高效解析 FIX 消息 c++

我需要解析一个包含金融FIX协议的文件。示例如下：

1128=99=24535=X49=CME75=2017040934=82452=2017040920070508394791460=201704092007050800000005799=10000000268=2279=0269=B48=900655=ESM783=23271=1473460731=100000005796=17263279=0269=C48=900655=ESM783=24271=2861528731=100000005796=1726310=219

我的应用程序将加载许多文件，每个文件包含数百万行历史数据，因此需要考虑性能。

我已经在网上查看了有关FIX解析的类似问题，并探索了QuickFix库(特别是使用FIX：：Message(string)来破解消息)，但我的目标是获得比使用快速修复所能实现的更好的吞吐量。

我为最常见的消息类型(市场数据增量刷新)写了一个模拟，以查看我正在实现的速度，并且对~60,000条消息/秒的结果印象最不深，包括3m行文件的文件解析。

这是我的第一个 c++ 应用程序，所以我希望我的方法中存在许多缺陷，任何有关如何提高其性能的建议将不胜感激。

当前流是文件>字符串>MDIncrementalRefresh。MDIncrementalRefresh有两个可选的重复组，我正在使用向量来存储它们，因为它们在消息之间的大小未知。

我猜我在每次更新时重建 MDIncrementalRefresh 的事实与通过更新以前的 MDIncrementalRefresh 的内容来重用对象相比，会导致不必要的开销？

