CINXE.COM

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src="https://camo.githubusercontent.com/39dba2c15f07695e8c61be88fb7060e53e7aec087d05b07b2f6b47a81f52d545/68747470733a2f2f63692e6170707665796f722e636f6d2f6170692f70726f6a656374732f7374617475732f3277326561673474726e696a673564333f7376673d74727565" alt="Build status" data-canonical-src="https://ci.appveyor.com/api/projects/status/2w2eag4trnijg5d3?svg=true" style="max-width: 100%;"></a> <a href="https://travis-ci.org/TimelordUK/jspurefix" rel="nofollow"><img src="https://camo.githubusercontent.com/3188881ea0171318b41b7886a0174ce232c0c9d5a0228672871140f6e2058957/68747470733a2f2f7472617669732d63692e6f72672f54696d656c6f7264554b2f6a73707572656669782e7376673f6272616e63683d6d6173746572" alt="Build Status" data-canonical-src="https://travis-ci.org/TimelordUK/jspurefix.svg?branch=master" style="max-width: 100%;"></a> <a href="https://standardjs.com" rel="nofollow"><img src="https://camo.githubusercontent.com/eec9ddc8b4c75fec16ca8907960c876e6d6c4dabcd71bbb4a8e8f9dfb23ef10d/68747470733a2f2f696d672e736869656c64732e696f2f62616467652f636f64655f7374796c652d7374616e646172642d627269676874677265656e2e737667" alt="JavaScript Style Guide" data-canonical-src="https://img.shields.io/badge/code_style-standard-brightgreen.svg" style="max-width: 100%;"></a> <ol> <li>fast 100% native clean fix engine for Node JS</li> <li>supports tls encrypted sessions over tcp</li> <li>represent data dictionary as quickfix or repo notation</li> <li>compile interface types against definitions</li> <li>ascii / fixml supported</li> <li>parses repeat groups, components and raw data fields</li> <li>views make convinient ways of accessing data</li> <li>complete trade capture sample to get started</li> <li>a skeleton example shows connection, login and session only</li> <li>parse fix logs into human readable format - JSON, tokens</li> <li>socket session management for login, heartbeat etc</li> <li>implement httpInitiator or acceptor</li> </ol> <div class="markdown-heading"><h2 class="heading-element">Typescript FIX Engine for Node JS</h2><a id="user-content-typescript-fix-engine-for-node-js" class="anchor" aria-label="Permalink: Typescript FIX Engine for Node JS" href="#typescript-fix-engine-for-node-js"></a></div> This fix engine provides a fast easy API to parse or send finacial protocol FIX messages. It is implemented entirely in typescript and runs in Node JS. Messages of any complexity can be handled providing they are backed by a suitable data dictionary. All structures within a message will be resolved for easy access - groups of components containing groups etc. <div class="markdown-heading"><h2 class="heading-element">Installing</h2><a id="user-content-installing" class="anchor" aria-label="Permalink: Installing" href="#installing"></a></div> compiled typescript is now included. Install the package from npm: <div class="highlight highlight-source-shell"><pre> npm install jspurefix cd node_modules/jspurefix && npm run unzip-repo</pre></div> see our <a href="https://github.com/TimelordUK/jspf-demo/">demo application</a> <div class="highlight highlight-source-shell"><pre> https://github.com/TimelordUK/jspf-demo</pre></div> if you wish to generate custom messages this is easily doing using quick fix XML format - see <a href="https://github.com/TimelordUK/jspf-md-demo">quickfix demo</a> edit the dictionary file data/generate and run the generator. <div class="highlight highlight-source-shell"><pre> npm run generate</pre></div> check the messages generated in src\types <div class="highlight highlight-source-shell"><pre> https://github.com/TimelordUK/jspf-md-demo</pre></div> import types for usage with a client <div class="highlight highlight-source-ts"><pre>import { AsciiSession, MsgView, IJsFixConfig, IJsFixLogger, Dictionary, MsgType, IJsFixConfig, initiator, acceptor, makeConfig } from 'jspurefix' // types for the specific FIX dialect import { ITradeCaptureReport, ITradeCaptureReportRequest, ITradeCaptureReportRequestAck } from 'jspurefix/dist/types/FIX4.4/repo'</pre></div> see example trade-capture-client - use <div class="markdown-heading"><h3 class="heading-element">getting started</h3><a id="user-content-getting-started" class="anchor" aria-label="Permalink: getting started" href="#getting-started"></a></div> clone from git unix <div class="highlight