Imported from previous forum
[ original email was from jim whitehead - jwhitehead@latentzero.com ]
In a scenario where an organisation is looking to consolidate the number of FIX connections it has to manage and therefore deliver several flows through down a single FIX session. How comfortable is the assumption that the sell side will be able to key off a variety of parameters within the messages (HandlInst, Security Type, Algo Parameters) or should the default be to use the target/deliver to sub id?
Is the target/deliver to sub id the safe option and can anyone think of scenarios where the use of the those fields may be problematic.
Thanks
Jim
[ original email was from Richard Ney - rney@innerex.com ]
Hi Jim,
What you describe may be done, although I personally wouldn’t be too comfortable on how the sell side is going to interpret all the parameters involved.
Something you could look at is to go through a FIX network which would handle those issues for you, as well as transforming your FIX messages into the correct version for your counterpart.
FIX networks have especially be designed for your situation, where you want to manage only one FIX session as a link to many counterpart. I would personally go that way. It will end up being a lot cheaper than amending your gateway to process information correctly, and spending hours trying to fix problems when your counterpart would have messed up the processing of your messages.
Hope that helps.
Regards,
Richard
Jim,
I also agree with Richard’s opinion and have practically seen it working for many sell side counterparts. This is one of the feasible options but the only constraint is from the buy side wherein they will be required to connect to that network individually in order to route the orders to you. From your side you have to just maintain a single connection with the network and the rest is taken care by the network support. There are many network support service providers in the market one of which I had worked for was marco polo network. You can have further details on that by visiting their webpage - www.marcopolonetwork.com
Regards,
Sunil Singh
Hi Jim,
What you describe may be done, although I personally wouldn’t be too
comfortable on how the sell side is going to interpret all the
parameters involved.Something you could look at is to go through a FIX network which would
handle those issues for you, as well as transforming your FIX messages
into the correct version for your counterpart.FIX networks have especially be designed for your situation, where you
want to manage only one FIX session as a link to many counterpart. I
would personally go that way. It will end up being a lot cheaper than
amending your gateway to process information correctly, and spending
hours trying to fix problems when your counterpart would have messed up
the processing of your messages.Hope that helps.
Regards,
Richard
[ original email was from Richard Ney - rney@innerex.com ]
If you are interested to know more about such FIX networks, the company I am working with, InnerExchange (http://www.innerex.com) is launching one really soon.
Feel free to contact me: rney@innerex.com
[ original email was from Greg Wood - gregjwood@hotmail.com ]
Hi Jim,
As someone who has been involved in the development of sell-side implementions of FIX messaging systems and the deployment of FIX engines with customised message routing parameters, I’d say that as a vendor you are likely to find TargetSubId/DeliverToSubId the more consistent solution across your counterparties.
That being said, we have setup routing rules for all of the other parameters to fit different client requirements - for example equity algos off to one destination, futures DMA off to another and care orders to somewhere else.
It all depends on how flexible the sell-side systems are, but that flexibility usually comes at the price of additional processing overhead for each message received, including ensuring that Cancels and Replaces always go the same route that the original order went.
Regards,
- Greg
In a scenario where an organisation is looking to consolidate the number
of FIX connections it has to manage and therefore deliver several flows
through down a single FIX session. How comfortable is the assumption
that the sell side will be able to key off a variety of parameters
within the messages (HandlInst, Security Type, Algo Parameters) or
should the default be to use the target/deliver to sub id?Is the target/deliver to sub id the safe option and can anyone think of
scenarios where the use of the those fields may be problematic.Thanks Jim
In a scenario where an organisation is looking to consolidate the number
of FIX connections it has to manage and therefore deliver several flows
through down a single FIX session. How comfortable is the assumption
that the sell side will be able to key off a variety of parameters
within the messages (HandlInst, Security Type, Algo Parameters) or
should the default be to use the target/deliver to sub id?Is the target/deliver to sub id the safe option and can anyone think of
scenarios where the use of the those fields may be problematic.Thanks Jim
I would be a bit dubious of this. Some brokers will manage it, but plenty will not. I suspect that you will see a slow creep back to multiple connections.
