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I already use QuickFixN to connect to FX ECNs, and am now looking to branch out into futures.

Googling it, it seems as if there are a lot of 3rd party APIs which are written to do this, but is there any reason I wouldn't just use QuickFix and connect directly to the exchange?

Obviously cost is one reason to use Quickfix, and from the looks of it some 3rd party APIs are "pre-certified", which may be a reason to use them.

How significant is this, and is there anything else I am missing?

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It completely depends on your use case. Do you require certification at the company you work at? Also, QuickFix requires quite an amount of additional code, most proprietary FIX engines already provide solutions to connect with most brokers, ECNs, and Exchanges. Then there is of course the question what latencies are acceptable to you. Quickfix is not the fastest out there, forget hft using Quickfix. –  Matt Wolf Sep 10 '13 at 8:57
    
certification is not required at my company. I've already coded Quickfix for several FX ECNs, so am familiar with some customization. Ultra-low latencies are not required. –  mcmillab Sep 10 '13 at 9:55
    
As long as you do not mind about additional latency in the double digit millisecond realm you can safely go with QuickFix. I actually also use QuickFix for non latency sensitive order submission and it works fine despite a number bizarre design issues (such as MessageCracker,...) –  Matt Wolf Sep 10 '13 at 11:30
    
so the certification with QuickFix isn't too onerous for CME? –  mcmillab Sep 10 '13 at 11:34
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Why are we talking certification when you just told me that you do not need to deal with it? –  Matt Wolf Sep 10 '13 at 14:53

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A pre-certified FIX engine won't spare you from doing the certification process yourself. This is a requirement for all serious exchanges. Moreover, CME is a good exchange with tons of features and many different order types from which you will probably just need a small subset. There is no such thing as a plug-and-play FIX engine. You will have to do some work to integrate the FIX engine with your order flow system. I believe that more important than choosing a pre-certified FIX engine is to choose one that offers a very intuitive API so you have no headaches integrating it with your systems. Also, if you are concerned with latency, you should choose one that produces no garbage (for .NET and Java environments) and has a good throughput. For an example of an intuitive FIX engine take a look on CoralFIX.

Disclaimer: I am one of the developers of CoralFIX.

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Hi Coral Blocks, welcome to quant.SE! Thank you for disclosing your affiliation. –  Bob Jansen Aug 14 at 12:25

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