ctrader-fix-cpp

A Deterministic, branchless, and low latency FIX4.4 parser for the cTrader FIX API written in C++20 with AVX, AVX2, and AVX512 intrinsic support. Decode: 40ns/entry, 1us/msg. Encode: 80ns/msg.

The API is both scalable and easy to use, whilist still being performant. This is mainly due to the fact that any user configuration applied is done at compile time, unlike libraries like FIX8 or QuickFIX which require you to construct your own message buffer at run time.

The API can be used as followed.

Encoding a message

int main()
{

	ctrader::encode::encoder<connection::quote> encoder;

	/// Logon

	encoder.encode<request::logon>();
	auto logon = encoder.get_buffer<request::logon>();

	std::cout << logon << std::endl;

	std::cout << std::endl;
	std::cout
		<< logon.header << std::endl
		<< "\t" << logon.header.entry.begin_string << std::endl
		<< "\t" << logon.header.entry.body_length << std::endl
		<< "\t" << logon.header.entry.msg_type << std::endl
		<< "\t" << logon.header.entry.sender_comp_id << std::endl
		<< "\t" << logon.header.entry.target_comp_id << std::endl
		<< "\t" << logon.header.entry.target_sub_id << std::endl
		<< "\t" << logon.header.entry.msg_seq_num << std::endl
		<< "\t" << logon.header.entry.sending_time << std::endl;

	std::cout << std::endl;
	std::cout
		<< logon.body << std::endl
		<< "\t" << logon.body.entry.encrypt_method << std::endl
		<< "\t" << logon.body.entry.heartbeat << std::endl
		<< "\t" << logon.body.entry.reset_seq_num_flag << std::endl
		<< "\t" << logon.body.entry.username << std::endl
		<< "\t" << logon.body.entry.password << std::endl;

	std::cout << std::endl;
	std::cout << logon.trailer << std::endl;
	std::cout << "\t -> msg_seq_num = " << encoder.get_seq_num() << std::endl << std::endl;


	/// Market Data Request

	encoder.encode<request::market_data_req>("ds32f3", subscription::enable, market_depth::full, symbol::eur_usd);
	auto market_data_req = encoder.get_buffer<request::market_data_req>();

	std::cout << market_data_req << std::endl;

	std::cout << std::endl;
	std::cout
		<< market_data_req.header << std::endl
		<< "\t" << market_data_req.header.entry.begin_string << std::endl
		<< "\t" << market_data_req.header.entry.body_length << std::endl
		<< "\t" << market_data_req.header.entry.msg_type << std::endl
		<< "\t" << market_data_req.header.entry.sender_comp_id << std::endl
		<< "\t" << market_data_req.header.entry.target_comp_id << std::endl
		<< "\t" << market_data_req.header.entry.target_sub_id << std::endl
		<< "\t" << market_data_req.header.entry.msg_seq_num << std::endl
		<< "\t" << market_data_req.header.entry.sending_time << std::endl;

	std::cout << std::endl;
	std::cout 
		<< market_data_req.body << std::endl
		<< "\t" << market_data_req.body.entry.md_req_id << std::endl
		<< "\t" << market_data_req.body.entry.subscription_req_type << std::endl
		<< "\t" << market_data_req.body.entry.market_depth << std::endl
		<< "\t" << market_data_req.body.entry.md_update_type << std::endl
		<< "\t" << market_data_req.body.entry.entry_type_count << std::endl
		<< "\t" << market_data_req.body.entry.entry_bid << std::endl
		<< "\t" << market_data_req.body.entry.entry_offer << std::endl
		<< "\t" << market_data_req.body.entry.symbol_count << std::endl
		<< "\t" << market_data_req.body.entry.symbol << std::endl;

	std::cout << std::endl;
	std::cout << market_data_req.trailer << std::endl;
	std::cout << "\t -> msg_seq_num = " << encoder.get_seq_num() << std::endl << std::endl;

	return 0;
}

Custom modification can be added using a compile time struct like this:

...

constexpr ctrader::encode_options OverrideSettings = {
	.fix_version = "FIX.2.2",
	.user_name = "ArsalanAnwari",
	.password = "Aanwari#0609",

	.sender_comp_id = "demo.blocktech.io",
	.target_comp_id = "cServer",
	.target_sub_id = { "QUOTE", "TRADE" },

	.date_time_mask = "00000000-00:00:00.000000",
	.date_time_mask_offsets = ctrader::default_utc_time_offset,

	.heartbeat_sec = 10u,

	.max_symbol_digits = 5u,
	.max_msg_size_digits = 4u,
	.max_msg_type_digits = 1u,
	.max_seq_num_digits = 12u,
	.max_test_id_digits = 5u,
	.max_req_id_digits = 7u
};


int main() {

	ctrader::encode::encoder<connection::quote, OverrideSettings> encoder;
	...

}

To do:

• Rename types to use type_name syntax instead of type_name_t.
• Seperate settings into debug_settings.hpp, encode_settings.hpp and decode_settings.hpp instead of using settings.hpp.
• Replace permutations with _mm256_alignr_epi8(v, zero_v, 8) in find() function.
• Template unroll as_integral() in convert.hpp for values with less than usize valued digits.
• Use bitwise comparisons for price::operator<() instead of logical operators
• Use two i32 members for price instead of 3, one for value one for position of decimal.
• Fix bug in exec_policy calculations when using stride with lower cascading technology. Ex: stride 20 with AVX2 support, should return exec_policy::AVX and not exec_policy::AVX2 as (20 < 32) and (20 - ((20 % 16) + 16) == 0).
• Change vectorized functions which work with none aligned data sizes to use padding data instead of a seperate scalar implementation for the leftover data.
• Finish README with example and add wiki.