Minimum fix implmentation

, ,
1

Imported from previous forum

2

Hi,

Is there any recommendation of minimum FIX messages to implment for different purposes?

For example, a stockmarket using fix as order enter and market data protocol should implmemnt minium what messages?

/ Jan Jonsson
jan.jonsson@ohman.se

3

In any version of FIX, you need to implement all Session level messages for that FIX version because they are required for functioning of the FIX session itself. Regarding business messages, it depends on you what functionality you wish to provide over the FIX interface.

Hi,

Is there any recommendation of minimum FIX messages to implment for
different purposes?

For example, a stockmarket using fix as order enter and market data
protocol should implmemnt minium what messages?

/ Jan Jonsson jan.jonsson@ohman.se

4

Thanks,
I am using quickfix for the engine. And seems it handels most low lever stuff just like that!

To provide a working market, I thought there must be a standard about how the client side can request a list of instrument possible to trade in. And basic Order insert, delete, and trade functionallity.
I can se all this functionallity in the FIX manual. But is there some kind of best practice of minimal function to implment on the business side, or is this always depending of the situation?

/ Jan

In any version of FIX, you need to implement all Session level messages
for that FIX version because they are required for functioning of the
FIX session itself. Regarding business messages, it depends on you what
functionality you wish to provide over the FIX interface.

Hi,

Is there any recommendation of minimum FIX messages to implment for
different purposes?

For example, a stockmarket using fix as order enter and market data
protocol should implmemnt minium what messages?

/ Jan Jonsson jan.jonsson@ohman.se

5

Since your Session is taken care of by QiuckFIX, your only decision is regarding business messages.

You should look thru the relevant state change matrix depending on your FIX version and decide what ““chains” you wish to support”. You need not support all “chains”, but whatever is supported must be consistent. For example, Cancel is a special case of Cancel-Replace with
Leaves_Qty = 0. Such super-set:Set:Sub-set permutations / combinations must be supported. You may choose to support any sub-Set of FIX X.Y :slight_smile: But the more you support, the more “connections” you would make.

For Example, I have come accross FIX connections where Order Cancel-Replace is NOT supported :frowning:
So what is done as bypass, Since Order Cancel is supported, Send Cancel followed by New Order which has new Order ID. It worked with code changes on side which accepted Cancel + new Order as “replacement” for Cancel-Replace functionality.

You must document your state change matrices and other stuff well enough so that “the developer who is trying to connect to you” is able to make the “connection”.

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

Thanks, I am using quickfix for the engine. And seems it handels most
low lever stuff just like that!

To provide a working market, I thought there must be a standard about
how the client side can request a list of instrument possible to trade
in. And basic Order insert, delete, and trade functionallity. I can se
all this functionallity in the FIX manual. But is there some kind of
best practice of minimal function to implment on the business side, or
is this always depending of the situation?

/ Jan

In any version of FIX, you need to implement all Session level
messages for that FIX version because they are required for
functioning of the FIX session itself. Regarding business messages, it
depends on you what functionality you wish to provide over the FIX
interface.

Hi,

Is there any recommendation of minimum FIX messages to implment for
different purposes?

For example, a stockmarket using fix as order enter and market data
protocol should implmemnt minium what messages?

/ Jan Jonsson jan.jonsson@ohman.se