The issue you're going to have is how to define your market data on the other end of your parser. ZeroMQ doesn't give your actual data any structure; it just ships around raw bytes. Ironically, FIX is a good way to give structure to market data.
QuickFIX is a good place to start. The codebase is relatively easy to learn. You'll probably also want to look into zeromq 3 (which still has a few blocking bugs as far as I know) because it has subscriber side filtering of messages. Cheers, Yi On Fri, Aug 17, 2012 at 4:43 PM, Lourens Naudé <[email protected]> wrote: > 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 >> > > > _______________________________________________ > zeromq-dev mailing list > [email protected] > http://lists.zeromq.org/mailman/listinfo/zeromq-dev > _______________________________________________ zeromq-dev mailing list [email protected] http://lists.zeromq.org/mailman/listinfo/zeromq-dev
