• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

What is the best way to parse a Fix Protocol message in C#

Hi, good morning.

I'm trying to find a best way(with the best performance) to parse a Fix Protocol message.
Then I made some functions that return a value if I give a Fix Message and a Fix field. They work pretty well but I don't know if is the best way to do this.
See below:
C++:
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;

namespace FixField
{
class Program
{
private const char cEql = (char)61;
private const char cFixSep = (char)1;
private const string cFixMsg = @"8=FIX.4.29=27735=834=2489149=ABCD52=20100415-16:01:06.98256=FIX0999991=222222226=011=00500002000000097814=017=0101069762390120=031=032=037=2010041500578358587538=100039=040=241=00500002000000097744=000026.73054=255=IBM59=060=20100415-16:01:07150=0151=00000000100010=148";

static void Main(string[] args)
{
Console.WriteLine(FixField(cFixMsg,"9"));
Console.WriteLine(FixField2(cFixMsg, "9"));
}

static string FixField(string strFixMsg, string strField)
{
int intPos;
int intFieldLen;
int intEnd;
string strValue;

intFieldLen = strField.Length + 2;

intPos = strFixMsg.IndexOf(cFixSep + strField + cEql);

intEnd = strFixMsg.IndexOf(cFixSep, intPos + 1);

if (intPos == -1)
{
strValue = strFixMsg.Substring(2, intEnd - 2);
}
else
{
strValue = strFixMsg.Substring(intPos + intFieldLen, intEnd - intPos - intFieldLen);
}

return strValue;
}

static string FixField2(string strFixMsg, string strField)
{
string[] strValue = strFixMsg.Split(new char[] { cFixSep, cEql });

int i;

for (i = 0; strValue[I] != strField; i++)[/I]
 { }
 
return strValue[i + 1];
}

 }
}
best regards,

bruno
 

JKPappas

GPUs-R-US
Have you looked around for any open-source .NET libraries for working with FIX? E.g., http://www.codeproject.com/KB/cs/fixprotocol.aspx

If you're only parsing one kind of message (what you posted above) and your code already works, then I wouldn't over-engineer the problem. I'm not very familiar with the FIX message format, but you might be able to parse it with a Regex as well (though if you do, test the performance against your existing code to see which is faster).
 
Top