The document outlines an agenda for a one-day course on the FIX Protocol, covering an introduction to FIX including its history, components, and sample message flow, how FIX is used for electronic equity trading through order types and trading scenarios, and technical implementation considerations for FIX integration. FIX Protocol is an open, electronic messaging standard used widely in the financial industry for exchanging trading-related information.
Sensiple launched PhiFIX, a suite of Multi-protocol (FIX, EMAPI, FAST, ITCH & OUCH) based messaging infrastructure to streamline electronic communications in the financial securities industry
Презентация Сергея Трошина и Антона Антонова из EXANTE об алгоритмической торговле, инфраструктуре брокера и автоматизации торговли через FIX-протокол.
The slides cover the topics of algorithmic trading, broker IT infrastructure and trading via FIX protocol. Prepared by Sergey Troshin and Anton Antonov, EXANTE Ltd.
Sensiple launched PhiFIX, a suite of Multi-protocol (FIX, EMAPI, FAST, ITCH & OUCH) based messaging infrastructure to streamline electronic communications in the financial securities industry
Презентация Сергея Трошина и Антона Антонова из EXANTE об алгоритмической торговле, инфраструктуре брокера и автоматизации торговли через FIX-протокол.
The slides cover the topics of algorithmic trading, broker IT infrastructure and trading via FIX protocol. Prepared by Sergey Troshin and Anton Antonov, EXANTE Ltd.
This gives a high-level view of the processes involved in a trade life cycle like Trade execution, capture, affirmation, settlement and reconciliation.
This presentation delves one through all the offices and the organizations involved in a trade life cycle. This tells us how a trade is executed in the real world with the help of the Front Office, Middle and Back Office.
Order book dynamics in high frequency tradingQuantInsti
An important task of high-frequency trading is to successfully capture the dynamics in the Data. Empirical Data on Indian Exchanges show that 95% of all NEW orders are placed within 5 ticks of best-bid and best-ask. The Quantinsti® Replacement Matrix shows that most of the orders that are being replaced are among the top 3 levels and these replacements allow us to visualize and generalize about market behaviour. This matrix gives a visual representation of the cost metrics and replacement behaviour.
Execution Algorithms provide a price which is between Limit Order Execution and Market Order Execution. Market Orders guarantee execution within a certain time but the price that it may get the trader remains uncertain. Limit Order guarantees the price but it may remain un-executed if price moves away. Most Execution Algorithms balance between these two order types.
The speaker, Mr. Gaurav Raizada, discusses Quantinsti® Replacement Matrix in the webinar along with basics on order book management theory for high frequency traders.
Сергей Рубанов, разработчик EXANTE и, как он сам себя называет, JavaScript-самурай, выступил на митапе TechTalks с докладом «Real-time данные на фронтенде». Он рассказал, какие проблемы приходится решать при отображении финансовых данных.
This gives a high-level view of the processes involved in a trade life cycle like Trade execution, capture, affirmation, settlement and reconciliation.
This presentation delves one through all the offices and the organizations involved in a trade life cycle. This tells us how a trade is executed in the real world with the help of the Front Office, Middle and Back Office.
Order book dynamics in high frequency tradingQuantInsti
An important task of high-frequency trading is to successfully capture the dynamics in the Data. Empirical Data on Indian Exchanges show that 95% of all NEW orders are placed within 5 ticks of best-bid and best-ask. The Quantinsti® Replacement Matrix shows that most of the orders that are being replaced are among the top 3 levels and these replacements allow us to visualize and generalize about market behaviour. This matrix gives a visual representation of the cost metrics and replacement behaviour.
Execution Algorithms provide a price which is between Limit Order Execution and Market Order Execution. Market Orders guarantee execution within a certain time but the price that it may get the trader remains uncertain. Limit Order guarantees the price but it may remain un-executed if price moves away. Most Execution Algorithms balance between these two order types.
The speaker, Mr. Gaurav Raizada, discusses Quantinsti® Replacement Matrix in the webinar along with basics on order book management theory for high frequency traders.
Сергей Рубанов, разработчик EXANTE и, как он сам себя называет, JavaScript-самурай, выступил на митапе TechTalks с докладом «Real-time данные на фронтенде». Он рассказал, какие проблемы приходится решать при отображении финансовых данных.
A Flash Crash Simulator: Analyzing HFT's Impact on Market QualityYoshi S.
