In our use case, we will tap into orders for shares of stock in a financial system. Using this information, we will deliver pricing information over time, which is available via a REpresentational State Transfer (REST) interface.

The canonical message format in the financial industry is the Financial Information eXchange (FIX) format. The specification for this format can be found at http://www.fixprotocol.org/.

An example FIX message is shown as follows:

23:25:1256=BANZAI6=011=135215791235714=017=520=031=032=037=538=1000039=054=155=SPY150=2151=010=2528=FIX.4.19=10435=F34=649=BANZAI52=20121105-

FIX messages are essentially streams of key-value pairs. The ASCII character 01, which is Start of Header (SOH), delimits the pairs. FIX refers to the keys as tags. As shown in the preceding message, tags are identified by integers. Each tag has an associated field name and data type. For a full reference of tag types go to http://www.fixprotocol.org/FIXimate3.0/en/FIX.4.2/fields_sorted_by_tagnum...