QuickFIX 101
This example quickfix app was presented at the Chicago FinTech Open Source meetup on 2013-10-16, hosted by Connamara Systems.
It demonstrates how QuickFIX can be used to rapidly develop a workspace in which to run a trading strategy. The workspace provides market data and order routing to the strategy.
We leverage the "executor" example app that is included with QuickFIX to simulate an order/execution session, and we use a simple market data simulator (both included here) to drive the strategy with last trade notifications.
See QuickFIX101.pdf for the slides from the presentation.
Prerequisites
You will need QuickFIX installed in order to build this project. If you are using ubuntu, you can use the version that is available in apt:
sudo apt-get install libquickfix-dev
See http://quickfixengine.org/download to install from source on other platforms.
Build
The example code builds in the usual way with autotools:
./autogen.sh
./configure
make
Run
Start the executor:
./executor etc/executor.cfg
Start our market data simulator:
./mdsim etc/mdsim.cfg
Start our strategy app:
./app etc/app.cfg AAPL