QuickFIX is a full-featured open source FIX engine. I think it is quick for design rather than quick for performance. Just having a quick browse of its source code, you may find some ideas to optimize it. One of its bottlenecks comes from log and store classes. Each time it sends or receives a message, the message will be first written to log file (or database) and store file (or database) if you enable log and store. This is bad for trading program needing quick response to markets. The first idea coming to my mind is to asynchronize this part of operations. Fortunately, QuickFix gives us the way to replace customized log and store factory class. Unfortunately in this way we can only optimize log and store separately.
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