Summary

This is a C++ implementation of a FIX protocol engine.

With the addition of some important test cases this has moved closer to production ready but it still under active development. It is designed for ulta-high performance scenarios, so it won't support FIX message persistence/replay in the early releases. All sequence numbers are reset to 1 during connection.

It uses cpp_fixed to perform fixed decimal point integer math. It uses cpp_fix_codec to perform low-level FIX message encoding/decoding.

Building

Requires:

• cpp_fixed
• cpp_fix_codec to be available and built at the same directory level.

The project builds by default using make and CLang. There is a Makefile.gcc for building using GCC.

Design

The engine uses a thread per client in the server.

Errata

The fix messages declared in the project are samples for demonstration purposes. A system would need to build/parse messages according to the providers specifications.

Performance

Using a 4 GHz Quad-Core Intel Core i7, and the Boost Fibers for server and clients.

160k+ round-trip quote messages (single double-sided qoute) + ack per second on localhost. (ping pong i.e. wait for ack, not streaming).

$bin/sample_client localhost -bench 75
round-trip 811924 quotes, usec per quote 6.16218, quotes per sec 162280

Over-the-network timings coming soon.

Design notes

There are two main branches: thread_per_session and fibers. The latter uses Boost Fibers, and the former a platform thread per FIX session.

The main branch uses fibers as the performance was much better.

The Initiator uses a platform thread by default, but can be configured to use fibers by passing a Poller to the constructor. See the sample_client and -bench support for using multiple FIX initiators sharing Boost Fibers.

Testing

• use make run_tests to run the unit tests.
• use bin/sample_server to launch the server process.
• use bin/sample_client <host> <symbol> to mass quote the symbol against the server.
• use bin/sample_client <host> -bench <count> to mass quote <quote> symbols against the server.