Limit price graph
The FixAnalyser is a tool to analyze log files created by different Fix engines. It allows you to retrieve Fix messages from the log, using the log's time stamps and recreate the history of client orders. The program will automatically build a set of orders, calculating the latencies for state changes like pending new, new and filled. These latencies and other numeric values (e.g. limit price, quantity) can then be visualized in scatter graphs.
Apart from the latencies, any Fix tag in the original order can be stored and later on written to a csv file with the latencies and analysed further in e.g. Excel. The orders can be grouped into logical datasets using filters.
The tool can be configured to read a log file and automatically create any number of graphs (pdf) and csv files. This allows you to schedule an evening run to create a daily statistical overview of orders sent and their latencies. This tool is provided as-is and free of charge, with no implied or explicit warranty. Just let me know if you found it useful, or have any remarks or suggestions.
CSV output in Excel
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