NexusFIX Implementation Guide

Overview

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

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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

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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

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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

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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

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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

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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