[zeromq-dev] FIX to 0mq bridge

Lourens Naudé lourens at methodmissing.com
Fri Aug 17 23:43:52 CEST 2012


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 <gdiethelm at dcv.cl> 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****
>
> ** **
>
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