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Dealing with the differences in the ways that the CME and the ICE use FIX has been interesting. Some of the differences are simply, oh, this one does things this way and this other one does things another. And some of them are, this is what I expect should be normal and why the hell is this exchange doing things like this? This ends up being reflected in the code.

I’ve got a base message class with a subclass for each exchange. For the former kind of differences, I’ve got an abstract method on the base class with the appropriate implementations on the subclasses. For the “WTF?” things, I’ve got a default implementation on the base class, and override that on the specific subclass.

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