highlight-source-shell"><pre> git clone https://github.com/TimelordUK/jspurefix.git cd jspurefix script/build.sh</pre></div> <div class="highlight highlight-source-shell"><pre> npm install npm run unzip-repo ./node_modules/.bin/tsc --version ./node_modules/.bin/tsc npm run tcp-tc</pre></div> windows <div class="highlight highlight-source-shell"><pre> git clone https://github.com/TimelordUK/jspurefix.git cd jspurefix script\build.cmd</pre></div> or <div class="highlight highlight-source-shell"><pre> git clone https://github.com/TimelordUK/jspurefix.git cd jspurefix npm install npm run unzip-repo node_modules/.bin/tsc npm run tcp-tc</pre></div> <div class="markdown-heading"><h2 class="heading-element">Run Sample</h2><a id="user-content-run-sample" class="anchor" aria-label="Permalink: Run Sample" href="#run-sample"></a></div> The code provided in src/sample/tcp/trade_capture is a good place to start in building an application with this library. In this case both client and server are run together communicating over a socket. In reality a client is more likely connecting to an external acceptor such as CME, ICE. There is also a skeleton application which shows all application code stripped away to just enough to create a connection, login and see the session. Both examples will automatically close down after ~1 minute or can be terminated CTRL-C ensure the repo dictionary has been unpacked above. This provides the data dictionary used to parse messages. run examples such as the trade capture, simple skeleton or http. <div class="highlight highlight-source-shell"><pre>npm run tcp-tc</pre></div> <div class="highlight highlight-source-shell"><pre>npm run tcp-sk</pre></div> included is an example fixml over http application where an order is submitted and execution report returned. <div class="highlight highlight-source-shell"><pre>npm run http-oms</pre></div> <div class="markdown-heading"><h2 class="heading-element">tls SSL encryption</h2><a id="user-content-tls-ssl-encryption" class="anchor" aria-label="Permalink: tls SSL encryption" href="#tls-ssl-encryption"></a></div> see example data\session\test-initiator-tls.json to run the provided example tls trade capture a script such as script\getKey.ps1 can be run to generate self certified certificates. This is a powershell script that requires openssl in the tunnel e.g. /mingw64/bin/openssl. the ca field below is only required when using self certified and will not be needed for a third party vendor where certificates are provided. Set enableTrace flag whilst diagnosing the session. <div class="highlight highlight-source-json"><pre>{ "application": { "reconnectSeconds": 10, "type": "initiator", "name": "test_client", "tcp": { "host" : "localhost", "port": 2344, "tls": { "timeout": 10000, "sessionTimeout": 10000, "enableTrace": true, "key": "data/session/certs/client/client.key", "cert": "data/session/certs/client/client.crt", "ca": [ "data/session/certs/ca/ca.crt" ] } }, "protocol": "ascii", "dictionary": "repo44" }, "Username": "js-tls-client", "Password": "pwd-tls-client", "EncryptMethod": 0, "ResetSeqNumFlag": true, "LastSentSeqNum": 10, "LastReceivedSeqNum": 11, "HeartBtInt": 30, "SenderCompId": "init-tls-comp", "TargetCompID": "accept-tls-comp", "TargetSubID": "fix", "BeginString": "FIX4.4", "BodyLengthChars": 6 }</pre></div> <div class="markdown-heading"><h2 class="heading-element">configure the body length field padding width</h2><a id="user-content-configure-the-body-length-field-padding-width" class="anchor" aria-label="Permalink: configure the body length field padding width" href="#configure-the-body-length-field-padding-width"></a></div> see example initiator file data\session\test-initiator-tls.json. i.e. include field BodyLengthChars which defaults to 7 characters if omitted. <div class="highlight highlight-source-json"><pre>{ "BodsyLengthChars": 6 }</pre></div> <div class="markdown-heading"><h2 class="heading-element">launching without resetting message sequences</h2><a id="user-content-launching-without-resetting-message-sequences" class="anchor" aria-label="Permalink: launching without resetting message sequences" href="#launching-without-resetting-message-sequences"></a></div> If the message sequences are persisted over multiple sessions and are not reset on logon (ie. <code>"ResetSeqNumFlag": false,</code>), then the previously