FullFIX

Platform: Linux

Licence: BSD 3-clause

Status: Beta release

FullFIX is a library for parsing Financial Information eXchange (FIX) messages. The main goal of the project is to produce the fastest software solution for FIX protocol. The library is written entirely in C for better portability. The parser depends on libc only and it does not impose any I/O or threading model. Unlike some other well known solutions, in this parser the FIX specification gets converted to efficient C code at compile time to achieve the best performance.

Supported FIX protocol versions: up to and including version 4.4.

Performance

The numbers below have been achieved on Intel Core i5-8500T 2.10GHz processor. On modern production hardware the results will probably be better.

Compiler: gcc (Ubuntu 7.3.0-27ubuntu1~18.04) 7.3.0

OS: Linux Mint 19 64bit

FIX message type | FIX specification | Validation | Average time to parse one message ----------------------------------|------------------------------------------|------------|---------------------------------- NewOrderSingle('D') | Hand-coded spec. for this message only | No | 0.152 µs/msg NewOrderSingle('D') | Hand-coded spec. for this message only | Yes | 0.262 µs/msg NewOrderSingle('D') | Compiled full spec. for FIX.4.4 | Yes | 0.324 µs/msg MarketDataIncrementalRefresh('X') | Hand-coded spec. for this message only | Yes | 0.487 µs/msg MarketDataIncrementalRefresh('X') | Compiled full spec. for FIX.4.4 | Yes | 0.611 µs/msg

For more details see doc/ directory of the project.