
+   std::string settings_file = os::sparkd_wd() + "/data_files/fix/";
+   settings_file += config::get<config::Fix>().fix_config_file();
+   bool orders_allowed = config::get<config::Fix>().allow_orders();
+   
+   std::ifstream str{settings_file};
+   FIX::SessionSettings settings( str );
+   auto sess = settings.getSessions();
+   int scount = sess.size();
+   UNUSED(scount);
+   
+   FixRouter application(md, [&sc, orders_allowed](IFixRouter& router, const auto& id) 
+   {      
+      if(orders_allowed)
+         return std::shared_ptr<IFixSession>(new OrderSession(sc, router, id));
+      else
+         return std::shared_ptr<IFixSession>(new DropCopySession(sc, router, id));
+   }); 
+   FIX::FileStoreFactory storeFactory( settings );
+   FIX::FileLogFactory logFactory( settings );
+   FIX::SocketAcceptor acceptor( application, storeFactory, settings, logFactory );
+
+   acceptor.start();
+   utils::Dispatcher::current().run();
+   acceptor.stop();
+   return 0;
+}  
+   
+}
+}

src/server/sparkd/fix/FixInit.h

@@ -0,0 +1,16 @@
+#pragma once
+
+#include <string>
+
+namespace bts {
+namespace api { class ServiceContext; }
+namespace md { class MDClient; }
+namespace fix {
+   
+class FixInit 
+{
+public:
+   static int start_acceptor(bts::api::ServiceContext& sc, md::MDClient& md);
+};
+
+}}

src/server/sparkd/fix/FixRouter.cpp

@@ -0,0 +1,240 @@
+#include "FixRouter.h"
+
+#include "IFixSession.h"
+#include "SecurityIndex.h"
+#include "lib/md/MDConsumerHandle.h"
+#include "lib/utils/LockBox.h"
+
+#include <quickfix/FileStore.h>
+#include <quickfix/SocketAcceptor.h>
+#include <quickfix/SessionSettings.h>
+#include <quickfix/FileLog.h>
+#include <quickfix/Message.h>
+#include <quickfix/SessionID.h>
+#include <quickfix/fix44/Reject.h>
+#include <quickfix/fix44/BusinessMessageReject.h>
+
+#include <boost/algorithm/string/replace.hpp>
+ 
+#include <string>
+#include <iostream>
+#include <fstream>
+#include <memory>
+
+namespace bts
+{
+namespace fix
+{
+      
+struct FixRouter::PImpl
+{
+   utils::LockBox< boost::container::flat_map< FIX::SessionID, std::shared_ptr<IFixSession> > > sessions;
+   SecurityIndex index;
+   std::mutex lock;
+   Factory factory;
+   
+   PImpl(md::MDClient& md, Factory factory) : 
+      sessions(),
+      index(md),
+      lock(),
+      factory(factory)
+   {
+   }   
+};
+   
+FixRouter::FixRouter(md::MDClient& md, Factory factory) : me(new PImpl(md, factory))
+{
+}
+   
+FixRouter::~FixRouter()
+{
+}
+   
+void FixRouter::send(FIX::Message& mess, const FIX::SessionID& sess) 
+{
+   try
+   {
+      std::lock_guard<std::mutex> guard(me->lock);   
+      FIX::Session::sendToTarget(mess, sess);
+   }
+   catch(FIX::SessionNotFound)
+   {
+      bts_assert_msg(false, "session not found " + sess.toString());
+   }
+   catch(std::exception ex)
+   {
+      LOG(Fix, Error, "session error {} {}", sess.toString(), std::string(ex.what()));
+   }
+}
+   
+void FixRouter::send_session_reject(const FIX::SessionID& sess, const std::string& text, const FIX::Message* refmessage)
+{
+   FIX44::Reject rej;
+   if(refmessage && refmessage->getHeader().isSetField(FIX::FIELD::MsgSeqNum))
+      rej.setField(FIX::FIELD::RefSeqNum, refmessage->getHeader().getField(FIX::FIELD::MsgSeqNum));
+   rej.setField(FIX::FIELD::Text, text);
+   send(rej, sess);
+}
+   
+void FixRouter::send_biz_reject(const FIX::SessionID sess, const std::string& text, const FIX::Message& refmessage, int reason_code) 
+{
+   FIX44::BusinessMessageReject rej;
+   rej.setField(FIX::FIELD::RefMsgType, refmessage.getHeader().getField(FIX::FIELD::MsgType));
+   rej.setField(FIX::FIELD::RefSeqNum, refmessage.getHeader().getField(FIX::FIELD::MsgSeqNum));
+   rej.setField(FIX::FIELD::BusinessRejectReason, std::to_string(reason_code));
+   rej.setField(FIX::FIELD::Text, text);
+   send(rej, sess);
+}
+   
+void FixRouter::fromAdmin(const FIX::Message& message, const FIX::SessionID& sessionID) 
+                          throw(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::RejectLogon)
+{
+   try
+   {
+      session(sessionID).fromAdmin(message, sessionID);
+   }
+   catch (FIX::FieldNotFound ex) { handle_field_not_found(ex, sessionID, message); }
+   catch (FIX::UnsupportedMessageType) { throw; }
+   catch (FIX::IncorrectTagValue) { throw; }
+   catch (std::exception ex) { handle_session_exception(ex, sessionID, &message); }   
+}
+   
+void FixRouter::fromApp(const FIX::Message &message,const FIX::SessionID &sessionID) 
+                        throw(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType)
+{
+   try
+   {
+      session(sessionID).fromApp(message, sessionID);
+   }
+   catch (FIX::FieldNotFound ex) { handle_field_not_found(ex, sessionID, message); }
+   catch (FIX::UnsupportedMessageType) { throw; }
+   catch (FIX::IncorrectTagValue) { throw; }
+   catch (std::exception ex) { handle_session_exception(ex, sessionID, &message); }   
+}
+                     
+void FixRouter::onCreate(const FIX::SessionID& sessionID)
+{
+   try
+   {
+      session(sessionID).onCreate(sessionID);    
+   }
+   catch(std::exception ex)
+   {
+      handle_session_exception(ex, sessionID);
+   }       
+}
+   
+void FixRouter::onLogon(const FIX::SessionID& sessionID)
+{
+   try
+   {
+      session(sessionID).onLogon(sessionID);
+   }
+   catch (std::exception ex)
+   {
+      handle_session_exception(ex, sessionID);
+   }   
+}
+   
+void FixRouter::onLogout(const FIX::SessionID& sessionID)
+{
+   try
+   {
+      //TODO stackoverflow?
+      session(sessionID).onLogout(sessionID);
+   }
+   catch (std::exception ex)
+   {
+      handle_session_exception(ex, sessionID);
+   }   
+}
+   
+void FixRouter::toAdmin(FIX::Message& message, const FIX::SessionID& sessionID)
+{
+   try
+   {
+      session(sessionID).toAdmin(message, sessionID);
+   }
+   catch (FIX::FieldNotFound ex) { handle_field_not_found(ex, sessionID, message); }
+   catch (FIX::UnsupportedMessageType) {  throw; }
+   catch (FIX::IncorrectTagValue) { throw; }
+   catch (std::exception ex) { handle_session_exception(ex, sessionID, &message); }   
+}
+   
+void FixRouter::toApp(FIX::Message& message, const FIX::SessionID& sessionID) throw(FIX::DoNotSend)
+{
+   try
+   {
+      session(sessionID).toApp(message, sessionID);
+   }
+   catch (FIX::FieldNotFound ex) { handle_field_not_found(ex, sessionID, message); }
+   catch (FIX::UnsupportedMessageType) { throw FIX::DoNotSend() ; }
+   catch (FIX::IncorrectTagValue) { throw FIX::DoNotSend() ; }
+   catch (std::exception ex) { handle_session_exception(ex, sessionID, &message); }   
+}
+
+IFixSession& FixRouter::session(const FIX::SessionID& sid)
+{
+   auto ptr = me->sessions.lock([this, sid] (auto& sessions)
+   {
+      auto it = sessions.find(sid);
+      if(it == sessions.end())
+      {
+         auto ptr = me->factory(*this, sid);
+         sessions[sid] = ptr;
+         return ptr;
+      }   
+      else
+         return it->second;      
+   });
+   return *ptr;
+}
+   
+void FixRouter::handle_session_exception(const std::exception& ex, const FIX::SessionID& sessionID, const FIX::Message* message)
+{
+   std::string msg = "==ERROR in session " + sessionID.toString() + "== ";
+   msg +=  (message ? message->getHeader().getField(FIX::FIELD::MsgType) : "");
+   msg +=  std::string(ex.what());
+
+   LOG(Fix, Error, msg.c_str());
+   //now shut this fucker down
+   try
+   {
+      auto sess = FIX::Session::lookupSession(sessionID);
+      if(sess != nullptr)
+         sess->disconnect();
+   }
+   catch(...) { }   
+}
+
+void FixRouter::handle_field_not_found(const FIX::FieldNotFound& ex, const FIX::SessionID& sess, const FIX::Message& message)
+{
+   if(ex.field > 0)
+   {
+      std::string text = "Field " + std::to_string(ex.field) + " was expected but not found";
+      send_biz_reject(sess, text, message, 5 );
+   }
+   //QF does not include the tag number....
+   //throw new FieldNotFoundException($"Field {ex.Field} was expected but not found", ex);
+   else
+      throw ex;  
+}
+
+std::vector<md::SecurityPtr> FixRouter::get_securities()
+{
+   return me->index.get_securities();
+}
+   
+const md::SecurityPtr FixRouter::lookup(md::security_key key) 
+{
+   return me->index.lookup(key);
+}
+   
+const md::SecurityPtr FixRouter::lookup(const std::string& desc)
+{
+   return me->index.lookup(desc);
+}
+
+     
+}
+}

