Imported from previous forum
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When we refer to FIX as a protocol, and also we mention that its not
s/w, are we actually referring to a dedicated infrastructure that one
has to follow when implementing a trade station? The infrasctruce may
include routers,servers,couple of workstations. Does FIX define a
particular architecture of connection?? -
When sending transaction data or order update data, does FIX also
strictly define a fixed string format stream, delimited either by
spaces, or padding?If this is the case then all the major exchanges
including CME,ECBOT,EUREX and s/w front end trading companies such as
e-speed,Trade-Web would broadcast in the same format?? Is this true?? -
Does FIX also relate to following a particular mechanism when dealing
with order updates. eg. when a order at an exchange gets filled, should
we always expect to see the individual counter-party fills that made up
the whole fill(say filled qty was 50 but was done by 5 counteparties
each supplying 10), and finally sending a book update message reflecting
the new cumulative volume?? -
Would you be able to supply me some kind of macro level diagram
explaining the mechanism of what FIX protocol is all about?
The FIX Protocol itself is a specification of what and how to communicate. It’s a document and is not a piece of software, nor a network or service provider. FIX does not involve a fixed string format, rather has two syntaxes: Tag=Value (and delimiter) and FIXML (XML Schema). I suggest that you review resources from the following:
http://www.fixprotocol.org/implementation-guide
http://www.fixprotocol.org/specifications/TechDoc-Beginner
http://www.fixprotocol.org/specifications/
When we refer to FIX as a protocol, and also we mention that its not
s/w, are we actually referring to a dedicated infrastructure that one
has to follow when implementing a trade station? The infrasctruce may
include routers,servers,couple of workstations. Does FIX define a
particular architecture of connection??When sending transaction data or order update data, does FIX also
strictly define a fixed string format stream, delimited either by
spaces, or padding?If this is the case then all the major exchanges
including CME,ECBOT,EUREX and s/w front end trading companies such as
e-speed,Trade-Web would broadcast in the same format?? Is this true??Does FIX also relate to following a particular mechanism when dealing
with order updates. eg. when a order at an exchange gets filled,
should we always expect to see the individual counter-party fills
that made up the whole fill(say filled qty was 50 but was done by 5
counteparties each supplying 10), and finally sending a book update
message reflecting the new cumulative volume??Would you be able to supply me some kind of macro level diagram
explaining the mechanism of what FIX protocol is all about?
[ original email was from Orlando Gordon - junk@gordonvideo.com ]
Scott Atwell has given you some pretty good starting points. You have to consider the FIX protocol to be the grammar that is associated with a language. In this case it’s the language of trading.
The core of what FIX is all about is for example knowing how to send an order to buy 100 shares of IBM at market price:
[8=FIX.4.2 9=0164 35=D 34=20 49=UBank 56=TheyBank 52=20050329-18:12:47 50=589634 55=IBM 1=PRA 21=3 100=A 60=20050329-18:12:48 15=USD 110=0 11=48025 63=0 59=0 54=1 47=A 40=1 38=100 10=087 ]
And knowing that one of the acceptable responses might be a simple acknowledgement saying I’ve gotten your order and am processing it:
[8=FIX.4.2 9=0250 35=8 34=20 49=TheyBank 56=UBank 52=20050329-18:12:49 57=589634 1=PRA 6=0 11=48025 14=0 15=USD 17=47569003231 20=0 21=1 31=0 32=0 37=02075M8B 38=100 39=0 40=1 47=A 54=1 55=IBM 58=ROUTED 59=0 60=20050329-18:12:48 63=0 150=0 151=100 198=DMO*24 207=A 10=242 ]
Without a standard protocol, nobody would be able to understand anybody else’s orders, without the common language…the protocol.
I’m currently in the process of putting together some documentation that you may find useful. Let me know if you would like a copy and I’ll send you a copy or a link depending on what publishing rules I will be subject to.
When we refer to FIX as a protocol, and also we mention that its not
s/w, are we actually referring to a dedicated infrastructure that one
has to follow when implementing a trade station? The infrasctruce may
include routers,servers,couple of workstations. Does FIX define a
particular architecture of connection??When sending transaction data or order update data, does FIX also
strictly define a fixed string format stream, delimited either by
spaces, or padding?If this is the case then all the major exchanges
including CME,ECBOT,EUREX and s/w front end trading companies such as
e-speed,Trade-Web would broadcast in the same format?? Is this true??Does FIX also relate to following a particular mechanism when dealing
with order updates. eg. when a order at an exchange gets filled,
should we always expect to see the individual counter-party fills
that made up the whole fill(say filled qty was 50 but was done by 5
counteparties each supplying 10), and finally sending a book update
message reflecting the new cumulative volume??Would you be able to supply me some kind of macro level diagram
explaining the mechanism of what FIX protocol is all about?
[ original email was from Parthosarathi Karmokar - partho.karmokar@gmail.com ]
hi orlando ,
could you please mail me the documents too
Scott Atwell has given you some pretty good starting points. You have to
consider the FIX protocol to be the grammar that is associated with a
language. In this case it’s the language of trading.The core of what FIX is all about is for example knowing how to send an
order to buy 100 shares of IBM at market price:[8=FIX.4.2 9=0164 35=D 34=20 49=UBank 56=TheyBank 52=20050329-18:12:47
50=589634 55=IBM 1=PRA 21=3 100=A 60=20050329-18:12:48 15=USD 110=0
11=48025 63=0 59=0 54=1 47=A 40=1 38=100 10=087 ]And knowing that one of the acceptable responses might be a simple
acknowledgement saying I’ve gotten your order and am processing it:[8=FIX.4.2 9=0250 35=8 34=20 49=TheyBank 56=UBank 52=20050329-18:12:49
57=589634 1=PRA 6=0 11=48025 14=0 15=USD 17=47569003231 20=0 21=1 31=0
32=0 37=02075M8B 38=100 39=0 40=1 47=A 54=1 55=IBM 58=ROUTED 59=0 60=20050329-
18:12:48 63=0 150=0 151=100 198=DMO*24 207=A 10=242 ]Without a standard protocol, nobody would be able to understand anybody
else’s orders, without the common language…the protocol.I’m currently in the process of putting together some documentation that
you may find useful. Let me know if you would like a copy and I’ll send
you a copy or a link depending on what publishing rules I will be
subject to.
When we refer to FIX as a protocol, and also we mention that
its not
s/w, are we actually referring to a dedicated infrastructure that one
has to follow when implementing a trade station? The infrasctruce
may include routers,servers,couple of workstations. Does FIX define
a particular architecture of connection??When sending transaction data or order update data, does FIX also
strictly define a fixed string format stream, delimited either by
spaces, or padding?If this is the case then all the major exchanges
including CME,ECBOT,EUREX and s/w front end trading companies such
as e-speed,Trade-Web would broadcast in the same format?? Is this
true??Does FIX also relate to following a particular mechanism when
dealing with order updates. eg. when a order at an exchange gets
filled, should we always expect to see the individual counter-party
fills that made up the whole fill(say filled qty was 50 but was
done by 5 counteparties each supplying 10), and finally sending a
book update message reflecting the new cumulative volume??Would you be able to supply me some kind of macro level diagram
explaining the mechanism of what FIX protocol is all about?