A 2014 CFTC report has concluded that the 2010 Flash Crash was not caused by high-frequency traders but was exacerbated by them with their market-making strategy known as the electronic liquidity provision (ELP). This paper presents a computational analysis of the impact of ELP-HFTs on core market quality during a flash crash. Specifically examined is how ELP-HFTs affect the attributes of core market quality such as liquidity, bid-ask spreads, and short-term price volatility. To investigate the question, we build a zero-intelligence limit order book (LOB) simulator from scratch, implement the ELP strategy in it, and execute simulations in which a flash crash is artificially created. Our results show that ELP-HFTs reduce bid-ask spreads, mitigate short-term volatility, and increase total trade volume. The increase in total trade volume is attributed to what is known as the “hot-potato” effect, which was also observed during the 2010 Flash Crash. However, we conclude that the ELP strategy by itself does not amplify directional price moves despite hot-potato effects.
How to create Forex Robot for Fix Api Trading Edwin12Gentner
FIX is a special financial protocol which enables to receive up-to-date information from financial markets (quotations, news, etc.). The majority of trading robots commit financial operations of currency buying/selling on FIX API Forex via this protocol.
EXANTE's lecture at Stockholm School of Economics in Riga.
– Objectives of algorithmic trading
– Various types of algorithms
– The process of creating one
– Testing and evaluation
– Understanding the possible pitfalls (and solutions)
2014 holiday online shopping mobile trends silverpopSilverpop
As mobile devices -- including both smartphones and tablets -- continue to grow in sophistication, they increasingly become a central part of consumers' daily routines. In fact, two out of three people now keep a mobile device within reach at all times (IBM). Checking email remains one of the most common uses of mobile devices, with nearly 50 percent of opens occurring on a smartphone or tablet (Litmus).
So, you know many of your customers are viewing your emails and hitting your website from their smartphones, but how many of them are actually converting? If an individual encounters a poor mobile experience, whether it's a non-mobile friendly email or website or an awkward payment process on a small screen, it's likely the shopper will abandon the effort. So, how can you ensure your mobile-inclined shoppers are getting a seamless experience? Using data collected from the most recent holiday season, Silverpop's Loren McDonald covered key holiday shopping trends and tactics using email and push notifications to help remove the friction from smartphone shopping.
Too fast for Scrum? | AgilePT 2015
http://linkedin.arraiscastro.com
http://talks.arraiscastro.com
Scrum adoption comes with relevant organizational challenges that some companies manage poorly.
First, there is the misconception that scrum, by itself, makes your teams faster. While contributing to quality, scrum can make your teams more productive, but a poorly designed agile process may turn your teams slower at the end.
Second, there is the misconception that the need to move hyper fast makes your backlog so organically alive that timeboxed sprints become impossible to achieve. We see a lot of companies moving to Kanban, as the epiphany of extreme agility. Sometimes, all they want is to avoid the huge challenges associated with organizing the work flows so that a stable development time window is provided to their teams. Priorities changing all the time, new stories popping up each day, the will to change anything, anytime, with the excuse that it is required by the customers, and lack of senior management commitment are typical drugs used to kill sprints and agile ceremonies.
Agility is not a process, it is a mindset, based on a culture, focused on delivering the most value as soon as possible. Taking scrum (or kanban) as a structured recipe for success and applying it as if we were making a delicious cake may, at the end, cause some stomach pains (and even food poisoning on extreme cases)!
Email Social Media 4 Tactics 2010 Nor Cal Dma 11.18.09Silverpop
Presentation given to the Northern California DMA chapter on November 18, 2009. Majority of the presentation is on integrating email with social networks; second section touches on 4 areas: Data capture; Welcome Emails, Using Personality in Emails and Trigger-based emails.
Lecture of Sergey Troshin, Ph.D., Director at EXANTE, covers the main aspects of practical aspects of algorithmic trading. Main points include presentation of Exante, an investment services company that offers global multi-asset brokerage services on a wide range of financial markets.
The recording is available at the following link: https://www.youtube.com/watch?v=8JToXHeqElA. Enjoy and share the video!
Technical User Group
Paris, 6 October 2016
Agenda
• Introduction
• London Stock Exchange Derivatives Market & IDEM - New Version for SOLA
• London Stock Exchange Group - GTP Updates
• Borsa Italiana - MIT R9.0 (incl. RFQs)
• London Stock Exchange / Turquoise Equities - MIT R9.1 (incl. RFQs)
• London Stock Exchange Group – TRADEcho
• London Stock Exchange - MITCH Decommissioning
• Exactpro - Overview
• Q & A Session
Exactpro FinTech Webinar - Global Exchanges FIX ProtocolIosif Itkin
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.
Oracle Financial Consolidation and Close Cloud Service (FCCS) is the latest evolution of Oracle’s market-leading Financial Close Suite. What makes it different than Hyperion Financial Management (HFM)? A lot!
