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Testing of real market data and FIX for quant development

(Last Updated On: May 16, 2011)

Testing of real market data and FIX for quant development

How will you do it?

What precisely are you trying to test here?

We used to have a script and capture Market Data real data and play it back at different speeds in order to test the applications and benchmark how many market data messages can handle.
For Fix you can buy a fix simulator in order to send and receive FIX messages.
I hope this helps

dont want to shameless plug, but check these out:
http://thomsonreuters.com/content/financial/pdf/s_and_t/aegisoft_DWT11022009.pdfhttp://thomsonreuters.com/products_services/financial/FIX_validation/fix_validation/algo_back_tester/http://thomsonreuters.com/products_services/financial/FIX_validation/fix_validation/fix_commander/?view=Standard

open source fix engine provide two already build applications tradeclient and executor. Tradeclient sends fix messages. It is very easy to modify to send any king of fix message, read data from file or database and send many messages for load testing. Executor automatically execute new orders and send back execution reports. It can be modified to executive different types of orders. Using those and quickfix itself you can build good set of testing tools very quickly and easy.

Get a raw market data feed, buy a reference feed handler and a FIX test session from the exchange

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

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