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.
The numbers below have been achieved on my 5 years old laptop with Core i5-430M 2.25GHz processor. On modern production hardware the results will probably be better.
Compiler: gcc (Ubuntu 4.8.4-2ubuntu1~14.04) 4.8.4
OS: Linux Mint 17.2 64bit
| FIX message type | FIX specification | Validation | Average time to parse one message |
|---|---|---|---|
| NewOrderSingle('D') | Hand-coded spec. for this message only | No | 0.317 µs/msg |
| NewOrderSingle('D') | Hand-coded spec. for this message only | Yes | 0.559 µs/msg |
| NewOrderSingle('D') | Compiled full spec. for FIX.4.4 | Yes | 0.756 µs/msg |
| MarketDataIncrementalRefresh('X') | Hand-coded spec. for this message only | Yes | 1.199 µs/msg |
| MarketDataIncrementalRefresh('X') | Compiled full spec. for FIX.4.4 | Yes | 1.398 µs/msg |
For more details see doc/ directory of the project.