FIX engine for currency trading

  • Status Closed
  • Budget N/A
  • Total Bids 12

Project Description


• Extremely proficient in C/C++

• Experience in trading application development, API and FIX Protocol

• Experience with FIX Engine development, including testing connections/compliance with FIX Protocol

• Database experience, MySQL

• Network experience: Application to Application message handling

Project Deliverables:

All deliverables in the project should be C++ based

1. Low latency FIX Engine that handles message traffic to/from server. Should include:

a. Flexibility to easily add/remove fields and configure FIX messages for specific brokers

b. Capability to configure multiple broker connections /message traffic sources (2 to start)

c. Metrics/Timestamps to measure application performance/efficiency

d. Unit Testing to test/update compliance with FIX Protocol

e. Seamless integration into C/C++ trading applications

f. Callbacks for trading applications that provide translation into FIX Protocol

g. log4cxx as log

2. Database: MySQL :

a. Optimized insertion/deletion of FIX Protocol messages

b. Windows GUI application capable of monitoring/querying messages within database

c. Create basic transaction log (assign unique transaction number, time, bid/ask, etc.), display all trades, order by time (show time, product, volume, price, buy/sell)

d. Capture tick data (time, bid/ask, etc.)

e. Data must be written to files that can be exported, manipulated and sorted by each field

f. Database configuration should not affect speed of trading program

3. Windows Monitoring Application: Should include:

a. currency market with bid/ask plus current position

b. Visual representation of all transactions

c. High level account breakdown of profit/loss and trades/positions

d. Specific subaccount breakdowns of trades/positions and profit/loss when trading through multiple subaccounts.

e. Management of orders: open orders/executions/canceling orders

f. Heartbeat/ login / logout

g. messages from ECN

h. Messages regarding FIX (ie. reject FIX message)

4. Training/Support

a. Documentation for reference

b. Explanation/comments on all classes, members, and method functionality

c. Windows based trading monitor manual/reference guide. Training on use/adding functionality.

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