src/server/sparkd/fix/FixRouter.h

@@ -0,0 +1,61 @@
+#pragma once
+
+#include "IFixSession.h"
+#include "IFixRouter.h"
+
+#include <quickfix/MessageCracker.h>
+#include <quickfix/Message.h>
+#include <quickfix/SessionID.h>
+
+#include <boost/container/flat_map.hpp>   
+#include <string>
+#include <memory>
+#include <mutex>
+#include <functional>
+
+
+namespace bts {
+namespace api { class ServiceContext; }
+namespace md { class MDClient; }
+namespace fix {
+   
+class FixRouter : public IFixSession, public FIX::MessageCracker, public IFixRouter
+{
+public:
+   typedef std::function< std::shared_ptr<IFixSession> (IFixRouter&, const FIX::SessionID&) > Factory;
+   
+   FixRouter(md::MDClient&, Factory factory);
+   ~FixRouter();
+   
+   void send(FIX::Message&, const FIX::SessionID&) override;
+   void send_session_reject(const FIX::SessionID& sess, const std::string& text, const FIX::Message* refmessage = nullptr) override;
+   void send_biz_reject(const FIX::SessionID sess, const std::string& text, const FIX::Message& refmessage, int reason_code = 0) override;
+   
+public:
+   void fromAdmin(const FIX::Message& message, const FIX::SessionID& sessionID) 
+                  throw(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::RejectLogon);
+   void fromApp(const FIX::Message &message,const FIX::SessionID &sessionID) 
+                throw(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType);
+   void toAdmin(FIX::Message&, const FIX::SessionID&);
+   void toApp(FIX::Message&, const FIX::SessionID&) throw(FIX::DoNotSend);                
+                     
+   void onCreate(const FIX::SessionID&);
+   void onLogon(const FIX::SessionID&);
+   void onLogout(const FIX::SessionID&);
+
+private:
+   IFixSession& session(const FIX::SessionID&);
+   void handle_session_exception(const std::exception& ex, const FIX::SessionID& sessionID, const FIX::Message* message = nullptr);
+   void handle_field_not_found(const FIX::FieldNotFound& ex, const FIX::SessionID& sess, const FIX::Message& message);
+
+private:
+   std::vector<md::SecurityPtr> get_securities() override;
+   const md::SecurityPtr lookup(md::security_key key) override;
+   const md::SecurityPtr lookup(const std::string& desc) override;
+   
+private:
+   struct PImpl;
+   std::unique_ptr<PImpl> me;
+};
+
+}}

