Basic C++ FIX trading platform using the QuickFIX Engine.

I was recently involved in implementing a FIX message client. We are using our own proprietary FIX engine to implement it, but I was urged to have a look at the QuickFIX Engine. This project is based massively on the example code that comes with the engine. I just removed support for the various FIX protocol versions and kept only FIX 5.0 SP2. Also made a few changes/additions to the matching engine to return a FIX 5.0 SP2 FIX::ExecutionReport message with all the required fields.

The project contains two tasks, tradeclient and ordermatch. They are both console based. The first sends orders and the latter stores them and tries to make a match. On success it sends FIX::ExecutionReport messages with the matched trade details.

A few implementation details:

• The ordermatch task stores the orders in Order instances. The Order class holds two std::multimap containers, one for Buy and one for Sell orders.
• For each financial instrument we have a Market. The Market's name is based on the instrument's FIX::Symbol tag value.
• Both tasks store their incoming/outgoing FIX messages in plain text files in a folder named ./store/.

The task displays a command line menu where you can send messages to ordermatch. It also prints out all incoming and outgoing FIX protocol messages.

The task is not displaying a command line menu but it supports a few commands.

• #symbols - Display all the active Market instances of the OrderMatcher.
• #quit - Disconnect any active connections and shutdown.
• <string> - Display all Bid and Ask orders for the Market matching the string. A Market's name is based on the financial instrument's FIX::Symbol tag value.

One third party library needed:

• quickfix - The QuickFIX Engine.

NOTE: I downloaded the sources and build my own QuickFIX Engine library. During the configure step the file config.h is generated. This file is included into the example code that comes with the package. It contains define statements for the various tools the library was built to have support for. For example support to store the FIX messages in a database (mySQL, PostgreSQL etc). I copied this header file by hand in my include directory. You can either do the same or just remove the #include line. Not sure if it's needed anyway. I just kept it to be on the safe side.