used sequence numbers can be set as follows: <div class="highlight highlight-source-json"><pre>{ "ResetSeqNumFlag": false, "LastSentSeqNum": 10, "LastReceivedSeqNum": 11 }</pre></div> <div class="markdown-heading"><h2 class="heading-element">resending messages</h2><a id="user-content-resending-messages" class="anchor" aria-label="Permalink: resending messages" href="#resending-messages"></a></div> By default, the library will not resend past messages as this requires persisting messages which depending on the volume, may also require a database. If you want to support resending you must override <code>AsciiSession.onResendRequest()</code> with a resending logic. Additionally, make sure to include the original message sequence and the duplicate message flag in the FIX object: <div class="highlight highlight-source-ts"><pre>{ ...messageBodyData, StandardHeader: { PossDupFlag: true, MsgSeqNum: sequenceNumber}, }</pre></div> <div class="markdown-heading"><h3 class="heading-element">Example</h3><a id="user-content-example" class="anchor" aria-label="Permalink: Example" href="#example"></a></div> <div class="highlight highlight-source-json"><pre>{ "ClOrdID": "acceptor-order-id", "HandlInst": "2", "OrdType": "2", "Side": "2", "TransactTime": "2021-08-03T08:23:57.041Z", "Symbol": "some ticker", "StandardHeader": { "PossDupFlag": true, "MsgSeqNum": 2 } }</pre></div> <div class="markdown-heading"><h2 class="heading-element">Unit Tests</h2><a id="user-content-unit-tests" class="anchor" aria-label="Permalink: Unit Tests" href="#unit-tests"></a></div> there is a comprehensive suite of tests which can be run <div class="highlight highlight-source-shell"><pre>npm t</pre></div> <div class="highlight highlight-source-shell"><pre>PASS src/test/elastic-buffer.test.ts RUNS src/test/session.test.ts PASS src/test/encode-proxy.test.tsst.ts PASS src/test/execution-report.test.ts PASS src/test/view-decode.test.ts PASS src/test/ascii-encoder.test.ts PASS src/test/ascii-parser.test.ts PASS src/test/includes.test.ts PASS src/test/fixml-alloc-parse.test.ts (9.433s) PASS src/test/repo-full-fixml-msg.test.ts (6.025s) PASS src/test/fixml-mkt-data-settle-parse.test.ts (6.021s) PASS src/test/qf-full-msg.test.ts PASS src/test/logon.test.ts PASS src/test/fixml-mkt-data-fut-parse.test.ts (7.761s) PASS src/test/time-formatter.test.ts PASS src/test/ascii-segment.test.ts PASS src/test/session-state.test.ts PASS src/test/fixml-tc-bi-lateral-parse.test.ts (7.534s) PASS src/test/ascii-tag-pos.test.ts PASS src/test/fix-log-replay.test.ts PASS src/test/repo-full-ascii-msg.test.ts PASS src/test/session.test.ts (52.637s) Test Suites: 21 passed, 21 total Tests: 204 passed, 204 total Snapshots: 0 total Time: 54.606s, estimated 65s Ran all test suites.</pre></div> <div class="markdown-heading"><h2 class="heading-element">Dictionary Definitions</h2><a id="user-content-dictionary-definitions" class="anchor" aria-label="Permalink: Dictionary Definitions" href="#dictionary-definitions"></a></div> base definitions on existing template e.g. quickfix format FIX44.xml create an alias in data/dictionary.json compile interfaces <div class="highlight highlight-source-shell"><pre>npm run cmd -- --dict=repo42 --compile</pre></div> use the alias in a session file e.g. data/session/test-httpInitiator.json <div class="markdown-heading"><h2 class="heading-element">sample trade-capture-client.ts</h2><a id="user-content-sample-trade-capture-clientts" class="anchor" aria-label="Permalink: sample trade-capture-client.ts" href="#sample-trade-capture-clientts"></a></div> the method onApplicationMsg is called when a message is received. In this case the client has inherited from AsciiSession which carries out the session management. <div class="highlight highlight-source-ts"><pre> constructor (public readonly config: IJsFixConfig) { super(config) this.logReceivedMsgs = true this.reports = new Dictionary<ITradeCaptureReport>() this.fixLog = config.logFactory.plain(`jsfix.