I am new to quickfix (I'm a student trying to teach myself), and have downloaded the examples from quickfix.org (in c++) and have been able to connect ordermatch to tradeclient and get them talking to each other. I changed the config file for ordermatch to allow multiple clients and got that working (ordermatch can receive orders from multiple clients and manage the order book).
I have been trying to find a way to alter ordermatch to send it's confirm messages to ALL clients, not just the sender.
I have a seperate implementation of a limit orderbook and want to crack the incoming messages (orders, cancels, etc) and store them in my limit orderbook. My orderbook watches the book an makes trading decisions based on it. The problem is, I can't figure out how to get ordermatch to send all updates to this client. Further, I am having a hard time figuring out how to "soup up" the tradeclient to not only send orders, but receive and crack them.
I'm thinking I need to have an acceptor and an initator in each application(in ordermatch and in one of the tradeclients)--I've read this is possible and common but can't find any sample code. Am I on the right track here, or is there a better way to set this up? Does anybody have some sample code they can share? I am not planning on using this for live trading so crude code is perfectly fine by me.
Thanks in advance
Brandon
Same application can act as Initiator for one session and Acceptor for different session. Infact you can have multiple Acceptor/Initiator sessions from same application. Config file needs to define multiple sessions. Or you can have separate config file for each session.
If I understand correctly, I think what you're trying to do is intercept messages between an OMS and a broker (c.f. client and server) and act depending on what they contain. There are a few ways you could do this, including intercepting at the TCP layer, but I think that the easiest way might be to use 2 separate programs as @DumbCoder suggests and connect to one of them as an acceptor from your clients, process the messages and then pass them on to another program via another protocol and then send them on from the other program. Theoretically you can create another instance of the engine in your program and, by using different config files on creation (when FIX::FileStoreFactory storeFactory(*settings); is called) of each instance of the engine. However, I have never seen this done and so feel that it could cause problems. If you do try this method I would strongly advise putting the initiator and the connector in different dlls which might just separate the two engine instances enough.
来源：https://stackoverflow.com/questions/5944756/quickfix-acceptor-and-initator-in-same-application