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FIX PROTOCOLAN INTRODUCTION TO THE FIX PROTOCOL
AGENDA FIX General Overview. FIX in Detail. Session layer. Application Layer. FIX engine. FIX versions.
What is FIX?Financial information eXchange.Protocol created by Fidelity and Salomon 1992.A standard way to communicate trading information electronicallybetween brokers, buy-side institutions, and markets.An industry driven messaging standard for the exchange of tradingrelated information between financial institutions. Platform independent. Flexible. Open (free) protocol.
Growth of FIXBegan as IOI (Indication of Interest) - Bid/Offers.Moved to Orders and Executions:Actual Orders to buy and sell shares in securities, and responses fromthe counterparty about how those Orders were executed.FIX has become the most commonly used protocol for electronicfinancial transactions.Used by – ECNs, Brokers, Portfolio Managers, Exchanges.Covers major asset classes – Equities, Derivatives, FX, Fixed Income.Supports Pre-Trade, Trade, and Post-Trade messaging.
What is a FIX message?FIX message contains three parts:- Header- Body- TrailerFIX message is a collection of fields e.g. Symbol, Order ID, Price,Order Quantity.Each field is a tag-value pair. <tag>=<value> e.g. 55=IBM.Two types of FIX messages:- Application Level- Session Level
What do you mean by tag value pair?Tag:FIX uses predefined Tags.Each Tag represents a specific Field.Each Tag is given a predefined number.FIX dictionary provides the list of Fields and corresponding Tagnumbers.Value:Values represent the value the Tag is assigned to.Supported data types are: int, float, Qty, Price, char, Boolean (Y/N),Currency, timestamp, string.e.g. Symbol is tag55. If there was a FIX order for Intel, it would look like55=INTC
What are the parts of a FIX message?Three parts:Header – contains administrative information about the message – whosent the message, who the message is going to, what time it was sent.Body – contains the actual financial information – fields like Symbol,Shares, Price.Trailer – usually there is only one field set in here – the Checksum forthe message – to ensure message integrity.
Message HeaderAll administrative fields:Who sent the message.Who the message was sent to.Who was the trader that sent the message (if applicable).What version of FIX is being used in the message.What type of message it is.Where the message is to be routed to (if applicable).
Mandatory FIX 4.2 Header FieldsTag Field Name Req’d Comments8 BeginString Y Identifies beginning of new message and protocol version. Always the first field in message.9 BodyLength Y Message length in bytes, forward to the Checksum field. Always second field in message35 MsgType Y Defines message type. Always third field in message.49 SenderCompID Y Assigned value used to identify firm sending message.56 TargetCompID Y Assigned value used to identify receiving firm.34 MsgSeqNum Y Integer message sequence number.52 SendingTime Y Time of message transmission (GMT).
Header Field Examples8=FIX 4.2 Message is using Version 4.2 of FIX protocol (BeginString).52=20090724-13:40:24 What time the message was sent (GMT)(SendingTime).49=Fidelity Fidelity is sending the message, specified in the header using theSenderCompID field.56=ML Message being sent to Merril Lynch, specified in the TargetCompIDfield.35=D Fidelity sending Merril Lynch an Order, specified in the MsgType field.D signifies an Order. Other values for MsgType include:- 8 (Execution Report).- 6 (Indication of Interest).- A (FIX logon message).
Message BodyThe Body of a FIX message contains the actual financialinformation that will be important to the receiver of the message.Important fields that could be in the body of a FIX Ordermessage are:• Symbol (tag 55).• Order Quantity (tag 38).• Order Type (tag 40).• Price (tag 44).• Side (tag 54).• TimeInForce (tag 59).
Message Body ExampleI want to create an order to buy 10000 shares of Yahoo at theMarket, and have it be Good Till Cancelled.OrderQty – 10000 38=10000Symbol – Yahoo 55=YHOOOrder Type – Market Order 40=1 (1 indicates Market Order).Time In Force – Good until cancelled 59=1 (1 indicates Good Untilcancelled).Side – buy 54=1 (1 indicates buy).
Message TrailerThe Trailer of a FIX message usually contains only one field – tag 10the CheckSum.The Checksum in a FIX message provides a simple message integritycheck. The Checksum is the sum of all the binary values in themessage. E.g. 10=193Upon receiving a message, a FIX engine will compute the checksum ofthe message, and make sure it matches the checksum in the actualmessage, this helps to identify transmission problems.
Example FIX messagesA FIX 4.2 message that would be seen in a FIX engine log file for anOrder for 10000 shares of IBM.8=FIX4.2|9=0132|35=D|57=Simulator|34=2|49=SLGM0|56=SB10|52=20100315-13:45:28|55=IBM|40=2|38=1000|21=2|11=order 0|60=20100315-17:45:20|54=1|44=110.5|10=097The message fields are delimited using the ASCII 01 <start of header>character.Tag 8 FIX version Tag 55 SymbolTag 49 SenderCompID Tag 54 SideTag 35 MessageType Tag 38 OrderQty
Two types of FIX messagesApplication level message.Session level message.Both are constructed the same way (tag/value pairs) but the functionality ofthe two types is different.An application level message contains the actual financial data that a userwill care about.Application level messages include Orders, Execution Reports, Indications ofInterest, Order Cancels, Allocations.Session level messages are used for administrative functionality, andconnectivity between FIX engines,Session level messages include – FIX Login messages (establish aconnection to a remote FIX engine), FIX Logoff messages, FIX ResendRequest messages.