${config.description.application.name}.txt`) this.logger = config.logFactory.logger(`${this.me}:TradeCaptureClient`) } protected onApplicationMsg (msgType: string, view: MsgView): void { this.logger.info(`${view.toJson()}`) switch (msgType) { case MsgType.TradeCaptureReport: { // create an object and cast to the interface const tc: ITradeCaptureReport = view.toObject() this.reports.addUpdate(tc.TradeReportID, tc) this.logger.info(`[reports: ${this.reports.count()}] received tc ExecID = ${tc.ExecID} TradeReportID = ${tc.TradeReportID} Symbol = ${tc.Instrument.Symbol} ${tc.LastQty} @ ${tc.LastPx}`) break } case MsgType.TradeCaptureReportRequestAck: { const tc: ITradeCaptureReportRequestAck = view.toObject() this.logger.info(`received tcr ack ${tc.TradeRequestID} ${tc.TradeRequestStatus}`) break } } }</pre></div> the client onReady method is called when a connection is made and logon established and confirmed. In this case, client sends a trade capture request to the server. <div class="highlight highlight-source-ts"><pre> protected onReady (view: MsgView): void { this.logger.info('ready') const tcr: ITradeCaptureReportRequest = TradeFactory.tradeCaptureReportRequest('all-trades', new Date()) // send request to server this.send(MsgType.TradeCaptureReportRequest, tcr) const logoutSeconds = 32 this.logger.info(`will logout after ${logoutSeconds}`) setTimeout(() => { this.done() }, logoutSeconds * 1000) }</pre></div> <div class="markdown-heading"><h2 class="heading-element">working with Views</h2><a id="user-content-working-with-views" class="anchor" aria-label="Permalink: working with Views" href="#working-with-views"></a></div> see src/test/view-decode.test.ts note that a view can only be used within a callback context unless it is cloned. Once returned, the memory is re-used for next message. It is intended to convert to an object or parsed into an application specific message. fetch a group view <div class="highlight highlight-source-ts"><pre> const noMDEntriesView: MsgView = view.getView('NoMDEntries') const mmEntryView: MsgView = noMDEntriesView.getGroupInstance(1) const mmEntryExpireTimeAsString: string = mmEntryView.getString('ExpireTime') expect(mmEntryExpireTimeAsString).toEqual('20180608-20:53:14.000') expect(mmEntryView.getString(126)).toEqual('20180608-20:53:14.000')</pre></div> fetch single tags <div class="highlight highlight-source-ts"><pre> const erView: MsgView = views[0] expect(erView.getString(35)).toEqual('8') expect(erView.getString('MsgType')).toEqual('8') expect(erView.getString(8)).toEqual('FIX4.4') expect(erView.getTyped(9)).toEqual(6542) expect(erView.getTyped('TotNumReports')).toEqual(19404) expect(erView.getTyped('StrikePrice')).toEqual(52639)</pre></div> fetch repeated tag <div class="highlight highlight-source-ts"><pre> const erView: MsgView = views[0] expect(erView.getStrings('PartyID')).toEqual(['magna.', 'iaculis', 'vitae,'])</pre></div> fetch a set of tags <div class="highlight highlight-source-ts"><pre> const [a, b, c, d] = view.getTypedTags([8, 9, 35, 49]) expect(a).toEqual('FIX4.4') expect(b).toEqual(2955) expect(c).toEqual('W') expect(d).toEqual('sender-10')</pre></div> convert view into an object which can be used alongside an interface for intellisense. <div class="highlight highlight-source-ts"><pre> import { ITradeCaptureReport } from '../../../types/FIX4.4/repo/trade_capture_report' import { ITradeCaptureReportRequest } from '../../../types/FIX4.4/repo/trade_capture_report_request' const tc: ITradeCaptureReport = view.toObject()</pre></div> from data/examples/FIX.4.4/quickfix/execution-report get first in group fetched from object where group is array <div class="highlight highlight-source-ts"><pre> import { IUndInstrmtGrp } from '../types/FIX4.4/quickfix/set/und_instrmt_grp' import { IUnderlyingInstrument } from '../types/FIX4.4/quickfix/set/underlying_instrument' const erView: MsgView = views[0] const undInstrmtGrpView: MsgView = erView.getView('UndInstrmtGrp') const undInstrmtGrpViewAsObject: IUndInstrmtGrp = undInstrmtGrpView.toObject() expect(undInstrmtGrpViewAsObject.NoUnderlyings.length).toEqual(2) const underlying0: IUnderlyingInstrument = undInstrmtGrpViewAsObject.NoUnderlyings[0].UnderlyingInstrument expect(underlying0.UnderlyingSymbol).toEqual('massa.')