The HistoryReplay sample demonstrates how to use FIXHistoricalApplication to reconstruct the historical order flow from the historical persistence log.
HistoryReplay sample has less than 100 total lines of code. It can reconstruct the intra-day order flow from multiple processes within one single application. A simple "for-loop" can enumerate the entire order flow stored in a collection in memory.
The command line arguments of the HistoryReplay process is very straightforward. Apart from the access information to the repository server and the location of the FIX log directory, at least one name of the FIX engine persistence is required.
For more information about the FIX engine persistence file, please read the chapter "Persistence Files".
A sample command line argument is shown below:
HistoryReplay "qwrp://127.0.0.1:60000" "administrator" "" "C:\Temp\FIXLog" "20081130.Engine.Tutorial_OrderMan_Client" "20081130.Engine.Tutorial_OrderMan_Server"
The above command will load the intraday order flow of two processes "Tutorial_OrderMan_Client" and "Tutorial_OrderMan_Server", of the date 20081130.
The program can also be used to load several days worth of order flow of the same FIX engine.
For more information, please read "FIXHistoricalApplication".