FIX gateway in Erlang
Joel Reymont
On Dec 3, 2008, at 3:36 AM, Alex Shafir wrote:
> The FIX gateway idea was inspired by discussions with friends
> running a
> statistical arbitrage engine at a small NYC based trading company. I
> agreed to do a technology research for them to evaluate if Erlang
> can be a
> practical tool for that kind of development.
I think it could, with some work. I know that Jane St Capital uses
OCaml for their trading infrastructure but I don't know any trading
companies using Erlang.
> The project goes erratically (too much C++ in between). Currently I
> have the
> session level working, more or less, against the testing service.
What testing service are you using?
> Can this parsing/building binaries be of any interest for the
> Journal in your opinion?
By all means yes! Could you describe your profiling approach as well?
> Existing clients (OpenAMQ
> etc.) are not compatible with RabbitMq in terms of the protocol
> versions.
Do other AMQP servers have C++ clients, though?
> Native Erlang messaging currently requires building C-nodes using EI
> library. The C++ guys are used to Boost etc. They would like to have
> a C++
> kind of framework above the EI library.
This should not be difficult to build.
> So, we are over the barrel choosing
> which way to go, building/modifying an AMQP client (STOMP solution
> isn't
> deemed acceptable), or building our own C++ wrapper framework over
> the EI
> library?
How about benchmarking? You don't need to build a C++ layer on top of
EI to do this. You can use EI directly and it will be easier than
writing a RabbitMQ C++ client.
If you are willing to open source your FIX gateway code then you can
put it up on GitHub and let us all hack on it. You'll go further and
faster!
Thanks, Joel