Fix session layer_rev1

Introduction to FIX
The FIX Session Layer

Jim Northey
Jordan and Jordan

Introduction to FIX
Copyright© 2004 Jim Northey and Jordan & Jordan
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FIX Session Layer

Session Level Messages
Login
Message Sequencing
Keeping the session alive – heart beating
Logout

Introduction to FIX
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Protocol Overview

Standardized session layer using administrative messages
Application layer with application messages
Messages use tag level encoding
Tag#
“=“
Value
<SOH>, ASCII 01 field separator

Introduction to FIX
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Message Structure

All FIX Messages are identified by a MsgType[Tag 35] code
(Look up using Volume 6 or using FIXImate for the list of messages)
All messages use a standard header and standard trailer
Messages consists of required tags and optional tags

Introduction to FIX
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Customization

Trading parties agree on specific usage and content of fields
subject to the guidelines and definitions provided in the
specification
FIX provides for custom tags to support extensions or specific
trading requirements

Introduction to FIX
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Standard Header

BeginString[8] identifies the version of FIX being used, for
instance:
“FIX 4.1”, “FIX 4.2”
BodyLength[9] identifies the length of the message
MsgType[35] Message type

Introduction to FIX
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Identification of Trading Parties

SenderCompID[49] - Identifies the sender of the message -
counterparties agree on format
TargetCompID[56] - Identifies the recipient of the message -
counterparties agree on format
Additional header fields
SubID Fields
LocID Fields
OnBehalfOf
DeliverTo
Routing

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Anatomy of a FIX Engine
Your Application Program
Trading System, Order Management System

TCP/IP Connection FIX
Counterparty
Engine

Transaction Message
Journal Encryption
Store

DBMS

Diagram taken from Programmer’s Manual for the .FixAntenna Engine from B2B ITS Consulting Services
http://fix.btobits.com and http://www.btobits.com

Introduction to FIX
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FIX System Connectivity

Customer (i.e. Investment Mgr) Supplier (i.e.Broker/Dealer)
FIX System FIX System
Wide Area Network Link
Business Msg FIX Engine FIX Engine Business Msg
Processing TCP/IP Processing
(TCP Socket opened by
Business Msg customer, persists Business Msg
Processing during life of FIX session) Processing

Order Management System Order Management System

Trader Trader Trader Trader Trader Trader

Trader in
Foreign Trader in
Office Foreign
© FIX Protocol Limited - March, 2000 Office
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Session Level

Initiating a session (Logon)
Heartbeat
Message Sequencing
Message Validation
Ending a session (Logout)

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Initiating a Session (Logon MsgType=A)

Buy side firm initiates (the Initiator) a connection to a Sell side
(the Acceptor) firm using the LOGON Session Level Message
MsgType[35]=“A”
8=FIX.4.2^
9=92^
35=A^
49=BOFASEC0^
56=DFIX201^
50=MSO:MSO^
57=TEST^
34=106^
43=N^
52=20010822-13:06:42^
98=0^
108=30^
10=021^

Introduction to FIX
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Nominal Login Scenario Start of Day

Login MsgType=A, TargetCompID=CBOEFIX001
SenderCompID=M001 MsgSeqNum=1

Valid SenderCompID
Incoming Sequence Number
This is the matches expected value
Logon
Acknowledgement Test Test
Request Login MsgType=A, TargetCompID=M001 Request
Initiator SenderCompID=CBOEFIX001 MsgSeqNum=1 Recipient

matches expected value

We have a FIX
Session Established!