We delivered a side-by-side review of FCCS and HFM. If you’re a customer of Hyperion Enterprise, HFM, or non-Oracle financial reporting packages evaluating alternative solutions, you will gain a much deeper understanding of Oracle’s strategy in the consolidation and close domain.
Discussion included:
-Functional and technical comparison of FCCS and HFM (Dimensions, Rules, Reporting, etc.)
-Migration considerations/best practices
-Product direction from Oracle
VMF Training, Variable Message Format, A Link 16 Systems Engineering Training...Bryan Len
VMF, Variable Message Format is a link 16 systems engineering and operation training.
This is 4 days training presented by Tonex Training.
The VMF (Variable Message Format) protocol is used to exchange information among multiple different tactical systems providing rich and flexible messaging context.
Exchange of operational and tactical data such as: positions, trajectories, maps, navigation data, mission data, surveillance and intelligence between the connected systems and nodes over VMF.
VMF elements and flags include:
Field Presence Indicator (FPI)
Field Recurrence Indicator (FRI)
Group Presence Indicator (GPI)
Group Recurrence Indicator (GRI)
Target Audience:
4 Days course planned for -
TDL (Tactical Data Link) operators
TDL certification and testing professionals
Engineers and technicians
Analysts
Other military and defense professionals
Course Content:
Variable Message Format (VMF) Protocol
VMF Systems, Nodes, and Networks
VMF Architecture
VMF Protocol and Operations
VMF Use Cases
VMF Characteristics
Variable Message Format Link Requirement
VMF Participant Reporting Responsibilities
Description of VMF Messages
More…
Request more information.
Visit tonex.com for course and workshop detail
Variable Message Format (VMF) Training Bootcamp
https://www.tonex.com/training-courses/variable-message-format-vmf-training-bootcamp/
Exploring Payment Platforms - ISO 20022 and ISO 8583PECB
Have you thought about the process of communication in the financial institutions? On this webinar, we go over the importance of standards ISO 20022 and ISO 8583 and how it can help financial institution to create reports that are useful to all interested parties.
Main points covered:
• ISO 20022 and its importance on the financial communication.
• ISO 8583 and its usage on the most credit and debit card transaction.
• How can these two standards leverage to effectively manage the financial transactions and data?
Presenter:
This webinar was presented by Orlando Olumide Odejide. He is a PECB Certified Trainer and an experienced Enterprise Architect and Programme Director working on various technology solutions. His expertise spans to various ISO standard such as ISO 27001, ISO 20000 and ISO 22301, COBIT, CMMI, TOGAF, PRINCE2, ITIL.
Link of the recorded session published on YouTube: https://youtu.be/Ilx6isDrXEU
VMF Message Standard, VMF Data Protocol and Use Cases in Tactical RadiosTonex
The VMF protocol is used to swap information between multiple different tactical systems, thereby providing a rich and flexible messaging context
VMF uses the K series messages defined in MIL-STD-6017 (VMF). There are more than 100 messages, and the catalog is constantly growing. They are arranged in a collection of 11 functional areas (FA).
In fact, although VMF is generally considered to be the TDL for ground forces, many messages are used in the theater, and it can support any environment required. This is a "joint force" tactical data link.
Swap operational and tactical data between connected systems and nodes through VMF, such as:
Position
Trajectory
Map
Navigation data
Mission data
Surveillance and Intelligence.
Tonex offers Variable Message Format (VMF) Training Bootcamp. The training crash course style covering:
VMF message standard
VMF data protocol
Use cases in tactical radios
Understand the basics, advanced tactical radio and variable message format (VMF), message standards using K series messages, and all communication protocols that have nothing to do with transmission media.
The Variable Message Format (VMF) training course provides participants with the necessary knowledge and skills to analyze, specify, design, implement, test, V&V, and operating systems and nodes using the VMF protocol, VMF message standard, and VMF operating environment.
Elements and Signs of VMF include:
Field Presence Indicator (FPI)
Field Recurrence Indicator (FRI)
Group Presence Indicator (GPI)
Group Recurrence Indicator (GRI)
Audience:
TDL operators
TDL certification and testing professionals
Engineers and technicians
Analysts
Other military and defense professionals
Objectives:
Differentiate among Link 11, Link 16, Link 22, JREAP, SADIL, VMF, EPLRS, IFDL MADL and other TDLs
Explain key design considerations for a VMF enabled system or node
Sum up the VMF changes required in traditional TDL systems
Review VMF message structure, syntax, formats, protocol and VMF Data Element Dictionary (DED)
Review VMF considerations in terminals, interfaces, network communications and protocols
Test, verify, validate and certify VMF nodes and systems
Variable Message Format (VMF) history and background
Explain the key concepts, features and mechanisms behind VMF
And many more..
