FiX 4.4 Protocol integration in Matlab

[andrewbag]

Hi Jaime,



How are you? I am from Uruguay, I am trying to integrate Quickfix and  Matlab, were you finally able to integrate it with Matlab?



Any hints? Suggestions? 



Best regards,



Andres

[Sisqo]

I think that integration of quickfix and matlab will be necessarily limited. If all you want to do is send new single order messages from matlab to quickfix, Java or .Net bindings in Matlab make this pretty trivial, using either quickfixj or the .Net wrapper of the main quickfix project.



You can create an implementation of the Application interface in Java or C#, and use this to handle callbacks that are sent by the quickfix engine. Then call some method on that application object from matlab to translate order data to the name/value FIX tag format of strongly typed quickfix API.



The data coming back from the FIX engine will be harder, in my opnion, to handle in Matlab. I am not sure I would want to be responsible for keeping single-threaded Matlab running long-term handling a stream of callbacks from execution reports, login/logout events, etc.



Perhaps you can have code in .Net, Java, even Python that invokes your core logic from Matlab at intervals?



Trying to create stateful long-lived processes in Matlab is not impossible just ill-advised, I think.

[ax]

you could write you FIX connection gateway in java or c++ then convert the messages to some format (ie. JSON or protocol buffers) then distribute those converted messages to various running strategies written in anything which send Orders back to the FIX connection gateway