Fast Fix Engine

satishsetty_x · November 16, 2007, 6:50am

Imported from previous forum

satishsetty_x · November 16, 2007, 6:50am

We are working for Mifid solutions. I have below queries.

  How to setup Fix Server and Fix Client?

  How can Fix Client send new order message type to Fix Server?

  How can Fix Server process order and send acknowledgement?

Entire handshake should happen using Fast Fix. Is there any opensource for fast fix engine?

fplpo_x · November 16, 2007, 9:15am

[ original email was from Dave Stone - dave.stone@bt.com ]
Satish,

Hi. In terms of an Open Source fix engine you should definitely take a look at QuickFix, there are implementations in both C++ and Java, and there are numerous language API/libraries to interface to it. The link is at:

http://www.quickfixengine.org/index.html

However, I don’t believe this particular Open Source has a FAST Implementation bundled with it. Are you planning on streaming market data in your application ?

Regards,

We are working for Mifid solutions. I have below queries.
  How to setup Fix Server and Fix Client?
  How can Fix Client send new order message type to Fix Server?
  How can Fix Server process order and send acknowledgement?
Entire handshake should happen using Fast Fix. Is there any opensource
for fast fix engine?

clebsonderivan_x · November 16, 2007, 10:40am

Hi Dave, Satish,

As far as I know there is one opensource implementation of FAST protocol, take a look ( http://openfast.sourceforge.net/ ). this is a java implementation, I am working on a C++ version, hope to release the first version this year.

Regards,
Clebson Derivan

Satish,

Hi. In terms of an Open Source fix engine you should definitely take
a look at QuickFix, there are implementations in both C++ and Java,
and there are numerous language API/libraries to interface to it. The
link is at:

http://www.quickfixengine.org/index.html

However, I don’t believe this particular Open Source has a FAST
Implementation bundled with it. Are you planning on streaming market
data in your application ?

Regards,
We are working for Mifid solutions. I have below queries.
  How to setup Fix Server and Fix Client?
  How can Fix Client send new order message type to Fix Server?
  How can Fix Server process order and send acknowledgement?
Entire handshake should happen using Fast Fix. Is there any opensource
for fast fix engine?

kaymahes_x · November 16, 2007, 10:20pm

Satish,

Do you want to send Orders (35=D) and receive Executions(35=8)? If so, you would need to use FIX and NOT FAST. FAST is currently only for Market Data messages (though work is underway to compress any XML / FIXML data over a FAST Session).

http://fixprotocol.org/discuss/read/a4ae1e21

http://fixprotocol.org/discuss/read/354b0000

http://fixprotocol.org/discuss/read/e670d312

How can Fix Server process order and send acknowledgement?

Read thru “Order State Change Matrices” which details the various states thru which an Order can pass and also read sections dealing with “New Order Single” and “Execution Reports”. Which FIX version are you planning to use?

Regards,
K. Mahesh
+1-203-252-4039

We are working for Mifid solutions. I have below queries.
  How to setup Fix Server and Fix Client?
  How can Fix Client send new order message type to Fix Server?
  How can Fix Server process order and send acknowledgement?
Entire handshake should happen using Fast Fix. Is there any opensource
for fast fix engine?

davidrosenborg30_x · November 28, 2007, 9:39am

On the contrary, FAST is perfectly feasible for sending orders.

FAST is a message encoding technique much like the classic tag=value and FIXML encodings. FAST does not imply or require any particular business level message semantics.

When using FAST you’ll have to rely on other sources for the definition of the message types and their semantics. This can for example be all of FIX, parts of FIX or some completely different protocol.

/David

Satish,

Do you want to send Orders (35=D) and receive Executions(35=8)? If so,
you would need to use FIX and NOT FAST. FAST is currently only for
Market Data messages (though work is underway to compress any XML /
FIXML data over a FAST Session).

stepha88_x · November 28, 2007, 10:01am

Indeed FAST is the sofisticated compression format for market data messages (massive market data volums,etc.) in FIX or anything else.

FIX purpose is to have a standard format and language to communicated order messages between two parties.

FAST is compressing the messages (FIX and others) and the counterparty must have FAST to decompress them.

Unless you talk about massive xx0’000s order messages per seconds,you might be overdoining it with FAST.

Rgds
Stephan

On the contrary, FAST is perfectly feasible for sending orders.

FAST is a message encoding technique much like the classic tag=value and
FIXML encodings. FAST does not imply or require any particular business
level message semantics.

When using FAST you’ll have to rely on other sources for the definition
of the message types and their semantics. This can for example be all of
FIX, parts of FIX or some completely different protocol.

/David

Satish,

Do you want to send Orders (35=D) and receive Executions(35=8)? If so,
you would need to use FIX and NOT FAST. FAST is currently only for
Market Data messages (though work is underway to compress any XML /
FIXML data over a FAST Session).

rolfandersson58_x · November 28, 2007, 10:55am

There are other use cases than massive order volumes where FAST may be appropriate. Let’s say you have limited bandwidth (a few megabits or less), short intense bursts of orders (maybe 10’s) and you require very short latency (< 10 ms or even ~1ms), then you may want to consider FAST encoding your messages even though you have more than enough bandwidth on average.

Best,
Rolf

Indeed FAST is the sofisticated compression format for market data
messages (massive market data volums,etc.) in FIX or anything else.

FIX purpose is to have a standard format and language to communicated
order messages between two parties.

FAST is compressing the messages (FIX and others) and the counterparty
must have FAST to decompress them.

Unless you talk about massive xx0’000s order messages per seconds,you
might be overdoining it with FAST.

Rgds Stephan

On the contrary, FAST is perfectly feasible for sending orders.

FAST is a message encoding technique much like the classic tag=value
and FIXML encodings. FAST does not imply or require any particular
business level message semantics.

When using FAST you’ll have to rely on other sources for the
definition of the message types and their semantics. This can for
example be all of FIX, parts of FIX or some completely different
protocol.

/David

Satish,

Do you want to send Orders (35=D) and receive Executions(35=8)? If
so, you would need to use FIX and NOT FAST. FAST is currently only
for Market Data messages (though work is underway to compress any
XML / FIXML data over a FAST Session).

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