Skip to content

FIX 4.4 codec (fastmm::codecs::fix)

Not in the default build

No connector speaks FIX yet. fastmm::codecs builds this codec only with -DFASTMM_CODEC_FIX=ON; its tests and bench/bench_codecs_fix.cpp follow the same option. A Venue over it needs a transport and a symbology.

A tag=value FIX 4.4 codec: framing, session layer for initiators and acceptors, and a decoder and encoder between FIX messages and the engine's normalised messages. There is no XML dictionary: the tags and enumerations the codec uses are constants in include/fastmm/codecs/fix/fix_tags.hpp.

Everything on the hot path is noexcept and allocation-free after construction (tests/hotpath/codecs_fix_noalloc_test.cpp checks it). The library depends on core only.

bytes ─► FixFramer ─► FixSession.on_frame ─┬─ session message: handled, true
                                          └─ application: false ─► FixDecoder ─► EventSink
OrderCommand ─► FixEncoder.encode ─► FixSession.send_app ─► MessageStore + SendFn
header type concept
fix_framer.hpp FixFramer codecs::Framer
fix_view.hpp FixView, FixRange, FixGroupReader
fix_builder.hpp FixBuilder
fix_session.hpp FixSession, FixSessionConfig codecs::SessionLayer
message_store.hpp MessageStore
fix_decoder.hpp FixDecoder codecs::Decoder
fix_encoder.hpp FixEncoder codecs::Encoder
fix_symbols.hpp FixSymbolTable
fix_time.hpp parse_utc_timestamp, format_utc_timestamp
fix.hpp umbrella + concept static_asserts

Wire format

8=FIX.4.4|9=<BodyLength>|35=<MsgType>|...|10=<CheckSum>| where | is SOH (0x01).

  • BeginString(8), BodyLength(9) and MsgType(35) are the first three fields.
  • BodyLength counts the bytes after the SOH that ends field 9, up to and excluding 10=.
  • CheckSum is the sum of every byte before 10=, modulo 256, written as three digits.
  • Values cannot be empty. The data fields SecureData(91), RawData(96), XmlData(213) and EncodedText(355) may contain SOH; their length comes from the preceding length field.

FixFramer

FixFramer finds 8=FIX, reads BodyLength and checks that 10=ddd| sits exactly where BodyLength says. It returns kMessage frames (payload = one message) or kGarbage frames (bytes that cannot start a message), and "need more" on partial input. Garbage before a message, a non-numeric BodyLength, a misplaced CheckSum field or a message over max_message (64 KiB by default) are skipped until the next 8=FIX.

FixView

FixView::parse validates the framing above plus the CheckSum value, then indexes every field as (tag, offset, length) into the caller's bytes. Tags below 1024 get O(1) lookups. Getters return std::optional: get_int, get_char, get_bool (Y/N), get_price / get_qty (exact decimal to the 1e-8 fixed point; + and exponents rejected), get_timestamp_ns. FixGroupReader walks a repeating group: entries start with the group's first tag, end at the next first tag, at a tag outside an optional member list, or at CheckSum, and complete() checks NumInGroup.

UTCTimestamp

YYYYMMDD-HH:MM:SS or YYYYMMDD-HH:MM:SS.sss in FIX 4.4. The parser also accepts 6 and 9 fraction digits; the builder writes milliseconds.

FixBuilder

FixBuilder writes into a caller buffer: begin_header(type, sender, target, seq, now) emits 8, 9 (three placeholder digits), 35, 49, 56, 34, 43 + 122 for retransmissions, and 52. finish() writes the real BodyLength (shifting the body when it is not three digits) and appends CheckSum. Overflow latches !ok() and finish() returns 0.

