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Fast FIX (Financial Information Exchange) protocol parser [FFP]

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README.md

Fast FIX (Financial Information Exchange) protocol parser [FFP]

Fast FIX Parser (FFP) is a library for parsing Financial Information eXchange (FIX) messages. It takes input bytes as they arrive from, for example, a socket, and converts them into a representation of FIX messages which can be further analysed for semantic checks, converted into “business” structures, etc. It also provides a way to specify which tags are allowed for a particular message and verifies this specification at runtime.

Why?

  • Speed. On my rather old Core i5-430M 2.26GHz laptop, in a single thread, this parser can process about 260,000 messages with groups per second and about 520,000 simple messages per second. The processing time is more or less a linear function of the message length.
  • It does not impose any particular I/O or threading model. In fact, it does no I/O at all, and there are no threads running in the background. This greatly simplifies integration of the library into an existing code base.
  • The parser does not expect every chunk of its input data to be a complete FIX message. The input bytes can be fed into the parser as they become available, and the parser splits or combines the input into complete messages.
For more details see doc/brief.html
Platforms: Windows, Linux
Licence: BSD
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