src/server/sparkd/fix/IFixRouter.h

@@ -0,0 +1,37 @@
+#pragma once
+
+#include "lib/md/common.h"
+#include "lib/md/SecurityPtr.h"
+
+#include <vector>
+#include <memory>
+
+namespace FIX
+{
+   class Message;
+   class SessionID;
+}
+
+namespace bts
+{
+
+namespace api
+{
+   class Security;
+}
+   
+namespace fix
+{   
+   class IFixRouter
+   {
+   public:
+      virtual std::vector<md::SecurityPtr> get_securities() = 0;
+      virtual const md::SecurityPtr lookup(md::security_key key) = 0;
+      virtual const md::SecurityPtr lookup(const std::string& desc) = 0;
+
+      virtual void send(FIX::Message& mess, const FIX::SessionID& sess) = 0;
+      virtual void send_session_reject(const FIX::SessionID& sess, const std::string& text, const FIX::Message* refmessage = nullptr) = 0;
+      virtual void send_biz_reject(const FIX::SessionID sess, const std::string& text, const FIX::Message& refmessage, int reason_code = 0) = 0;
+   };
+}
+}

src/server/sparkd/fix/IFixSession.h

@@ -0,0 +1,18 @@
+#pragma once
+
+#include "lib/utils/warn_ctrl.h"
+GCC_DIAG_OFF("-Woverloaded-virtual")
+GCC_DIAG_OFF("-Wdeprecated")
+GCC_DIAG_OFF("-Wignored-qualifiers")
+//GCC_DIAG_OFF("-Wunused-parameter")
+
+#include <quickfix/Application.h>
+
+namespace bts {
+namespace fix {
+      
+class IFixSession : public FIX::Application
+{
+};
+   
+}}

src/server/sparkd/fix/OrderSession.cpp

@@ -0,0 +1,226 @@
+#include "OrderSession.h"
+#include "FixRouter.h"
+
+#include "lib/api/service_helpers/AdminServiceUtils.h"
+#include "lib/domain_model/Security.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/bts_assert.h"
+#include "lib/utils/helper_macros.h"
+
+#include <quickfix/fix44/OrderCancelRequest.h>
+#include <quickfix/fix44/OrderCancelReplaceRequest.h>
+#include <quickfix/fix44/NewOrderSingle.h>
+#include <quickfix/fix44/OrderStatusRequest.h>
+#include <quickfix/fix44/SecurityDefinitionRequest.h>
+#include <quickfix/fix44/SecurityDefinition.h>
+#include <quickfix/fix44/ExecutionReport.h>
+
+#include <boost/date_time/posix_time/posix_time.hpp>
+#include <google/protobuf/timestamp.pb.h>
+#include <google/protobuf/util/time_util.h>
+
+/*
+order for 4 lot CLZ9 
+8=FIX.4.4
9=156
35=D
49=SPARKFIX
56=CLIENT1
34=1
50=30737
97=Y
52=20000809-20:20:50
11=90001008
1=ACC A
21=2
55=SIM:CLZ9
54=1
38=4
40=2
59=0
44=50
60=20000809-18:20:32
207=SIM
10=045
   
+
+order for 4 lot CLZ9-CLH0
+8=FIX.4.4
9=156
35=D
49=SPARKFIX
56=CLIENT1
34=1
50=30737
97=Y
52=20000809-20:20:50
11=90001008
1=ACC A
21=2
55=SIM:CLZ9-CLH0
54=1
38=4
40=2
59=0
44=74
60=20000809-18:20:32
207=SIM
10=045

