Hey, I helped building a FIX 4.x compliant engine before and can help with some input ( we used the QuickFix specs / tests to ensure initial compliance as it covers a large set of edge cases in the FIX protocol ). I'd definitely recommend either parsing very lightweight / specific OR prefer the QuickFix parser and infer message semantics from that. If you're only interested in Market Data, a lightweight parser for the raw result messages could work best. Also note that formats differ depending on the type of data subscription - snapshot ( http://www.onixs.biz/fix-dictionary/4.4/msgType_W_87.html ) VS incremental ( http://www.onixs.biz/fix-dictionary/4.4/msgType_X_88.html ). A snapshot can be translated into incremental updates in the device etc.
I'm not sure of the 5.x implementation - need to catch up. Just some thoughts. - Lourens On Fri, Aug 17, 2012 at 3:04 PM, gonzalo diethelm <[email protected]> wrote: > I have been trying to familiarize myself with the FIX protocol, > specifically in relation with its usage to publish stock prices /volumes > over a feed. I would think anybody with a “0mq point of view” (you know who > you are) would conceive of the following idea: how about writing a > dedicated device that swallows FIX messages on its front end and spits out > those stock prices / volumes using a PUB socket on the back end. If I were > to do this, I would probably use QuickFix to handle FIX connections, > formats, etc.**** > > ** ** > > Does this makes sense? Has anybody seen anything like this? Anybody knows > of any code (hopefully C++) that could be used as the basis for this beast? > I realize this idea could be part of a commercial / closed source package, > but just knowing someone else has walked this path before would be a nudge > in the right direction.**** > > ** ** > > Thanks in advance and best regards.**** > > ** ** > > -- ** ** > > Gonzalo Diethelm**** > > DCV Chile**** > > ** ** > > ------------------------------ > > Declaración de confidencialidad: Este Mensaje esta destinado para el uso > de la o las personas o entidades a quien ha sido dirigido y puede contener > información reservada y confidencial que no puede ser divulgada, difundida, > ni aprovechada en forma alguna. El uso no autorizado de la información > contenida en este correo podrá ser sancionado de conformidad con la ley > chilena. Si usted ha recibido este correo electrónico por error, le pedimos > eliminarlo junto con los archivos adjuntos y avisar inmediatamente al > remitente, respondiendo este mensaje. Disclosure: This Message is to be > used by the individual, individuals or entities that it is addressed to and > may include private and confidential information that may not be disclosed, > made public nor used in any way at all. Unauthorized use of the information > in this electronic mail message may be subject to the penalties set forth > by Chilean law. If you have received this electronic mail message in error, > we ask you to destroy the message and its attached file(s) and to > immediately notify the sender by answering this message. > > _______________________________________________ > zeromq-dev mailing list > [email protected] > http://lists.zeromq.org/mailman/listinfo/zeromq-dev > >
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