In progress/POC cTrader FIX plugin

I've got something somewhat usable so I figured I'd share it in case anyone has any feedback before I make the code even shittier

Here's the source code.

Here's the DLL.

How to use:

• Put a ctfix.ini in your Plugins directory. There's a sample configuration here. You should only need to change SocketConnectHost, SenderCompID, Username and Password, all of which you can find in the cTrader platform your broker provides in one of the menus labeled "FIX Credentials".
• Set up your assets. cTrader's FIX API has numeric codes for all assets rather than names. There's a mapping of symbol -> FIX ID here but unlike other plugins, for the moment at least, you must add an account specific prefix with a dash to your assets. Where you'd write "1" (for EURUSD), you must instead write "broker-1" or "Oanda-1" or "FXCM-1" etc. My code is written to require a dash in all asset names.

What's working:

• Connecting
• Logging in
• Multiple accounts
• Subscribing to assets
• Receiving data for assets

What's not working (yet):

• Trading
• Good, readable code

What will never work:

• Account balances
• Price history

I understand that without trading this is of limited use, I'm more putting it out there for anyone who cares to play with it to research arbitrage or something and so I can point people to code when I need help after breaking something.

I'll also add that this code is tailored specifically to cTrader. If you want it to work with another broker, more likely than not, you'll have to modify the code to do what your broker wants.

If you don't mind me asking, have you had good experiences with QuickFix?

I ask because while implementing the DTC plugin, I stumbled across this complaint from the Sierra Chart staff:
https://www.sierrachart.com/SupportBoard.php?ThreadID=15382
I'm not sure what kind of bugs they are talking about. They do appear to have strong opinions and think highly of their programming ability.

Frankly I came across two open source C++ FIX engines: fix8 and QuickFIX.

fix8's docs were horrible and hidden in a wiki that needed an account and even with access to them, it was a bitch to get anything working. I gave it a go on Mac at first, where C++ dev is a little less shitty but even there it was horrible. The thought of getting all its dependencies working on Windows put me right off it. I never actually got fix8 to work.

QuickFix had nice clear docs, only depended on OpenSSL (which I already had installed on Mac) and took very minimal effort to get successfully connected to a broker. On Windows, I installed OpenSSL binaries, built QuickFix itself with cmake and got it working with few problems.

I didn't want to pay for one of the commercial options. I'm sure they have better performance and if you buy a support contract they'll do whatever you need but this is a hobby for me, not a profession. Plus, I think anything super low latenc will be wasted on a Zorro plugin; I don't think Zorro can compete with a proper C++ implementation, which for arbitrage at least is pretty trivial.

Anyhow, I'm pretty happy with QuickFix. It's easy to install, easy to use, I haven't run into any bugs, the docs are easy to read and the code I've looked at (mainly session management and settings code) has been pretty clear and tidy.

I think the Sierra Chart people are full of themselves. There's some more feedback here, which is mostly positive: https://quant.stackexchange.com/questions/557/how-fast-is-quickfix

I appreciate the insight. Thanks!

Some basic questions:

1. In general a cTrader account is required for the plugin? A 'pure' FIX API account does not work or at least not out of the box?

2. Using your example AssetsCT.csv what do you mean concerning the dash in the assets names? AUD/USD e.g. has the symbol 5 there, selecting it in the strategy must be with asset("FXCM-5") or asset("5") or must the symbol be written as "FXCM-5" in the assets.csv?

Thanks, Sphin

Yes. As far as I can tell, there's no such thing as a functional "pure" FIX implementation, so this one targets cTrader specifically.



The symbol being passed to the plugin (the one in the last column) must be "FXCM-5". You can name it whatever you want in Zorro and use asset() with the Zorro name.

Trying to get some prices ...


selected "EUR/USD" in the asset box, click "Trade" and get these messages:


Directly selecting the asset in the code with

asset("EUR/USD")

the messages slightly differ:


Maybe this is a mapping problem because adjusting your example my AssetscT.csv just looks like:

EUR/USD,1.13795,0.00005,-0.02,0.01,0.0001,0.0871,10,0,100000,0.6,Broker-1

But there are several liquidity streams available and so their assets are called:

EURUSD.aaa
EURUSD.bbb
EURUSD.ccc

Do you know wherefrom getting a valid mapping? In cTrader at least I couldn't find some.

BTW: The connects from above work only once without restarting Zorro. Trying it twice I get:

Dear plugin writers: please don't forget to clean up memory between login calls. Thank you!

Is this project still alive?

I haven't had the time/motivation to work on it recently.

If anyone else wants to try to pick it up they're welcome to fork it.