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Quantitative Finance · Glossary

What is FIX engine?

Definition 15.4 Low-Latency Software · Chapter 15 — Protocols I: FIX

A FIX engine is the software that implements the FIX session layer for an application: it frames and validates incoming messages, maintains sequence numbers, heartbeats and the store of sent messages, answers resend requests, and hands application messages to the program in order.

Parsing and building FIX execution reports of about 205 bytes (1 000 distinct messages, median of 40 passes). Measured on a laptop (Intel Core Ultra 7 155H) under WSL2, no isolated cores; C++ with GCC 11 at -O2, Python 3.10. Data: bench_fix.py.
Figure 15.3. Parsing and building FIX execution reports of about 205 bytes (1 000 distinct messages, median of 40 passes). Measured on a laptop (Intel Core Ultra 7 155H) under WSL2, no isolated cores; C++ with GCC 11 at -O2, Python 3.10. Data: bench_fix.py.
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