Project Title

Simple FIX protocol parser.

Description

The parser for now supports only the two types of messages:

• Market Data Snapshot/Full Refresh(W)
• Market Data Incremental Refresh(x)

See https://docs.deribit.com/v2/#fix-api for detailed information.

The parser project provides CLI utility that takes text file with FIX protocol messages as an input. CLI features:

• processes FIX messages and builds Stock Exchange Order Book
• updates build Order Book after each processed message
• outputs to stdout the first 'N' (provided through CLI arguments) sell and buy items after each Order Book update

Prerequisites

• CMake build system (>= 3.7) is used to compile the project. Compiling tested with gcc6.3.0.

• Conan package manager is required to build the project.

• Compiler support for C++11 standard is required.

• boost (>= 1.70.0) is required to build the project.

• googletest (>= 1.8.1) is required to build the project.

• log4cxx (>=0.10.0) is required to build the project.

Getting Started

• Download or clone the project's repository.
• Create build directory inside project folder and compile the sources. Building in source tree directory is forbidden.

    $ conan remote add jgsogo-conan-packages https://api.bintray.com/conan/jgsogo/conan-packages
    $ conan remote add bincrafters https://api.bintray.com/conan/bincrafters/public-conan
    $ mkdir .build && cd .build
    $ conan install ..
    $ cmake ..
    $ make

• Getting help:

    $ cd .build/bin
    $ ./fixparser_cli -h
    Usage: ./fixparser_cli [options]... 
    Options:
      -l [ --log-properties ] arg (=log4cxx.properties)
                                            File path with log4cxx settings.
      -d [ --data-file ] arg (=fix_data.txt)
                                            File path with fix protocol data.
      -s [ --size ] arg (=5)                The size of order book items to print.
      -h [ --help ]                         As it says.

Usage

• Start the command line utility with the required arguments:

    $ cd .build/bin
    $ ./fixparser_cli --data-file test_data.txt

Running the tests

CMake build framework might be used to run available unit tests. Just run 'ctest' inside build directory after building the sources.

    $ ctest
    $ ctest --verbose

More tests to be done

##$ Authors Oleg Fedorov, fedorov.ftf@gmail.com

##$ License

To be done...