The architecture of a FIX engine

srihariadya58_x · February 11, 2009, 1:14pm

Imported from previous forum

srihariadya58_x · February 11, 2009, 1:14pm

http://www.onixs.biz/img/HighLevelArchitecture.gif

the above link gives the basic architecture of a FIX engine.

FIX Parser
FIX session-level logic

FIX parser ok, it’s codeable by me. FIX session-level logic, can anyone kindly explain what should be put in it.

also, I have chosen a “FIX Engine” as my final semester project. Will it be a good project?

Thank you in advance

http://hariadya.co.nr

changpengyu_x · February 11, 2009, 1:52pm

http://www.onixs.biz/img/HighLevelArchitecture.gif

the above link gives the basic architecture of a FIX engine.

FIX Parser FIX session-level logic

FIX parser ok, it’s codeable by me. FIX session-level logic, can anyone
kindly explain what should be put in it.

also, I have chosen a “FIX Engine” as my final semester project. Will it
be a good project?

Thank you in advance

http://hariadya.co.nr

I have a chart on the page of A Person to Person Business Site

The implementation is the Fix Engine acts as a gateway. It is responsible for transfer Financial messages back-forth. Application will not need to care about the message delivery. For a existing application product like an Order Management System in a brokerage firm or a investment group, FixEngine will be just a separate part of communication processing part. Not database access need to slowdown the performance, and throughput.

For example, an OMS using FixExpress. Message flows:

Order, Cancel, Replace request in OMS → FixExpress -->|-> FixEngine ->Exchange.

Execution, Reject reports in Exchange → FixEngine ->|–> FixExpress → OMS.

Good luck,
peng

srihariadya58_x · February 14, 2009, 5:30pm

Thank you very much.

http://www.onixs.biz/img/HighLevelArchitecture.gif

the above link gives the basic architecture of a FIX engine.

FIX Parser FIX session-level logic

FIX parser ok, it’s codeable by me. FIX session-level logic, can
anyone kindly explain what should be put in it.

also, I have chosen a “FIX Engine” as my final semester project. Will
it be a good project?

Thank you in advance

http://hariadya.co.nr

I have a chart on the page of A Person to Person Business Site

The implementation is the Fix Engine acts as a gateway. It is
responsible for transfer Financial messages back-forth. Application will
not need to care about the message delivery. For a existing application
product like an Order Management System in a brokerage firm or a
investment group, FixEngine will be just a separate part of
communication processing part. Not database access need to slowdown the
performance, and throughput.

For example, an OMS using FixExpress. Message flows:

Order, Cancel, Replace request in OMS → FixExpress -->|-> FixEngine -

Exchange.

Execution, Reject reports in Exchange → FixEngine ->|–>
FixExpress → OMS.

Good luck, peng

47_x · February 12, 2009, 1:40am

… I have chosen a “FIX Engine” as my final semester project. Will it
be a good project?

Great project! Just download Quick FIX and you did it

srihariadya58_x · February 14, 2009, 5:19pm

… I have chosen a “FIX Engine” as my final semester project. Will it
be a good project?

Great project! Just download Quick FIX and you did it

I dont want to be a loser by just downloading it…

kaymahes_x · February 12, 2009, 12:29pm

FIX session-level logic, can anyone kindly explain what should be
put in it.

Are you planning to write a session initiator (client) or a session acceptor (server)?

milanmehta_x · February 12, 2009, 12:52pm

http://www.onixs.biz/img/HighLevelArchitecture.gif

the above link gives the basic architecture of a FIX engine.

FIX Parser FIX session-level logic

FIX parser ok, it’s codeable by me. FIX session-level logic, can anyone
kindly explain what should be put in it.

also, I have chosen a “FIX Engine” as my final semester project. Will it
be a good project?

Thank you in advance

http://hariadya.co.nr

Whoa !!! Monstrous question !!! Wrong Forum !!!

To answer it, the session level logic specifies how 2 different FIX-aware systems can establish a session with each other. So it contains things like -

How does a system initiate a connection with another (login)
How does a system terminate a connection with another (logout)
How does a system know that the other system is still available (heartbeat)
How does a system know that it missed some messages from the other system (actually this is the header of every message, but the handling of this is typically part of session management)
How does a system ask the other system to resend some messages that got missed (resendRequest)?

There are a few more that complete the set, but you can look at the FIX specs to get a good idea.

