LibTrading
The Julia LibTrading package is a wrapper for the libtrading library, which "is an open source API for high-performance, low-latency trading applications."
Example Usage
After installing libtrading and running make to generate the dynamic shared library object – either named libtrading.so (UNIX) or libtrading.dylib (OS X), make sure that this library can be found by dlopen – for example, but changing directories to the libtrading top-level directory. In that top-level directory, run the fix_server example program with this command line:
$ tools/fix/fix_server -m 1 -p 7070
Server is listening to port 7070...Install this package (using Pkg.clone("LibTrading")), and then try the following:
julia> using LibTrading
julia> session = FixSession(connect(7070))
FixSession(Ptr{Void} @0x00007faf53c03700,"fix-4.4","sender","target",TcpSocket(open, 0 bytes waiting),1,15)
julia> logon(session)
julia> req = FixMessage(
FIX_MSG_TYPE_NEW_ORDER_SINGLE,
TransactTime = "54191923311431120",
ClOrdID = "ClOrdID",
Symbol = "Symbol",
OrderQty = 100,
OrdType = "2",
Side = "1",
Price = 100
)
FixMessage type 8 with 7 fields
1: FixField(TransactTime: "54191923311431120")
2: FixField(ClOrdID: "ClOrdID")
3: FixField(Symbol: "Symbol")
4: FixField(OrderQty: 100)
5: FixField(OrdType: "2")
6: FixField(Side: "1")
7: FixField(Price: 100)
julia> send(session, req)
julia> res = recv(session)
FixMessage type 6 with 12 fields
1: FixField(SenderCompID: "SELLSIDE")
2: FixField(TargetCompID: "BUYSIDE")
3: FixField(SendingTime: "20140505-22:15:25.356")
4: FixField(OrderID: "OrderID")
5: FixField(Symbol: "Symbol")
6: FixField(ExecID: "ExecID")
7: FixField(OrdStatus: "2")
8: FixField(ExecType: "0")
9: FixField(LeavesQty: 0.0)
10: FixField(CumQty: 100.0)
11: FixField(AvgPx: 100.0)
12: FixField(Side: "1")
julia> logoff(session)The fix_server test program should exit at this point.
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