Requirements

OpenSSL
quickFix
Obviously, an API ID and Secret from the Deribit Exchange test website
And most importantly, YouTube link, link, and link explaining in painful detail (each one more painfully explored than the last lol) how to include external dependencies in your Visual Studio solution. I struggled with that at first too.

quickFix Tutorial

Ahem, well not exactly. There's lots of material online covering how to use the quickFix engine. There's the documentation, and if you phrase your google prompts right, lots of example source code material. And that's not even including the example clients included in the quickFix engine open source code.

So, again, exhaustive.

So, WHY SAY "TUTORIAL", MISTER?

Fair expression, stay with me.

This, while not being an all-encompassing tutorial, will cover most of the problems someone new to quickFix (or navigating large codebases in general) might face and solutions that just work. It's not too large, hehe.

Fair warning, read this after studying the quickFix documentation. Read this only if you still feel gaps in your understanding of how to make the damned client send messages right.

Basically, treat this as an extension of the already--again, exhaustive--quickFix documentation.

Getting started

After including the quickFix engine source, you define a class that inherits the quickFix engine Application and MessageCracker classes. Read the documentation if this doesn't make sense.

The Application class contains a bunch of method declarations that need to be defined/implemented in your derived class. It's really that easy.

Now here's why I included this section:

fromAdmin() callback method gets automatically called when your client recieves an administrative level message from the server. Example administrative messages are: Logon and Logout messages.
toAdmin() callback method gets automatically called when your client sends an administrative level message to the server. Same examples suffice.
fromApp() callback method gets automatically called when your client recieves an application level message from the server. Example application message is a Market Data Request message.
toApp() callback method gets automatically called when your client sends an application level message to the server. Same example suffices.

These callback method (i.e you don't call them in your code, the quickFix engine does that for you--you can define what they do tho :)) could be used to log the correspondence between the client and the server as you (the developer) wishes.

I struggled with distinguishing these callback functions and figuring out when each was called. So there you have it, so you never have to.

Logon

Your initiator should (and that's as compulsory as it gets) have an infinite loop in it's implementation of the run() method. Don't worry about it, it's something about concurrent programming within the quickFix engine. Breaking out of this run() method loop should be conditional.

Besides that, the code here contains a pretty good implemention of toAdmin() that handles logon messages correctly everytime.

Maintaining sessions

Within your onCreate() method implementation, retrieve your sessionID and store it in a class variable. You'd need it passed as an argument to the sendToTarget() method. Without that, quickFix just can't identify the session within which the correspondence should happen.

Recieving messages

Yes, you have toApp() implemented, yet you still can't get your server responses, even when you're SURE the server is up and responding. Been there. Implement an onMessage() method for each of the messages you'd be expecting from the server. Thank me later.

That's about it...

Yep, that's pretty much it, those are the main problems I had to deal with working with quickFix and didn't have solutions readily available. Modify the code as you wish, and email me if you have any more problems wldfngrs@gmail.com.

Enjoy messing with requests to/from the Deribit exchange.