[R-SIG-Finance] R Implementation of FIX

Brian G. Peterson brian at braverock.com
Thu Oct 26 20:17:08 CEST 2006

On Thursday 26 October 2006 12:44, Spencer Graves wrote:
> I'm not familiar with the "Financial Information eXchange"
> protocol, but RSiteSearch("financial information exchange") produced 5
> hits for me just now.  Two of these referenced HighFrequencyDataTools
> {fCalendar} and MarketStatistics {fBasics}.  RSiteSearch("download",
> "functions") produced 75 hits, and h("download financial data",
> "functions") returned only 4 hits.

FIX is a protocol used most often for data feeds from exchanges or 
clearing brokers.  Generally, it is used for high-frequency order and 
confirmation data on transactions, although the protocol also contains 
data types for a number of other types of records, including tick data.  
I am not aware of and could not locate an R implementation of FIX.

I think Dirk's suggestion to use one of the C/C++ FIX libraries and glue 
it to R is probably the correct one.  You may wish to consider an open 
FIX implementation like QuickFIX, which is probably the most widely used 
and best tested open source implementation of FIX.


Hopefully, if you manage to implement an R wrapper around a FIX library, 
you will consider sharing it with the community so that no one else will 
have your problem in the future.


   - Brian

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