Session layer

FixSession(cfg, send, ctx); set_clock() supplies SendingTime (otherwise the time of the last on_timer), set_event_callback() reports logon, disconnect, gap detected and gap filled. SendFn must not call back into the session.

message behaviour
Logon (A) Initiator logon(now) sends EncryptMethod(98)=0, HeartBtInt(108), ResetSeqNumFlag(141)=Y when reset_seq_num_on_logon (both sequence numbers restart at 1, the store is cleared). The acceptor adopts HeartBtInt, resets on 141=Y, answers with its own Logon. A Logon without a valid HeartBtInt is refused; logon_timeout_ns bounds the wait.
Heartbeat (0) Sent when nothing was sent for HeartBtInt; echoes TestReqID(112).
TestRequest (1) Sent when nothing was received for HeartBtInt + transmission_grace_pct (20%); disconnect (TestRequestTimeout) when that passes again without any message. Received ones are answered with Heartbeat(112).
ResendRequest (2) Sent on a gap with BeginSeqNo(7) = expected, EndSeqNo(16) = 0 (infinity). Received ones are served from the store (below).
Reject (3) Sent with RefSeqNum(45), RefTagID(371), RefMsgType(372), SessionRejectReason(373), Text(58).
SequenceReset (4) GapFill mode (123=Y) follows the MsgSeqNum rules and moves the expected number to NewSeqNo(36); NewSeqNo not above MsgSeqNum is rejected (373=5). Reset mode ignores MsgSeqNum; a NewSeqNo below the expected number is rejected (373=5).
Logout (5) logout(text) sends Logout and waits logout_timeout_ns for the confirmation; a received Logout is confirmed and the session goes down.

Inbound MsgSeqNum(34):

  • equal to the expected number: processed;
  • higher: ResendRequest, state Recovering, the message is discarded (EndSeqNo=0 covers it). Recovery ends when the expected number passes the highest number seen. A newer message arriving while recovering, after the resend has already advanced the expected number, means a message was lost mid-recovery; the session asks again from there;
  • lower with PossDupFlag(43)=Y: duplicate, ignored;
  • lower without it: Logout with MsgSeqNum too low, expecting N but received M, disconnect.

PossDupFlag=Y without OrigSendingTime(122) gets Reject 373=1 (RefTagID 122). OrigSendingTime later than SendingTime gets Reject 373=10, then Logout and disconnect. Messages failing BodyLength or CheckSum are ignored (not counted against sequence numbers). A wrong BeginString after logon, a CompID mismatch (Reject 373=9 + Logout) or a missing MsgSeqNum end the session. Acceptors drop anything but Logon while down.

MessageStore

send_app() appends each outbound application message (MsgType, original SendingTime, body bytes after the standard header) to a store preallocated at construction (store_max_messages entries, store_max_bytes arena). It is append-only and bounded: once full, further messages are not kept. On ResendRequest each stored message in the range is sent again with its original MsgSeqNum, PossDupFlag=Y, OrigSendingTime = original SendingTime and a new SendingTime; every run of administrative or unavailable sequence numbers becomes one SequenceReset-GapFill (PossDupFlag=Y, NewSeqNo = next number to resend). Header fields other than 8/9/35/49/56/34/43/52/122 are not preserved on resend.

Decoder

FixDecoder(symbols, venue); decode(frame, rx_ts, sink) parses and validates, decode_view(view, rx_ts, sink) reuses FixSession::view(). Messages are built in place in the sink (BookDelta is reserved with BookDeltaMsg::size_for and filled in place). hdr.venue_seq = MsgSeqNum, exch_ts = TransactTime(60) or SendingTime(52), recv_ts = rx_ts.

