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Does QuickFAST work with CMEs FIX/FAST 2.0 Market Data?

April 26, 2017CME Data fast Fix market quickfast

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Does QuickFAST work with CMEs FIX/FAST 2.0 Market Data?

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Background: CME has announced a revision to their FAST-based protocol for distributing market data. They are calling this FIX/FAST 2.0. This naming has caused some confusion. FIX/FAST 2.0 is based on FAST version 1.1. They have added additional information to each packet (the preamble), but the actual FAST encoded data is unchanged. Because QuickFAST supports the FAST specification version 1.1, it should support CME’s FIX/FAST 2.0 without any major problems. Support has recently been added for handling the FIX/FAST 2.0 preamble. Documentation is still pretty sketchy. See src\Codecs\HeaderAnalyzer and FixedSizeHeaderAnalyzer to get started. Update: Some users on the QuickFAST users’ mailing list have reported success handling CME’s FIX/FAST 2.0 data. Check the mailing list archives or ask for details on the list.