Financial Information Exchange

Introduction

• The project is a simple implementation of the Financial Information Exchange (FIX) protocol and contains the following utilities.

  • fix_model_core - contains utilities such as Ascii, &asc, aschar types which can be used in place of rust native String, &str, char types.

  • fix_model_generator - contains rust code generator that auto-creates structs with serde that can be serialized into FIX & JSON standard formats. Generator is using QuickFix specification files as a input format.

  • fix_model_v42 & fix_model_v44 - module contains the boiler plate structs created by above generator.

  • fix_serde - contains serde serialization & deserialization implementation for FIX messages.

Basic Usage

• reffer to fix_model_v44/examples for advanced usage and FIX message creation

use fix_model_core::prelude::*;
use fix_serde::prelude::*;
use fix_model_v44::*;

pub fn from_fix<'de, T: serde::Deserialize<'de>>(slice: &'de [u8]) -> fix_serde::prelude::Result<T> {
  fix_serde::prelude::from_slice_with_schema::<_, Fix44Schema>(slice)
}
pub fn to_fix<T: serde::Serialize>(value: &T, capacity: Option<usize>) -> fix_serde::prelude::Result<Serializer<BytesWrite, Fix44Schema>> {
  fix_serde::prelude::to_bytes_with_schema::<_, Fix44Schema>(value, capacity)
}

fn main() {
  // allocated Ascii & Data
  let msg_inp = NewOrderSingle::<Ascii, aschar, Data> {
      cl_ord_id: "cl_ord_id".to_owned().try_into().unwrap(),
      side: Side::Buy,
      order_qty: Some(100_f64.into()),
      price: Some(99.99.into()),
      ..Default::default()
  };
  let fix = to_fix(&msg_inp, 1024.into()).unwrap();
  println!("fix: {}", fix);

  // borrowed Ascii & Data
  let msg_out: NewOrderSingle<&asc, aschar, &dat> = from_fix(&fix).unwrap();
  let msg_out = msg_out.to_owned_inner_if_ref();
  assert_eq!(msg_inp, msg_out);

  let json = serde_json::to_string(&msg_inp).unwrap();
  println!("json: {}", json);
}

fix: len: 68, capacity: 1024, bytes: "11=cl_ord_id🔸54=1🔸60=TransactTime:60@Default🔸38=100.0🔸40=1🔸44=99.99🔸"
json: {"ClOrdID":"cl_ord_id","Side":"1","TransactTime":"TransactTime:60@Default","OrderQty":100.0,"OrdType":"1","Price":99.99}