FIX engine message
ExecutionReport ExecType(150) 0 New, 5 Replaced OrderAck (ClOrdID 11, OrderID 37)
150=8 Rejected OrderReject (OrdRejReason 103: 1 InstrumentDisabled, 5 VenueUnknownOrder, 6 DuplicateId, 13 InvalidLot, else VenueReject; Text 58)
150=4 Canceled OrderCancelAck for OrigClOrdID(41), else ClOrdID; CumQty(14)
150=C Expired, 3 Done for day OrderExpired (CumQty 14)
150=F Trade (and pre-4.3 1/2) OrderFill (LastQty 32, LastPx 31, CumQty 14, LeavesQty 151, ExecID 17, Side 54, LastLiquidityInd 851: 1 Maker, 2 Taker)
150=6, A, E, D, I, G, H ignored
OrderCancelReject (9), CxlRejResponseTo(434)=1 OrderCancelReject for OrigClOrdID (CxlRejReason 102=1 VenueUnknownOrder, else VenueReject)
OrderCancelReject, 434=2 OrderReject for the replacement ClOrdID
MarketDataSnapshotFullRefresh (W) one BookSnapshot (kSnapshot) with MDEntryType 0 bids and 1 offers
MarketDataIncrementalRefresh (X) one BookDelta per run of book entries on one instrument (MDUpdateAction 2 Delete = qty 0); one Trade per MDEntryType 2 entry (trade id = numeric MDEntryID 278)

Fills are deduplicated by ExecID over the last 256 executions. ClOrdIDs are the engine's encoding (encode_cl_ord_id, "fm" + 12 hex digits); order events for other ids are ignored (foreign_ids). Order events are delivered even when Symbol(55) is unknown (instrument left invalid); market data needs a known symbol. In X, an entry without Symbol inherits the previous entry's.

Encoder

FixEncoder(session, symbols); encode(cmd, out) writes a full message for MsgSeqNum = session.next_sender_seq(), send(session, cmd) encodes and calls send_app.

command message and fields
New NewOrderSingle (D): 11 ClOrdID, 18 ExecInst=6 for post-only, 55 Symbol, 54 Side, 60 TransactTime, 38 OrderQty, 40 OrdType (1 Market, 2 Limit and post-only), 44 Price (not for Market), 59 TimeInForce (GTC 1, IOC 3, FOK 4, Day 0)
Cancel OrderCancelRequest (F): 41 OrigClOrdID, 37 OrderID when known, 11 = order id + c + counter, 55, 54, 60, 38
Replace OrderCancelReplaceRequest (G): 37, 41, 11, 18, 55, 54, 60, 38, 40, 44, 59

F and G require Side, OrderQty and OrdType, which OutCancelMsg / OutReplaceMsg do not carry. The encoder remembers side, type, time in force, instrument, price and quantity of every order it encoded in a preallocated direct-mapped table keyed by the client order id (16384 slots by default); remember() seeds orders sent elsewhere. A cancel or replace for an unknown order fails (returns 0). reduce_only has no FIX 4.4 field and is not sent.

Simulation validation

tests/codecs/fix_sim_test.cpp joins an initiator and an acceptor session with an in-memory byte pipe (random 1 to 64 byte chunks through FixFramer). The acceptor bridges D/F/G to the sim MatchingEngine and answers with ExecutionReports, OrderCancelRejects and MarketDataIncrementalRefresh built from the engine's callbacks. For three seeds, 3000 random steps of new orders (limit, post-only, IOC), cancels (including unknown ids), replaces (in-place amends and cancel-then-new) and counter-party liquidity run while about 2% of the venue's first transmissions are dropped, so recovery by ResendRequest runs throughout. At the end the client, which only sees decoded events, must match the engine exactly: fills per order and the net position, open orders with their leaves, and both sides of the book.

tests/codecs/fix_session_test.cpp covers logon, heartbeats, test requests and their timeout, logout, gap detection with resend (PossDup, OrigSendingTime, GapFill for administrative messages), a full store, too-low MsgSeqNum, the PossDup rules, both SequenceReset modes, garbled messages and CompID checks.

