Exactpro’s Global Exchanges Division training session on FIX Trading Protocol. The essence of the FIX protocol and its place in the overall structure of network protocols, FIX message attributes and the internal data types of the protocol.

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Global Exchanges FIX Protocol
Iosif Itkin

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#GX – Global Exchanges Training Course
Alyona Bulda, Head of the Global Exchanges Division at Exactpro
and the winner of the Women in Finance 2020 Rising Star Award

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Welcome to Exactpro YouTube Channel
https://www.youtube.com/c/exactprosystems

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What These Destinations Have in Common?

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What These Destinations Have in Common?

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What These Destinations Have in Common?

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What These Destinations Have in Common?

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What These Destinations Have in Common?

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FIX Protocol – A fun and energetic introduction
https://youtu.be/rW8sDkHBfQ4?t=14

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Trading Systems Types
Buy Side Sell Side Exchange

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Learn More About APIs
https://youtu.be/Ka6JNG12Qn4

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Trading Systems Types
https://exactpro.com/ideas/research-papers/reconciliation-testing-aspects-trading-systems-software-failures
Knight Capital
Runaway Algo

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Trading Systems Types
Buy Side

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Trading Systems Types
Buy Side
Sell Side

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Trading Systems Types
Buy Side
Sell Side
Exchange

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Trading Systems Types
Buy Side
Sell Side
Exchange

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Stock Exchange Reference Architecture

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Stock Exchange Reference Architecture

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FIX Use Cases
https://www.fixtrading.org/online-specification/

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FIX Use Cases

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FIX Trading Community

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FIX Trading Community
247 Members
24 Global Premier Members

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FIX Trading Community - Exchanges

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FIX Trading Community - Register

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FIX Trading Community - MOST

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TCP/IP Model OSI Model
Application Layer
Transport Layer
Internet Layer
Network Access Layer
Application Layer
Presentation Layer
Session Level
Transport Layer
Network Layer
Data Link Layer
Physical Layer
The place of the financial protocol in the overall structure
of network protocols

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FIX Technical Standards

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FIX Technical Standards

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Message Attributes
Messages sent by the client to the stock exchange (an order, modification or cancellation of an
order, etc…) and messages sent by the stock exchange to the client (acceptance report, status
change report, etc… ) possess a certain number of attributes.
TIME IN FORCE
ORDER TYPE
SIDE
Order
QUANTITY
SYMBOL
PRICE
EXECUTION TYPE
EXECUTED PRICE
ORDER ID
Report
EXECUTED QUANTITY
ORDER STATUS
SYMBOL

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The Essence of the FIX Protocol
However, in most cases a string, which is a set of bytes, is a more convenient form for sending.
It’s logical to represent such a string as Field = Value pairs separated by a certain special character.
For example:
MessageType=NewOrder | Symbol=FOX24 | Side=Buy | OrderType=Limit | Quantity=100 | TimeInForce = DAY
| Price= 10 | Client_Order_ID = Fox24_order_1 | PartyID = User1
MessageType=ExecutionReport | Symbol=FOX24 | Side=Buy | ExecutionType=Trade| OrderStatus = Filled |
ExecutedQty=50 | ExecutedPrice= 9.9 | Client_Order_ID = Fox24_order_1 | PartyID = User1

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It can be represented in a table form:
Field (attribute) Value
Message Type New Order
Symbol FOX24
Side Buy
Order Type Limit
Quantity 100
Time in Force DAY
Price 10
Client Order ID Fox24_order_1
Party ID User1
Field (attribute) Value
Message Type Execution Report
Symbol FOX24
Side Buy
Execution Type Trade
Order Status Filled
Executed Qty 50
Executed Price 9.9
Client Order ID Fox24_order_1
Party ID User1
Such tables can be sent as files (for example, .csv or .xml)
Message Attributes

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To reduce the length of the string, it’s possible to match a unique number (tag number) to every
attribute (field/tag). For example:
Tag number Field
Value
(example)
35 Message
Type
New Order
55 Symbol FOX24
54 Side Buy
40 Order Type Limit
38 Quantity 100
59 Time in
Force
DAY
44 Price 10
11 Client Order
ID
Fox24_order_
1
448 Party ID User1
Tag number Field Value (example)
35 Message Type Execution
Report
55 Symbol FOX24
54 Side Buy
150 Execution Type Trade
39 Order Status Filled
32 Executed Qty 50
31 Executed Price 9.9
11 Client Order ID Fox24_order_1
448 Party ID User1
The Essence of the FIX Protocol

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Order Type
The next step is accepting the denominations for the field values in the case when there are relatively
few possible values. For example:
Market 1
Limit 2
Stop 3
Stop Limit 4
Side
Buy 1
Sell 2
Time In Force
DAY 0
GTC 1
OPG 2
IOC 3
FOK 4
Execution Type
New 0
Cancelled 4
Replaced 5
Rejected 8
Expired C
Trade F
Order Status
New 0
Partially
Filled
1
Filled 2
Cancelled 4
Rejected 8
Expired C
Message Type
New Order D
Execution
Report
8
Logon A
Logout 5
The Essence of the FIX Protocol

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As a result, our strings will look as follows:
MessageType=NewOrder | Symbol=FOX24 | Side=Buy | OrderType=Limit | Quantity=100 | TimeInForce = DAY
| Price= 10 | Client_Order_ID = Fox24_order_1 | PartyID = User1
35=D|55=FOX24|54=1|40=2|38=100|59=0|44=10|11=Fox24_order_1|448=User1
MessageType=ExecutionReport | Symbol=FOX24 | Side=Buy | ExecutionType=Trade| OrderStatus = Filled |
ExecutedQty=50 | ExecutedPrice= 9.9 | Client_Order_ID = Fox24_order_1 | PartyID = User1
35=8|55=FOX24|54=1|150=F|39=2|32=50|31=9.9|11=Fox24_order_1|448 = User1
The Essence of the FIX Protocol

