When we implement an FIX parser and an FIX composer, we know how tedious and time-consuming this process is. If you choose to implement these parts from scratch, you will need to take care of the network connections, the parsing operations, and the part creating the FIX messages. Because we want to focus on creating a trading system that's capable of working quickly, we will want to use a library where all the functions have already been implemented. There are many commercial FIX libraries available, including NYFIX, Aegisfot – Aethna, Reuters – Traid, and Financial Fusion – Trade Force. The one we will use is called the quickfix library.
This library can be downloaded from http://www.quickfixengine.org/.
This library was created in 2000 and is supported by Java, C++, and Python.
The libraries simplify the developer...
