Questions tagged [fix]

The Financial Information eXchange (FIX) protocol is an electronic communications protocol initiated in 1992 for international real-time exchange of information related to the securities transactions and markets.

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problem of FIX 4.4 protocol tag values adapting to FIX 4.2

I have this issue that in my system we use FIX 4.4 protocol, and the FIX messages have a tag 150=H, this translates to ExecType=Trade Cancel. When this message flows to another system in middle office,...
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18 views

In fix protocol, what's complianceId (tag 376) used for?

In one of my projects, I noticed it's saved into a database as a global_order_id, and that made me wonder if it's used as a unique identifier to follow a trade flow?
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1answer
405 views

Difference between Order Expire and Order Done for Day (DFD)

Whats the difference between Order Expire and Order Done for Day (DFD) ? In general and from FIX protocol point of view.
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1answer
40 views

In FIX protocol, how to identify if the trade being submitted to foreign country?

In FIX protocol, how to identify if the trade being submitted to foreign country ?
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1answer
58 views

Understanding the content of FIX market data snapshot messages

I am currently working on a research project involving FIX market data snapshot messages. Because I do not have any real-world trading experience, I have some difficulties understanding the exact ...
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2answers
182 views

Sending market order via FIX using R

I built a strategy in R and I would like to send the orders directly to a broker, instead of creating a CSV file that would be emailed later on. I was told to use FIX protocole, but I so far do not ...
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43 views

how to test OMS functionality via FIX?

Has anyone done app dev that tests OMS functionality ( FIX ) ? Do any brokers or other financial entities make test apis available ?
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1answer
582 views

Optimal execution of illiquid securities

I am using an API to direct orders based on some proprietary buy/sell signal. I am trying to frame a thought process which outlines the slippage/impact risks versus execution risks given the option to ...
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1answer
51 views

FIX field for maker orders

I'm unsure if this question is fit for this particular Q&A board. Please direct me otherwise. Is there a prescribed field in FIX for new order messages (...
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1answer
309 views

Floating leg of a standard swap still has a value at par when we use the OIS as discount factor?

Does a bond paying floating coupon LIBOR, still has the value at par when we use the OIS as discount factor? It seems only when ...
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4answers
1k views

is there any alternative to FIX protocol

I have heard that FIX is one of the most widely used protocols for communication of securities exchange systems (correct me if its not!!). My question is: is there any other well known protocol like ...
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2answers
196 views

How do I get Forex data via FIX

We need to create an internal Forex API for internal usage. We're interested in the accuracy and real-time availability provided by a Fix connection. How would we go about getting access to a FIX ...
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1answer
85 views

FIX/FAST to SQL table

I have FIX/FAST data in CSV format. Sample: 1128=9|9=131|35=f|49=CME|34=5369745|52=20160314214500017847063|60=20160314214500001317818|75=20160315..... I need to transfer information into SQL table ...
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520 views

FIX engines comparison

Need help, looking for some comparison between c++ FIX engines, like onixs, antenna and some fpga solutions. If anyone has experienced some of the named engines also would like to hear the ...
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2answers
91 views

Initiating new orders with active “order-session” only?

Is it a must to establish "quote-session" & subscribing to quotes/market data before initiating a "New Order-single(Market-GTC)"? I actually can't see any use of quote-session for trading ...
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2answers
250 views

Calculating floating P&L of a FIX-order [closed]

How to fetch floating p/l(current) of a "filled" FIX-Order (either buy/sell)?(by its FIX-ID/order ID) I asked my FIX provider(Integral) & they said, there's no specific tag for that/not a ...
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1answer
905 views

Getting quote stream via fix-api 4.3

I'm new to FIX api,so far i did following (on QUICKFIX) logged on to quote-session subscribed to market data sent "single-message" quote-request for an instrument (EUR/USD for example) ...
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1answer
2k views

How to schedule a sequence number reset in QuickFIX?

What is the recommended way to handle scheduled sequence number resets (initiated by the counterparty once per day) ?
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1answer
286 views

FIX engine for very low latency

We are building a new system where latency is key. Either commercial or opensource, our goal is to have an easy to implement fix engine where low latency is key.
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3answers
235 views

FIX latency and clock syncronization

We are trying to see latency from our server to different LPs . For that we are checking sendingtime value (from them) and current clock in our server. What we saw is difference of +-20ms between ...
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1answer
215 views

how are gaps usually handled in market data received with multicast?

