https://github.com/inv2004/newfix
Fix static-typed parser
https://github.com/inv2004/newfix
benchmarks financial fix parser parsers protocol
Last synced: about 2 months ago
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Fix static-typed parser
- Host: GitHub
- URL: https://github.com/inv2004/newfix
- Owner: inv2004
- Created: 2021-03-23T18:36:35.000Z (about 4 years ago)
- Default Branch: master
- Last Pushed: 2021-04-09T23:59:36.000Z (about 4 years ago)
- Last Synced: 2023-05-03T15:13:41.491Z (about 2 years ago)
- Topics: benchmarks, financial, fix, parser, parsers, protocol
- Language: Nim
- Homepage:
- Size: 671 KB
- Stars: 3
- Watchers: 1
- Forks: 1
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
# Fix static-typed parser
The parser generates effective structure and its parser from QuickFix's specs XML files
The xml's are pregenerated into packages inside the ``newfix`` package
## Usage
```nim
import newfix/fix44.nim # For Full FIX44 specification, but better to optimize
let msg = "8=FIX4.4...." # Fix string
let fix = parseFix44(msg)
echo fix
```
## Benchmarks
During the implementation, I was looking at the benchmark's numbers of CoralFIX Parser, which were mentioned like one of the fastest FIX parsers: http://www.coralblocks.com/index.php/coralfix-performance-numbers/ .
The article mentions hw: Intel i7 quad-core (4 x 3.50GHz) Ubuntu box overclocked to 4.50Ghz.
My hw: i5-7500 (4 x 3.40GHz) (not overclocked / win10)
| Test | CoralFIX | NewFix | StreamFix |
|------------------------------------------|-----------|-------------|-------------|
| Simple | 481.55 ns | 315.7449 ns | 397.2781 ns |
| Repeating groups | 1132 ns | 581.9442 ns | 502.9431 ns |
| Repeating groups inside repeating groups | 1932 ns | 1045.8 ns | 820.1095 ns |
| MassQuote with 1x8 subgroups (314b) * | | 1570.5 ns | 335.1315 ns |
| MassQuote with 5x6 subgroups (1010b) * | | 6616.0 ns | 1312.4 ns |
* MassQuote: StreamFix extracts MsgType, QuoteID, Bid/OfferSize and BidOfferSpotPrice (to build a book)
## StreamFix
https://github.com/inv2004/streamfix
Fix parser implementation without static garanties, but suitable to process streaming data from low-latency adapters without waiting for full message (not FPGA yet)
## Optimization:
To optimize parsing speed it is better to remove unused fields from full specification like it have been done for ``spec/MINIMAL.xml' and PrimeXM specification in 'scpe/FIX44PXM.xml' already
```bash
$ nim c src/newfix/genfix.nim
$ src/newfix/genfix spec/FIX44MY.xml > fix44my.xml
```
Structure name from the top tags attributes: ```` => ``Fix44Min``
If you know that you can optimize some types: for example hex or int instead of string - it possible to optimize separate fields manually in the generated module.