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Questions tagged [fix-protocol]

The Financial Information eXchange Protocol ( a "FIX Protocol" ) is a series of messaging specifications for the electronic communication of both trade-related and quote-stream related electronic trading messages between a market-access venue and a trading-desk operator ( be it a human or an algorithmic-trading engine ).

What is FIX?

The Financial Information eXchange Protocol ( abbrev. as a "FIX Protocol" ) is a series of messaging protocol specifications for the electronic communication of trade-related messages to provide a common, global language for the automated trading of financial instruments.

A typical FIX Protocol compliant message is an ASCII string, consisting of number tags, associated with their values and looks like:

tagNumber1=tagValue1|tagNumber2=tagValue2|tagNumber3=tagValue3

and so on, where a character | is a tag-record delimiter.

Want to get started or look up an existing tag details?

Visit: https://www.fixtrading.org/standards/

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FIX message rate monitoring

I am a newby to the site, have limited scripting skills, but able to pick my way through scripts without a problem. I would like to write a script to monitor the FIX messages coming through a number of log files in real time; segregated by account &…
lonegringo
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How to implement account query in FIX protocol

How can I implement a FIX message to inquiry an account's balance? Is the CollateralInquiry is for that purpose? Thanks
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Quickfix, Is there a "catch-all" method OnMessage to handle incoming messages not handled by overloaded methods?

I use MessageCracker Crack(message, sessionId); within FromAdmin and FromApp (I use version 1.4 of quickfix/n and message cracker seems to also handle admin messages, at least the overloaded OnMessage(Quickfix.Fix44.Longon message, SessionID…
Matt
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Quickfix/J hot to obtaint the Source IP

Is there any possibility to obtain the source IP by using a QuickFix engine? My server is the acceptor, and I need the source IP for logging purposes. Thanks
CristiL
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Why is a static IP address required to use financial FIX protocol connectivity?

Why do vendors who provide FIX protocol connectivity require a static IP address? Is the only reason user identification/validation? Or is there any other reason behind that? Thanks
Matt
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How can I implement pending orders in FIX protocol?

I have a FIX server which supports open/close positions. Now, I want to add support for pending orders. In the NewOrderSingle message, there is a field OrdType which defines the type of order, Market,Limit,Stop, etc. I used these ones for position…
xyzt
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Recursive Calls to toApp in my Quickfix/J Application implementation

I'm doing something like this in my Quickfix/J Application implementation: public void toApp(Message message, SessionID sessionID) throws DoNotSend { try { Session.sendToTarget(message, sessionID); } catch (SessionNotFound e) { …
FutuToad
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Is it possible in production to use quickfix/j to generate session name from messages

I was wondering if you generally hardcode session names when receiveing FIX messages? I noticed that you can receive FIX messages with the SENDER and TARGET ID's missing. For example my sessions can look like…
FutuToad
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Required fields within repeating groups FIX

So I am trying to generate repeating groups in a FIX message, but I need a method to determine which fields are required for each repeating group so I don't have to hard code everything. For some reason, the quickfix DataDictionary class's method…
raj rajaratnam
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QuickFIX marketdatarequest after disconnect

Im using quickfix. I start session and send MarketDataRequest, it works fine, but after the disconnect happened and quickfix session reconnected, i cant get any market data anymore. Server does not respond on my MarketDataRequests at all. Only…
Vitaliy Nesterenko
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How to test market data parsing program

I'm developing a program to receive and parse market data from a exchange. What's the best way to test my program during the development? The data was sent via a multicast socket, but I don't have access to the socket before the program's…
GuLearn
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Best way of documenting mapping to different venues

Hi I have been asked by my employer to document how our FIX Spec will map to another venues FiX Spec. This will require hard work as it involves going through each message and seeing how it is different to ours. What is the best way of documenting…
userH
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Discripency between venues sending Security Status

I have Venue 1 which automatically sends out a Security's status automatically when a Security Definition Request message is sent out. But Venue 2 uses a SecurityStatusRequest message. Now how would one solve the problem of a user from Venue 2…
userH
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Any advice on the best way to go about mapping venues FIX Specs?

Venue 1 may use a a specific message to request say Market Data, whilst venue 2 may use another message for the same task. Now what is the best way of mapping this? Any suggestions would be appreciated Plus is it sensible to append extra fields to a…
userH
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Benefits of using multiple FIX gateways

Hey I noticed some venues use multiple gateways to conduct different activities For example one gateway used for Order Routing and another gateway solely used for Market Data. What are the benefits of this?
userH
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