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4 votes

is there any alternative to FIX protocol

Every trading venue will speak FIX, either natively or they will translate to their native protocol. The problem with FIX is that the messages are big which slows things down. Pretty much the gold ...
Bikenfly's user avatar
  • 454
3 votes

Sending market order via FIX using R

It is pretty easy to call C++ from R using Rcpp package. Then you can use QuickFIX for example.
zer0hedge's user avatar
  • 1,704
3 votes

Optimal execution of illiquid securities

Please note that my answer is primarily opinion/experience based. If it is not appropriate I will take it down or edit accordingly. How should I begin to think about optimal execution given a choice ...
amdopt's user avatar
  • 4,348
2 votes

FIX latency and clock syncronization

It is normal. The finance industry is seeing a lot of incompetence. You can NOT realy on the sending party having a highly accurate timestamp - I have seen discrepancies up to more than a second ...
TomTom's user avatar
  • 151
2 votes

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

Order expired may be sent when a Good Til Date (GTD) order reaches its expiration date or a Good Til Cancel (GTC) order reaches its maximum age. That maximum age may be broker-specific and even ...
kurtosis's user avatar
  • 2,910
1 vote

If a market maker wanted to avoid filling option orders from a specific account, what information could they use?

As you noted, when a market market provides liquidity on a particular exchange or executes orders for a retail broker they would not receive any client information. These fields are relevant when a ...
pyCthon's user avatar
  • 2,131
1 vote

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

You should check the API documentation of your counter-party. They might add a custom field to indicate this.
xyzt's user avatar
  • 341
1 vote
Accepted

Understanding the content of FIX market data snapshot messages

Yes, repeating group are for efficiency reason. This snapshot message is providing information about all the orders present on the book for one security (identified by tag48) currently. Here each of ...
jamihash's user avatar
  • 126
1 vote

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

I wouldn't go that way at all. There are very good commercial libraries that are well tested. Personally I don't justify the effort and cost that will take you to do it from scratch. More over, ...
Ariel Silahian's user avatar
1 vote
Accepted

FIX field for maker orders

FIX Field ExecInst has a ParticipateDontInitiate value ('6') since at least version 4.0. http://www.onixs.biz/fix-dictionary/5....
Gabriel's user avatar
  • 126
1 vote

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

No, the Libor floater is not worth par when discounting at OIS (unless there is no basis between OIS and Libor). In a dual curve settings discounting is done at $B_{OIS}(t, T)$, whereas the forward ...
Antoine Conze's user avatar
1 vote
Accepted

is there any alternative to FIX protocol

I've worked in companies providing capital market solutions for companies all over the globe and I can confidently say that FIX is pretty much the industry standard when it comes to Trading. However ...
Syd's user avatar
  • 26
1 vote

is there any alternative to FIX protocol

Fix is pretty much the standard if you are talking about communicating with exchanges for market data and orders. However many exchanges such as CFE also implement proprietary protocols which are ...
quantvoltrader's user avatar
1 vote

How do I get Forex data via FIX

The MarketFactory API looks interesting. Also try Integral's TrueFX
rupweb's user avatar
  • 1,156
1 vote
Accepted

How do I get Forex data via FIX

Too long for comment: It's unclear what your idea of the Forex market is but, generally speaking, FX is an interbank market. So you connect with the bank(s) of your choice and be done with it. In my ...
hroptatyr's user avatar
  • 995
1 vote

Initiating new orders with active "order-session" only?

Actually, it is depends where you want to trade and it is part of trading workflow of concrete counterparty. FIX protocol definition itself does not force you to subscribe on anything. Some ...
rimas's user avatar
  • 161
1 vote

How to schedule a sequence number reset in QuickFIX?

Sequence Number Reset depends on FIX engine configuration. If you have FIX initiator you can set "ResetOnLogon=N", so that your acceptor will keep track of sequence number. In case of sequence number ...
101-Amol's user avatar

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