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Inspecting FIX/FAST Market Data Captures

Article Quant Q&A · Author: Randomblue
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Summary

The document explains how to inspect market data carried in FIX/FAST over UDP. It points to a native C++ decoder based on QuickFAST and describes adapting a sample program to read the captured data. Another option is a Windows FAST codec, with a small wrapper to remove the IP and UDP headers and pass the payload to the decoder.

A key implementation caveat is that some feeds, including the cited UMDF format, may require reassembling UDP packets before decoding. The discussion offers software and integration pointers rather than a complete analyzer, setup procedure, or comparison of tools. It does not demonstrate parsing results or establish that either approach handles every FIX/FAST feed.

Key ideas

  • QuickFAST can provide a basis for decoding FIX/FAST market data in C++.\nA FAST codec can decode payloads after a wrapper extracts them from UDP packets.\nSome feed formats require packet reassembly before message decoding.\nThe suggestions are implementation pointers, not a full packet inspection workflow.

Tags

Market microstructureExecution
Full text
# FIX/FAST packet analyzer


# FIX/FAST packet analyzer












I have a network dump of market data in the FIX/FAST format (transported over UDP). Are there standard pieces of software (similar to Wireshark) that will parse and allow for inspection of the key-value pairs of the payload?

## Answer by Clebson Derivan (score 2, accepted)

https://quant.stackexchange.com/a/9306

I am using a native C++ implementation based on QuickFAST, you can use the sample FileToMulticast to implement what you need. But if you are looking for a way do decode UMDF ( BM&FBOVESPA FIX/FAST) you must first take care with the UDP packages itself and re assembly the messages, before the decodification

## Answer by hroptatyr (score 2)

https://quant.stackexchange.com/a/9303

Try the FAST Antenna Codec for Windows. You need a little wrapper app that reads the UDP data from your dump and feeds the payload (i.e. sans IP/UDP headers) to the codec.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.