使用QuickFix / n读取FIX日志文件

Question

I have a FIX format log file and a data structure I've built myself in C#. What I want to do is to run the log file in QuickFix and build my own event listener. In that listener, I'll convert the FIX types into the types I need and fill my DS.

I've been going through the QuickFix tutorials and examples, but couldn't figure it out. I don't need it to go through a network or anything like that.

Please help and thank you, Yonatan

Answer 1

None of the QuickFIX ports provide this functionality. At best, you could build a simple app that could read the logfile line-by-line and pass each line to QF's Message(string) constructor. To convert that Message to a more specific type, you can feed it to a more-specific-type constructor, such as ExecutionReport(Message) .

The above are for the original C++ QF. The other ports (QF/J and QF/n) should have similar mechanisms.

You will not be able to use the MessageCracker to fire OnMessage() events because you're not actually listening on a session. Instead, I'd recommend using a switch or doing an overload based on message class arguments.