Many years back I worked on a project to link Excel to a FIX engine.The basic design was:
- stateful middle-tier component executing the FIX engine in-process
- middleware used to publish out FIXML to an Excel RTD component for reporting back to Excel
- middleware used to send data to another component that flattened out the FIXML message and loaded it into a relational database.
- COM Excel addin used to send orders from the Excel user interface in FIXML via middleware to the middle tier and from there to the FIX engine