Course Content:
Variable Message Format (VMF) Protocol
VMF Systems, Nodes, and Networks
VMF Architecture, VMF Characteristics
VMF Protocol and Operations
VMF Use Cases
Variable Message Format Link Requirement
VMF Participant Reporting Responsibilities
Description of VMF Messages
VMF Syntax, VMF Coding Conventions
VMF Unit Identification
VMF System Testing and Certification
Learn More
https://www.tonex.com/training-courses/variable-message-format-vmf-training-bootcamp/
DevOps and Testing slides at DASA ConnectKari Kakkonen
My and Rik Marselis slides at 30.5.2024 DASA Connect conference. We discuss about what is testing, then what is agile testing and finally what is Testing in DevOps. Finally we had lovely workshop with the participants trying to find out different ways to think about quality and testing in different parts of the DevOps infinity loop.
Connector Corner: Automate dynamic content and events by pushing a buttonDianaGray10
Here is something new! In our next Connector Corner webinar, we will demonstrate how you can use a single workflow to:
Create a campaign using Mailchimp with merge tags/fields
Send an interactive Slack channel message (using buttons)
Have the message received by managers and peers along with a test email for review
But there’s more:
In a second workflow supporting the same use case, you’ll see:
Your campaign sent to target colleagues for approval
If the “Approve” button is clicked, a Jira/Zendesk ticket is created for the marketing design team
But—if the “Reject” button is pushed, colleagues will be alerted via Slack message
Join us to learn more about this new, human-in-the-loop capability, brought to you by Integration Service connectors.
And...
Speakers:
Akshay Agnihotri, Product Manager
Charlie Greenberg, Host
Dev Dives: Train smarter, not harder – active learning and UiPath LLMs for do...UiPathCommunity
💥 Speed, accuracy, and scaling – discover the superpowers of GenAI in action with UiPath Document Understanding and Communications Mining™:
See how to accelerate model training and optimize model performance with active learning
Learn about the latest enhancements to out-of-the-box document processing – with little to no training required
Get an exclusive demo of the new family of UiPath LLMs – GenAI models specialized for processing different types of documents and messages
This is a hands-on session specifically designed for automation developers and AI enthusiasts seeking to enhance their knowledge in leveraging the latest intelligent document processing capabilities offered by UiPath.
Speakers:
👨🏫 Andras Palfi, Senior Product Manager, UiPath
👩🏫 Lenka Dulovicova, Product Program Manager, UiPath
Generating a custom Ruby SDK for your web service or Rails API using Smithyg2nightmarescribd
Have you ever wanted a Ruby client API to communicate with your web service? Smithy is a protocol-agnostic language for defining services and SDKs. Smithy Ruby is an implementation of Smithy that generates a Ruby SDK using a Smithy model. In this talk, we will explore Smithy and Smithy Ruby to learn how to generate custom feature-rich SDKs that can communicate with any web service, such as a Rails JSON API.
Kubernetes & AI - Beauty and the Beast !?! @KCD Istanbul 2024Tobias Schneck
As AI technology is pushing into IT I was wondering myself, as an “infrastructure container kubernetes guy”, how get this fancy AI technology get managed from an infrastructure operational view? Is it possible to apply our lovely cloud native principals as well? What benefit’s both technologies could bring to each other?
Let me take this questions and provide you a short journey through existing deployment models and use cases for AI software. On practical examples, we discuss what cloud/on-premise strategy we may need for applying it to our own infrastructure to get it to work from an enterprise perspective. I want to give an overview about infrastructure requirements and technologies, what could be beneficial or limiting your AI use cases in an enterprise environment. An interactive Demo will give you some insides, what approaches I got already working for real.
Builder.ai Founder Sachin Dev Duggal's Strategic Approach to Create an Innova...Ramesh Iyer
In today's fast-changing business world, Companies that adapt and embrace new ideas often need help to keep up with the competition. However, fostering a culture of innovation takes much work. It takes vision, leadership and willingness to take risks in the right proportion. Sachin Dev Duggal, co-founder of Builder.ai, has perfected the art of this balance, creating a company culture where creativity and growth are nurtured at each stage.
Smart TV Buyer Insights Survey 2024 by 91mobiles.pdf91mobiles
91mobiles recently conducted a Smart TV Buyer Insights Survey in which we asked over 3,000 respondents about the TV they own, aspects they look at on a new TV, and their TV buying preferences.
Neuro-symbolic is not enough, we need neuro-*semantic*Frank van Harmelen
Neuro-symbolic (NeSy) AI is on the rise. However, simply machine learning on just any symbolic structure is not sufficient to really harvest the gains of NeSy. These will only be gained when the symbolic structures have an actual semantics. I give an operational definition of semantics as “predictable inference”.