+*/
+
+namespace bts {
+namespace fix {
+
+OrderSession::OrderSession(bts::api::ServiceContext& sc, IFixRouter& rt, const FIX::SessionID& id) : 
+   DropCopySession(sc, rt, id)
+{
+}
+   
+OrderSession::~OrderSession()
+{
+}
+
+void OrderSession::fromApp(const FIX::Message &message,const FIX::SessionID &sessionID) 
+                           throw(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType)
+{
+   bts_assert_msg(sessionID == _sess, "invalid session");
+   auto mt = message.getHeader().getField(FIX::FIELD::MsgType);
+   if(mt == FIX44::OrderStatusRequest::MsgType() ||
+      mt == FIX44::SecurityDefinitionRequest::MsgType() ||
+      mt == FIX44::NewOrderSingle::MsgType() ||
+      mt == FIX44::OrderCancelReplaceRequest::MsgType() ||
+      mt == FIX44::OrderCancelRequest::MsgType()
+   )
+   {
+      LOG(Fix, Info, "IN: {}", message.toString());
+      crack(message, sessionID);
+   }
+   else
+   {
+      LOG(Fix, Info, "UNSUPPORTED IN: {}", message.toString());
+      throw FIX::UnsupportedMessageType();
+   }      
+}
+                
+
+void OrderSession::onMessage(const FIX44::OrderCancelRequest& cancel, const FIX::SessionID& s)
+{
+   auto id = cancel.getField(FIX::FIELD::OrderID);
+   uint key = 0;
+   try
+   {
+      key = atoi(id.c_str());
+   }
+   catch(...)
+   {
+      throw FIX::IncorrectTagValue(FIX::FIELD::OrderID);
+   }
+   api::orderman::Cancel can;
+   can.set_order_key(key);
+   _orderservice.cancel_order(can, [this, s, cancel] (const auto& resp)
+   {
+      if(!resp.success() || resp.value()->error_code() != bts::api::orderman::ORDER_ERROR_OK)
+      {
+         send_cancel_reject(s, "Cancel Rejected: " + resp.value()->msg(), cancel);
+      }
+   });
+}
+   
+void OrderSession::onMessage(const FIX44::OrderCancelReplaceRequest& replace, const FIX::SessionID& s)
+{
+   auto id = replace.getField(FIX::FIELD::OrderID);
+   uint key = 0;
+   try
+   {
+      key = atoi(id.c_str());
+   }
+   catch(...) { throw FIX::IncorrectTagValue(FIX::FIELD::OrderID); }   
+   double price = 0.0;
+   try
+   {
+      price = atof(replace.getField(FIX::FIELD::Price).c_str());
+   }
+   catch(...) { throw FIX::IncorrectTagValue(FIX::FIELD::Price); }   
+   uint sz = 0;
+   try
+   {
+      sz = (uint) abs( atoi (replace.getField(FIX::FIELD::OrderQty).c_str()) );
+   }
+   catch(...) { throw FIX::IncorrectTagValue(FIX::FIELD::OrderQty); }   
+   api::orderman::Update upd;
+   upd.set_order_key(key);
+   upd.set_price(price);
+   upd.set_quantity(sz);
+   _orderservice.update_order(upd, [this, s, replace] (const auto& resp)
+   {
+      if(!resp.success() || resp.value()->error_code() != bts::api::orderman::ORDER_ERROR_OK)
+      {
+         send_cancel_reject(s, "Cancel Rejected: " + resp.value()->msg(), replace);
+      }
+   });
+}
+   
+void OrderSession::onMessage(const FIX44::NewOrderSingle& create, const FIX::SessionID& s)
+{
+   api::Venue ven = convert_exchange(FIX::SecurityExchange(create.getField(FIX::FIELD::SecurityExchange)));
+   if (ven == bts::api::VENUE_UNSET)
+      throw FIX::IncorrectTagValue(FIX::FIELD::SecurityExchange);
+
+   auto sec = _router.lookup(create.getField(FIX::FIELD::Symbol));
+   if (!sec)
+      sec = _router.lookup(create.getField(FIX::FIELD::SecurityDesc));
+   if (!sec)
+      throw FIX::IncorrectTagValue(FIX::FIELD::SecurityDesc);
+
+   api::orderman::OrderDefinition def;   
+   try
+   {
+      std::string manual = "Y";
+      if(create.isSetField(FIX::FIELD::ManualOrderIndicator))
+         manual = create.getField(FIX::FIELD::ManualOrderIndicator);
+      def.set_account(create.getField(FIX::FIELD::Account));
+      def.set_account_id(lookup_account(def.account()));
+      def.set_security_key(sec->id());
+      def.set_side(create.getField(FIX::FIELD::Side) == "1" ? api::SIDE_BUY : api::SIDE_SELL);
+      def.set_user(_user_name);
+      def.set_user_id(lookup_user(_user_name));
+      def.set_manual_order_indicator(manual == "Y" ?  bts::api::orderman::MANUAL_ORDER_INDICATOR_YES : bts::api::orderman::MANUAL_ORDER_INDICATOR_NO);
+      def.set_time_in_force( (api::orderman::TimeInForce) int(create.getField(FIX::FIELD::TimeInForce)[0] ) );
+   }
+   catch(...)
+   {
+      throw FIX::IncorrectTagValue(FIX::FIELD::TimeInForce);
+   }
+
+   bool price_req = false;
+   set_ordertype(def, create, price_req);
+   api::orderman::Create cr;
+   cr.mutable_new_order()->CopyFrom(def);
+   try
+   {
+      if (price_req)
+         cr.set_price( atof( create.getField(FIX::FIELD::Price).c_str() ) );;
+   }
+   catch(...)
+   {
+      throw FIX::IncorrectTagValue(FIX::FIELD::Price);
+   }
+   try
+   {
+      cr.set_quantity( (uint) abs(atoi( create.getField(FIX::FIELD::OrderQty).c_str() )) );
+   }
+   catch(...)
+   {
+      throw FIX::IncorrectTagValue(FIX::FIELD::OrderQty);
+   }
+   _orderservice.create_order(cr, [this, s, create] (const auto& resp)
+   {
+      if(!resp.success() || resp.value()->error_code() != bts::api::orderman::ORDER_ERROR_OK)
+      {
+         _router.send_biz_reject(s, "Order Rejected: " + resp.value()->msg(), create);
+      }      
+   });
+}
+   
+void OrderSession::set_ordertype(api::orderman::OrderDefinition& def, const FIX44::NewOrderSingle& req, bool& price_req)
+{
+   price_req = false;
+   auto ot = req.getField(FIX::FIELD::OrdType);
+   if(ot == "1")
+   {
+      def.mutable_custom_def()->mutable_market();
+   }
+   else if(ot == "2")
+   {
+      def.mutable_custom_def()->mutable_limit();
+      price_req = true;
+   }
+   else if(ot == "3")
+   {
+      auto s = def.mutable_custom_def()->mutable_stop();
+      double stoppx = 0.0;
+      try
+      {
+         stoppx = atof(req.getField(FIX::FIELD::StopPx).c_str());
+      }
+      catch(...) { throw FIX::IncorrectTagValue(FIX::FIELD::StopPx); }        
+      s->set_stop_price(stoppx);
+   }
+   else if(ot == "4")
+   {
+      price_req = true;
+      auto s = def.mutable_custom_def()->mutable_stop_limit();
+      double stoppx = 0.0;
+      try
+      {
+         stoppx = atof(req.getField(FIX::FIELD::StopPx).c_str());
+      }
+      catch(...) { throw FIX::IncorrectTagValue(FIX::FIELD::StopPx); }        
+      s->set_stop_price(stoppx);      
+   }
+   else
+      throw FIX::IncorrectTagValue(FIX::FIELD::OrdType);
+}
+
+
+}}
+

