How to develop trading platform?

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Imported from previous forum

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Hello there, in first place I join this forum because I would like to get some encyclopedia knowledge about how to build my own trading platform and deploy my own actuarial formulas to manipulate the financial market (Kid 'n Play:)), unfortunately I did not find what I was looking for, this web site just present you a protocol (ok…ok…THE protocol!!) and nothing else is not even link to a reference web site or a reference library or a reference book, I really want to figure it out how can I cope with a complex an ambitious project such as the development of an online - realtime equity and FX trading platform, it’s obvious I am not a high level System Architect, I just hold one degree in Business Studies and another one in Information Technology and I’ve got previews working experience as financial advisor and except that I’ve operated lots of trading platforms since 1995 and according to that I think I know what I would like to build but I need some reliable instructions to start with, if you visit the link bellow:

http://www.fixprotocol.org/implementation-guide/infrastructure.shtml

you will find the FIX’s general infrastructure but it’s “to general” and some paragraphs bellow you will find the topic which it has to do with the Order Management Systems (OMS) and according to this topic you can have your own OMS with $50,000 that can’t be, with this amount of money I can buy a precious platform template but the point is to build my own for free. Except that in FIX protocol I did not found any info about the legal framework or how to retrieve the prices or which network provide you the prices and how much they charge you for this services, everything it’s very abstract, however can any of you be more specific please, thank you in advance for your feedback

kind regards
papadimitrakis konstantinos (market analyst)

3

Your question is very difficult one to answer in one post, so we would have to iteratively look at parts of it.

  1. By trading platform do you mean a system that “sends orders and receives executions” ?

  2. What technology are you planning to use ?

  3. Do you want manual order entry or you want to implement a portfolio management system that “generates” orders ?

  4. Do you want only FX or u want to include other asset classes also ?

Regards,
K. Mahesh

4

I too am new to FIX. I have very minimal programming experience setting up my own automated trading with MT4 and more recently in Java with help. I’ve tried looking around this site but feel so lost and not even knowing where to start to connect to my broker’s API, as I am told if I want to use this API I need to know how to use FIX.
Here’s what I need to do:

  1. Connect and stay connected 24 hours a day.
  2. Gather tick data for Forex Spot Prices and put them in files.
  3. Use my own algos to determine a good price to trade from the streaming price feed.
  4. Send either orders at that “good price” or market entries when that price is hit.
  5. If using Orders, regularly modify the the entry prices.
    Doing this in MT4 is really easy for me, and with some intial help with Java and even more recently Orders2Go at FXCM, I can pretty much do the rest myself, but I seriously don’t even know where to start with FIX. Any help will be so very much appreciated!
5

Please take a look at

http://fixprotocol.org/specifications/

which contains all the specifications and additional documentation.

I too am new to FIX. I have very minimal programming experience
setting up my own automated trading with MT4 and more recently in Java
with help. I’ve tried looking around this site but feel so lost and
not even knowing where to start to connect to my broker’s API, as I am
told if I want to use this API I need to know how to use FIX. Here’s
what I need to do:

  1. Connect and stay connected 24 hours a day.
  2. Gather tick data for Forex Spot Prices and put them in files.
  3. Use my own algos to determine a good price to trade from the
    streaming price feed.
  4. Send either orders at that “good price” or market entries when that
    price is hit.
  5. If using Orders, regularly modify the the entry prices. Doing this
    in MT4 is really easy for me, and with some intial help with Java
    and even more recently Orders2Go at FXCM, I can pretty much do the
    rest myself, but I seriously don’t even know where to start with
    FIX. Any help will be so very much appreciated!
6

First of download the pdfs explaining the protocol and concentrate first on the session messages, these are the ones you need to understand and implement before you can do any of the business messages.

The pdfs containt clear textual functional explanation on how your FixEngine needs to work.

To my experience, make sure you get a test line with your counterparty as soon as possible to do your development so you can quickly test if you are able to logon to the other parties’ engine and keep your connection alive for the full business day. Next step is to delibaretly bbreak the physical link to test your engine can cope with the ‘resynching’ procedure as defined in the session protocol.