All of this illustrated with link prediction over knowledge graphs, but the argument is general.
Essentials of Automations: Optimizing FME Workflows with ParametersSafe Software
Are you looking to streamline your workflows and boost your projects’ efficiency? Do you find yourself searching for ways to add flexibility and control over your FME workflows? If so, you’re in the right place.
Join us for an insightful dive into the world of FME parameters, a critical element in optimizing workflow efficiency. This webinar marks the beginning of our three-part “Essentials of Automation” series. This first webinar is designed to equip you with the knowledge and skills to utilize parameters effectively: enhancing the flexibility, maintainability, and user control of your FME projects.
Here’s what you’ll gain:
- Essentials of FME Parameters: Understand the pivotal role of parameters, including Reader/Writer, Transformer, User, and FME Flow categories. Discover how they are the key to unlocking automation and optimization within your workflows.
- Practical Applications in FME Form: Delve into key user parameter types including choice, connections, and file URLs. Allow users to control how a workflow runs, making your workflows more reusable. Learn to import values and deliver the best user experience for your workflows while enhancing accuracy.
- Optimization Strategies in FME Flow: Explore the creation and strategic deployment of parameters in FME Flow, including the use of deployment and geometry parameters, to maximize workflow efficiency.
- Pro Tips for Success: Gain insights on parameterizing connections and leveraging new features like Conditional Visibility for clarity and simplicity.
We’ll wrap up with a glimpse into future webinars, followed by a Q&A session to address your specific questions surrounding this topic.
Don’t miss this opportunity to elevate your FME expertise and drive your projects to new heights of efficiency.
GDG Cloud Southlake #33: Boule & Rebala: Effective AppSec in SDLC using Deplo...James Anderson
Effective Application Security in Software Delivery lifecycle using Deployment Firewall and DBOM
The modern software delivery process (or the CI/CD process) includes many tools, distributed teams, open-source code, and cloud platforms. Constant focus on speed to release software to market, along with the traditional slow and manual security checks has caused gaps in continuous security as an important piece in the software supply chain. Today organizations feel more susceptible to external and internal cyber threats due to the vast attack surface in their applications supply chain and the lack of end-to-end governance and risk management.
The software team must secure its software delivery process to avoid vulnerability and security breaches. This needs to be achieved with existing tool chains and without extensive rework of the delivery processes. This talk will present strategies and techniques for providing visibility into the true risk of the existing vulnerabilities, preventing the introduction of security issues in the software, resolving vulnerabilities in production environments quickly, and capturing the deployment bill of materials (DBOM).
Speakers:
Bob Boule
Robert Boule is a technology enthusiast with PASSION for technology and making things work along with a knack for helping others understand how things work. He comes with around 20 years of solution engineering experience in application security, software continuous delivery, and SaaS platforms. He is known for his dynamic presentations in CI/CD and application security integrated in software delivery lifecycle.
Gopinath Rebala
Gopinath Rebala is the CTO of OpsMx, where he has overall responsibility for the machine learning and data processing architectures for Secure Software Delivery. Gopi also has a strong connection with our customers, leading design and architecture for strategic implementations. Gopi is a frequent speaker and well-known leader in continuous delivery and integrating security into software delivery.
6. 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
6
7. FIX History
• FIX Protocol introduced in 1992
• FIX Specifications are developed and
managed by the members of organization
known as "FIX Protocol Limited (FPL)“
– http://www.fixprotocol.org
• FPL is formed by major industry players
• FIX Versions:
– Latest FIX version is 5.0
– Most of the current production versions are
4.1 to 4.4
7
8. Benefits of FIX Protocol
• FIX is Open Protocol – brings all players
together
• Electronic protocol – streamlines and
increases the efficiency of communication
among industry players
• Wide support and software packages
availability – easy to get on board
• Simple and platform independent protocol
• Designed by users and extensible –
addresses all industry needs
8
9. 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
9
11. Supported Product Classes
• Equities
• Fixed Income
• Derivatives (Options, Futures, IR
Swaps etc)
• FX etc.
