FIX Protocol and User Defined Fields in Repeating Groups

This post is driven by discussion on fixprotocol.org about message parsing and user defined fields (UDF) in repeating groups.

The main concern is if you really need to correct a dictionary when adding UDF to the repeating group or message can be parsed just based on the standard. Popular (and theoretically correct) answer is yes, you should modify dictionary. But in fact there is something you can do without dictionary and still be able to parse such messages properly.

When you parse repeating group you know several things about it:

1. From the leading tag you know the number of entries 
2. From the standard you know the start tag, which is alway required for repeating group

When you parse particular entry of the repeating group and it is not the last entry (you can easily find out that by counting start tags) you can consider all UDFs as part of this repeating group.

When you parse the last entry and you find UDF, which appeared in previous entries you can also consider it as a part of repeating group.

What you CANNOT do:

1. If you find UDF the first time when parsing the last entry of the repeating group you cannot decide if it belongs to repeating group or body (actually you can check if it is followed by the tag defined for repeating group but this is too much). 
2. If message is invalid i.e. contains incorrect number of entries you cannot make correct decision.

After all keep in mind that all these "guesses" slow down your parsing so think twice whether you really need it and then think one more time. :)

Some additional links are under cut.

FIX Antenna vs QuickFIX: battle or marriage?

It is always difficult to compete with freeware and opensource as they have at least one unquestionable advantage - price. When thinking of what proprietary paid solution can oppose to free opensource one usually come to two obvious options:

• Service (maintenance and support)
• Technological advantages

B2BITS FIX Antenna definitely addresses both of the items. It is discussed in detailed here. In general I would say that the most substantial advantage of FIX Antenna nowadays is performance.

For those who have chosen QuickFIX in the past and now are suffering from the performance deficiency being scared of  long migration process to some proprietary solution, B2BITS developed QF Adaptor, which simplifies migration process and minimizes time to market. And still it outperforms QuickFIX.

For more information please click the links below.

http://fixprotocol.org/discuss/read/7d21d6bd

http://www.b2bits.com/b2bits/news_31jan11.html

http://www.b2bits.com/trading_solutions/fix_antenna_qf_adaptor.html

http://www.b2bits.com/performance_lab/fix_antenna_qf_adaptor.html

FIX Engines and High Frequency Trading

FIX engine is usually just a small part of trading application however it plays an important role and adds its own latency. To be in business today FIX engine's latency should not exceed 100 usec. In fact the demand on the market is for 10 usec while standard OS stack normally takes around 40 usec

We in B2BITS tried to optimize CME Market Data adaptor and with the help of special Myricom card (Myri 10G-PCIE2-8B2-2S) were able to improve the latency 3-4 times.

Follow links below for more details:

http://fixprotocol.org/discuss/read/977094fb
http://www.b2bits.com/b2bits/news_25jan11.html
http://www.b2bits.com/performance_lab/cme_fast.html