1.Download Quickfix source from http://prdownloads.sourceforge.net/quickfix/quickfix-1.13.3.zip
or http://www.quickfixengine.org/download.html page

2. Unzip the files in a folder C:\downloads (it is not necessary to have this name, it is just for convenience in below steps)

3.Open project quickfix_vs10.sln in C:\downloads\quickfix. Do not worry about errors when it complains that it cannot open .csproj projects. You will still be able to use C++ projects.

4.Do a rebuild solution.
(If you are using free version, you might get build errors for atlbase.h. Please see http://www.quantcode.com/modules/smartfaq/faq.php?faqid=99 to fix it)

5. After build is complete, verify that quickfix.lib is created in C:\downloads\quickfix\lib\debug


STEPS TO USE QUICKFIX IN A NEW PROJECT

1. Create a new VC++ project
2. Click on project properties.
3. Goto configuration properties->VC++ directories
4. Add the following path in Include directories:
C:\downloads\quickfix\src\C++
5.Add the following path in Library directories:
C:\downloads\quickfix\lib\debug
6. Goto Linker->Input
Add the following .lib files in Additional dependencies:
quickfix.lib
ws2_32.lib
odbc32.lib
odbccp32.lib

7.Goto Configuration Properties->General
Select "Not Set" in Character Set. (the default option is Unicode, which will cause compilation errors)




USEFUL LINKS FOR FIX PROTOCOL AND QUICKFIX

Khader Vali's introduction materials and videos
http://www.ksvali.com/2009/02/fix-protocol-training/

Configuration settings for Quickfix:
http://www.quickfixengine.org/quickfix/doc/html/configuration.html

Socket apis are here (not necessary, only for knowing the underlying socket mechanism):
http://www.on-time.com/rtos-32-docs/rtip-32/reference-manual/socket-api/accept.htm


List of FIX messages:
http://btobits.com/fixopaedia/fixdic50/application_messages_by_name_.html

Search for a message name:
http://www.fixprotocol.org/FIXimate3.0/

Examples of fix messages:
http://www.tradewithvelocity.com/download/FIXAdapter_V6.2_ReM.pdf