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

• FIXopaedia

System

   Client                                    Broker

FIX Engine <-----------(TCP/IP)----------> FIX Engine
     |                                         |
    OMS                                       OMS
   / | \                                     / | \ 
  Traders                                   Traders

FIX Engines

Open source FIX engines: QuickFIX

• C++ version
• Java version