提前致谢

#include <string>
#include <vector>
#include <iostream>
#include <fstream>
using namespace std;
std::vector<std::string> string_split(std::string s, const char delimiter)
{
size_t start=0;
size_t end=s.find_first_of(delimiter);
std::vector<std::string> output;
while (end <= std::string::npos)
{
output.emplace_back(s.substr(start, end-start));
if (end == std::string::npos)
break;
start=end+1;
end = s.find_first_of(delimiter, start);
}
return output;
}
const char FIX_FIELD_DELIMITER = 'x01';
const char FIX_KEY_DELIMITER = '=';
const int STR_TO_CHAR = 0;
const int KEY = 0;
const int VALUE = 1;
const string Field_TransactTime = "60";
const string Field_MatchEventIndicator = "5799";
const string Field_NoMDEntries = "268";
const string Field_MDUpdateAction = "279";
const string Field_MDEntryType = "269";
const string Field_SecurityID = "48";
const string Field_RptSeq = "83";
const string Field_MDEntryPx = "270";
const string Field_MDEntrySize = "271";
const string Field_NumberOfOrders = "346";
const string Field_MDPriceLevel = "1023";
const string Field_OpenCloseSettlFlag = "286";
const string Field_AggressorSide = "5797";
const string Field_TradingReferenceDate = "5796";
const string Field_HighLimitPrice = "1149";
const string Field_LowLimitPrice = "1148";
const string Field_MaxPriceVariation = "1143";
const string Field_ApplID = "1180";
const string Field_NoOrderIDEntries = "37705";
const string Field_OrderID = "37";
const string Field_LastQty = "32";
const string Field_SettlPriceType= "731";
class OrderIdEntry {
public:
string OrderID;
int LastQty;
};
struct MDEntry {
public:
// necessary for defaults?
char MDUpdateAction;
char MDEntryType;
int SecurityID;
int RptSeq;
double MDEntryPx;
int MDEntrySize;
int NumberOfOrders = 0;
int MDPriceLevel = 0;
int OpenCloseSettlFlag = 0;
string SettlPriceType = "";
int AggressorSide = 0;
string TradingReferenceDate = "";
double HighLimitPrice = 0.0;
double LowLimitPrice = 0.0;
double MaxPriceVariation = 0.0;
int ApplID = 0;
};
class MDIncrementalRefresh {
public:
string TransactTime;
string MatchEventIndicator;
int NoMDEntries;
int NoOrderIDEntries = 0;
vector<MDEntry> MDEntries;
vector<OrderIdEntry> OrderIdEntries;
MDIncrementalRefresh(const string& message)
{
MDEntry* currentMDEntry = nullptr;
OrderIdEntry* currentOrderIDEntry = nullptr;
for (auto fields : string_split(message, FIX_FIELD_DELIMITER))
{
vector<string> kv = string_split(fields, FIX_KEY_DELIMITER);
// Header :: MDIncrementalRefresh
if (kv[KEY] == Field_TransactTime) this->TransactTime = kv[VALUE];
else if (kv[KEY] == Field_MatchEventIndicator) this->MatchEventIndicator = kv[VALUE];
else if (kv[KEY] == Field_NoMDEntries) this->NoMDEntries = stoi(kv[VALUE]);
else if (kv[KEY] == Field_NoOrderIDEntries) this->NoOrderIDEntries = stoi(kv[VALUE]);
// Repeating Group :: MDEntry
else if (kv[KEY] == Field_MDUpdateAction)
{
MDEntries.push_back(MDEntry());
currentMDEntry = &MDEntries.back(); // use pointer for fast lookup on subsequent repeating group fields
currentMDEntry->MDUpdateAction = kv[VALUE][STR_TO_CHAR];
}
else if (kv[KEY] == Field_MDEntryType) currentMDEntry->MDEntryType = kv[VALUE][STR_TO_CHAR];
else if (kv[KEY] == Field_SecurityID) currentMDEntry->SecurityID = stoi(kv[VALUE]);
else if (kv[KEY] == Field_RptSeq) currentMDEntry->RptSeq = stoi(kv[VALUE]);
else if (kv[KEY] == Field_MDEntryPx) currentMDEntry->MDEntryPx = stod(kv[VALUE]);
else if (kv[KEY] == Field_MDEntrySize) currentMDEntry->MDEntrySize = stoi(kv[VALUE]);
else if (kv[KEY] == Field_NumberOfOrders) currentMDEntry->NumberOfOrders = stoi(kv[VALUE]);
else if (kv[KEY] == Field_MDPriceLevel) currentMDEntry->MDPriceLevel = stoi(kv[VALUE]);
else if (kv[KEY] == Field_OpenCloseSettlFlag) currentMDEntry->OpenCloseSettlFlag = stoi(kv[VALUE]);
else if (kv[KEY] == Field_SettlPriceType) currentMDEntry->SettlPriceType= kv[VALUE];
else if (kv[KEY] == Field_AggressorSide) currentMDEntry->AggressorSide = stoi(kv[VALUE]);
else if (kv[KEY] == Field_TradingReferenceDate) currentMDEntry->TradingReferenceDate = kv[VALUE];
else if (kv[KEY] == Field_HighLimitPrice) currentMDEntry->HighLimitPrice = stod(kv[VALUE]);
else if (kv[KEY] == Field_LowLimitPrice) currentMDEntry->LowLimitPrice = stod(kv[VALUE]);
else if (kv[KEY] == Field_MaxPriceVariation) currentMDEntry->MaxPriceVariation = stod(kv[VALUE]);
else if (kv[KEY] == Field_ApplID) currentMDEntry->ApplID = stoi(kv[VALUE]);
// Repeating Group :: OrderIDEntry
else if (kv[KEY] == Field_OrderID) {
OrderIdEntries.push_back(OrderIdEntry());
currentOrderIDEntry = &OrderIdEntries.back();
currentOrderIDEntry->OrderID = kv[VALUE];
}
else if (kv[KEY] == Field_LastQty) currentOrderIDEntry->LastQty = stol(kv[VALUE]);
}
}

};
int main() {
//std::string filename = "test/sample";
std::string line;
std::ifstream file (filename);
int count = 0;
if (file.is_open())
{
while ( std::getline( file, line ) )
{
MDIncrementalRefresh md(line);
if (md.TransactTime != "") {
count++;
}
}
file.close();
}
cout << count << endl;
return 0;
}