</pre></div> fetch nested structure in one call <div class="highlight highlight-source-ts"><pre> const legGrpView = view.getView('InstrmtLegGrp.NoLegs') expect(legGrpView).toBeTruthy() const legGrp: IInstrumentLeg[] = legGrpView.toObject() expect(legGrp).toBeTruthy() expect(Array.isArray(legGrp)) expect(legGrp.length).toEqual(2)</pre></div> get a tokenised view of tags in view <div class="highlight highlight-source-ts"><pre>console.log(view.toString())</pre></div> get a component from parent - this is very low cost <div class="highlight highlight-source-ts"><pre> const instrumentView: MsgView = view.getView('Instrument') const instrumentObject: IInstrument = view.getView('Instrument').toObject()</pre></div> <div class="markdown-heading"><h2 class="heading-element">FIXML</h2><a id="user-content-fixml" class="anchor" aria-label="Permalink: FIXML" href="#fixml"></a></div> Please see sample code src/sample/http for an example of how fixml can be used. Note regardless of using AsciiChars or Fixml application code looks very similar for example the client in this case. <div class="highlight highlight-source-ts"><pre> protected onReady (view: MsgView): void { this.logger.info('onReady') const logoutSeconds = this.logoutSeconds const req = this.factory.createOrder('IBM', Side.Buy, 10000, 100.12) this.send('NewOrderSingle', req) this.logger.info(`will logout after ${logoutSeconds}`) setTimeout(() => { this.done() }, 11 * 1000) } public createOrder (symbol: string, side: Side, qty: number, price: number): INewOrderSingle { const id: number = this.id++ return { ClOrdID: `Cli${id}`, Account: this.account, Side: side, Price: price, OrdType: OrdType.Limit, OrderQtyData: { OrderQty: qty } as IOrderQtyData, Instrument: { Symbol: symbol, SecurityID: '459200101', SecurityIDSource: SecurityIDSource.IsinNumber } as IInstrument, TimeInForce: TimeInForce.GoodTillCancelGtc } as INewOrderSingle }</pre></div> this renders to this message sent over http <div class="highlight highlight-text-xml"><pre><FIXML> <Order ID="Cli1" Acct="TradersRUs" Side="1" Typ="2" Px="100.12" TmInForce="1"> <Hdr SID="accept-comp" TID="init-comp" SSub="user123" TSub="INC"/> <Instrmt Sym="IBM" ID="459200101" Src="4"/> <OrdQty Qty="10000"/> </Order> </FIXML></pre></div> the server receives this message and sends back an execution report :- <div class="highlight highlight-source-ts"><pre> protected onApplicationMsg (msgType: string, view: MsgView): void { // dispatch messages this.logger.info(view.toJson()) switch (msgType) { case 'Order': { const order: INewOrderSingle = view.toObject() this.logger.info(`received order id ${order.ClOrdID}`) const fill: IExecutionReport = this.factory.fillOrder(order) this.send('ExecutionReport', fill) } } } public fillOrder (order: INewOrderSingle): IExecutionReport { const id: number = this.execId++ return { ClOrdID: order.ClOrdID, OrdType: order.OrdType, TransactTime: new Date(), AvgPx: order.Price, LeavesQty: 0, LastPx: order.Price, ExecType: ExecType.OrderStatus, OrdStatus: OrdStatus.Filled, ExecID: `exec${id}`, Side: order.Side, Price: order.Price, OrderQtyData: { OrderQty: order.OrderQtyData.OrderQty } as IOrderQtyData, Instrument: { Symbol: order.Instrument.Symbol, SecurityID: order.Instrument.SecurityID, SecurityIDSource: SecurityIDSource.IsinNumber } as IInstrument } as IExecutionReport }</pre></div> the fixml is sent back to the client :- <div class="highlight highlight-text-xml"><pre><FIXML> <ExecRpt ID="Cli1" ExecID="exec1" ExecTyp="I" Stat="2" Side="1" Typ="2" Px="100.12" LastPx="100.12" LeavesQty="0" AvgPx="100.12" TxnTm="2018-10-07T12:16:12.584"> <Hdr SID="accept-comp" TID="init-comp" TSub="fix"/> <Instrmt Sym="IBM" ID="459200101" Src="4"/> <OrdQty Qty="10000"/> </ExecRpt> </FIXML></pre></div> <div class="markdown-heading"><h2 class="heading-element">Performance</h2><a id="user-content-performance" class="anchor" aria-label="Permalink: Performance" href="#performance"></a></div> These messages have been randomly generated with command line tool. They are syntactically valid. <div class="markdown-heading"><h3 class="heading-element">data/examples/FIX.4.4/repo/execution-report/fix.txt</h3><a id="user-content-dataexamplesfix44repoexecution-reportfixtxt" class="anchor" aria-label="Permalink: data/examples/FIX.4.4/repo/execution-report/fix.txt" href="#dataexamplesfix44repoexecution-reportfixtxt"></a></div> <div class="highlight highlight-source-shell"><pre>npm run repo44-bench-er</pre></div> <div class="markdown-heading"><h3 class="heading-element">performance on Windows Intel Core I7-4770 @ 3.5 GHz</h3><a id="user-content-performance-on-windows-intel-core-i7-4770--35-ghz" class="anchor" aria-label="Permalink: performance on Windows Intel Core I7-4770 @ 3.5 GHz" href="#performance-on-windows-intel-core-i7-4770--35-ghz"></a></div> <div