Writing an ECN

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Imported from previous forum

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I am a FIXML noob and reading the FIXML reference is a hodgepodge. I’m trying to figure out the flow for a New Order - Single. I found the example flows in Fix-44 Vol. 7, but I still have unanswered questions like how do I set up the FIXML message to send the Trade Data sent back and forth? We’re dealing with commodities, so it is possible for a buy to fill several trades.

I’ve been searching for days and can’t find any good tutorial on how to put the FIXMLpieces together. If anyone knows of one of those, that would be the most help of all.

Thanks.

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Hi,

You said you want to write an ECN from scratch.

Lets take the case of a pure FIX ECN supporting FIX trading on a single version=FIX.4.4 for Commodities (what you mentioned as your need).

What is the Technology platform you plan to use? Since I am a FIX-Java programmer, I have been using

Graphic User Interface = Swing

FIX Connectivity = TCP Sockets

Persistence = File I/O and/or JDBC

Language = Java

XML handling for FIXML = Java XML Parsers

Distributed programming = RMI

The following are the logical components of the ECN

Client Connection handler - The FIX Engine - does FIX messaging

Trade Execution Engine - Crosses client orders which enter the order book

You have to define a protocol between your FIX engine and the Trade Execution Engine to handle FIX Order state change matrices.

One point you need to note is that even though all your business messages would use FIXML over ^35=n^ (XML_non_FIX), your Session would be ^Tag=Value^

Regards,
K. Mahesh

I am a FIXML noob and reading the FIXML reference is a hodgepodge. I’m
trying to figure out the flow for a New Order - Single. I found the
example flows in Fix-44 Vol. 7, but I still have unanswered questions
like how do I set up the FIXML message to send the Trade Data sent back
and forth? We’re dealing with commodities, so it is possible for a buy
to fill several trades.

I’ve been searching for days and can’t find any good tutorial on how to
put the FIXMLpieces together. If anyone knows of one of those, that
would be the most help of all.

Thanks.