src/server/sparkd/fix/OrderSession.h

@@ -0,0 +1,27 @@
+#pragma once
+
+#include "DropCopySession.h"
+
+namespace bts {
+namespace fix {
+
+class OrderSession : public DropCopySession 
+{
+public:
+   OrderSession(bts::api::ServiceContext&, IFixRouter&, const FIX::SessionID&);
+   virtual ~OrderSession();
+
+   void fromApp(const FIX::Message &message,const FIX::SessionID &sessionID) 
+                throw(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::UnsupportedMessageType);
+                
+   void onMessage(const FIX44::OrderCancelRequest& cancel, const FIX::SessionID& s);    
+   void onMessage(const FIX44::OrderCancelReplaceRequest& replace, const FIX::SessionID& s);    
+   void onMessage(const FIX44::NewOrderSingle& create, const FIX::SessionID& s);    
+   
+protected:
+   void set_ordertype(api::orderman::OrderDefinition& def, const FIX44::NewOrderSingle& req, bool& price_req);
+                   
+};
+
+}}
+

src/server/sparkd/fix/SecurityIndex.cpp

@@ -0,0 +1,61 @@
+#include "SecurityIndex.h"
+
+#include "lib/md/HandleIndex.h"
+
+
+namespace bts {
+namespace fix {
+   
+struct SecurityIndex::PImpl 
+{
+   md::DescHandleIndex index;
+   md::KeyHandleIndex key_index;
+   PImpl(md::MDClient& md) : index(md), key_index(md)
+   {
+   }
+};
+   
+   
+SecurityIndex::SecurityIndex(md::MDClient& md) : me(new PImpl(md))
+{
+}
+
+std::vector<md::SecurityPtr> SecurityIndex::get_securities()
+{
+   std::vector<md::SecurityPtr> list;
+   me->index.security_index.lock([&list] (const auto& secmap)
+   {
+      for(const auto& s : secmap)
+         list.push_back(s.second);      
+   });
+   return list;
+}
+   
+
+md::SecurityPtr SecurityIndex::lookup(const std::string& desc)
+{
+   md::SecurityPtr ptr = nullptr;
+   me->index.security_index.lock([&ptr, &desc] (const auto& secmap)
+   {
+      auto it = secmap.find(desc);
+      if(it != secmap.end())
+         ptr = it->second;
+   });
+   return ptr;
+}
+
+md::SecurityPtr SecurityIndex::lookup(md::security_key key)
+{
+   md::SecurityPtr ptr = nullptr;
+   me->key_index.security_index.lock([&ptr, &key] (const auto& secmap)
+   {
+      auto it = secmap.find( key );
+      if(it != secmap.end())
+         ptr = it->second;
+   });
+   return ptr;   
+}
+   
+}}
+
+   

src/server/sparkd/fix/SecurityIndex.h

@@ -0,0 +1,29 @@
+#pragma once
+
+#include "lib/md/common.h"
+#include "lib/md/SecurityPtr.h"
+#include <string>
+#include <vector>
+#include <memory>
+
+namespace bts {
+namespace api { class Security; }
+namespace md { class MDClient; }
+namespace fix {
+   
+//A Wrapper for HandleIndex that compiles in c++14 (because of Fix dynamic exception stuff)
+class SecurityIndex
+{
+public:
+   SecurityIndex(md::MDClient&);
+   
+   std::vector<md::SecurityPtr> get_securities();
+   md::SecurityPtr lookup(const std::string& desc);
+   md::SecurityPtr lookup(md::security_key key);
+
+private:
+   struct PImpl;
+   std::shared_ptr<PImpl> me;
+};
+   
+}}