class="highlight highlight-source-shell"><pre>[8]: repeats = 250000, fields = 58, length = 604 chars, elapsed ms 3658, 14.632 micros per msg [8]: iterations = 80000, fields = 646, length = 6572 chars, elapsed ms 16499, 206.23749999999998 micros per msg</pre></div> <div class="markdown-heading"><h3 class="heading-element">performance on Windows 12th Gen Intel(R) Core(TM) i7-12700H 2.30 GHz</h3><a id="user-content-performance-on-windows-12th-gen-intelr-coretm-i7-12700h-230-ghz" class="anchor" aria-label="Permalink: performance on Windows 12th Gen Intel(R) Core(TM) i7-12700H 2.30 GHz" href="#performance-on-windows-12th-gen-intelr-coretm-i7-12700h-230-ghz"></a></div> <div class="highlight highlight-source-shell"><pre>[8]: iterations = 80000, fields = 646, length = 6572 chars, elapsed ms 7476, 93.45 micros per msg</pre></div> <div class="markdown-heading"><h3 class="heading-element">data/examples/FIX.4.4/repo/security-definition/fix.txt</h3><a id="user-content-dataexamplesfix44reposecurity-definitionfixtxt" class="anchor" aria-label="Permalink: data/examples/FIX.4.4/repo/security-definition/fix.txt" href="#dataexamplesfix44reposecurity-definitionfixtxt"></a></div> <div class="highlight highlight-source-shell"><pre>npm run repo44-bench-sd</pre></div> <div class="markdown-heading"><h3 class="heading-element">performance on Windows Intel Core I7-4770 @ 3.5 GHz</h3><a id="user-content-performance-on-windows-intel-core-i7-4770--35-ghz-1" class="anchor" aria-label="Permalink: performance on Windows Intel Core I7-4770 @ 3.5 GHz" href="#performance-on-windows-intel-core-i7-4770--35-ghz-1"></a></div> <div class="highlight highlight-source-shell"><pre>[d]: repeats = 150000, fields = 223, length = 2233 chars, elapsed ms 7962, 53.080000000000005 micros per msg d]: iterations = 150000, fields = 229, length = 2466 chars, elapsed ms 8672, 57.81333333333333 micros per msg</pre></div> <div class="markdown-heading"><h3 class="heading-element">performance on Windows 12th Gen Intel(R) Core(TM) i7-12700H 2.30 GHz</h3><a id="user-content-performance-on-windows-12th-gen-intelr-coretm-i7-12700h-230-ghz-1" class="anchor" aria-label="Permalink: performance on Windows 12th Gen Intel(R) Core(TM) i7-12700H 2.30 GHz" href="#performance-on-windows-12th-gen-intelr-coretm-i7-12700h-230-ghz-1"></a></div> <pre><code>[d]: iterations = 150000, fields = 229, length = 2466 chars, elapsed ms 4628, 30.85333333333333 micros per msg </code></pre> <div class="markdown-heading"><h3 class="heading-element">data/examples/FIX.4.4/repo/trade-capture/fix.txt</h3><a id="user-content-dataexamplesfix44repotrade-capturefixtxt" class="anchor" aria-label="Permalink: data/examples/FIX.4.4/repo/trade-capture/fix.txt" href="#dataexamplesfix44repotrade-capturefixtxt"></a></div> <div class="highlight highlight-source-shell"><pre>npm run repo44-bench-tc</pre></div> <div class="markdown-heading"><h3 class="heading-element">performance on Windows Intel Core I7-4770 @ 3.5 GHz</h3><a id="user-content-performance-on-windows-intel-core-i7-4770--35-ghz-2" class="anchor" aria-label="Permalink: performance on Windows Intel Core I7-4770 @ 3.5 GHz" href="#performance-on-windows-intel-core-i7-4770--35-ghz-2"></a></div> <div class="highlight highlight-source-shell"><pre>[AE]: repeats = 30000, fields = 613, length = 5818 chars, elapsed ms 5206, 173.53333333333333 micros per msg [AE]: iterations = 30000, fields = 578, length = 5741 chars, elapsed ms 5245, 174.83333333333334 micros per msg```</pre></div> <div class="markdown-heading"><h3 class="heading-element">performance on Windows 12th Gen Intel(R) Core(TM) i7-12700H 2.30 GHz</h3><a id="user-content-performance-on-windows-12th-gen-intelr-coretm-i7-12700h-230-ghz-2" class="anchor" aria-label="Permalink: performance on Windows 12th Gen Intel(R) Core(TM) i7-12700H 2.30 GHz" href="#performance-on-windows-12th-gen-intelr-coretm-i7-12700h-230-ghz-2"></a></div> <div class="highlight highlight-source-shell"><pre>[AE]: iterations = 30000, fields = 578, length = 5741 chars, elapsed ms 2725, 90.83333333333333 micros per msg```</pre></div> <div class="markdown-heading"><h3 class="heading-element">data/examples/FIX.4.4/quickfix/heartbeat/fix.txt</h3><a id="user-content-dataexamplesfix44quickfixheartbeatfixtxt" class="anchor" aria-label="Permalink: data/examples/FIX.4.4/quickfix/heartbeat/fix.txt" href="#dataexamplesfix44quickfixheartbeatfixtxt"></a></div> <div