[zeromq-dev] FIX to 0mq bridge

Yi Ding yi.s.ding at gmail.com
Sat Aug 18 03:03:46 CEST 2012


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
<lourens at methodmissing.com> 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 <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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