I’d look at going through a third party.
George
[ original email was from John Greenan - john.greenan@alignment-systems.com ]
> I would be a bit dubious of this. Some brokers will manage it, but
plenty will not. I suspect that you will see a slow creep back to
multiple connections.I’d look at going through a third party.
George
Hmmm, not sure I agree with this George. Since there’s an unspoken “no names” policy on here I will honour that. All of the tier one banks I have spoken to will support multiple products down one pipe. Many tier two firms will also handle this. And more generally, single access point is the way that the bigger buy sides are pushing the market. It’s a pain to support two or more connections to a broker when you can just push everything down one pipe.
Me too - without taking names - i would say that most top tier banks just HAVE to have the capabilities to handle almost all flows thru a single session…
From personal experience TargetSubID always looks like the cleanest tag.
(Only because its available on all 3 msg types - new/amends and cxls)
Multiple lines however will never cease to exist because every sort of trading will have a diff priority (ex Speed for DMA, accuracy for High Touch trading etc…)
I would be a bit dubious of this. Some brokers will manage it, but
plenty will not. I suspect that you will see a slow creep back to
multiple connections.I’d look at going through a third party.
George
Hmmm, not sure I agree with this George. Since there’s an unspoken “no
names” policy on here I will honour that. All of the tier one banks I
have spoken to will support multiple products down one pipe. Many tier
two firms will also handle this. And more generally, single access point
is the way that the bigger buy sides are pushing the market. It’s a pain
to support two or more connections to a broker when you can just push
everything down one pipe.
[ original email was from jim whitehead - jwhitehead@latentzero.com ]
Thanks for your feedback guys
Me too - without taking names - i would say that most top tier banks
just HAVE to have the capabilities to handle almost all flows thru a
single session…From personal experience TargetSubID always looks like the cleanest tag.
(Only because its available on all 3 msg types - new/amends and cxls)Multiple lines however will never cease to exist because every sort of
trading will have a diff priority (ex Speed for DMA, accuracy for High
Touch trading etc…)I would be a bit dubious of this. Some brokers will manage it, but
plenty will not. I suspect that you will see a slow creep back to
multiple connections.I’d look at going through a third party.
George
Hmmm, not sure I agree with this George. Since there’s an unspoken “no
names” policy on here I will honour that. All of the tier one banks I
have spoken to will support multiple products down one pipe. Many tier
two firms will also handle this. And more generally, single access
point is the way that the bigger buy sides are pushing the market.
It’s a pain to support two or more connections to a broker when you
can just push everything down one pipe.
I would suggest the number of pipes you want is more likely to be governed by what you are trying to achieve. For example: If the requirement is low latency, high speed DMA to Asia then you would want both the buy and sell side to operate a local connection on locally based equipment in that region. If either side is going to ship the FIX messages round the world in order to satisfy a “one” connection policy then you will lose quite a bit of time. That would not appear ideal in a business segment where fast time to market is deemed essential.
Thanks for your feedback guys
Me too - without taking names - i would say that most top tier banks
just HAVE to have the capabilities to handle almost all flows thru a
single session…From personal experience TargetSubID always looks like the cleanest
tag. (Only because its available on all 3 msg types - new/amends
and cxls)Multiple lines however will never cease to exist because every sort of
trading will have a diff priority (ex Speed for DMA, accuracy for High
Touch trading etc…)I would be a bit dubious of this. Some brokers will manage it, but
plenty will not. I suspect that you will see a slow creep back to
multiple connections.I’d look at going through a third party.
George
Hmmm, not sure I agree with this George. Since there’s an unspoken
“no names” policy on here I will honour that. All of the tier one
banks I have spoken to will support multiple products down one pipe.
Many tier two firms will also handle this. And more generally,
single access point is the way that the bigger buy sides are pushing
the market. It’s a pain to support two or more connections to a
broker when you can just push everything down one pipe.