Summary

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

It uses cpp_fixed to perform fixed decimal point integer math.

Building

The project depends on the cpp_fixed project. It must be available at the same directory level (change the INCLUDES entry in the Makefile if it is in a different location).

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

Design

The library is extremely low-level, designed for performance first. There is no automated FIX metadata. The consumer is responsible for defining the group layout of the messages it uses.

A custom arena based memory allocator is used, and any dynamic memory is reused when parsing the next message.

Nested groups are fully supported.

Testing

use make run_tests to run all of the test cases.

Performance

Using a 4 GHz Quad-Core Intel Core i7:

The library can parse more than 2.7M messages a second from a single istream. An istream is almost always required because the FIX connection is over TCP and the messages are not delineated.

Parsing messages with groups slows the parsing by 10%.

After parsing, the accessing of fields is performed at more than 55M a second.

The library can encode more than 4.5M typical "new order single" messages per second. With cached time values, this is more than 7.5M messages per second. Time conversion is typically slow so caching below the required accuracy is essential.

See the benchmark parsing
See the benchmark building

performance details

New Order Single: parsed 1000000 messages, usec per order 0.368897, orders per sec 2710783
New Order Single w/Groups: parsed 1000000 messages, usec per order 0.496595, orders per sec 2013713
built 10000000 messages, usec per msg 0.223333, msgs per sec 4477614
with cached time, built 10000000 messages, usec per msg 0.133145, msgs per sec 7510597