FIX to Any format - Use cases

, ,
1

Imported from previous forum

2

Hi,

My name is Ophir Chen, and I’m currently doing my first steps in the FIX world.

I’m trying to answer a simple question:

What are the use cases where there is a need to convert to/from FIX and any other format or take FIX into non FIX system?

One example I could think of :

Back office that needs to load to TLM system all FIX transaction and therefore needs to convert FIX messages to TLM format (can be CSV, DB, XML etc.)

I would appreciate a lot any kind of help.

Thanks for your time.

Ophir Chen

Sales consultant, Complex Data Exchange

Email: ochen@informatica.com

3

Refer

http://fixprotocol.org/discuss/read/0c88025f

where there is an example of “FIXML DTD to Cobol record”. Please feel free to post any questions you have.

Regards,
K. Mahesh

Hi,

My name is Ophir Chen, and I’m currently doing my first steps in the
FIX world.

I’m trying to answer a simple question:

What are the use cases where there is a need to convert to/from FIX and
any other format or take FIX into non FIX system?

One example I could think of :

Back office that needs to load to TLM system all FIX transaction and
therefore needs to convert FIX messages to TLM format (can be CSV,
DB, XML etc.)

I would appreciate a lot any kind of help.

Thanks for your time.

Ophir Chen

Sales consultant, Complex Data Exchange

Email: ochen@informatica.com

4

Hi,

Thanks for your reply,
Are you familiar with the business case behind the need to convert between COBOL and Fix messages? Who has this problem?
Any other cases like this one that you know of?

Thanks a lot for your help.

Refer

http://fixprotocol.org/discuss/read/0c88025f

where there is an example of “FIXML DTD to Cobol record”. Please feel
free to post any questions you have.

Regards,
K. Mahesh

Hi,

My name is Ophir Chen, and I’m currently doing my first steps in the
FIX world.

I’m trying to answer a simple question:

What are the use cases where there is a need to convert to/from FIX
and any other format or take FIX into non FIX system?

One example I could think of :

Back office that needs to load to TLM system all FIX transaction and
therefore needs to convert FIX messages to TLM format (can be CSV, DB,
XML etc.)

I would appreciate a lot any kind of help.

Thanks for your time.

Ophir Chen

Sales consultant, Complex Data Exchange

Email: ochen@informatica.com

5

I could not get the “need” factor in your question. I am a programmer and hence the “need” comes from business. Recursively for them the need to convert between FIX and a non-FIX format comes from their need to use different software (some may be legacy) and these softwares are not by design directly interoperable, So I as programmer “glue” these software(s) together - Enterprise Application Integration (EAI).

When I say “the need comes from business” - I mean the business tells technology “integrate x with y”. For example :- the business already is using an accounting system and a trading system, but these are currently not integrated - data transfer between them is manual. Now with the idea of streamlining operations an EAI project starts to integrate the accounting and trading system. This is the need.

I as technology may have alternatives like “build an inhouse product z which is x + y + whatever else you need”, but the business would not prefer this if the cost difference between building z is large compared to integrating x ↔ y. Another alternative may be “find a product z2 = x + y” and procure and migrate. Again similar criteria may rule it out :frowning:

Hi,

Thanks for your reply, Are you familiar with the business case behind
the need to convert between COBOL and Fix messages? Who has this
problem? Any other cases like this one that you know of?

Thanks a lot for your help.

Refer

http://fixprotocol.org/discuss/read/0c88025f

where there is an example of “FIXML DTD to Cobol record”. Please feel
free to post any questions you have.

Regards,
K. Mahesh

Hi,

My name is Ophir Chen, and I’m currently doing my first steps in the
FIX world.

I’m trying to answer a simple question:

What are the use cases where there is a need to convert to/from FIX
and any other format or take FIX into non FIX system?

One example I could think of :

Back office that needs to load to TLM system all FIX transaction and
therefore needs to convert FIX messages to TLM format (can be CSV,
DB, XML etc.)

I would appreciate a lot any kind of help.

Thanks for your time.

Ophir Chen

Sales consultant, Complex Data Exchange

Email: ochen@informatica.com

6

Ophir,

My message

http://fixprotocol.org/discuss/read/6759c8ec

discusses an EAI example of a FIX engine / interface / adapter / … which handles FIX to non-FIX conversion. Please note that when I talk of FIX <-> Non-FIX interface there are two parts to it

1)Convert message from one format to another and back - its message format transformation only.

2)Run a FIX session - maintain “ordered message processing”, ensure all state tranformations follow rules of FIX protocol.

  1. is easier that 2) but 1) may need to be built before 2).
7

Ophir,

My message

http://fixprotocol.org/discuss/read/6759c8ec

discusses an EAI example of a FIX engine / interface / adapter / …
which handles FIX to non-FIX conversion. Please note that when I talk of
FIX ↔ Non-FIX interface there are two parts to it

1)Convert message from one format to another and back - its message
format transformation only.

2)Run a FIX session - maintain “ordered message processing”, ensure all
state tranformations follow rules of FIX protocol.

  1. is easier that 2) but 1) may need to be built before 2how EAI layer handles the FIX messages
8

Hi,

Thanks again for your help.

I totally understand the concept your point there, and as I said my only interest is in the “need” which is as you said the motivation for the business requirement.

From what I could gather till now I think I can identify two scenarios:

  1. Back office that needs to feed a TLM (transaction lifecycle management) system with the FIX trades, needs to convert the FIX messages to TLM’s format.

  2. From your pointer in the next message, I get that in some cases the OMS system needs to be able to “talk” FIX therefore if the ability doesn’t exist naturally it has to be developed.

