Solace Systems & FIX & Excel RTD in C#...Part One: Introduction

This post brings together a few long term topics of interest: Excel, FIX, Market Data, Excel RTD, C#, Solace Systems and Middleware.  We are going to take a real-time data feed from a Solace Systems appliance to populate Excel with:

  • real-time equity and fx market data from a dummy provider
  • FIX order and execution data using a well known vendor FIX engine
For both datasets the interface to Excel will be a custom built C# RTD server. 

What's the use case for this? 
For hedge funds, asset managers and other firms on the buy-side to monitor positions and trades within an Excel spreadsheet that updates in real-time.
Why does anyone need this?
Within buy-side firms the Excel spreadsheet is often used within the front office as a way of calculating real-time portfolio valuations - starting with a positions file from a back office system such as SS&C HiPortfolio, Simcorp Investment Accounting Manager or a prime broker.  Take the positions file, load into Excel and then add in some formatting, sorting and real-time data feed links to Reuters, Bloomberg or other provider.  I have done this many times for clients.
One problem with that model is simply that Excel, unless implemented properly, can cause a considerable number of problems - see Excel Industrialisation for how to do this properly.
The functionality that will be built here includes:
  • Subscription to streaming topic data for pricing (low, high, open, bid, ask, last) using Excel RTD.
  • Subscription to FIX order information at the order level so that the executed quantity, average price, leaves quantity etc. can be displayed in real time using Excel RTD.
The code will, as usual, be published to github.