Session LayerA session layer of any protocol defines how two sides using thatprotocol communicate.The FIX session layer handles all the administrative functionalityof the FIX protocol.Session layer – handles communication between the twocounterparties, and also makes sure that no messages aremissed, and bad messages are rejected.
What type of messages are in the FIX Session Layer? Session level messages: Logon (35=A) – handshake to authenticate counterparty. Resend Requests (35=2) - used to request missed messages after detecting a message gap Heartbeats (35=0) /Test Requests (35=1) - keep alive packets used to detect problems during slow message traffic periods. Reject (35=3) Sequence Reset (35=4) Logout (35=5)
What is a sequence number?The FIX protocol also specifies the use of Sequence numbers in theSession layer for all FIX messages.It is a unique identifier for each incoming and outgoing message, and isused by the FIX engine to keep track of how many messages havecome in and gone out.It is an incrementing number.Normally, at the beginning of a trading day, the first message sent outby both sides would be sequence number 1, and would increase by oneevery time a new message is sent out.Sequence numbers are unique for each connection, and for eachincoming and outgoing message.
So how does it all get started?The side that has agreed to initiate the connection (the Initiator) firstmakes a socket connection to the counterparty’s FIX engine and thensends a FIX Logon message.Upon receiving that FIX Logon message, the Acceptor counterpartymust acknowledge that FIX Logon message with its own FIX Logonacknowledgement message.Once the ack has been received, the connection has been establishedand trading can begin.
Application LayerContains the actual useful financial data.e.g. Orders, Execution Reports, Indications of Interest, Allocations,Quotes, Cancel Requests.e.g. How do I create an Order in FIX 4.2FIX. 4.2 specifies these fields are required:Client Order ID, Handling Instructions, Symbol, Side, Transaction Time,Order Quantity, Order Type.
Application LayerClOrdID (tag 11) (Client Order ID) is a unique identifier for any order.HandlInst (tag 21) (Handling Instructions ) allows you to specifywhether you want this order to be automatically executed or want brokerintervention.Symbol (tag 55) – the stock symbol for that security.Side (tag 54) – represents whether or not stock is being bought (1) orsold (2).TransactTime (tag 60) – time the order was created by the trader ortrading system.OrderQty (tag 38) – the number of shares in that order.OrderType (tag 40) – type of order.
Step 2 - Sending an IOI Seller ofFIX Network 1000 Cheung Kong Broker/ Position Trader Customers FIX IOI Symbol = 0001.HK Side = Sell IOIShares = 1000 Price = 101 IOINaturalFlag = Y [35=6;55=0001.HK;54=2;27=1000;44=101;130=Y;]
Step 3 - Filter IOIs, Cust B’s Order FIX Order Symbol = 0001.HK Side = Buy OrderQty = 1000 OrdType = Market [35=D;55=0001.HK;54=1;38=1000;40=1] Buy 1000 Cheung Kong Accept Buy 1000 Broker/ Customer B Cheung Kong Sales Trader FIX Order Accept (Execution Report) Symbol = 0001.HK Side = Buy OrderQty = 1000, OrdType = Market OrdStatus = New [35=8;55=0001.HK;54=1;38=1000;40=1;39=0]
Step 4 - Traded, Execution Rpts FIX Execution Report (Filled) Symbol = 0001.HK, Side = Buy, OrderQty = 1000, OrdStatus = Filled, LastShares=1000, LastPx=101 [35=8;55=0001.HK;54=1;38=1000;39=2;32=1000;31=101] Bought 1000 Cheung Kong Customer B Broker Sold 1000 Sales Trader Cheung Kong Customer AFIX Execution Report (Filled)Symbol = 0001.HK, Side = Sell, OrderQty = 1000,OrdStatus = Filled, LastShares=1000, LastPx=101[35=8;55=0001.HK;54=2;38=1000;39=2;32=1000;31=101]
FIX EngineA FIX engine is a piece of software that manages the “FIX session” (external network connection) to counterparties. - Sequence Number maintenance. - Resend Requests. - Establishing, maintaining, and breaking connections. - Session layer messages – heartbeats, test requests, logons/logoffs. FIX message formatting and validation (rejection of invalidmessages) both inbound and outbound.
FIX VersionsVersion: 3.0 4.0 4.1 4.2 4.3 4.4 5.0Rel. date: Sep95 Jan97 Apr98 Mar00 Apr01 Apr03 Oct06Business Msgs. 17 20 21 39 61 86 94Fields: 112 138 208 396 641 914 1139http://www.fixprotocol.org/specifications/Version has significant impact on application-level business processing –messages have different field contents between versions, and are not as arule backward compatible.Trading counterparties must use the same version of the FIX protocol.
Useful Websiteshttp://www.fixprotocol.orgCentral repository & authority for all specification documents.Discussion forums, presentations.http://fixglobal.comFIXGlobal Journal, the FIX Protocol’s official journal.http://www.fixprotocol.org/FIXimate3.0FIX interactive message and tag explorer Tool – access and navigatethe FIX specification.