I read the thread you were pointing me to, regarding the COBOL ↔ FIX requirement, this is exactly what I’m looking for although what I need to understand is why or in which scenario, COBOL and FIX needs to interact.
If you are familiar with other cases like this I’ll be happy to know about them, if you know the answer for my real question there or can point me to someone who can answer it I’ll be very happy. :slight_smile:

Thanks
Ophir

I could not get the “need” factor in your question. I am a programmer
and hence the “need” comes from business. Recursively for them the need
to convert between FIX and a non-FIX format comes from their need to use
different software (some may be legacy) and these softwares are not by
design directly interoperable, So I as programmer “glue” these
software(s) together - Enterprise Application Integration (EAI).

When I say “the need comes from business” - I mean the business tells
technology “integrate x with y”. For example :- the business already is
using an accounting system and a trading system, but these are currently
not integrated - data transfer between them is manual. Now with the idea
of streamlining operations an EAI project starts to integrate the
accounting and trading system. This is the need.

I as technology may have alternatives like “build an inhouse product z
which is x + y + whatever else you need”, but the business would not
prefer this if the cost difference between building z is large
compared to integrating x ↔ y. Another alternative may be “find a
product z2 = x + y” and procure and migrate. Again similar criteria
may rule it out :frowning:

Hi,

Thanks for your reply, Are you familiar with the business case behind
the need to convert between COBOL and Fix messages? Who has this
problem? Any other cases like this one that you know of?

Thanks a lot for your help.

Refer

http://fixprotocol.org/discuss/read/0c88025f

where there is an example of “FIXML DTD to Cobol record”. Please
feel free to post any questions you have.

Regards,
K. Mahesh

Hi,

My name is Ophir Chen, and I’m currently doing my first steps in
the FIX world.

I’m trying to answer a simple question:

What are the use cases where there is a need to convert to/from
FIX and any other format or take FIX into non FIX system?

One example I could think of :

Back office that needs to load to TLM system all FIX transaction
and therefore needs to convert FIX messages to TLM format (can be
CSV, DB, XML etc.)

I would appreciate a lot any kind of help.

Thanks for your time.

Ophir Chen

Sales consultant, Complex Data Exchange

Email: ochen@informatica.com

9

Ophir,

I started Hog HedgeFunds 30 years ago and initially all work was done using paper. First year of operation showed good profit and we decided to invest in Automation using computers. Con Sultans software consultancy services were hired to determine the best automation strategy and they suggested IBM’s AS400 with Cobol400. The management started a “Portfolio Management System” (PORT) project. The high level technical view of this system is

Screens - CICS400
Database - DB2 UDB for AS400
Operating System - OS400
Language - Cobol400
Shell Scripting - REXX

The system does “Portfolio Rebalancing to maximize Return and Minimize Risk” (runs a MiniMax algorithim) to give my traders a Buy X1,X2,…,XN and Sell Y1,Y2,Y3,…,YN SOD (Start Of Day) list which is Traded using Phone, Fax, Telex, Manually, etc.

At the peak of Performance, Hog HedgeFunds took over Con Sultans software consultancy services.

Over the years, many homegrown systems used by different departments were built which did accounting,reporting, tax lot calculations etc. and these programs held significant domain knowledge from the portfolio managers, traders and other business staff, some have left the hedgefund. When desktop computers with GUI (Graphic User Interfaces) appeared in the market, screen scrappers / database integration were used to provide access to parts of Cobol400 Core business applications.

With the advent of electronic networks, some automated trading was adopted and the Cobol programmers and data analysts created a data format for orders (comming from PORT) and trades (going into PORT) which was internal to Hog HedgeFunds (HH Format). Then for every execution venue, Java programmers build interfaces (adapter software OO design pattern) to convert from / to HHF and whatever the format the execution venue needed and send Orders and receive trades “over the wire”.

When Market Data started being available electronically, a program was developed to feed Market Data received in BUM format (Best Unified Market Format) to do EOD (End Of Day) data feed to the existing Cobol400 Rebalancing module for the nightly rebalancing batch process. BUM was a great Market data source at the time it was first released, but of late it is being noticed that there are latency issues and there is talk of FAST protocol being much faster.

We extensively trade with Broke Stock Brokerage. Recently in a meeting, I was informed that Broke Stock Brokerage is discontinuing the BITCH (Best Integrated Trading CHannel) trading protocol and has decided to move to FIX in a phased manner. Since our HedgeFund currenlty does not connect to any FIX only venues, our business decided to adopt FIX. Since we do not intend to migrate / replace the Cobol400 system in the near future, our IT department posted Java-FIX developers required ads to help develop FIX and FAST interfaces to the Cobol400 Core business applications. This job advertisement has left you wondering “Who the Hell on Earth wants to integrate something as new as FIX with something as old as Cobol”. Valid point. We received ideas from software development companies offering to rewrite the entire legacy applications into latest N-Tier technologies, but presently do not have the budget for this kind of grand project. Definetly we have this in our longterm plans, but not now. Presently, we only need a few Java developers with FIX knowledge.

This just a typical example of the need for “Enterprise Application Integration”.

Widely discussed in J2EE (Java 2 Enterprise Edition) circles and very good example of Enterpries Application Integration of Cobol to Java is the “Fly By Night” assignment of Sun Certified Enterprise Architect (SCEA)

http://saloon.javaranch.com/cgi-bin/ubb/ultimatebb.cgi?ubb=forum&f=26

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

Disclaimer Notice :- All names of companies, corporations, people, etc. are imaginary except Mahesh and Ophir. All real software trademarks are owned by their respective companies.