fixparser-plugin-messagestore-kdb

fixparser-plugin-messagestore-kdb is a FIXParser plugin designed for managing a message buffer in a KDB+ instance. It stores and retrieves FIX messages over a WebSocket connection to KDB+, providing an asynchronous interface for interacting with the data.

Features

• WebSocket Connection: Connects to a KDB+ instance via WebSocket to send and receive messages.
• Message Buffering: Stores messages in a configurable buffer, with an option to limit the buffer size.
• FIX Message Parsing: Uses a provided FIX parser to serialize/deserialize FIX messages.
• Asynchronous API: Supports asynchronous operations for adding, retrieving, and managing messages.

Installation

To install the dependencies, run:

npm install fixparser-plugin-messagestore-kdb

To setup KDB+, copy the files in kdb-files/ to the installation directory of KDB+, such as ~/q. Edit script.q to configure the listening port.

chmod +x ./kdb.sh
./kdb.sh

Usage

Creating a MessageStoreKDB Instance

import { FIXParser } from 'fixparser';
import { MessageStoreKDB } from 'fixparser-plugin-messagestore-kdb';

const fixParser = new FIXParser();
const store = new MessageStoreKDB({
    host: 'localhost',
    port: 1234,
    parser: fixParser,
    logger: fixParser.logger,
    onReady: () => {
        console.log('Connection to KDB+ established and ready.');
    }
});

fixParser.connect({
    host: 'localhost',
    port: 9878,
    protocol: 'tcp',
    sender: SENDER,
    target: TARGET,
    messageStoreIn: store,
    onOpen: () => {
        console.log('Connection established.');
    },
    onMessage: (message: Message) => console.log('received message', message.description, message.messageString),
    onClose: () => console.log('Disconnected'),
});

Adding a Message to the Buffer

const message = new Message(
    new Field(Fields.BeginString, ApplVerID.FIX42),
    new Field(Fields.MsgType, Messages.ExecutionReport),
    new Field(Fields.SenderCompID, 'ABC'),
    new Field(Fields.TargetCompID, 'XYZ'),
    new Field(Fields.MsgSeqNum, fixParser.getNextTargetMsgSeqNum()),
    new Field(Fields.ExecTransType, ExecTransType.New),
);
store.add(message)
    .then(() => console.log('Message added to the buffer.'));

Retrieving a Message by Sequence Number

store.getByMsgSequence(1)
    .then((message) => {
        if (message) {
            console.log('Retrieved message:', message);
        } else {
            console.log('Message not found.');
        }
    });

Getting the Buffer Size

store.size()
    .then((size) => {
        console.log('Current buffer size:', size);
    });

Clearing the Buffer

store.clear()
    .then(() => console.log('Buffer cleared.'));

Configuration Options

• host (string): The hostname of the KDB+ instance.
• port (number): The port on which the KDB+ instance is listening.
• tableName (string, optional): The table name in the KDB+ instance (default: FIXParser).
• parser (IFIXParser): The FIX parser used for encoding/decoding messages.
• maxBufferSize (number, optional): The maximum size of the message buffer (default: 2500).
• logger (Logger, optional): The logger for logging events and errors.
• onReady (function): A callback function that is called when the KDB+ connection is ready.

License

This project is licensed under a Commercial License - see the LICENSE file for details.