What's the most efficient way to parse FIX Protocol messages in .NET?

Question

I came across this very similar question but that question is tagged QuickFIX (which is not relevant to my question) and most of the answers are QuickFIX-related.

My que

Answer 1

I know this is an answer to an older question - I only just recently realized there are a lot of FIX related questions on SO, so thought I'd take a shot at answering this.

The answer to your question may depend on the specific FIX messages you are actually parsing. In some cases, yes - you could just do a 'split' on the string, or what have you, but if you are going to parse all of the messages defined in the protocol, you don't really have a choice but to reference a FIX data dictionary, and to parse the message byte by byte. This is because there are length-encoded fields in FIX messages - according to the specification, which may contain data that would interfere with any kind of "split" approach you might want to take.

The easiest way to do this, is to reference the dictionary and retrieve a message definition based on the type (tag 35) of the message that you've received. Then, you need to extract the tags, one after the other, referencing the corresponding tag definition in the message definition in order to understand how the data that is associated with the tag needs to be parsed. This also helps you in the case of "repeating groups" which may exist in the message - and you'll only be able to understand that a tag represents the start of a repeating group if you have the message definition from the dictionary.

I hope this helps. If you'd like a reference example, I wrote the VersaFix open-source FIX engine for .NET, and that has a dictionary-based message parser in it. You can download the source code directly from our Subversion server by pointing your SVN client at:

svn://assimilate.com/VfxEngine/Trunk

Cheers.