Performance

bench/bench_codecs_fix.cpp, from bench/README.md (scripts/bench.sh, preset release-native, gcc 13, AMD Ryzen 7 7800X3D under WSL2, pinned, median of 5 repetitions, 2026-09-23):

benchmark p50
BM_Fix_ParseExecReportFill (validate + index a 25-field, ~250-byte fill, one getter) 221 ns
BM_Fix_DecodeExecReportFill (parse + OrderFillMsg into a MsgRing, ExecID dedup) 404 ns
BM_Fix_BuildNewOrderSingle (FixEncoder::encode, post-only limit, 9 body fields) 122 ns
BM_Fix_FramerNext (one complete message) 8.3 ns 
./build/<dir>/bin/bench/bench_codecs_fix --cpu=5 --benchmark_repetitions=9 \
  --benchmark_report_aggregates_only=true --benchmark_min_time=0.5s

Budgets: bench/ci_budget.toml.

Sources

  • FIX Trading Community, FIX 4.4 specification with Errata 20030618: https://www.fixtrading.org/standards/fix-4-4/
  • OnixS FIX 4.4 dictionary, https://www.onixs.biz/fix-dictionary/4.4/: StandardHeader (compBlock_StandardHeader.html), messages Logon (msgType_A_65.html), Heartbeat (msgType_0_0.html), TestRequest (msgType_1_1.html), ResendRequest (msgType_2_2.html), Reject (msgType_3_3.html), SequenceReset (msgType_4_4.html), Logout (msgType_5_5.html), ExecutionReport (msgType_8_8.html), OrderCancelReject (msgType_9_9.html), NewOrderSingle (msgType_D_68.html), OrderCancelRequest (msgType_F_70.html), OrderCancelReplaceRequest (msgType_G_71.html), MarketDataSnapshotFullRefresh (msgType_W_87.html), MarketDataIncrementalRefresh (msgType_X_88.html); tags 9, 10, 18, 39, 40, 54, 59, 97, 102, 103, 123, 150, 269, 279, 373, 434, 851 (tagNum_<n>.html).
  • OnixS, CheckSum calculation (FIX 4.2 appendix B; the algorithm is unchanged in 4.4): https://www.onixs.biz/fix-dictionary/4.2/app_b.html
  • B2BITS FIXopaedia FIX 4.4 data types (UTCTimestamp, int, float, Boolean, MultipleValueString): https://www.b2bits.com/fixopaedia/fixdic44/data_types.html
  • FIX Trading Community, FIX session-level test cases and expected behaviours (MsgSeqNum too low, PossDup handling, OrigSendingTime later than SendingTime), from secondary summaries only.
  • Known-answer check: the ExecutionReport example of the Wikipedia article "Financial Information eXchange" (BodyLength 178, CheckSum 128).

Unhandled fields and open questions

  • Session rules come from the dictionary's message descriptions and secondary summaries of the session test cases. Not confirmed against FIX 4.4 Volume 2 (session protocol):
  • GapFill messages sent in reply to a ResendRequest carry PossDupFlag=Y (implemented);
  • the 20% "reasonable transmission time" (a configurable default);
  • a ResendRequest or Logout with a too-high MsgSeqNum is still acted on (implemented: serve or confirm, then request the gap);
  • an acceptor silently drops non-Logon first messages.
  • Session: no persistent sequence numbers or store (in memory, per process); no NextExpectedMsgSeqNum (789), Username/Password, encryption or Logon-time TestRequest; a lost ResendRequest is not retried until another too-high message arrives; messages arriving above the gap are discarded, not queued; Reject is gap-filled like other administrative messages.
  • Decoder: FIX 4.4 market data has no aggressor side, so TradeMsg::aggressor is always Buy; incremental entries must carry MDEntryType and MDEntryPx (entries addressed only by MDEntryID are not supported); trades in W snapshots are ignored; Commission(12) is not mapped, so fee is 0; pending, restated, order-status and trade-correction reports are ignored.
  • Encoder: Account(1) and HandlInst(21) are not sent.
  • The simulation bridge sends AvgPx(6) = LastPx (or 0) rather than a running average.