Introduction To The Financial Information e Xchange FIX

Introduction To The Financial Information e. Xchange (FIX) Protocol presented by Brian Driscoll at Bar. Camp. NYC 3 1

What is the FIX Protocol? n It is a messaging standard for the real time electronic exchange of securities transaction data. 2

Who uses FIX? n n n Institutional investors (the buy side) Broker/dealers (the sell side) Exchanges & ECNs Financial industry utilities Software & services vendors 3

What is it used for? n n n It’s used by exchanges, ECNs, & brokers/ dealers to distribute market data, quotes, etc. Money mangers use it to send orders and receive executions from brokers. It’s used by exchanges & ECNs to receive orders or quotes & report trades. It’s used to allocate & confirm trades. These are only a few examples. 4

Products & regions supported n Financial Products Supported n n n Equities Fixed Income Derivatives FX Used worldwide n Americas, UK, Europe, Asia, Pacific Rim 5

How is the standard governed? n n n It’s a public domain standard Owned & managed by FIX Protocol, Ltd It’s a non-profit financial community organization Couple hundred member firms Volunteers from member firms & industry work on the specification 6

A brief history of FIX n n 1992 1 st used between Fidelity & Salomon Jan 1995 - FIX 2. 7 n n n n Good US equity support Still in use in US 1998 – FIX 4. 1 n n Now obsolete 1996 – FIX 4. 0 Incremental release 2000 – FIX 4. 2 n Public spec released Now obsolete Dec 1995 – FIX 3. 0 n n 2001 – FIX 4. 3 n n Fixed income, XML 2003 – FIX 4. 4 n n Better international Equity market data & allocations Futures, options, FX Confirms & trade reporting 2006 – FIX 5. 0 & T 1. 1 n Complex FX, improved session/transport level 7

Session & application layers n Session layer n n n Application layer n n Make & terminate connections Deliver messages in sequence w/ data integrity Business level messages Session & application layers decoupled in FIX 5. 0. Tightly coupled prior to that. 8

Transport independent n FIX session layer n n n Web services HTTP Middleware n n TCP/IP, X. 25, etc. MQSeries, Tibco Rv, 29 West LBM, JMS Other transports 9

FIX messages n Message sections n Header fields n n Body fields n n message type, length, sequence number, sender/target, encoding, etc. session & application data Trailer fields n Signature, checksum 10

Message types n Session level msgs n n n n Logon Heartbeat Test Request Resend Request Reject Sequence Reset Logout n Application level msgs n n n n 100+ msg types New order – single Execution report Order cancel/replace request Order cancel request Allocation Trade Capture Report Confirmation 11

Message fields n For each field the specification defines: n n n Tag – A unique number. Field Name – Field name with no spaces. Data Type – String, char, price, qty, etc. Description – Definition of data. FIXML Name – XML element name. 12

User defined fields & msgs n User defined fields: n n n External user defined fields have a tag number >= 5000 and < 9999. Internal use only user defined fields have a tag number >= 10000 User defined messages n Message types start with char “U” 13

Two message syntaxes n Tag=Value syntax n n 4 components to each field <Tag>=<Value><Delimiter> n n n <Tag> is the tag number of the field = <Value> is the value of the field <Delimiter> is ASCII SOH character FIXML syntax n n n XML schema defined Application messages only, no session level Tag=Value msgs can contain FIXML in payload 14

A simple example scenario A money manager sends an order to a broker, and receives an execution/fill back. TCP socket Over a WAN FIX engine buy side trading system sell side trading system FIX Session Layer Transport via TCP used with tag=value message syntax where the buy side initiates connection and the sell side accepts. 15

Typical simplified msg flow n n n n Buy side connects TCP socket to predefined port on sell side FIX Engine. Sell side accepts TCP connection. Buy side sends a Logon msg. Sell side sends a Logon msg back. Buy side sends New Order – Single msg. Sell side sends Execution Rpt acknowledging order Sell side sends Execution Rpt containing fill. 16

Buy 5000 IBM @ 110. 75 8=FIX. 4. 2^9=251^35=D^49=AFUNDMGR^56=ABROKER^34=2^ 52=20030615 -01: 14: 49^11=12345^21=1^ 55=IBM^54=1^ 60=2003061501: 14: 49^38=5000^40=2^44=110. 75^10=127 Header fields: Body fields: 8=Begin. String (indicates FIX 4. 2) 9=Body. Length 35=Msg. Type (new order) 49=Sender. Comp. ID (AFUNDMGR) 56=Target. Comp. ID (ABROKER) 34=Msg. Seq. Num (2) 52=Send. Time 11=Cl. Order. ID (client order id) 21=Handle. Inst (automated exec) 55=Symbol (IBM) 54=Side (buy) 56=Transact. Time 38=Order. Qty (5000) 40=Ord. Type (Limit) 44=Price (110. 75) 52=Send. Time Trailer Fields: 10=Checksum 17

Same message in FIXML <FIXML> <Application. Message> <Order. Qty. Data> <FIXMLMessage> <Order. Qty>5000 <Header> <Cl. Ord. ID>12345 </Order. Qty> <Sending. Time>20030615 - </Cl. Ord. ID> </Order. Qty. Data> 01: 14: 49</Sending. Time> <Handl. Inst Value="1"/> <Ord. Type Value="2"/> <Sender> <Instrument> <Price>110. . 75</Price> <Comp. ID>AFUNDMGR <Symbol>IBM </Order> </Comp. ID> </Symbol> </Application. Message> </Sender> </Instrument> </FIXMLMessage> <Target> <Side Value="1"/> </FIXML> <Comp. ID>ABROKER <Transact. Time> </Comp. ID> 2003061501: 14: 49 </Target> </Transact. Time> </Header> 18

Integrating applications w/ FIX n Write your own FIX Engine n n n Complex, time consuming, etc. Appropriate in some situtations Use an existing FIX Engine n n n Many existing FIX Engines Most platforms and languages supported Integrate it into the application 19

Open source FIX Engines n Quick. FIX n n C++, Java, . Net, Python, & Ruby APIs Windows, Linux, Solaris, Mac OS X www. quickfixengine. org Quick. FIX/J n n is a 100% Java implementation www. quickfixj. org 20

FIX engine vendors n n Many FIX engine vendors (20+) Some of the major vendors are: n n n Transact. Tools (owned by NYSE) NYFIX * Cameron. FIX (owned by Orc software) * I am affiliated with NYFIX 21

FIX Info on the Web n www. fixprotocol. org - The web site for FIX Protocol Ltd. n n Specifications Documentation Discussion forums Much of the info in this presentation came from this web site 22