class="highlight highlight-source-shell"><pre>npm run qf-bench-hb</pre></div> <div class="markdown-heading"><h3 class="heading-element">performance on Windows Intel Core I7-4770 @ 3.5 GHz</h3><a id="user-content-performance-on-windows-intel-core-i7-4770--35-ghz-3" class="anchor" aria-label="Permalink: performance on Windows Intel Core I7-4770 @ 3.5 GHz" href="#performance-on-windows-intel-core-i7-4770--35-ghz-3"></a></div> <div class="highlight highlight-source-shell"><pre>[0]: iterations = 250000, fields = 10, length = 131 chars, elapsed ms 950, 3.8 micros per msg</pre></div> <div class="markdown-heading"><h3 class="heading-element">performance on Windows 12th Gen Intel(R) Core(TM) i7-12700H 2.30 GHz</h3><a id="user-content-performance-on-windows-12th-gen-intelr-coretm-i7-12700h-230-ghz-3" class="anchor" aria-label="Permalink: performance on Windows 12th Gen Intel(R) Core(TM) i7-12700H 2.30 GHz" href="#performance-on-windows-12th-gen-intelr-coretm-i7-12700h-230-ghz-3"></a></div> <div class="highlight highlight-source-shell"><pre>[0]: iterations = 250000, fields = 10, length = 131 chars, elapsed ms 468, 1.8719999999999999 micros per msg</pre></div> <div class="markdown-heading"><h3 class="heading-element">data/examples/FIX.4.4/quickfix/logon/fix.txt</h3><a id="user-content-dataexamplesfix44quickfixlogonfixtxt" class="anchor" aria-label="Permalink: data/examples/FIX.4.4/quickfix/logon/fix.txt" href="#dataexamplesfix44quickfixlogonfixtxt"></a></div> <div class="highlight highlight-source-shell"><pre>npm run qf-bench-lo</pre></div> <div class="markdown-heading"><h3 class="heading-element">performance on Windows Intel Core I7-4770 @ 3.5 GHz</h3><a id="user-content-performance-on-windows-intel-core-i7-4770--35-ghz-4" class="anchor" aria-label="Permalink: performance on Windows Intel Core I7-4770 @ 3.5 GHz" href="#performance-on-windows-intel-core-i7-4770--35-ghz-4"></a></div> <div class="highlight highlight-source-shell"><pre>[A]: iterations = 250000, fields = 22, length = 214 chars, elapsed ms 1466, 5.864 micros per msg</pre></div> <div class="markdown-heading"><h3 class="heading-element">performance on Windows 12th Gen Intel(R) Core(TM) i7-12700H 2.30 GHz</h3><a id="user-content-performance-on-windows-12th-gen-intelr-coretm-i7-12700h-230-ghz-4" class="anchor" aria-label="Permalink: performance on Windows 12th Gen Intel(R) Core(TM) i7-12700H 2.30 GHz" href="#performance-on-windows-12th-gen-intelr-coretm-i7-12700h-230-ghz-4"></a></div> <div class="highlight highlight-source-shell"><pre>[A]: iterations = 250000, fields = 22, length = 214 chars, elapsed ms 693, 2.7720000000000002 micros per msg</pre></div> <div class="markdown-heading"><h2 class="heading-element">Log parsing</h2><a id="user-content-log-parsing" class="anchor" aria-label="Permalink: Log parsing" href="#log-parsing"></a></div> the command line tool jsfix can be used to parse any fix log providing an appropriate dictionary is provided. <div class="markdown-heading"><h2 class="heading-element">parsing fields</h2><a id="user-content-parsing-fields" class="anchor" aria-label="Permalink: parsing fields" href="#parsing-fields"></a></div> <div class="highlight highlight-source-shell"><pre>npm run cmd -- --dict=repo44 --fix=data/examples/FIX.4.4/jsfix.test_client.txt --delimiter="|" --type=AD --tokens</pre></div> <div class="highlight highlight-source-shell"><pre>[0] 8 (BeginString) = FIX4.4, [1] 9 (BodyLength) = 0000135 [2] 35 (MsgType) = AD[TradeCaptureReportRequest], [3] 49 (SenderCompID) = init-comp [4] 56 (TargetCompID) = accept-comp, [5] 34 (MsgSeqNum) = 2 [6] 57 (TargetSubID) = fix, [7] 52 (SendingTime) = 20180923-16:07:04.763 [8] 568 (TradeRequestID) = all-trades, [9] 569 (TradeRequestType) = 0[AllTrades] [10] 263 (SubscriptionRequestType) = 1[SnapshotAndUpdates], [11] 580 (NoDates) = 1 [12] 75 (TradeDate) = 20180923, [13] 10 (CheckSum) = 250</pre></div> <div class="markdown-heading"><h2 class="heading-element">stats on entire file</h2><a id="user-content-stats-on-entire-file" class="anchor" aria-label="Permalink: stats on entire file" href="#stats-on-entire-file"></a></div> <div class="highlight highlight-source-shell"><pre>npm run cmd -- --dict=repo44 --fix=data/examples/FIX.4.4/jsfix.test_client.txt --delimiter="|" --stats</pre></div> <div class="highlight highlight-source-json"><pre>messages 