Introduction to FIX
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Message Sequencing

The FIX Session guarantees that messages are delivered in the
order in which they are sent
A FIX Session can be defined as
“a bi-directional stream of ordered messages between two parties
within a continuous sequence number series”
Each FIX Engines is expected to keep track of two sequence
numbers
The Incoming Sequence Number expected on inbound messages
received from the counterparty
The Outgoing Sequence Number to be sent to the counterparty

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Message Sequencing

So what happens if the sequence numbers are not in order?
FIX Provides messages for recovery of lost messages
Provides for delivery of lost messages
Provides for a way to resynchronize sequence numbers between
engines

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Resend Request (MsgType=2)

Used to request the counterparty to resend a set of FIX
messages
Tell the counterparty the range of messages that you did not
receive
BeginSeqNo (tag 7)
EndSeqNo (tag 16)

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Exceptional Login Scenario - Sequence Number to High

Login MsgType=A TargetCompID=CBOEFIX001

Valid SenderCompID Incoming
Sequence Number > Expected Expected=1
Value
This is the
Logon Session Session
Login MsgType=A TargetCompID=M001
Acknowledgement Initiator Acceptor
SenderCompID=CBOEFIX001 MsgSeqNum=1
matches expected value

Resend Request MsgType=2 TargetCompID=M001
BeginSeqNo=1 EndSeqNo= 2

Resends messages or sends a gap fill

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Exceptional Login Scenario - Sequence Number to Low


Valid SenderCompID Incoming
Sequence Number < Expected Expected=5
Value
Why do we stop the
Session from being Session Session
Logout MsgType=5 TargetCompID=M001
established? Initiator Acceptor
Text = Incoming Sequence Number <
Expected = 5

Disconnect by closing socket

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Sequence Reset (MsgType=4)

In order to reduce unnecessary communication, FIX permits firms
to skip or gap fill over administrative messages (such as
heartbeats and test requests)
This is done using the Sequence Reset Message
GapFillFlag (tag 123)
NewSeqNo (tag 36)

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Heartbeat (MsgType=0)

The FIX Session is kept alive by both sides sending heartbeats to
the other
8=FIX.4.2^
9=0072^
35=0^
49=GLTRADE1^
56=DFIX201^
34=2^
52=20010822-13:53:28^
10=124^

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Heartbeating lets each side know the connection is active

Login MsgType=A TargetCompID=M001

Heartbeat MsgType=0 TargetCompID=CBOEFIX001
Session Session
Initiator Acceptor
Heartbeat MsgType=0 TargetCompID=M001

…
Logout MsgType=5 TargetCompID=CBEOFIX001

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How often do we heartbeat a FIX connection?

Configurable
“Negotiated” at Logon time
HeartBtInt (tag 108) Note same value used by both sides

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Test Request (MsgType=1)

Either party on the FIX connection can send a Test Request
message at any time during the FIX Session
The recipient of a Test Request message must respond with a
Heartbeat message
The Test Request contains a required TestReqID[112] field
The Heartbeat response message must contain the
TestReqID[112] of the Test Request

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Normal Test Request Scenario

Test Request MsgType=1, TestReqID=“AnyString”
Test
Test
Request
Request
Initiator
Heartbeat MsgType=0, TestReqID=“AnyString” Recipient

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Exception Test Request Scenario

Test Request MsgType=1, TestReqID=“AnyString”

No Response
from recipient
Test for 2 X Test
Request Heartbeat Request
Initiator Interval Recipient

Logout MsgType=5 Text=“Test Request Timeout”

Disconnect by closing socket

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Message Validation

FIX Engines validate that messages are properly formed and will
reject the message using a Session Level REJECT message if
the message is invalid
The Checksum (tag 10) is validated

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Ending a Session(Logout MsgType=5)

Each side sends a logout message
8=FIX.4.2^
9=0082^
35=5^
49=DFIX201^
56=GLTRADE0^
34=483^
52=20010822-14:05:34^
10=176^

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Normal Logout Processing

Logout MsgType=5 TargetCompID=CBOEFIX001
It is considered bad SenderCompID=M001 MsgSeqNum=M
form to close the
connection prior to
receiving the logout Wait a brief period of time
confirmation (heartbeat interval) for other side
to send logout – this is done in
case other side needs to do
Firm resend processing Logout
Initiating
Recipient
Logout
Logout MsgType=5 TargetCompID=M001
SenderCompID=CBOEFIX001 MsgSeqNum=N

Both sides disconnect by closing socket

Introduction to FIX
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28

End of FIX Session Layer
Slide Show

Introduction to FIX
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