FIX transformer

Question

1. We have a requirement to write a converter which converts from FIX format to business specific canonical form and vice versa. If I see quickfixj engine for FIX4.2, received application message is in java object form - quickfix.fix42.NewOrderSingle, so a converter should probably use getfields and setfields in canonical object or use beanutil,dojo mapping..... Where does FIXML come into picture???? We do not require to know xsd and xml format - information is received in object format. Does same hold for FIX5.0?? OR Do we need to write parser (JAXB) to handle xml format or information is always received in object format?

2. What is the difference between FIX 4.x and FIX 5.0? What constitutes session and application layer??

3. Any good website which talks about high availability, performance for FIX engine? Order state management?

Thanks

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Thanks. Regarding

• Query1 -> If counterparties expect FIXML message, how does FIX engine handle this? What settings do we need to make for transport layer to handle xml format? What is the best way to parse and construct FIXML message? Is is using xsds like JAXB??

When we see quickfix -> when we extend class quickfix.MessageCracker implements quickfix.Application, method signature

public void onMessage(quickfix.fix42.NewOrderSingle order, SessionID sessionID) throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue

shows in object format -> quickfix.fix42.NewOrderSingle

• Regarding Query3-> Any good sites for performance measures, High availability, network topology for FIX hosting?

Regards

Answer 1

1) You don't need to process FIXML messages if your counter parties don't send you FIXML messages, if they do you have to process them or decide to ignore/reject them. How you deal with it should be in your user level agreements with your counter parties. FIX4.2 isn't vastly different from FIX5.0, not like apples and oranges. Quickfix does need an XML config file for message configurations.

 

2)Standard specifications. You don't need to know all the differences expect for the messages you are processing. And many do add their own fields for customization.

 

3)Commercial and in-house FIX engines will be undoubtedly more efficient than Quickfix, because of money and people involved in it. You have to pay for them though. It is very difficult to compare different FIX engines or benchmark them without having used all of them. And major factor is how you are going to use it. You would never use Quickfix for algorithmic trading without changing it, hence usage is of vital importance. So any benchmark figures should be taken with a pinch of salt.