Regarding your point about it being a good project, I think its great, but what are you aiming for? There is a decent opensource implementation (QuickFix, and its java version, QuickFix/J) that you can use as a starting point, if the objective is not to build a complete engine from scratch. Drop me a mail if you need to know more.

srihariadya58_x · February 14, 2009, 5:14pm

Thank you Mr. Mehta,

This is my final semester project. I am building it from scratch because I want to LEARN how it works, so that I can get in depth understanding of how it works. I have 3 months to build it. Will I be able to?( I know I can, because I have shut-up the mouths of some biggies when they say “thats impossible”)

Gracias

http://www.onixs.biz/img/HighLevelArchitecture.gif

the above link gives the basic architecture of a FIX engine.

FIX Parser FIX session-level logic

FIX parser ok, it’s codeable by me. FIX session-level logic, can
anyone kindly explain what should be put in it.

also, I have chosen a “FIX Engine” as my final semester project. Will
it be a good project?

Thank you in advance

http://hariadya.co.nr

Whoa !!! Monstrous question !!! Wrong Forum !!!

To answer it, the session level logic specifies how 2 different FIX-
aware systems can establish a session with each other. So it contains
things like -

How does a system initiate a connection with another (login)

How does a system terminate a connection with another (logout)

How does a system know that the other system is still available
(heartbeat) 4. How does a system know that it missed some messages
from the other system (actually this is the header of every message,
but the handling of this is typically part of session management)

How does a system ask the other system to resend some messages that
got missed (resendRequest)?

There are a few more that complete the set, but you can look at the FIX
specs to get a good idea.

Regarding your point about it being a good project, I think its great,
but what are you aiming for? There is a decent opensource implementation
(QuickFix, and its java version, QuickFix/J) that you can use as a
starting point, if the objective is not to build a complete engine from
scratch. Drop me a mail if you need to know more.

rick.labs · February 13, 2009, 3:48am

Take a look at http://www.marketcetera.com/ for open source ideas on how to implement the quickfix engine.

also consider having all trader screens drawn from XML files using the FIXatdl standard http://www.fixprotocol.org/FIXatdl

Rick

srihariadya58_x · February 14, 2009, 5:17pm

Thank you Mr. Labs, you always supported me…

Take a look at http://www.marketcetera.com/ for open source ideas on how
to implement the quickfix engine.

also consider having all trader screens drawn from XML files using the
FIXatdl standard http://www.fixprotocol.org/FIXatdl

Rick

fplpo_x · February 13, 2009, 4:03am

[ original email was from Zoltan Feledy - zoltan_feledy@ssga.com ]
You are also welcome to look at my thesis project:

http://feledy.org/fiximulator

It was built using the QuickFIX/J FIX engine. You can download both a buy and a sell-side application. They are configured to talk to each other. The thesis document has a complete User Guide (Chapter 4) and all the source is in the package. I’d be happy to answer questions on it.

Cheers,
Zoltan

tedgraham_x · February 13, 2009, 2:01pm

Will it be a good project?

I think implementing a FIX engine would be a great senior project. I would ignore QuickFix/J and the like and build it from scratch. You aren’t looking to get into production, you just want the experience of building a realistic piece of software.

You might want to use QuickFix/J as a counterparty to help you verify that you are building a compliant engine.

srihariadya58_x · February 14, 2009, 5:23pm

Whatever you have written is what I want to experience…
thank you… But you said “senior project”, in my case, its junior project if I can say ( I am an Under grad student)

Will it be a good project?

I think implementing a FIX engine would be a great senior project. I
would ignore QuickFix/J and the like and build it from scratch. You
aren’t looking to get into production, you just want the experience of
building a realistic piece of software.

You might want to use QuickFix/J as a counterparty to help you verify
that you are building a compliant engine.

anandpandey_x · February 19, 2009, 12:53am

Whatever you have written is what I want to experience… thank you…
But you said “senior project”, in my case, its junior project if I can
say ( I am an Under grad student)

Will it be a good project?

I think implementing a FIX engine would be a great senior project. I
would ignore QuickFix/J and the like and build it from scratch. You
aren’t looking to get into production, you just want the experience of
building a realistic piece of software.

You might want to use QuickFix/J as a counterparty to help you verify
that you are building a compliant engine.

Hi Adya ,
You looks pretty ambitious and thats the good point i see. I read the whole discussion here and found that why we are discussing it under Algorithimic Trading blog and not under general categories where you may get more and better replies.
For building up Engine whats your startup plan, how you are gonna manage the network connectivity between the two side. Are you gonna create both the buy and Sell side platform or just one of them. You have not mentioned what exactly you are going to implement in it.
Are you gonna write FIXML’s for tags and putting them in a library and using some middleware tool to connect those with your code attributes and further save them in database.
See unless you have this type of ( generally 3 tier Arch) it would be difficult to build up an application.

If you are just bothered about engine…what exactly you are going to validate.
You haven’t mentioned anything like that in your post.

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The architecture of a FIX engine

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