FIX Data Logger

Discussion in 'Automated Trading' started by Xtreme, Feb 25, 2015.

  1. Xtreme


    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.

  2. monoid


    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.

    volpunter likes this.
  3. Xtreme


    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.
  4. francis1

    francis1 ET Sponsor

    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.
    volpunter likes this.
  5. spreadem likes this.
  6. Xtreme


    Thanks makes sense.