src/server/sparkd/fix/SessionBase.cpp

@@ -0,0 +1,335 @@
+#include "SessionBase.h"
+
+#include "IFixRouter.h"
+
+#include "lib/api/public/ServiceContext.h"
+#include "lib/api/service_helpers/AdminServiceUtils.h"
+#include "lib/utils/AuthToken.h"
+#include "lib/logging/logging.h"
+#include "lib/utils/bts_assert.h"
+#include "lib/utils/helper_macros.h"
+
+#include <quickfix/Message.h>
+#include <quickfix/FixValues.h>
+#include <quickfix/SessionID.h>
+#include <quickfix/fix44/Logon.h>
+#include <quickfix/fix44/Heartbeat.h>
+#include <quickfix/fix44/BusinessMessageReject.h>
+#include <quickfix/fix44/OrderCancelReject.h>
+#include <quickfix/fix44/OrderCancelRequest.h>
+#include <quickfix/fix44/OrderCancelReplaceRequest.h>
+#include <boost/container/flat_map.hpp>   
+
+
+namespace bts {
+namespace fix {
+   
+SessionBase::SessionBase(bts::api::ServiceContext& sc, IFixRouter& router, const FIX::SessionID& sess) : 
+   _authservice( sc.locate<bts::api::user::AuthService>() ),
+   _adminservice( sc.locate<bts::api::admin::AdminService>() ),
+   _router(router),
+   _sess(sess),   
+   
+   _admin_data(),   
+   _user_name(),
+   _token()
+{
+   _adminobservable = _adminservice.subscribe_admin_data() |
+      rxcpp::operators::map(       
+           [this](const auto& update) 
+           {
+              bts_assert(update.all().size() == 1);
+              
+              auto adata = _admin_data.lock( [&update] (auto& ad) 
+              { 
+                 ad = *update.all()[0]; 
+                 return ad;
+              } );              
+              return std::shared_ptr<AdminModelWrapper>(new AdminModelWrapper(adata, _user_name) ); //TODO RACE
+           });               
+
+}
+   
+SessionBase::~SessionBase()
+{
+}
+
+   
+void SessionBase::fromAdmin(const FIX::Message& message, const FIX::SessionID& sessionID) 
+                            throw(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::RejectLogon)
+{
+   bts_assert_msg(sessionID == _sess, "invalid session");
+   
+   FIX::MsgType type;
+   message.getHeader().getField(type);
+   if(type.getString() == FIX44::Logon::MsgType())
+   {
+      try
+      {
+         LOG(Fix, Info, "LOGIN: {}",  message.toString() );      
+         FIX44::Logon msg = (FIX44::Logon)message;
+         if(msg.isSetField(FIX::FIELD::Username))
+            _user_name = msg.getField(FIX::FIELD::Username);
+         std::string pass;
+         if(msg.isSetField(FIX::FIELD::Password))
+            pass = msg.getField(FIX::FIELD::Password);
+            
+         bts::api::user::AuthenticateLoginRequest auth;
+         auth.set_login(_user_name);
+         auth.set_password(pass);
+         _authservice.authenticate_login(auth, [this, sessionID] (auto resp)
+         {
+            if (resp.success() && resp.value()->is_valid())
+            {
+               _token = resp.value()->token();
+            }
+            else
+            {
+               //I can't just throw here cuz c++
+               std::string reason = "LOGIN FAILED " + resp.value()->reason();
+               LOG(Fix, Error, reason.c_str());
+               try
+               {
+                  auto sess = FIX::Session::lookupSession(sessionID);
+                  if(sess != nullptr)
+                     sess->disconnect();               
+               }
+               catch(...) {}
+            }
+         });
+      }
+      catch (std::exception ex)
+      {
+         throw FIX::RejectLogon("Logon rejected " + std::string(ex.what()));
+      }
+   }
+   else if(type.getString() == FIX44::Heartbeat::MsgType())
+   {
+      FIX44::Heartbeat hb = (FIX44::Heartbeat)message;
+      handle_heartbeat(hb, sessionID);
+   }
+   else
+   {
+      LOG(Fix, Info, "ADMININ: {}",  message.toString() );      
+   }   
+}
+
+void SessionBase::handle_heartbeat(const FIX44::Heartbeat& hb, const FIX::SessionID& sessionID)
+{
+   //TODO I'd previously sent this to the latency service when it was out of process, not sure what to do now
+   UNUSED(hb);
+   UNUSED(sessionID);   
+}
+   
+void SessionBase::toAdmin(FIX::Message& m, const FIX::SessionID& sessionID)
+{
+   bts_assert_msg(sessionID == _sess, "invalid session");
+   LOG(Fix, Info, "ADMINOUT: {}", m.toString());
+}
+   
+void SessionBase::toApp(FIX::Message& m, const FIX::SessionID&) throw(FIX::DoNotSend)
+{
+   LOG(Fix, Info, "OUT: {}", m.toString());
+}
+
+void SessionBase::onCreate(const FIX::SessionID& s)
+{
+   LOG(Fix, Info, "CREATE: {}", s.toString());
+}
+
+void SessionBase::onMessage(const FIX44::BusinessMessageReject& n, const FIX::SessionID& s)
+{
+   LOG(Fix, Warn, "{} Business Reject: {} {}", s.toString(), n.getField(FIX::FIELD::BusinessRejectReason), n.getField(FIX::FIELD::Text) );
+}
+   
+void SessionBase::send_cancel_reject(const FIX::SessionID& sess, const std::string& text, const FIX::Message& refmessage)
+{
+   FIX44::OrderCancelReject rej;
+   if(refmessage.isSetField(FIX::FIELD::ClOrdID))
+      rej.setField(FIX::FIELD::ClOrdID, refmessage.getField(FIX::FIELD::ClOrdID));
+   if(refmessage.isSetField(FIX::FIELD::OrigClOrdID))
+      rej.setField(FIX::FIELD::OrigClOrdID, refmessage.getField(FIX::FIELD::OrigClOrdID));
+   if(refmessage.isSetField(FIX::FIELD::OrderID))
+      rej.setField(FIX::FIELD::OrderID, refmessage.getField(FIX::FIELD::OrderID));
+   rej.setField(FIX::FIELD::Text, text);         
+   
+   if(refmessage.getField(FIX::FIELD::MsgType) == FIX44::OrderCancelRequest::MsgType())
+   {         
+      rej.setField(FIX::FIELD::CxlRejResponseTo, "1");      
+   }
+   else if(refmessage.getField(FIX::FIELD::MsgType) == FIX44::OrderCancelReplaceRequest::MsgType())
+   {
+      rej.setField(FIX::FIELD::CxlRejResponseTo, "2");
+   }
+   _router.send(rej, sess);
+}
+   
+bool SessionBase::security_types_equal(bts::api::SecurityType btstype, FIX::SecurityType fixtype)
+{
+   return btstype == convert_security_type(fixtype);
+}
+
+FIX::SecurityType SessionBase::convert_security_type(bts::api::SecurityType btstype)
+{
+   switch (btstype)
+   {
+      case bts::api::SecurityType::SECURITYTYPE_FUTURE:
+         return FIX::SecurityType("FUT");
+      case bts::api::SecurityType::SECURITYTYPE_OPTION:
