dendisuhubdy / fixpp

fixpp - A modern C++ FIX library

Fixpp

Fixpp is a modern C++ FIX parser distributed as a header-only library. Fixpp is entirely written in pure C++11 and uses last features of C++11 and C++14 like variadic templates or using aliases. Primary goal of fixpp is to provide an entire type-safe FIX frame parser (visitor) as well as a fully featured serializer.

Fixpp does not aim to be a fully-featured FIX Engine able to connect and receive frames for FIX providers through a TCP or UDP connection. It does not handle any transport at all.

API Usage

using namespace Fix;

Fixpp provides a type-safe API, meaning that everything in the FIX world is represented as a C++ type in the API. For example, a Logon message is represented as an instance of the Fix::v42::Message::Logon class. Also note that FIX versions are represented as sub-namespaces of the root Fix namespace.

Getting/setting fields

Fixpp provides getters and setters to get and set fields inside a specific Message.

Use Fix::set<T> to set fields:

Fix::v42::Message::Logon logon;
Fix::set<Fix::Tag::EncryptMethod>(logon, 0);
Fix::set<Fix::Tag::HeartBtInt>(logon, 60);

Use Fix::get<T> to get fields:

auto heartbeat = Fix::get<Fix::Tag::HeartBtInt>(logon);

Type-safety

As stated above, everything in fixpp is represented as a C++ type. This allows to

• Check that a tag is valid when attempting to set/get it from a message
• Check the type validity when attempting to set the value of a tag

For example, attempting to set an invalid value for a tag will trigger a compile-time error through a static assertion

Fix::v42::Message::Logon logon;
Fix::set<Fix::Tag::HeartBtInt>(logon, "60s");

fixpp/include/fixpp/dsl/message.h:116:9: error: static assertion failed: Invalid data type for given Tag

Attempting to retrieve an invalid tag from a Message will also trigger a compile-time error.

Extending messages

While message types provided by fixpp do not provide any custom tags, you can provide your own custom tags by extending existing messages.

using MyTag = Fix::TagT<10876, Fix::Type::Int>;
using MyLogon = Fix::ExtendedMessage<Fix::v42::Message::Logon, MyTag>;

Will define and create a new MyLogon message with a custom MyTag tag. MyTag can then be manipulated through the MyLogon type:

MyLogon logon;
Fix::set<MyTag>(logon, 12);
assert(Fix::get<MyTag>(logon) == 12);

For more complicated customizations of an existing message, Fix::MessageOverwrite<T> can be used. Fix::MessageOverwrite<T> provides a bunch of operations that can be applied to a Message:

• ChangeType<Tag, NewType> to change the type of an existing tag
• AddTag<Tag> to add a tag like ExtendedMessage<T>
• ExtendGroup<GroupTag, Tags...> to extend a specific repeating group

using MyTag = Fix::TagT<10876, Fix::Type::Int>;
using MyGroupTag = Fix::TagT<10676, Fix::Type::String>;

struct MyOverwrite : public Fix::MessageOverwrite<Fix::v42::Message::Logon>
{
    using Changes = ChangeSet<
         ChangeType<Of<Fix::Tag::HeartBtInt>, To<Fix::Type::String>>,
         AddTag<MyTag>,
         ExtendGroup<Fix::Tag::NoMsgTypes, MyGroupTag>
    >;
};

using MyLogon = MyOverwrite::Changes::Apply;

Frame parsing

Fixpp uses the Visitor pattern. If you are familiar with boost::variant or std::variant, fixpp features the exact same pattern. To visit a FIX frame, first define a Callable object that accepts every possible message that you want to handle:

struct MyVisitor
{
     void operator()(const Fix::v42::Header& header, const Fix::v42::Message::Heartbeat& heartbeat)
     {
         // ...
     }
     
     void operator()(const Fix::v42::Header& header, const Fix::v42::Message::MarketDataSnapshot& snapshot)
     {
         // ...
     }
     
     template<typename HeaderT, typename MessageT> void operator()(HeaderT, MessageT)
     {
     }
};

A generic, templated operator() must also be provided. Every non-handled Message will fall through this special overload. This is the equivalent of the default case of a switch case except that it is needed for the visitor to compile correctly.