How to develop FIX Engine?

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Imported from previous forum

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I am developing fix engine using FIX4.4 or above to connect to LP Server similar to meta trader.
I am confused about how to handle session level messages and sequence handling.Can u plz help me?
Thanks in Advance.

3

Look thru the relevant specs at

http://fixprotocol.org/specifications/

The spec explains the purpose of each message. Sequence handling is also dealt with in detail.

What programming language r u using ?

I am developing fix engine using FIX4.4 or above to connect to LP Server
similar to meta trader. I am confused about how to handle session level
messages and sequence handling.Can u plz help me? Thanks in Advance.

4

Have you considered using an existing FIX engine instead of writing from scratch?
If that is not an option I suggest taking a look at QuickFIX/J source code (supports till 5.0) or quickfix (if you want C++ code). You will get some idea of how session level messages should be handled. And of course the spec is mandatory read before you begin.

I guess my answer is a bit vague but if you have a more specific question about FIX session I will try to be specific.

I am developing fix engine using FIX4.4 or above to connect to LP Server
similar to meta trader. I am confused about how to handle session level
messages and sequence handling.Can u plz help me? Thanks in Advance.

5

Hi Abhishek,

Instead of writing your own engine, you might want to consider contributing to one of the existing open-source solutions first. That would help you get a solid understanding of FIX engine architecture, based on solutions which are already being used in the industry, as well as help out the folks who are contributing a lot of their free time to provide the industry with open-source solutions!

At the very least, I would suggest you download a few of the OSS solutions and review their source code - this would help you gain a significantly better understanding of how to implement those systems.

Some links to open-source FIX engines:

  1. QuickFIX/J (http://www.quickfixj.org)

  2. QuickFIX/C++ (http://www.quickfixengine.org)

  3. VersaFix/C# (VersaFix download | SourceForge.net)

Cheers,

Russ

I am developing fix engine using FIX4.4 or above to connect to LP Server
similar to meta trader. I am confused about how to handle session level
messages and sequence handling.Can u plz help me? Thanks in Advance.