+         return FIX::SecurityType("OPT");
+      case bts::api::SecurityType::SECURITYTYPE_SPREAD:
+         return FIX::SecurityType("MLEG");
+      case bts::api::SecurityType::SECURITYTYPE_STOCK:
+         return FIX::SecurityType("CS");
+      case bts::api::SecurityType::SECURITYTYPE_SYNTHETIC:
+         return FIX::SecurityType("SYNTH");
+      default:
+         return FIX::SecurityType();
+   }   
+}
+
+bts::api::SecurityType SessionBase::convert_security_type(FIX::SecurityType fixtype)
+{
+   std::string s = std::string(fixtype.getValue());
+   if(s == "FUT")
+      return bts::api::SecurityType::SECURITYTYPE_FUTURE;
+   else if(s == "OPT")
+      return bts::api::SecurityType::SECURITYTYPE_OPTION;
+   else if(s == "MLEG")
+      return bts::api::SecurityType::SECURITYTYPE_SPREAD;
+   else if(s == "CS")
+      return bts::api::SecurityType::SECURITYTYPE_STOCK;
+   else if("SYNTH" == s)
+      return bts::api::SecurityType::SECURITYTYPE_SYNTHETIC;
+   else
+      return bts::api::SecurityType::SECURITYTYPE_UNSET;
+}
+   
+bool SessionBase::exchanges_equal(bts::api::Venue btstype, FIX::SecurityExchange fixtype)
+{
+   return btstype == convert_exchange(fixtype);
+}
+   
+FIX::SecurityExchange SessionBase::convert_exchange(bts::api::Venue btstype)
+{
+   switch (btstype)
+   {
+      case bts::api::Venue::VENUE_BTS:
+         return FIX::SecurityExchange("BTS");
+      case bts::api::Venue::VENUE_CBOE:
+         return FIX::SecurityExchange("XCBO");
+      case bts::api::Venue::VENUE_CBOECFE:
+         return FIX::SecurityExchange("XCBF");
+      case bts::api::Venue::VENUE_GLBX:
+         return FIX::SecurityExchange("XCME");
+      case bts::api::Venue::VENUE_ICE:
+         return FIX::SecurityExchange("IFUS");
+      case bts::api::Venue::VENUE_SIM:
+         return FIX::SecurityExchange("SIM");
+      default:
+         return FIX::SecurityExchange();
+   }      
+}
+
+bts::api::Venue SessionBase::convert_exchange(FIX::SecurityExchange fixtype)
+{
+   std::string s = std::string(fixtype.getValue());
+   if("BTS" == s)
+      return bts::api::Venue::VENUE_BTS;
+   else if("XCBO" == s)
+      return bts::api::Venue::VENUE_CBOE;
+   else if("XCBF" == s)
+      return bts::api::Venue::VENUE_CBOECFE;
+   else if("GLBX" == s || "XCME" == s || "XCBT" == s || "XCEC" == s || "XNYM" == s)
+      return bts::api::Venue::VENUE_GLBX;
+   else if("IEPA" == s || "IFUS" == s || "IFEU" == s || "IFLL" == s || "IFCA" == s)
+      return bts::api::Venue::VENUE_ICE;
+   else if("SIM" == s)
+      return bts::api::Venue::VENUE_SIM;
+   else
+      return bts::api::Venue::VENUE_UNSET;
+}
+   
+FIX::OrdStatus SessionBase::translate_status(const bts::api::orderman::OrderState& state, 
+                                             bts::api::orderman::NativeOrderState* native)
+{
+   native->Clear();
+   if (state.has_market() && state.market().has_native_state() && state.market().native_state().native_status() != bts::api::orderman::NativeOrderStatus::NATIVE_ORDER_STATUS_UNACKNOWLEDGED)
+   {
+      *native = state.market().native_state();
+      return FIX::OrdStatus((char)native->native_status());
+   }
+   else if (state.has_limit() && state.limit().has_native_state() && state.limit().native_state().native_status() != bts::api::orderman::NativeOrderStatus::NATIVE_ORDER_STATUS_UNACKNOWLEDGED)
+   {
+      *native = state.limit().native_state();
+      return FIX::OrdStatus((char)native->native_status());
+   }
+   else if (state.has_stop() && state.stop().has_native_state() && state.stop().native_state().native_status() != bts::api::orderman::NativeOrderStatus::NATIVE_ORDER_STATUS_UNACKNOWLEDGED)
+   {
+      *native = state.stop().native_state();
+      return FIX::OrdStatus((char)native->native_status());
+   }
+   else if (state.has_stop_limit() && state.stop_limit().has_native_state() && state.stop_limit().native_state().native_status() != bts::api::orderman::NativeOrderStatus::NATIVE_ORDER_STATUS_UNACKNOWLEDGED)
+   {
+      *native = state.stop_limit().native_state();
+      return FIX::OrdStatus((char)native->native_status());
+   }
+   else
+   {
+      switch (state.status())
+      {
+         case bts::api::orderman::OrderStatus::ORDER_STATUS_CANCELED:
+            return FIX::OrdStatus(FIX::OrdStatus_CANCELED);
+         case bts::api::orderman::OrderStatus::ORDER_STATUS_COMPLETED:
+            return FIX::OrdStatus(FIX::OrdStatus_FILLED);
+         case bts::api::orderman::OrderStatus::ORDER_STATUS_DISCONNECTED:
+            return FIX::OrdStatus(FIX::OrdStatus_STOPPED);
+         case bts::api::orderman::OrderStatus::ORDER_STATUS_ERROR:
+            return FIX::OrdStatus(FIX::OrdStatus_REJECTED);
+         case bts::api::orderman::OrderStatus::ORDER_STATUS_INACTIVE:
+            return FIX::OrdStatus(FIX::OrdStatus_PENDING_NEW);
+         case bts::api::orderman::OrderStatus::ORDER_STATUS_PENDING_WORKING:
+            return FIX::OrdStatus(FIX::OrdStatus_PENDING_NEW);
+         case bts::api::orderman::OrderStatus::ORDER_STATUS_REJECTED_BY_SPARK:
+            return FIX::OrdStatus(FIX::OrdStatus_REJECTED);
+         case bts::api::orderman::OrderStatus::ORDER_STATUS_WORKING:
+            {
+               if (state.filled_quantity() < state.quantity())
+                  return FIX::OrdStatus(FIX::OrdStatus_PARTIALLY_FILLED);
+               else
+                  return FIX::OrdStatus(FIX::OrdStatus_NEW);
+            }
+         default:
+            return FIX::OrdStatus();
+      }
+   }
+}
+   
+uint SessionBase::lookup_account(const std::string& acct)
+{
+   bts::api::admin::BTSAccount* a = nullptr;
+   _admin_data.lock( [&] (auto& ad) 
+   {
+      a = admin::AdminServiceUtils::find_account(ad, acct);
+   });
+   if(a)
+      return a->id();
+   else 
+      throw FIX::IncorrectTagValue(FIX::FIELD::Account);
+}
+   
+uint SessionBase::lookup_user(const std::string& user)
+{
+   bts::api::admin::BTSUser* u = nullptr;
+   _admin_data.lock( [&] (auto& ad) 
+   {   
+      u = admin::AdminServiceUtils::find_user(ad, user);
+   });
+   if(u)
+      return u->id();
+   else 
+      throw FIX::IncorrectTagValue(FIX::FIELD::Username);   
+}
+
+   
+}}

