Sample Market Data client using QuickFIX

This sample shows how to receive FIX Market Data using popular QuickFIX Python library

Pre-requisites

• Install Python 3.7+ and pip:

sudo yum install python3-devel python3-wheel  

• Install QuickFIX Python library using pip command:

pip3 install quickfix  

• Setup Deltix FIX Gateway.
• Download this sample files to your work directory.

Configure

Modify config/sample_md_client.cfg according to your Ember configuration as follows:

• Point SocketConnectHost and SocketConnectPort to your Deltix FIX Gateway,
• Make sure SenderCompID, TargetCompID match the FIX Session you want to connect as.
• If password is required modify username and password in Application.toAdmin() of fix_session.py
• Update FileStorePath and FileLogPath if necessary.
• Update TransportDataDictionary and AppDataDictionary to point to FIXT11.xml and FIX50SP2_Custom.xml files. FIXT11.xml is included with QuickFIX and FIX50SP2_Custom.xml is located in quickfix_dict folder of this sample.

Run

To run the sample client, execute sample_md_client.py with sample_md_client.cfg as a parameter on Python 3.x:

python3 src/sample_md_client.py config/sample_md_client.cfg

If client is able to connect, it will show a message about successful login and then start printing market data snapshot messages.