FIX interaction model

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Imported from previous forum

2

Hi,

I have a question regarding the FIX interaction model. The background is that I’m interfacing an order management system, which has the following session types (the direction refers to the application level of the proprietary protocol):

  • Bi-directional, used for request/reply interaction, e.g. quote insert or queries and replies.
  • Outgoing session with private asynchronous data, e.g. execution reports.
  • Outgoing session with common asynchronous data, e.g. quotes.

The participant would enter a quote using the bi-directional session and receive confirmation that the quote was correct. The participant would then receive confirmation on the private session when the quote had entered the transaction system. The market would receive the quote information on outgoing sessions with common data.

Would it violate the FIX 4.3 standard to use this model to interact with the order management system?

Regards,

Fredrik

3

[ original email was from Oren Miller - omiller@thoughtworks.com ]
I think that the separation of a private and public sessions (basically one that processes transactions and one that dispenses market data) is pretty common, and is similar to part of what you are proposing. I don’t think that poses a problem.

I would be concerned about seperating the Bi-directional and private outgoing messages in a FIX environment however. I think that would cause some amount of confusion. Someone tell me if I’m wrong, but I don’t think such separation is generally done in FIX. That does not necessarily mean it violates the spec, but it seems like an unusual way to implement it.

I would probably prefer to see the confirmation and the acceptance of my quote on the same session.

> Hi,
>
> I have a question regarding the FIX interaction model. The background is that I’m interfacing an order management system, which has the following session types (the direction refers to the application level of the proprietary protocol):
> - Bi-directional, used for request/reply interaction, e.g. quote insert or queries and replies.
> - Outgoing session with private asynchronous data, e.g. execution reports.
> - Outgoing session with common asynchronous data, e.g. quotes.
>
> The participant would enter a quote using the bi-directional session and receive confirmation that the quote was correct. The participant would then receive confirmation on the private session when the quote had entered the transaction system. The market would receive the quote information on outgoing sessions with common data.
>
> Would it violate the FIX 4.3 standard to use this model to interact with the order management system?
>
>
> Regards,
>
> Fredrik
>
>

4

I know that the New York Stock Exchange was proposing a somewhat similar configuration for Institutional eXpress over a year ago. My recollection is that the quote dissemination feed was multicast (sent to all participants) and the order flow (New Order Single and Execution Report) was to be accomplished via a "normal" point-to-point FIX session. They planned to use IP multicast as part of an "alternate" FIX session protocol.

A white paper was written as to how a FIX session could be implemented via a "broadcast" mechanism. This is within the "Working Groups", "ECN and Exchanges", "Archive" section on the FIX website. The idea is that you could use native IP multicast, TIBCO Rendezvous, Talarian SmartSockets, MQ Series, etc. to disseminate FIX messages over a one-way, broadcast mechanism.

> I think that the separation of a private and public sessions (basically one that processes transactions and one that dispenses market data) is pretty common, and is similar to part of what you are proposing. I don’t think that poses a problem.
>
> I would be concerned about seperating the Bi-directional and private outgoing messages in a FIX environment however. I think that would cause some amount of confusion. Someone tell me if I’m wrong, but I don’t think such separation is generally done in FIX. That does not necessarily mean it violates the spec, but it seems like an unusual way to implement it.
>
> I would probably prefer to see the confirmation and the acceptance of my quote on the same session.
>
> > Hi,
> >
> > I have a question regarding the FIX interaction model. The background is that I’m interfacing an order management system, which has the following session types (the direction refers to the application level of the proprietary protocol):
> > - Bi-directional, used for request/reply interaction, e.g. quote insert or queries and replies.
> > - Outgoing session with private asynchronous data, e.g. execution reports.
> > - Outgoing session with common asynchronous data, e.g. quotes.
> >
> > The participant would enter a quote using the bi-directional session and receive confirmation that the quote was correct. The participant would then receive confirmation on the private session when the quote had entered the transaction system. The market would receive the quote information on outgoing sessions with common data.
> >
> > Would it violate the FIX 4.3 standard to use this model to interact with the order management system?
> >
> >
> > Regards,
> >
> > Fredrik
> >
> >
>