FIX Protocol
FIX Protocol: Financial Information eXchange protocol.
It's an electronic communications protocol for international real-time exchange of information related to the securities transactions and markets.
FIXatdl: FIX Algorithmic Trading Definition Language, a XML standard for expressing algorithmic order types.
FIX message fields are delimited using the ASCII 01 <start of header> character.
FIX msg are composed of a header, a body, and a trailer. The header must contain the 8 (Begin String), 9 (Body Length), and 35(Msg Type) tags. The trailer is always terminated by a 10 tag, which includes a checksum.
Header+Body+Trailer : FIX Content
Example of a FIX message : Execution Report
8=FIX.4.2 | 9=67 | 35=8 | 49=PHLX | 56=PERS | 11=ATOMNOCCC9990900 | 52=20071123-05:30:00.000 | 20=3 | 150=E | 39=E | 55=MSFT | 167=CS | 54=1 | 38=15 | 40=2 | 44=15 | 58=PHLX EQUITY TESTING | 59=0 | 47=C | 32=0 | 31=0 | 151=15 | 14=0 | 6=0 | 10=102 |
Body: Order / Trade Details Info
Trailer: Security Check through Signature and Check Sum.
FIX Reference
System
Client Broker
FIX Engine <-----------(TCP/IP)----------> FIX Engine
| |
OMS OMS
/ | \ / | \
Traders Traders
FIX Engines
Open source FIX engines: QuickFIX