🔀 Add example for coinbase FIX50 market data access

Cargo.toml

@@ -3,7 +3,8 @@ resolver = "2"
 members = [
     "examples/coinbase-example",
     "examples/coinbase-fix-utils",
-    "examples/coinbase-fix42",
+    "examples/coinbase-fix42-order-entry",
+    "examples/coinbase-fix50-market-data",
     "examples/executor",
     "examples/single-order-sender",
     "quickfix-ffi",

examples/README.md

@@ -26,7 +26,7 @@ Because it is the simplest one to setup and it has a sandbox to play with.
 That is so simple. Just add following lines to your `Cargo.toml` file:
 
 ```toml
-coinbase-fix42 = { git = "https://github.com/arthurlm/quickfix-rs.git" }
+coinbase-fix42-order-entry = { git = "https://github.com/arthurlm/quickfix-rs.git" }
 coinbase-fix-utils = { git = "https://github.com/arthurlm/quickfix-rs.git" }
 quickfix = { git = "https://github.com/arthurlm/quickfix-rs.git" }
 ```

examples/coinbase-example/Cargo.toml

@@ -6,7 +6,7 @@ publish = false
 
 [dependencies]
 anyhow = "1.0.79"
-coinbase-fix42 = { path = "../coinbase-fix42", version = "0.1.0" }
+coinbase-fix42-order-entry = { path = "../coinbase-fix42-order-entry", version = "0.1.0" }
 coinbase-fix-utils = { path = "../coinbase-fix-utils", version = "0.1.0" }
 quickfix = { path = "../../quickfix", version = "0.1.0" }
 uuid = { version = "1.6.1", features = ["v4"] }

examples/coinbase-example/data/order-entry/FIX42-prod-sand.xml

@@ -0,0 +1 @@
+../../../coinbase-fix42-order-entry/src/cb-FIX42-prod-sand.xml

examples/coinbase-example/src/main.rs → examples/coinbase-example/examples/cb-order-sender.rs

@@ -5,7 +5,7 @@ use std::{
 };
 
 use coinbase_example::*;
-use coinbase_fix42::{
+use coinbase_fix42_order_entry::{
     field_types::{MsgType, OrdStatus, OrdType, SelfTradePrevention, Side, TimeInForce},
     *,
 };
@@ -174,7 +174,7 @@ fn main() -> anyhow::Result<()> {
 
     // Send new order
     let order = new_order(&my_app)?;
-    let session_id = my_app.config.session_id();
+    let session_id = my_app.config.order_entry_session_id();
 
     println!(">> Sending order 💸");
     send_to_target(order.into(), &session_id)?;

examples/coinbase-example/src/lib.rs

@@ -13,16 +13,29 @@ pub fn build_session_settings(config: &CoinbaseConfig) -> anyhow::Result<Session
         params
     })?;
 
-    settings.set(Some(&config.session_id()), {
+    settings.set(Some(&config.order_entry_session_id()), {
         let mut params = Dictionary::new();
         params.set("StartTime", "00:00:01")?;
         params.set("EndTime", "23:59:59")?;
         params.set("HeartBtInt", 30)?;
         params.set("SocketConnectPort", 5298)?; // ⚠️ This port should match what you have in your stunnel configuration file.
         params.set("SocketConnectHost", "127.0.0.1")?;
+        params.set("DataDictionary", "data/order-entry/FIX42-prod-sand.xml")?;
+        params
+    })?;
+
+    settings.set(Some(&config.market_data_session_id()), {
+        let mut params = Dictionary::new();
+        params.set("StartTime", "00:00:01")?;
+        params.set("EndTime", "23:59:59")?;
+        params.set("HeartBtInt", 30)?;
+        params.set("SocketConnectPort", 7221)?; // ⚠️ This port should match what you have in your stunnel configuration file.
+        params.set("SocketConnectHost", "127.0.0.1")?;
+        params.set("DefaultApplVerID", "9" /* FIX 5.0 SP2 */)?;
+        params.set("DataDictionary", "data/market-data/FIX50-prod-sand.xml")?;
         params.set(
-            "DataDictionary",
-            "../coinbase-fix42/src/cb-FIX42-prod-sand.xml",
+            "TransportDataDictionary",
+            "data/market-data/FIXT11-prod-sand.xml",
         )?;
         params
     })?;