11
12. Message Categories
• Admin Messages
– Used to maintain the different aspects of
FIX session (connection)
• Application Messages
– Messages used for transmission
business messages
12
13. Admin 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, msg type etc
– RejectReason is 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
13
15. FIX Message Format
• FIX is a platform independent protocol
• Message contains 3 parts:
– Header
– Body
– Trailer/Footer
• Message is a collection of fields
• Each field is a tag-value pair
– <tag>=<Value>
– Eg: 55=IBM (symbol=IBM)
• All fields are terminated by delimiter character
• Delimiter character is a non-printing ASCII - "SOH"
(#001) (in print ‘^’ is used)
• Delimiter cannot be used in the message anywhere else
except in DATA field
• 9=0235^35=D^34=10^43=N^
15
16. FIX Message Format ..cont
• Tag
– FIX uses predefined Tags
– Each Tag represent the specific field
– Each tag is given a predefined number
– FIX Field dictionary provides the list of Fields
and corresponding Tag numbers (Supplied
with Spec)
– Dictionary is available at the end of
specification (by number and by tag name)
• Value
– Values represent the value of the Tag
assigned to
– Supported Data Types are:
• int, float, char, time, date, data, string 16
17. FIX Message Format ..cont
• All messages start with "8=FIX.x.y"
– Indicates the FIX version of the
message being transmitted
– Useful to support multiple versions
• All messages terminate with
"10=nnn<SOH>"
– nnn represents the Checksum of the
data
– Checksum is the sum of all the binary
values in the message
– Checksum helps to identify the
transmission problems
17
18. Sample Message
• New Order Single Message
8=FIX.4.1^9=0235^35=D^34=10^43=N^49=VENDOR^50=CUSTOME^
56=BROKER^52=19980930-
09:25:58^1=XQCCFUND^11=10^21=1^55=EK^48=277461109^22=
1^54=1^38=10000^40=2^44=76.750000^59=0^10=165
18
19. 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
19
20. 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
20
21. Typical Session Flow
• Client starts the session with LOGON
Message
• Exchange Business/Application Messages
with Server
– Sending new orders, receiving fills etc
• Ends with LOGOUT message
21
22. FIX Message Categories
• Admin/Session Messages
– Used for Session maintenance
– Eg: Logon, Logout, Heartbeat etc
• Application Messages
– Used for exchange of business messages
– Eg: New Order, Cancel Order etc
• Security
– Authentication - Login and Logout between
parties
– Data Security - Options for data encryption
(PGP)
22
23. Application Messages
• Trade Messages
– New Order (Single)
– Execution Report
– Order Cancel Request
– Order Cancel/Replace Request
– Order Status Request etc
23
24. New Order (Single)
• Used to send a new (buy, sell etc) order to
broker or an exchange.
• New order message provides numerous tags to
support all possible information required with
New order
• Has some mandatory fields that are common to
every New order
– Eg: ClientOrderID, Symbol etc
• Sample New Order Message:
8=FIX.4.1^9=0235^35=D^34=10^43=N^49=VENDOR^
50=CUSTOMER^56=BROKER^52=19980930-09:25:58^
1=XQCCFUND^11=10^21=1^55=EK^48=277461109^
22=1^54=1^38=10000^40=2^44=76.750000^10=165
24
25. New Order (Single) …cont
• FIX Version (8) = 4.1
• Message Body Length(9) = 0235
• Message Type (35) = D (New Order single)
• Message Seq (34) = 10
• PossDupFlag (43) = N (no)
• SenderCompID(49) = VENDOR (unique id of the sender
firm)
• SenderSubID(50) = Vendor Sub id like desk etc
(Optional)
• TargetCompID(56) = BROKER (value used to identify
receiving firm)
• SendingTime (52) = Time of message transmission
• Account(1) = Account number
• ClOrdID(11) = Client Order Id
25
26. New Order (Single) …cont
• HandlInst(21) = Order Handling Instructions to Broker
• Symbol(55) = Security Identifier - Ticker
• SecurityID (48) = CUSIP or other alternate security
identifier
• Side (54) = side of the order
IDSource(22) = Identifies class of Side (54) = Side of Order. Values are:
alternative SecurityID 1 = Buy
1 = CUSIP 2 = Sell
2 = SEDOL 3 = Buy minus
3 = QUIK 4 = Sell plus
4 = ISIN number 5 = Sell short
5 = RIC code 6 = Sell short exempt
26
27. New Order (Single) …cont
• OrderQty (38) = Order Quantity (eg: Number of
shares ordered)
• OrdType(40) = Order Types
– 1 = Market
– 2 = Limit
– 3 = Stop
– 4 = Stop limit etc
• Price(44) = Price of order if the order is Limit etc
• Checksum(10) – used for data integrity check
27
28. Few Other Application Messages
• Order Cancel Request
– This message is used to request the
cancellation of full or part of the remaining
quantity of the existing order.