src/server/sparkd/fix/SessionBase.h

@@ -0,0 +1,84 @@
+#pragma once
+
+#include "IFixSession.h"
+#include "AdminModelWrapper.h"
+
+#include "lib/api/public/ServiceContext.h"
+#include "lib/api/services/AuthService.pb.h"
+#include "lib/api/services/AuthService.client.pb.h"
+#include "lib/api/services/AdminService.pb.h"
+#include "lib/api/services/AdminService.client.pb.h"
+#include "lib/api/services/OrderService.pb.h"
+#include "lib/api/services/OrderService.client.pb.h"
+#include "lib/domain_model/Security.pb.h"
+#include "lib/utils/LockBox.h"
+
+#include <quickfix/MessageCracker.h>
+
+#include <string>
+#include <memory>
+#include <mutex>
+#include <functional>
+
+namespace FIX
+{
+   class Message;
+   class SessionID;
+}
+
+namespace FIX44
+{
+   class Heartbeat;
+   class BusinessMessageReject;
+}
+
+namespace bts {
+namespace fix {
+   
+class IFixRouter;
+   
+class SessionBase : public IFixSession, public FIX::MessageCracker
+{
+public:
+   SessionBase(bts::api::ServiceContext&, IFixRouter&, const FIX::SessionID&);
+   virtual ~SessionBase();
+   
+   void fromAdmin(const FIX::Message& message, const FIX::SessionID& sessionID) 
+                  throw(FIX::FieldNotFound, FIX::IncorrectDataFormat, FIX::IncorrectTagValue, FIX::RejectLogon);
+   void toAdmin(FIX::Message&, const FIX::SessionID&);
+   void toApp(FIX::Message&, const FIX::SessionID&) throw(FIX::DoNotSend);       
+   
+   void onCreate(const FIX::SessionID& s);    
+   void onMessage(const FIX44::BusinessMessageReject& n, const FIX::SessionID& s);    
+   
+protected:
+   void handle_heartbeat(const FIX44::Heartbeat& hb, const FIX::SessionID& sessionID);
+   void send_cancel_reject(const FIX::SessionID& sess, const std::string& text, const FIX::Message& refmessage);
+   
+   bool security_types_equal(bts::api::SecurityType btstype, FIX::SecurityType fixtype);
+   FIX::SecurityType convert_security_type(bts::api::SecurityType btstype);
+   bts::api::SecurityType convert_security_type(FIX::SecurityType fixtype);
+   
+   bool exchanges_equal(bts::api::Venue btstype, FIX::SecurityExchange fixtype);
+   FIX::SecurityExchange convert_exchange(bts::api::Venue btstype);
+   bts::api::Venue convert_exchange(FIX::SecurityExchange fixtype);
+   
+   FIX::OrdStatus translate_status(const bts::api::orderman::OrderState& state, 
+                                   bts::api::orderman::NativeOrderState* native);   
+   
+   uint lookup_account(const std::string& acct);
+   uint lookup_user(const std::string& user);
+     
+protected:
+   bts::api::user::AuthService _authservice;
+   bts::api::admin::AdminService _adminservice;
+   rxcpp::observable<std::shared_ptr<AdminModelWrapper>> _adminobservable;
+   IFixRouter& _router;
+   FIX::SessionID _sess;   
+   
+   utils::LockBox<bts::api::admin::AdminData> _admin_data;
+   std::string _user_name;
+   bts::api::AuthToken _token;
+};
+
+}}

src/server/sparkd/main.cpp

@@ -16,6 +16,7 @@
 #include "server/sparkd/cmds/QuickTest.h"
 #include "server/sparkd/cmds/Run.h"
 #include "server/sparkd/cmds/RunSim.h"
+#include "server/sparkd/cmds/RunFix.h"
 #include "server/sparkd/cmds/Span.h"
 #include "server/sparkd/cmds/Test.h"
 #include "server/sparkd/cmds/TestCeloxica.h"
@@ -35,6 +36,7 @@ int main(int argc, char **argv) {
    REGISTER(ConfigCheck);
    REGISTER(KeyCode);
    REGISTER(RunSim);
+   REGISTER(RunFix);
    REGISTER(Benchmark);
    REGISTER(QuickTest);
    REGISTER(AutoCert);