examples/coinbase-fix-utils/Cargo.toml

@@ -6,7 +6,8 @@ publish = false
 
 [dependencies]
 base64 = "0.21.7"
-coinbase-fix42 = { path = "../coinbase-fix42", version = "0.1.0" }
+coinbase-fix42-order-entry = { path = "../coinbase-fix42-order-entry", version = "0.1.0" }
+coinbase-fix50-market-data = { path = "../coinbase-fix50-market-data", version = "0.1.0" }
 hmac = "0.12.1"
 quickfix = { path = "../../quickfix", version = "0.1.0" }
 sha2 = "0.10.8"

examples/coinbase-fix-utils/src/config.rs

@@ -24,12 +24,22 @@ impl CoinbaseConfig {
         }
     }
 
-    pub fn session_id(&self) -> SessionId {
+    pub fn order_entry_session_id(&self) -> SessionId {
         SessionId::try_new(
-            coinbase_fix42::FIX_BEGIN_STRING,
+            coinbase_fix42_order_entry::FIX_BEGIN_STRING,
             &self.api_key,
             "Coinbase",
-            "",
+            "order-entry",
+        )
+        .expect("Fail to build session ID")
+    }
+
+    pub fn market_data_session_id(&self) -> SessionId {
+        SessionId::try_new(
+            coinbase_fix50_market_data::FIX_BEGIN_STRING,
+            &self.api_key,
+            "Coinbase",
+            "market-data",
         )
         .expect("Fail to build session ID")
     }

examples/coinbase-fix-utils/src/logon_utils.rs

@@ -1,5 +1,9 @@
 use base64::{engine::general_purpose::STANDARD as BASE64, Engine as _};
-use coinbase_fix42::{field_id, Logon};
+use coinbase_fix42_order_entry::{
+    field_id::{self, PASSWORD},
+    Logon,
+};
+use coinbase_fix50_market_data::field_id::USERNAME;
 use hmac::{Hmac, Mac};
 use quickfix::*;
 use sha2::Sha256;
@@ -8,7 +12,9 @@ use crate::config::CoinbaseConfig;
 
 pub fn fill_message(msg: &mut Message, config: &CoinbaseConfig) -> Result<(), QuickFixError> {
     // Set password
-    msg.set_field(field_id::PASSWORD, config.api_passphrase.as_str())
+    msg.set_field(USERNAME, "s.nakamoto")
+        .expect("Fail to set password");
+    msg.set_field(PASSWORD, config.api_passphrase.as_str())
         .expect("Fail to set password");
 
     Ok(())

examples/coinbase-fix42/Cargo.toml → examples/coinbase-fix42-order-entry/Cargo.toml

@@ -1,5 +1,5 @@
 [package]
-name = "coinbase-fix42"
+name = "coinbase-fix42-order-entry"
 version = "0.1.3"
 edition = "2021"
 publish = false

examples/coinbase-fix50-market-data/Cargo.toml

@@ -0,0 +1,11 @@
+[package]
+name = "coinbase-fix50-market-data"
+version = "0.1.0"
+edition = "2021"
+publish = false
+
+[dependencies]
+quickfix = { version = "0.1.3", path = "../../quickfix" }
+
+[build-dependencies]
+quickfix-msg-gen = { version = "0.1.3", path = "../../quickfix-msg-gen" }

examples/coinbase-fix50-market-data/build.rs

@@ -0,0 +1,12 @@
+use std::{env, io};
+
+use quickfix_msg_gen::*;
+
+const SPEC_FILENAME: &str = "src/cb-FIX50-prod-sand.xml";
+const BEGIN_STRING: &str = "FIXT.1.1";
+
+fn main() -> io::Result<()> {
+    let out_dir = env::var("OUT_DIR").expect("Missing OUT_DIR");
+    generate(SPEC_FILENAME, format!("{out_dir}/code.rs"), BEGIN_STRING)?;
+    Ok(())
+}