FIX Protocol
What is FIX?
•FIX -Financial Information Exchange
•FIX Protocol is an industry driven messaging standard for exchange of Trading related information between financial institutions.
•FIX Protocol specification provides format for electronic messages and communication model
•FIX can be used by financial institutions like Broker-dealers, exchanges, Institutional investors and others in the industry to communicate among each other
•It is widely used protocol in the Financial Markets Industry today
Industry Players & Usage
•Exchanges
–Use FIX to receive trades from their members and send executions back and other trading related messages
•Buys-side firms
–Use FIX to send and receive pre-trade, trade and post-trade messages to and from Sell-side firms
•Sell-side firms
–Use FIX to receive and send pre-trade, trading, post-trade messages from and to buy-side firms –Use to communicate with Exchanges and other OTC markets
Message Categories
•Admin Messages
–Used to maintain the different aspects of FIX session (connection)
•Application Messages
–Messages used for transmission business messages
•Logon –Client Authentication Message
•Logout –Normal Termination of Session
•Heartbeat-Used to check communication link between two parties
•Test Request –used to test the health of the communication link
•Resend Request –Request to retransmit the certain application messages
•Reject (Session Level) –session level validation failure (different from application level validation)
–Example invalid version, msgtype etc
–RejectReasonis populated with error info
•Sequence Reset/Gap Fill
–In case of communication problems missing messages recovered or sequence is reset to ignore the missing messages
Application Messages
•Pre-trade messages
–IOIs, Quotes, News, Email, Market Data, Security Info etc
•Trade Messages
–Single Orders, Basket/List Orders, Multi-leg orders, Executions, Order Cancel,
Cancel/Replace, Status etc
•Post-Trade Messages
–Allocations, Settlement Instructions, Positions Mgmt etc
Communication Model
•Session based communication
•Session is communication between two parties
•Initiator / Client
–party who initiates the communication
•Acceptor /Server
–party who receives connection request from Initiator
–Server validates client request using login message
FIX Session
•FIX is a session protocol
–Each session maintains the bi-directional messages between two parties
–Session can spread across multiple physical connections
–Session is maintained using sequence number
–Both parties rely on sequence numbers to maintain the orderly communication
–Every new session starts with sequence number 1
–Missing messages are re-transmitted with bi-lateral agreement between both parties
Application Messages
•Trade Messages
–New Order (Single)
–Execution Report
–Order Cancel Request
–Order Cancel/Replace Request
–Order Status Request etc
Administrative Messages
•Logon -Starts the Session
•Heartbeat –Used to check the health in case of idle
•Test Request
•Resend Request
•Logout etc
Architecture
•Client Side /Buy Side
–OMS, Order Routing System, Trading Desks etc
–FIX Engine
•Server Side / Sell Side / Exchange
–FIX Engine
–OMS, Order Matching Engine / Execution Engine
–Settlement/Back-office System etc
Integration
