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In quickfixengine is there a setting to specify the log level to restrict number of messages logged? It seems that we are login a lot of data so we would like to restrict it bit. I assume that logging too many messages should affect performance (don't have any hard data for or against).

+3  A: 

You don't say which language you're using but I believe that this should work with both the C++ and Java APIs.

You will need to implement your own LogFactory and Log classes (the former is responsible for creating instances of the latter). Then you'll pass an instance of your custom LogFactory to your Initiator or Acceptor instance. Your Log class is where you will do the message filtering.

Understand that Log receives messages in string form, so you'll need to filtering either with string matching operations or convert the strings back to Messages and then filter using tags, though this may end up slowing you down more than just allowing all messages to be logger.

Bklyn