Release 0.9.5

2023-06-12

The FIX Bridge now exports a shared library with encoding / decoding functions for all the supported FIX messages. This was done to make it easier to implement FIX clients in C++. This work included the refactoring of an underlying FIX library.

Please note the planned decommissioning of the Bybit and Bybit Futures gateways (both to be replaced by the Bybit v5 gateway).

FIX Bridge

A shared library for FIX message encoding/decoding using C++ is now packaged together with the FIX Bridge. This change was implemented to make it easier to write FIX clients in C++ without having to use third-party libraries.

Note

A C++ FIX Bridge Client demo project can be found on GitHub.

API

  • OrderAck.traded_quantity was added to atomically record order state (as known by the gateway) when an order request is being processed.

  • OrderUpdate.client_order_id was added to support rapid order modifications/cancelations without knowing the exchange order id (external_order_id) and when the exchange doesn’t support chained client order id’s (as used by the FIX protocol).

Gateways

PubSub

New light-weight “gateway” to support publish-subscribe of custom user data types.

Bybit and Bybit Futures

Warning

PLANNED DECOMMISSIONING WITH RELEASE 0.9.6

The v3 gateways will be removed ahead of release 0.9.6. Please upgrade to the Bybit v5 gateway.

CHANGELOG

Milestone on GitHub.

Added

  • Add OrderUpdate.client_order_id (API) (#366).

  • C++ binding for the implemented FIX protocol (FIX Bridge) (#365).

  • Call Python methods from a strategy (Samples) (#362).

  • HTTP PUT CustomMetrics and CustomMatrix (Server) (#360).

  • Add OrderAck.traded_quantity (API) (#359).

  • Document the gateway web query interface (Docs) (#358).

  • New pub-sub “gateway” (PubSub) (#355).

Changed

  • Use ReferenceData for FIX price/quantity precision (FIX Bridge) (#367).

  • Use Settings (detach from flags) (Client/Adapter/Server) (#356).

Fixed

  • Incorrect MarketByOrder download (Server) (#364).

  • Uncaught exception when client disconnects (Binance) (#363).

  • Installer scripts incorrectly used /opt/MacOSX11.3.sdk (Samples + Strategy Template) (#361).

  • Incorrect reference documentation for Parameters (Docs) (#357).

Other

  • Drop --include_external_trades (Server) (#354).

  • Drop --metrics_listen_address (Server) (#353).