Most commonly due to latency reasons, market data is published using multicast protocol. However since multicast is built on top of UDP, it is possible that there could be packet drops. How can the ...
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2answers
880 views

why is there a cancel/replace message in FIX?

Couldn't we just cancel existing order and enter new order? Is there any other reason apart from a communication overhead that now we need to send 2 messages vs just 1 message to cancel replace?
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1answer
213 views

How difficult/easy it is to migrate from CME FAST to CME MDP3.0?

Has anyone gone through this migration? Just wanted to have an idea of the amount of effort required.
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0answers
69 views

Why is TransactTime not required on ExecutionReports? [closed]

A couple of my brokers are not sending tag 60(TransactTime) on Canceled messages. What is the rule of thumb for determining cancel time when tag 60 is absent from a Canceled message? Canceled ...
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1answer
160 views

Fix protocol and Bars

I am newbie in fix protocol. I would like to know how I can work with bars (candles) in the fix protocol? I mean subscription to bars from client-side and what type of message I can use to send bars ...
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2answers
225 views

Multicasting with FIX

I have a scenario in which a FIX server will send to multiple clients. I have found examples in which this is done by sending to each session round-robin fashion however, is there any facility in FIX ...
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4answers
604 views

Logging FIX Messages

I need to persist every single FIX message received or sent by my order gateway for auditing purposes, however it takes more than 1 millisecond to write the bytes to disk. I tried to write in chunks ...
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2answers
542 views

What would be considered a good/competitive throughput for a FIX engine?

I am writing my own FIX engine and I am in the process of running some benchmarks. I am not sure whether my results are good or bad. Can someone with experience in the area provide me with some ...
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3answers
2k views

What is the fastest way to decode the FAST protocol for market data?

What kind of technology are people using these days for decoding FAST? Can FPGA be used in that area?
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2answers
377 views

Where can I find a guide to implement the FAST protocol from scratch having already a FIX implementation ready?

I need to implement a FAST engine from scratch without using any open source or commercial FAST implementations. The FAST spec does not help much so I am not sure from where to start. Have anyone done ...
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3answers
2k views

How does logging effect Quickfix performance?

I am using .net/c++ version of quickfix. How does logging effect Quickfix performance? If I disable logging to file, can it help to increase performance of quickfix? Thanks,
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2answers
2k views

HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost

I would like to know from those that have used FIX (with Simple Binary Encoding) for HFT compares with the current (proprietary) protocols in use that often vary per counterparty. Interested in ...
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1answer
1k views

FIX binary decoder

Not sure if this is the right question board for this - It sounds like CME is switching their MDP platform from FAST to Simple Binary Encoding and it will be going to production soon. Does anybody ...
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6answers
4k views

FIX- what exactly do repeating groups represent?

I am trying to find out what is the purpose of "repeating groups" in FIX and what exactly do they represent? Are they all related to the same order and if so, why do you need repeated tags? If they ...
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1answer
770 views

Should I use QuickFix or a 3rd-party commercial API to connect to the CME

I already use QuickFixN to connect to FX ECNs, and am now looking to branch out into futures. Googling it, it seems as if there are a lot of 3rd party APIs which are written to do this, but is there ...
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3answers
1k views

Using QuickFIX in a C project

QuickFIX is a well-known open-source implementation of the FIX protocol. This library has been ported to numerous languages, though for the moment I am concentrating the on C/C++ implementation. ...
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1answer
2k views

FIX Heartbeat message not sent

I am using FIX4.3 and QuickFIX/n v1.0.0 for its implementation. I came across a situation where i had subscribed for Market Data and was successfully receiving Snapshot message then suddenly all ...
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4answers
10k views

When should we use SWIFT versus FIX?

I've read documents that claim that SWIFT and FIX are not competing protocols for financial transactions and messaging. And yet, I have not come across a clear articulation of when to use SWIFT versus ...
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12answers
27k views

How fast is QuickFix ?

In my firm we are beginning a new OMS (Order Management System) project and there is a debate whether we use Quickfix or we go for a professional fix engine? Because there is a common doubt that ...