Work from there.

regards,

7

Thank you for the advice! But I can’t seem to find where the “session messages” are from the headers. I noticed that Vol. 3 talks about pre-trade messages, but I didn’t see any headings in there saying session messages either. :frowning:
So the collection of PDF files comes to 1,511 pages. Do I have to know the information on each of these pages in order to make this program? Are there no example codes with explaination notes in it discribing what is doing what? These 7 volumes seem very overwhelming. Please let me know if there is anything more condensed that might be more helpful and take less time to get up and running.
Thanks again for the help!

8

[ original email was from Mark Reece - mark.reece@hsbcib.com ]
My suggestion would be to track down an open source FIX engine and work with that. Implementing your own FIX engine should be feasible from the documentation, but is likely to be painful because you will need to interoperate with your broker. Using an off-the-shelf engine is going to be a lot quicker.

This will also mean that you can forget about the session messages since the FIX engine will just deal with that for you. You can concentrate on the sub-set of application messages that you need to produce.

You should also be able to forget about the standard header and footer since the engine will also populate those for you.

How much of the standard you need to understand will then be down to the asset classes you are trading. I have seen FIX orders for simple equities and FX trades that have only a dozen tags and they are pretty much what you would expect - price, volume, instrument, time stamp, handling instructions (eg good day, fill or kill, etc).

The responses from the broker should also be pretty straightforward.

So: step 1: find a FIX engine. Having just taken a quick look at the FIX Protocol web site under the FIX Products and Vendors I can see at least 1 available for free download.

Hope that helps.

Thank you for the advice! But I can’t seem to find where the “session
messages” are from the headers. I noticed that Vol. 3 talks about pre-
trade messages, but I didn’t see any headings in there saying session
messages either. :frowning: So the collection of PDF files comes to 1,511 pages.
Do I have to know the information on each of these pages in order to
make this program? Are there no example codes with explaination notes in
it discribing what is doing what? These 7 volumes seem very
overwhelming. Please let me know if there is anything more condensed
that might be more helpful and take less time to get up and running.
Thanks again for the help!

9

Thanks again for the help Mark, but I guess I’m not as good at programming as I wish I was. I found a free FIX engine to work with, but I’m still not sure what I need to do with it. The company I got it from said if I needed any assistance to just tell them, but then they never responded to me.
I’m wondering if it’s possible to hire someone to help me write a simple program that will connect, stay connected, gather tick data, and send limit entries or trades as needed. I would need to understand it after it was written, enough to be able to modify the criteria of when to send the trades/orders as I may need in the future. Do you know anyone that could do this and have an idea what it would cost? I was hoping to do this on my own, but I seem to not be good enough without someone helping me.
If anyone else out there knows someone that I could hire to help me write a very basic program, please let me know.

My suggestion would be to track down an open source FIX engine and work
with that. Implementing your own FIX engine should be feasible from the
documentation, but is likely to be painful because you will need to
interoperate with your broker. Using an off-the-shelf engine is going to
be a lot quicker.

This will also mean that you can forget about the session messages since
the FIX engine will just deal with that for you. You can concentrate on
the sub-set of application messages that you need to produce.

You should also be able to forget about the standard header and footer
since the engine will also populate those for you.

How much of the standard you need to understand will then be down to the
asset classes you are trading. I have seen FIX orders for simple
equities and FX trades that have only a dozen tags and they are pretty
much what you would expect - price, volume, instrument, time stamp,
handling instructions (eg good day, fill or kill, etc).

The responses from the broker should also be pretty straightforward.

So: step 1: find a FIX engine. Having just taken a quick look at the FIX
Protocol web site under the FIX Products and Vendors I can see at least
1 available for free download.

Hope that helps.

Thank you for the advice! But I can’t seem to find where the “session
messages” are from the headers. I noticed that Vol. 3 talks about pre-
trade messages, but I didn’t see any headings in there saying session
messages either. :frowning: So the collection of PDF files comes to 1,511
pages. Do I have to know the information on each of these pages in
order to make this program? Are there no example codes with
explaination notes in it discribing what is doing what? These 7
volumes seem very overwhelming. Please let me know if there is
anything more condensed that might be more helpful and take less time
to get up and running. Thanks again for the help!