This is a C++ FIX client for order management. It has been tested with Trading Technologies FIX gateway for order routing. With small modifications it should work with the CQG gateway as well.
For the full project documentation and blog post, see: https://m2te.ch/blog/opensource/fix-client
For more information about TT order routing please see: https://library.tradingtechnologies.com/tt-fix/order-routing/fix-order-routing-overview.html
Exchange connectivity available via TT https://www.tradingtechnologies.com/markets/markets-served/
For more information about CQG order routing please see: https://help.cqg.com/apihelp/index.html#!Documents/fixconnectorderrouting.htm
Exchange connectivity available via CQG https://www.cqg.com/partners/exchanges/tradable-exchanges
The QuickFix engine is used for the FIX protocol. https://en.wikipedia.org/wiki/QuickFIX
A driver program is included that allows for submission of commands for testing. These include normal trading commands such as placing and cancelling orders.
Copyright 2022 Vincent Maciejewski, Quant Enterprises & M2 Tech Contact: [email protected] [email protected] https://www.linkedin.com/in/vmayeski/ http://m2te.ch/
Latency for NewOrderSigle 3.5us if you compile QuickFix with C++17.