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NexusFIX Implementation Guide

Overview

Summary of NexusFIX implementation status, including supported FIX 4.4 message types, core modules, and benchmark results.

FIX 4.4 Message Types (Implemented)

Session Management Messages

Message Type MsgType Status Description
Logon A Supported Session authentication, heartbeat negotiation
Logout 5 Supported Session termination
Heartbeat 0 Supported Session keepalive
TestRequest 1 Supported Heartbeat solicitation
ResendRequest 2 Supported Gap fill request
SequenceReset 4 Supported Sequence number reset/gap fill
Reject 3 Supported Session-level rejection

Order Flow Messages

Message Type MsgType Status Description
NewOrderSingle D Supported Order submission
ExecutionReport 8 Supported Order fills, rejections, status
OrderCancelRequest F Supported Cancel existing order
OrderCancelReplaceRequest G Supported Modify existing order
OrderStatusRequest H Supported Query order status
OrderCancelReject 9 Supported Cancel rejection response

Market Data Messages

Message Type MsgType Status Description
MarketDataRequest V Supported Subscribe/unsubscribe to market data
MarketDataSnapshotFullRefresh W Supported Full market data snapshot
MarketDataIncrementalRefresh X Supported Incremental market data update
MarketDataRequestReject Y Supported Subscription rejection

Total: 17 message types implemented

Core Modules

Parser Module (include/nexusfix/parser/)

File Features
consteval_parser.hpp Compile-time field specs, schema validation
runtime_parser.hpp Zero-copy IndexedParser, O(1) field lookup
simd_scanner.hpp AVX2 SOH detection, field boundary scanning
field_view.hpp Zero-copy field reference, type conversion
repeating_group.hpp Repeating group iterator, MDEntry parser

Session Module (include/nexusfix/session/)

File Features
session_manager.hpp Session lifecycle, admin message routing
state.hpp 9-state machine, event-driven transitions
sequence.hpp Sequence number tracking, gap detection
coroutine.hpp C++20 async patterns

Transport Module (include/nexusfix/transport/)

File Features
tcp_transport.hpp POSIX socket, non-blocking I/O
socket.hpp Abstract socket interface
io_uring_transport.hpp Linux io_uring async I/O (optional)

Type System (include/nexusfix/types/)

File Features
field_types.hpp Strong types: FixedPrice, Qty, Side, OrdType
tag.hpp Compile-time FIX tag definitions
error.hpp std::expected error handling
market_data_types.hpp MDEntryType, MDUpdateAction, MDReqRejReason

Memory (include/nexusfix/memory/)

File Features
buffer_pool.hpp Pre-allocated buffer pool, zero-allocation hot path

Benchmark Results (vs QuickFIX)

Test Configuration:

  • Iterations: 100,000
  • Messages: FIX 4.4 (ExecutionReport, NewOrderSingle, Heartbeat)
  • Measurement: RDTSC cycle-accurate timing

Parse Latency Comparison

Message Type QuickFIX NexusFIX Speedup
ExecutionReport (35=8) 730 ns 246 ns 3.0x
NewOrderSingle (35=D) 661 ns 229 ns 2.9x
Heartbeat (35=0) 312 ns 203 ns 1.5x

Field Access Comparison

Metric QuickFIX NexusFIX Speedup
4-field access 31 ns 11 ns 2.9x

Throughput Comparison

Engine Throughput Bandwidth
QuickFIX 1.19M msg/sec 191 MB/sec
NexusFIX 4.17M msg/sec 687 MB/sec
Speedup 3.5x 3.6x

FIX 5.0 / FIXT 1.1 Support

Metric FIX 4.4 FIX 5.0 Overhead
ExecutionReport 232 ns 237 ns +2%
Version detection - 9 ns Negligible

C++ Features Used

Feature Usage
C++23 std::expected, concepts
Zero-copy std::span views
SIMD AVX2 intrinsics for field scanning
Compile-time consteval field offsets
Strong types FixedPrice, Qty, SeqNum
Coroutines C++20 async session management
PMR Pre-allocated memory pools
Cache-line alignment alignas(64) for hot structures
Branch hints [[likely]]/[[unlikely]]
Hot attributes [[gnu::hot]] for critical functions
LTO -flto=auto link-time optimization

FIX 5.0 / FIXT 1.1 Support

Component Status Description
FIXT 1.1 Session Messages Supported Logon, Logout, Heartbeat, TestRequest, ResendRequest, SequenceReset, Reject
FIX 5.0 Application Messages Supported NewOrderSingle, ExecutionReport, OrderCancelRequest, OrderCancelReject
ApplVerID (tag 1128) Supported Per-message application version
DefaultApplVerID (tag 1137) Supported In FIXT 1.1 Logon message
Version detection Supported is_fixt11(), is_fix44(), is_fix4() methods

Directory Structure

nexusfix/
├── include/nexusfix/
│   ├── parser/           # Zero-copy FIX parser
│   ├── session/          # Session state machine
│   ├── transport/        # TCP/io_uring transport
│   ├── types/            # Strong types, tags, errors
│   ├── memory/           # Buffer pools
│   ├── messages/fix44/   # FIX 4.4 message types
│   └── interfaces/       # Message concepts
├── benchmarks/           # Performance benchmarks
│   └── vs_quickfix/      # QuickFIX comparison
├── tests/                # Unit tests (Catch2)
├── examples/             # Simple client example
└── docs/
    ├── design/           # Design documents
    └── compare/          # Benchmark comparison reports