Setting up Fix Client to Record Tick Data

Question

I am in the process of trying to assemble a tick dataset. What I would like to do is use a Fix Client paired with a vendor's Fix Adapter to retrieve marketdata (tick + orderbook) in FIX format and record it into flatfiles or a database. I intend to set this up in a Linux environment rather than Windows.

I would like to use quickfix or quickfix/j and was wondering if this is something that these clients can do? Would quickfix have the functionality to get regular streams of data and then dump it to a file? Anyone have experience doing this?

Answer 1

In your config file there is an option for logging, where you mention whether you want to log your fix messages to a file/database. Put these settings in your configuration file and quickfix will log onto the required place.

By default messages are logged onto a file.

Answer 2

You can always handle the particular FIX message such as MarketDataIncrementalRefresh and from there you can either pull out the fields your interested in or take the raw FIX message and write it out via your favorite file io or database library. I'm not sure how it's threaded though. You may want move the writes to another thread.