将消息发送到QUICKFIX N中的特定会话

Question

I've recently been given the task of making a basic trading platform for new traders. I'm connecting to a bank FIX 4.4 implementation.

The bank has specified 2 sessions. One for quote data and one for trade executions.

I'm using QuickfixN and coding in c#

I have set up my initiator session config to have both sessions in it. The port is different and the target comp ids and sender comp ids are different. I can connect to both fine. What i'm struggling with is figuring out how to send my order requests through one session and not the other.

Both sessions require FIX 4.4. By default it just uses the first session.

Answer 1

When you create the initiators, save the session objects into variables. (Perhaps via the OnCreate callback, as done here .)

Make those variables accessible to the message-sending class.

Then to send messages, just call one of:

quoteSession.send(msg)
tradeSession.send(msg)

Answer 2

Well you need to multiplex the SessionId of the session on which to send a message, and setup the message header. Something like this (in Java):

public void mySend (Message m) throws FieldNotFound 
{       
    String beginString = "FIX.4.4";
    String sender = "SENDER";
    String target = "TARGET";

    // Set the message headers
    m.getHeader().setField(new SenderCompID(sender));
    m.getHeader().setField(new TargetCompID(target));

    // Set the correct session for the initiator to send out to
    SessionID s = new SessionID(beginString, sender, target);

    // Lookup the relevant QF session
    _session = Session.lookupSession(s);

    // Send the FIX message
    try
    {
            if (_session != null)
            {
                _session.send(m);
            }
            else
            {
                log("Can't send message: FIX session not created.");
                log(" " + m.toString());
            }
    }
    catch (Exception e)
    {
            errorHandler(e);
    }
}