13 elapsed ms 8 { "0": 1, "5": 2, "A": 2, "AD": 1, "AQ": 2, "AE": 5 }</pre></div> <div class="markdown-heading"><h2 class="heading-element">benchmark parsing repeated reads of file</h2><a id="user-content-benchmark-parsing-repeated-reads-of-file" class="anchor" aria-label="Permalink: benchmark parsing repeated reads of file" href="#benchmark-parsing-repeated-reads-of-file"></a></div> <div class="highlight highlight-source-batchfile"><pre>npm run cmd -- --dict=repo44 --fix=data/examples/FIX.4.4/jsfix.test_client.txt --delimiter="|" --stats --repeats=20</pre></div> <div class="highlight highlight-source-json"><pre>messages 13 elapsed ms 0 { "0": 1, "5": 2, "A": 2, "AD": 1, "AQ": 2, "AE": 5 }</pre></div> <div class="markdown-heading"><h2 class="heading-element">parse message type in a file</h2><a id="user-content-parse-message-type-in-a-file" class="anchor" aria-label="Permalink: parse message type in a file" href="#parse-message-type-in-a-file"></a></div> <div class="highlight highlight-source-batchfile"><pre>npm run cmd -- --dict=repo44 --fix=data/examples/FIX.4.4/jsfix.test_client.txt --delimiter="|" --type=AD --objects</pre></div> <div class="highlight highlight-source-json"><pre>{ "StandardHeader": { "BeginString": "FIX4.4", "BodyLength": 135, "MsgType": "AD", "SenderCompID": "init-comp", "TargetCompID": "accept-comp", "MsgSeqNum": 2, "TargetSubID": "fix", "SendingTime": "2018-09-23T16:07:04.763Z" }, "TradeRequestID": "all-trades", "TradeRequestType": 0, "SubscriptionRequestType": "1", "TrdCapDtGrp": [ { "TradeDate": "2018-09-22T23:00:00.000Z" } ], "StandardTrailer": { "CheckSum": "250" } }</pre></div> as above where --type=AE --objects <div class="highlight highlight-source-json"><pre>{ "StandardHeader": { "BeginString": "FIX4.4", "BodyLength": 213, "MsgType": "AE", "SenderCompID": "accept-comp", "TargetCompID": "init-comp", "MsgSeqNum": 4, "TargetSubID": "fix", "SendingTime": "2018-09-23T16:07:04.986Z" }, "TradeReportID": "100001", "TradeReportTransType": 0, "TradeReportType": 0, "TrdType": 0, "ExecID": "600001", "OrdStatus": "2", "PreviouslyReported": false, "Instrument": { "Symbol": "Gold", "SecurityID": "Gold.INC" }, "LastQty": 107, "LastPx": 45.38, "TradeDate": "2018-09-22T23:00:00.000Z", "TransactTime": "2018-09-23T16:07:04.776Z", "StandardTrailer": { "CheckSum": "54" } }</pre></div> <div class="markdown-heading"><h2 class="heading-element">show all structures within a message</h2><a id="user-content-show-all-structures-within-a-message" class="anchor" aria-label="Permalink: show all structures within a message" href="#show-all-structures-within-a-message"></a></div> <div class="highlight highlight-source-shell"><pre>npm run cmd -- --dict=repo44 --fix=data/examples/FIX.4.4/jsfix.test_client.txt --delimiter="|" --type=AD --structures</pre></div> <div class="highlight highlight-source-json"><pre>[ { "name": "StandardHeader", "depth": 2, "startTag": 8, "startPosition": 0, "endTag": 52, "endPosition": 7, "delimiterTag": 0, "delimiterPositions": [] }, { "name": "TrdCapDtGrp", "depth": 1, "startTag": 580, "startPosition": 11, "endTag": 75, "endPosition": 12, "delimiterTag": 75, "delimiterPositions": [ 12 ] }, { "name": "StandardTrailer", "depth": 1, "startTag": 10, "startPosition": 13, "endTag": 10, "endPosition": 13, "delimiterTag": 0, "delimiterPositions": [] }, { "name": "TradeCaptureReportRequest", "depth": 1, "startTag": 8, "startPosition": 0, "endTag": 10, "endPosition": 13, "delimiterTag": 0, "delimiterPositions": [] }, { "name": "StandardTrailer", "depth": 0, "startTag": 10, "startPosition": 14, "endTag": 10, "endPosition": 13, "delimiterTag": 0, "delimiterPositions": [] } ]</pre></div> </div></article></div><div class="pv4"><h2 class="c7520c26">Readme</h2><h3 id="user-content-keywords" class="a0dff0b1 mt2 pt2 mb3 pb3 f4 fw6 b--black-10">Keywords</h3><ul class="list pl0"><li class="dib mr2"><a class="_75a5f581 f4 fw6 fl db pv1 ma1 black-70 link hover-black animate" href="/search?q=keywords:typescript">typescript</a></li><li class="dib mr2"><a class="_75a5f581 f4 fw6 fl db pv1 ma1 black-70 link hover-black animate" href="/search?q=keywords:fix">fix</a></li><li class="dib mr2"><a class="_75a5f581 f4 fw6 fl db pv1 ma1 black-70 link hover-black animate" href="/search?q=keywords:engine">engine</a></li><li 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