• Order Cancel/Replace Request
– This message is used to modify the existing
order
• Order Status Request Message
– This message is used to request the status of
existing order
28
29. Execution Report
• Used by the recipient (Broker or
Exchange)
• Used for various needs like
– Used to confirm the receipt of an order
– Confirm changes to an existing order (in
response to order cancel request etc)
– Relay order status information
– Reject orders
– Relay Fill (execution) information etc
29
30. Message Type Codes (Tag 35)
• 0 = Heartbeat • A = Logon
• 1 = Test Request • B = News
• 2 = Resend Request • C = Email
• 3 = Reject • D = Order - Single
• 4 = Sequence Reset • E = Order - List
• 5 = Logout • F = Order Cancel
• 6 = Indication of Interest Request
• 7 = Advertisement • G = Order
• 8 = Execution Report Cancel/Replace Request
• 9 = Order Cancel Reject • H = Order Status
Request
• J = Allocation
• K = List Cancel Request
• L = List Execute
• M = List Status Request
and more
30
31. Administrative Messages
• Logon - Starts the Session
• Heartbeat – Used to check the health in
case of idle
• Test Request
• Resend Request
• Logout etc
31
32. Sample Flow
LOGON
Party -1 New Order Party -2
Party -1 Party -2
Institutional Execution Report (Partial Fill) Broker-
Institutional Broker-
Investor
Investor Order Cancel Dealer
Dealer
FIX Client
FIX Client FIX Server
FIX Server
Execution (Cancel Accept)
LOGOUT
32
33. Part - 2
FIX Protocol
Equity Trading
By
Khader Shaik
33
35. Trade Life Cycle
• Pre-Trade – Trade prep
– IOI – Market the Interest/positions
– Quote Request and Quote
• Trade
– Trading Activity Messages
• Post-Trade – Settlement etc
– Allocations – Distribution of executions etc
– Settlement Instructions
– Street Side reporting (contra/counterparty
info)
35
36. Execution report Message
• Simply known as Execution
• Interpreted using ExecType,
ExecTransType and OrdStatus fields
• ExecTransTypes
NEW Order Acknowledgement
CANCEL Cancel previously reported execution due to error etc.
CORRECT Correction to the previously reported execution.
STATUS Reports the status of the orders.
36
37. ExecTypes
• 0 = New • 8 = Rejected
• 1 = Partial fill • 9 = Suspended
• 2 = Fill • A = Pending New
• 3 = Done for day • B = Calculated
• 4 = Canceled • C = Expired
• 5 = Replace • D = Restated
• 6 = Pending Cancel (e.g. (ExecutionRpt sent
result of Order Cancel unsolicited by sellside, with
Request) ExecRestatementReason
• 7 = Stopped set)
• E = Pending Replace (e.g.
result of Order
Cancel/Replace Request)
37
38. OrdStatus
• 0 = New • 8 = Rejected
• 1 = Partially filled • 9 = Suspended
• 2 = Filled • A = Pending New
• 3 = Done for day • B = Calculated
• 4 = Canceled • C = Expired
• 5 = Replaced • D = Accepted for
• 6 = Pending Cancel bidding
(e.g. result of Order • E = Pending Replace
Cancel Request) (e.g. result of Order
• 7 = Stopped Cancel/Replace
Request)
38
39. Scenario – 1 – Single Order
New Order Single
35=D^
Execution (Ack)
35=8^ExecType=0(New)
Execution (Ack)
35=8^ExecType=1(PartialFill)
Buy Execution (Ack) Sell
Side 35=8^ExecType=2(Filled) Side
39
40. Scenario – 2 – Single Order
New Order Single
35=D^
Execution (Ack)
35=8^ExecType=0(New)
Execution
35=8^ExecType=1(PartialFill)
Order Cancel
Buy Sell
35=F
Side Side
Execution (Pending Cancel)
35=8^ExecType=6
Execution (Canceled)
35=8^ExecType=4
Execution (Filled)
35=8^ExecType=2^ExecQty=nn
40
41. Scenario – 3 – Single Order
New Order Single
35=D^
Execution (Ack)
35=8^ExecType=0(New)
Execution
35=8^ExecType=1(PartialFill)
Order Cancel Sell
Buy 35=F
Side Side
Execution (Pending Cancel)
35=8^ExecType=6
Execution (Partial Fill) (some more Qty)
35=8^ExecType=1
Execution (Canceled)
35=8^ExecType=4
41
42. Scenario – 4 – Single Order
New Order Single
35=D^
Execution (Ack)
35=8^ExecType=0(New)^39=0
Execution(Partial Fill)
35=8^ExecType=1^39=1
Order Cancel Sell
Buy 35=F
Side Side
Execution (Pending Cancel)
35=8^ExecType=6^39=6
Execution (Filled) (Full Remaining Qty)
35=8^ExecType=2^39=2
Execution (Cancel Rejected) (optional)
35=8^ExecType=8^39=2
42
43. Order Cancel/Replace
• Also known as Order Modification
• Only modifiable properties can be
changed
– Order Qty, Order Price etc
• Filled order can also be reinstated by
increasing the qty
• Used to increase the qty instead of
sending new order
– To holds the position / seniority
43
44. Scenario – 5 – Single Order
New Order Single
35=D^
Execution (Ack)
35=E^ExecType=0(New)
Execution
35=8^ExecType=1(PartialFill)
