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F# for Quantitative Finance by Johan Astborg

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Introducing FIX and QuickFIX/N

In this section we'll learn about the FIX 4.2 standard and the QuickFIX/N library for .NET. FIX is the standard protocol of communicating with brokers and exchanges and stands for Financial Information eXchange. It has been around since the early 90s and uses an ASCII-based representation of messages. Other alternatives exist, such as proprietary APIs and protocols.

Using FIX 4.2

In this section we'll refactor the existing trading system in order to use FIX 4.2 messages.

  1. Download FIXimulator from the following URL:http://fiximulator.org/
  2. Download QuckFIX/n from the following URL: http://www.quickfixn.org/download.
  3. Extract the files from the archives into folders.
  4. Start FIXimulator by running fiximulator.bat.

When you have ...

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