Does anyone know of any small simple programs that can be used to essentially capture tick data via FIX and store to a database. The purpose of this is to monitor bid/ask spread during specific times of trading sessions. The spread data is what I'm primarily wanting to catch. Thanks,
Hi Xtreme: I run a FIX client that I wrote for my purposes that I can share with you. It is written in Haskell. Storing to Database is done in a separate application. The two applications communicate using a messaging bus. However, my FIX client is tailored to a specific data provider. I don't have time to make it an "provider agnostic" client. But if you can tell me who you plan to connect to, I might be in a position to help you. Regards, Monoid.
Thanks Monoid for your reply. Let me see what else I can come across, I was looking to see if there was an off the shelf product. If I have no luck with that then I will look at viability of a bespoke developed solution like yours.
FIX can be used in various ways. Every provider will have its own variant so you won't find a tool that connects to all FIX engines. Every FIX interface is specific to each provider.