Buy Order Cancel/Replace Sell
Side 35=G^ Side
Execution (Pending Cancel)
35=8^ExecType=E
Execution
35=8^ExecType=1(PartialFill)
Execution
35=8^ExecType=2(Filled)
44
45. Key Fields
• OrderID – unique id used to identify the
order
• ClOrdId – OrderID used to identify the
order in all communication
• Order Type - Day Order Vs GTC (good till
cancel)
• FK (FillOrKill) Vs IOC (Immediate or
Cancel)
• Trade Bust – canceling previously issued
execution (can be send by executing
party)
45
46. ExecType Vs Order Status
• ExecType(150) – States the
Execution Message type
– New, Filled etc
– Response to the request
• OrdStatus(39) – States the current
orders status
– New, Filled etc
– May hold the same value as ExecType
46
47. Allocation
• Allocation and AllocationAck
• Used for
– Distribution of executions/Orders among
clients
– Commission Calculations etc
• Also used in pre-trade to transmit the
client allocation information
47
48. Part - 3
FIX Protocol
Technical Section
By
Khader Shaik
48
55. Implementation
• Trading Need– Requirement Identification
– Financial Product
– Supported Features
• Design the flow
– Identify the messages
• Develop/Implement the systems
• Perform Internal testing
• Perform UAT with other party
• Rollout & Pre-Production testing
55
56. UAT
• Testing with other party testing is the must
– Each client Implementation could be different
– Messages are built using multiple tags, hence
every tag is important
– Create all scenarios and test
56
58. Message Validation
• Session Level
– Invalid Protocol Level data
– Eg: Invalid Message Type, Invalid
TargetCompId etc
– Rejected by FIX Engine
– Will not be send to application
– REJECT FIX message will be sent back
• Users may not see any sign; watch log
files
• File watchers are used to monitor such
errors
58
59. Message Validation
• Application Level
– Validated by application (not FIX
Engine)
– Any missing or invalid custom fields
– Rejected by application
– BusinessReject FIX message will be
sent back as response with a reason
• Applications must process these
messages and appropriate actions
– Displaying in the front end or send emails etc
59
60. Message Recovery
• Rarely happening situations, but expect couple
of times a year at least
– Transmission problems may occur some times
– Messages may go out of sequence
– FIX Engine will keep rejecting messages until
sequence is fixed – serious issues
– Usually manual intervention required to coordinate
and fix the issues
• Very important to have measures in place to
identify the situation the earliest possible
• Since its between FIX Engines, client application
may not see any problem other than no flow of
messages
• Using File Watchers is a standard solution
60
61. File Watchers
• Simple File Watcher – Shell or Batch script
looking for certain text patterns in FIX
Engine Log file
• Commercial Tools (Veritas and other) to
monitor process log files
61
62. Application Level Rejects
• Developers must take care to avoid as
much as possible
• Thorough UAT is required to identify these
scenarios
• Must handle it gracefully
– Generate BusinessReject message with clear
RejectReason and send out to other party
– Inform to the message originator the best
possible way
– Try to avoid dropping Business Reject
Messages
62
64. Roles & Responsibilities
• Business Analysts
• Developers
• QA
• UAT
• Production Support – Level 1
• Production Support – Level 2
64
65. Business Analyst
• Understanding of Product Trading
• Understanding of the FIX protocol
Design
• Understanding of the each FIX
message and the usage of tags
• Development of detailed Test Cases
• Helping the
Implementation/Development Team
• Coordination of UATs etc
65
66. Developers
• Must understand the Integration with
FIX Engine
• Understand the various messages
and tags to be used
• Flow of messages in various trading
scenarios
66
67. QA
• Must be as good as BAs
• Must understand the operations of
FIX Engines
• Must read and understand the log
files
• Must be able to interpret format and
different tag combinations etc
67
69. Production Support – Level 1
• Receives Calls from users
• Try to troubleshoot and identify the
issues
• Pass on the issue to Level 2 as
needed
69
70. Reading FIX Specification Doc
• FIX Version 4.2
– One Volume
• FIX Version 4.3 and above
– Multi-volume
• Walk-through of one of these version for
basic understanding
• Current FIX Version is 5.0
70
71. Thank You
Khader Shaik
khader@orbitra.com
or
khaderv@yahoo.com
www.ksvali.com
71