Preface

This article describes the FIX-over-FAST connectivity using B2BITS FIX Antenna C++ (tm) library. It is supposed that the user is familiar with B2BITS FIX Session (Engine::Session) class. For more information please refer to Session description, FIX Session Acceptor and FIX Session Initiator.

Overview

The FAST protocol (FIX Adapted for STreaming) is a technology standard developed by FIX Protocol Ltd., specifically aimed at optimizing data representation on the network. It is used to support high-throughput, low latency data communications between financial institutions. In particular, it is a technology standard that offers significant compression capabilities for transporting high-volume market data feeds and ultra-low latency applications.

Using B2BITS FIX Antenna C++(tm) the user can establish connection with FIX-over-FAST oriented remote site. Current users are also able to migrate from FIX to FIX-over-FAST without significant code modifications.

Quick start

The following step-by-step guide will explain how to create FIX-over-FAST session, establish connection and send/receive FIX messages.

Create FIX-over-FAST Session

In order to send and/or receive application messages, the user should create an instance of the Engine::Session class using the Engine::FixEngine::createSession method with an appropriate value of underlyingProtocolType parameter (see also Session description). The following sample demonstrates the creation of a FIX 5.0 over FIXT 1.1 over FAST session.

The following sample demonstrates how to create FIX 5.0 over FIXT 1.1 over FAST session.

 
 
#include <iostream>
#include <B2BITS_V12.h>
 
using namespace std;
 
int main()
{
    class Appl : public Engine::Application {
        // See "Application description" section
    };
 
    try {
        // initialization
        Engine::FixEngine::init(); 
 
        Appl appl; 
 
        // create a session for FIX 5.0 using FIXT.1.1 as SCP layer over FAST
        Engine::Session* pSn = Engine::FixEngine::singleton()->createSession(
            &appl,                    // pApp
            "SENDER",                 // senderCompID
            "TARGET",                 // targetCompID
            Engine::FIX50,            // ver - FIX 5.0 application protocol version
            NULL,                     // pParam
            Engine::persistent_storageType,   // storageType
            Engine::FIXT11_FAST_TCP   // underlyingProtocolType - create FIXT 1.1 over FAST sub-layer
            ); 
 
        // ... - business logic 
 
        // release resources
        pSn->release(); 
        Engine::FixEngine::destroy(); 
 
    } catch(const Utils::Exception& ex) {
        cout << "EXCEPTION: " << ex.what() << endl;
    }
}

Establish connection

Then the user should establish connection with a remote counterparty. There are two methods to establish connection:

as initiator
as acceptor

The following sample demonstrates how to establish a session as the initiator. The server is supposed to be located at localhost and bound to 9999 port.

// ... - create FIX-over-FAST session
 
Engine::FixT11FastTcpParameters connParams;
connParams.host_ = "localhost";         // remote host internet address
connParams.port_ = 9999;                // remote host TCP port
connParams.templateFn_ = "fix50_fixt11_templates.xml";  // path to file with FAST templates for FIX.5.0-FIXT.1.1 protocol.
pSn->connect( connParams );
 
// ... - wait until pSn->getState() != Engine::Session::ESTABLISHED

The following sample demonstrates how to accept an incoming FIX-over-FAST connection.

// ... - create FIX-over-FAST session
 
pSn->connect( 
    "fix50_fixt11_templates.xml" // templateFn - path to file with FAST templates for FIX.5.0-FIXT.1.1 protocol.
);
 
// ... - wait until pSn->getState() != Engine::Session::ESTABLISHED

Message processing

After the connection is established the user is able to receive application messages. The process method of the Engine::Application class has to be implemented to process incoming messages.

Send message

After connection is established the user is able to send application messages. The following sample demonstrates how to create and send a message:

Engine::FIXMessage* msg = Engine::FIXMsgFactory::singleton()->newSkel( Engine::FIX50, "D", Engine::FIXT11 );
 
// ... - fill message with data 
 
pSn->put( msg ); // send message to the remote site
msg->release();  // release resources assigned with message

FIX to FAST mapping

Since FAST does not support full range of FIX types, mapping between FAST and FIX types is needed. The table below contains all conversion paths.

FAST type	FIX application type	Comments
u32	i32	Value must be in range [0, 2^31)
u64	i64	Value must be in range [0, 2^63)
u32	i64	Value must be in range [0, 2^32)
u64	u32
u32	u64	Value must be in range [0, 2^32)
i32	u64	Value must be in range [0, 2^31)
i32	i64	Value must be in range (-2^31, 2^31)
i64	i32
u64	i32
u32	char	Value must be in range [0, 2^7)
u64	Engine::UTCTimestampType	Value is serialized/deserialized to u64 using format yyyyMMddhhmmsszzz (i.e. 2008-01-02 03:04:05.678 will be transferred as 20080102030405678)
u32	Engine::LocalMktDateType	Value is serialized/deserialized to u32 using format yyyyMMdd (i.e. 2008-01-02 will be transferred as 20080102)
u64	Engine::LocalMktDateType	Value is serialized/deserialized to u64 using format yyyyMMdd (i.e. 2008-01-02 will be transferred as 20080102)
u32	Engine::UTCTimeOnlyType	Value is serialized/deserialized to u32 using format hhmmsszzz (i.e. 03:04:05.678 will be transferred as 20080102030405678)
u64	Engine::UTCTimeOnlyType	Value is serialized/deserialized to u64 using format hhmmsszzz (i.e. 03:04:05.678 will be transferred as 20080102030405678)
u32	Engine::Decimal	Fractional part of decimal value will be truncated. Value must be in range [0, 2^32)
ascii	Engine::Decimal
u64	Engine::Decimal	Fractional part of decimal value will be truncated. Value must be in range [0, 2^64)
i32	Engine::Decimal	Fractional part of decimal value will be truncated. Value must be in range (-2^31, 2^31)
u32	ascii	Value of string should be an integer in range [0, 2^32)
u64	ascii	Value of string should be an integer in range [0, 2^64)
i64	ascii	Value of string should be an integer in range (-2^64, 2^64)
ascii	bool	The value of '\001' will be interpreted as true; otherwise it will be interpreted as false.
ascii	char
ascii	i32
ascii	i64
i32	char
u64	Engine::MonthYearType	Value is serialized/deserialized to u64 using format yyMMdd (i.e. 2008-01-00 will be transferred as 080100)

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