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Let’s add a few more tags to our messages:
1. Since the messages can be identical (for example, Logon):
SenderCompID (49) is the sender. TargetCompID (56) is the receiver.
2. To be sure we haven’t lost any messages:
MsgSeqNum (34) is the sequential number of the message
3. To be able to tell when one message ends and the other one begins, and also to tell messages from garbage:
BeginString (8), BodyLength (9), CheckSum (10)
Our messages have become a little longer:
8=FIXT.1.1|9=90|35=D|49=User1|56=FGW|34=2|55=FOX24|54=1|40=2|38=100|59=0|44=10|11=Fox24_order_1|448
=User1|10=197
8=FIXT.1.1|9=91|35=8|49=FGW|56=User1|34=2|55=FOX24|54=1|150=F|39=2|32=50|31=9.9|11=Fox24_order_1|448
= User1|10=009
The Essence of the FIX Protocol

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In essence, these are almost FIX messages. It remains to note that they are coded as big strings, that is, all
characters are replaced by their ASCII codes. The SOH (0x01) character is used as a separator.
8=FIXT.1.1|9=90|35=D|49=User1|56=FGW|34=2|55=FOX24|54=1|40=2|38=100|59=0|44=10|11=Fox24_order_1|448=User1|10=1
97
38 3d 46 49 58 54 2e 31 2e 31 01 39 3d 39 30 01 33 35 3d 44 01 34 39 3d 55 73 65 72 31 01 35 36 3d 46 47 57 01 33 34 3d 32
01 35 35 3d 56 54 42 32 34 01 35 34 3d 31 01 34 30 3d 32 01 33 38 3d 31 30 30 01 35 39 3d 30 01 34 34 3d 31 30 01 31 31 3d
56 74 62 32 34 5f 6f 72 64 65 72 5f 31 01 34 34 38 3d 55 73 65 72 31 01 31 30 3d 31 39 37
8=FIXT.1.1|9=91|35=8|49=FGW|56=User1|34=2|55=FOX24|54=1|150=F|39=2|32=50|31=9.9|11=Fox24_order_1|448 =
User1|10=009
38 3d 46 49 58 54 2e 31 2e 31 01 39 3d 39 31 01 33 35 3d 38 01 34 39 3d 46 47 57 01 35 36 3d 55 73 65 72 31 01 33 34 3d 32
01 35 35 3d 56 54 42 32 34 01 35 34 3d 31 01 31 35 30 3d 46 01 33 39 3d 32 01 33 32 3d 35 30 01 33 31 3d 39 2e 39 01 31 31
3d 56 74 62 32 34 5f 6f 72 64 65 72 5f 31 01 34 34 38 3d 55 73 65 72 31 01 31 30 3d 30 30 39
The Essence of the FIX Protocol

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Internal Data Types of the FIX Protocol
Even though the FIX message as such is coded just as a string, each field uses an “internal” data type, and
it is not always String. Thus, for the Price (44) field it seems logical to use the float data type, and for the
MsgSeqNum (34) field, Unsigned Integer etc...
In fact, in the FIX protocol there is a large number of its own data types derived from the basic ones (Int,
Float, String, etc.).
The stock exchange gateway or the analog of a gateway on the broker’s side validates each field for
compliance with the internal data type. If the check-up wasn’t passed, the message gets rejected at the
gateway level, and a special Reject message is generated (35=3). It is necessary to make sure that the
stock exchange/SOR core doesn’t get some obvious gibberish inside, which can crash the system.
It’s worth noting that according to the general specification some fields have length limitations, while others
don’t.

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Internal Data Types of the FIX Protocol
https://fiximate.fixtrading.org/

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Internal Data Types of the FIX Protocol

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FIX History
https://www.fixtrading.org/beginners-resources/

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Tag = Value
25 Pages

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It’s necessary to remember that every particular stock exchange/broker uses only a part of
the FIX protocol’s functionality, that is, not all fields and/or possible field values are used.
Besides, changes are possible in the internal data types, and some tags can even be used,
which are not present in the general FIX specification.
Therefore you should refer to the FIX specification belonging to a particular broker or stock
exchange.
FIX Specifications

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FIX Specification Samples
https://exante.eu/clientsarea/media/manu
als/docs/2020/01/ExanteFIX_1.13.3.pdf

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FIX Specification Samples
https://www.lseg.com/sites/default/files/content/documents/TQ201_Trading_Gateway_FIX.pdf

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FIX User Defined Fields

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Pros and Cons
The FIX protocol is the most common in the financial area. It is supported by the majority of brokers and
stock exchanges, and it gets expanded all the time. Therefore, it has imbibed all the benefits and
drawbacks of universality:
Benefits:
● Simplicity/clarity
● Universality/widespread use
● Informativeness
● The possibility to add new fields and/or
values without a significant revamping of
the protocol’s library
● The length of the fields is not fixed
● The fields can be specified or not specified
Drawbacks:
● Big size of the message
● For a particular stock exchange there are
too many unused fields/values
● The length of fields/whole message is not
fixed
● Multiple possibilities to send something
wrong

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Some aspects remain outside the limits of this lecture, such as:
• Detailed description of the Header and the Trailer
• Repeating groups
• Administrative messages
• Monitoring, Onboarding and Software Testing
Conclusion
Human readable
Machine readable
Specifications

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Questions