FIX Programming

For my reference:
Boost.Thread - http://www.boost.org/doc/libs/1_34_0/doc/html/thread.html
Boost.Interprocess - http://www.boost.org/doc/libs/1_35_0/doc/html/interprocess.html
Boost Message Queue - http://www.boost.org/doc/libs/1_35_0/doc/html/boost/interprocess/message_queue.html
DJJ - What's New in Boost Threads - http://drdobbs.com/cpp/211600441

FIX API Support forum on dailyfx.com

Bookmarking: http://forexforums.dailyfx.com/fix-api-support/
looks very promising.

Forex FIX brokers - dukascopy

The Dukascopy website confirms support for FIX trading, however their requirements for enabling FIX API say that you need at least 100,000 USD deposit.
Nonetheless, it is very nice on their side to provide this basic FIX Trading manua (PDF).

[Forex] OpenForexPlatform

GPL-licensed OpenForexPlatform, offers MetaTrader4 integration among others, but is written in C#. Might be a source of ideas (also FIX-related) for C/C++ forex trading application.

[Forex] Search for brokers with FIX Protocol enabled accounts

First I spotted this website: http://www.100forexbrokers.com/. They do have brokers grouped according to ECN, STP, and DMA support. I tried to evaluate broker by broker, but this is tedious - maybe I'll get back to this later.


But then I googled and found this:
http://www.forexfactory.com/showthread.php?p=1970525#post1970525

a bit dated (April 2008) list, but has explicit annotations on offered APIs, including FIX.
HotSpotFX link is broken but their website still works and proved to be an extremely valuable source of practical manuals on FIX trading.

Building code using QuantLib with CMake

Having just installed QuantLib I followed to build and run one of the examples published on the QuantLib site: DiscreteHedging.cpp

I didn't quite knew how much is needed to do that, but I began with the simplest possible CMakeLists.txt:

ADD_EXECUTABLE( DiscreteHedging DiscreteHedging.cpp )
TARGET_LINK_LIBRARIES( DiscreteHedging QuantLib )

after executing 'cmake .' it worked straight away. Amazing.

QuantLib 1.1 ebuild

I decided to install QuantLib on my gentoo today, but as I found out - the most recent ebuild for QuantLib in the portage comes from 2008 and installs the 0.9.6 version :/

So, as usual, I attempted to hack the existing ebuild and try if it works. I copied the quantlib-0.9.6.ebuild inside /usr/portage/dev-libs/quantlib as quantlib-1.1.ebuild. Then I just downloaded QuantLib 1.1 into the local distfiles directory and the executed

ebuild /usr/portage/dev-libs/quantlib/quantlib-1.1.ebuild digest

Then I run emerge. The default, successful install took 1 hour 40 minutes.