Introduction

pyFIX is an implementation of the Financial Implementation eXchange (FIX) protocol. It utilises python's 'Twisted' event processing framework to handle TCP/IP connectivity and session management. It supports both initiator and acceptor type sessions.

The system supports an arbitrary number of outgoing and incoming connections. Each 'acceptor' session is associated with only one listening port. However any number of listening ports can be opened. This may be useful in multi-homed setups. Due to twisted's asynchronous processing model the number of sessions can scale reasonably well.

Features

Implementation has following features.

• Dynamic Creation of classes based on FIX Specification XML

  Message and Field classes are created on startup according to the spec using python's class factory logic.

• Type safe fields

  The FIX Field classes are aware of their types and will fail to validate if a field is created using a value that cannot be converted to the required type.

• Dynamic Session creation

  Sessions can be added to the server programattically at runtime.

• Multicast discovery

  A simple multicast discovery library is included which allows Session managers to anounce their presence on a network. This functionality is useful for guis to locate remote sessions managers, as in the more complex use cases there may be several session managers running on different hosts at the same time.

• Benefits from Twisted

  Being based on twisted all the benefits of writing an app using the twisted framework are available, such as -

  • Programattic 'remote' interface to the server.

    Examples include a pyglet based session viewer example is included which shows conecting to an instance with the PB protocol. Also an FTP/FIX bridge is in included which demonstrates how it it possible to FTP a file info the server which will then be translated to FIX orders, the executions for which are made available as downloadable 'psuedo-files' made available using the twited FTP server.

Dependencies

In general have tried to keep dependencies to a minimum, and stuck to using modules in the standard library where available. Cases where have had to veer outside the standard library have tried to stick with modules that can be installed with easy_install. With the exception of wxPython the remainder of the dependencies have all been tested to install cleanly on top of a fresh python installation using easy_install.

• Twisted 8.2.0

  The code was developed using the ( at the time ) latest version of Twisted.

• Python 2.5/2.6

  Pyfix has been tested on python2.5 and python2.6. the core of the parser depends on the relatively new (and fast!) string.partition method to parse FIX messages.

• Berkeley DB.

  Used for persistence of FIX messages. The RECNO format is used since it supports integer keys and lends itself nicely to storing session state. It should be straightforward to implement a version that uses any of the anydbm variants, although this would require switching to string keys. For now I'll assume that the bsddb or bsddb3 modules are availbale ( or easily installable on the client machine).

• pyyaml

  Session config is based on yaml but the config objects can be created directly in python if preferred.

• wxPython

  Required for the tabular message viewer application.

• PyCrypto ( Optional )

  Required by the manhols ssh server if the remote interpreter functionality is to be used.

• pyOpenSSL ( Optional )

  Required for SSL encrypted links