FIX Trading System

Two Java applications that speak FIX 4.2, the messaging standard of electronic trading, built for my bachelor's thesis in Software Systems (Vilnius University of Applied Sciences, 2024):

• engine/: the FIX acceptor. It runs the markets, keeps their order books, matches orders and answers every request with an execution report or a reject. Markets and orders are stored in MariaDB.
• order-entry/: the FIX initiator, a desktop client for sending orders and following them. Several clients can be connected to the engine at once.

Both are built on QuickFIX/J, which handles the FIX session layer, and started from its example applications (Banzai and OrderMatch).

What it does

• Market and limit orders, for the day, good till cancelled (GTC) or good till a date (GTD); orders past their date are cancelled.
• New orders, cancels, cancel/replace, order status requests, market data snapshots and security status.
• Execution reports, order cancel rejects and business message rejects back to the client.
• Empty markets are filled with the previous day's prices from the Polygon.io API.
• Swing screens with sortable, filterable tables: the engine's markets and orders (add, update and delete markets), and the client's orders, executions and markets, with CSV reports.
• Every session and message logged with Logback.

Stack

Java 21, Maven, QuickFIX/J 2.3.1, Swing, MariaDB (JDBC), Jackson, Logback.

Running it

You need Java 21, Maven and a MariaDB server.

1. Database. Create a database and a user for the engine, then load the tables from engine/schema.sql: mariadb -u <user> -p <database> < engine/schema.sql. The schema was rebuilt from the engine's SQL after the original database was gone.
2. Settings. Copy engine/src/main/java/lt/vytzab/engine/Variables.java.example to Variables.java in the same folder (it is git-ignored) and set the database URL and your Polygon.io API key. The database username and password are asked for in the terminal when the engine starts.
3. Engine. In engine/: mvn compile exec:java, or mvn package and then java -jar target/engine.jar. Start the session from the Session menu. It accepts the first client on port 9881 and the second on 9882 (engine.cfg).
4. Order entry. In order-entry/: mvn compile exec:java, or mvn package and then java -jar target/order-entry.jar. Log on from the Session menu; it connects to localhost:9881 as ORDERENTRY1. For a second client, pass the second config: java -jar target/order-entry.jar src/main/resources/orderEntry2.cfg (ORDERENTRY2 on port 9882).

Both apps write their logs to a logs/ folder in the directory they are started from.

Known issues

The code is kept as it was submitted in January 2024. The one change is in orderEntry.cfg, where the last commit had commented out FileStorePath, so the client couldn't log on. The setting is restored. Remaining issues:

• Without a valid Polygon.io API key, seeding empty markets fails: the engine prints an error for each ticker and starts with no markets, which can then be added by hand.
• MarketDAO.getAllHistoricMarketsForDate and getLatestMarketEntry read a symbol column that historic_market_data doesn't have. Neither method is called by the app.

History

The two apps were developed on separate branches (Engine and OrderEntry) from a shared starting point, and later merged into these folders with their full history.