jump to first page introduction to fix copyright© 2004 jim northey and jordan & jordan jim...

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Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan

Jim NortheyJordan and Jordan

Introduction to FIX

The FIX Session Layer

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FIX Session Layer

Session Level Messages Login Message Sequencing Keeping the session alive – heart beating Logout

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Protocol Overview

Standardized session layer using administrative messages Application layer with application messages Messages use tag level encoding

Tag# “=“ Value <SOH>, ASCII 01 field separator

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Message Structure

All FIX Messages are identified by a MsgType[Tag 35] code (Look up using Volume 6 or using FIXImate for the list of messages)

All messages use a standard header and standard trailer Messages consists of required tags and optional tags

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Customization

Trading parties agree on specific usage and content of fields subject to the guidelines and definitions provided in the specification

FIX provides for custom tags to support extensions or specific trading requirements

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Standard Header

BeginString[8] identifies the version of FIX being used, for instance: “FIX 4.1”, “FIX 4.2”

BodyLength[9] identifies the length of the message MsgType[35] Message type

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Identification of Trading Parties

SenderCompID[49] - Identifies the sender of the message - counterparties agree on format

TargetCompID[56] - Identifies the recipient of the message - counterparties agree on format

Additional header fields SubID Fields LocID Fields OnBehalfOf

DeliverTo Routing

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Your Application ProgramTrading System, Order Management System

Anatomy of a FIX Engine

TransactionJournal

DBMS

Engine

EncryptionMessage

Store

FIXCounterparty

TCP/IP Connection

Diagram taken from Programmer’s Manual for the .FixAntenna Engine from B2B ITS Consulting Serviceshttp://fix.btobits.com and http://www.btobits.com

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Customer (i.e. Investment Mgr) Supplier (i.e.Broker/Dealer)

FIX System FIX System

Order Management System

Trader Trader Trader

Trader in Foreign Office

Order Management System

Trader Trader Trader

Trader in Foreign Office

FIX EngineBusiness Msg Processing

Business Msg Processing

FIX Engine Business Msg Processing

Business Msg Processing

Wide Area Network Link

TCP/IP

(TCP Socket opened by customer, persists

during life of FIX session)

FIX System Connectivity

© FIX Protocol Limited - March, 2000

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Session Level

Initiating a session (Logon) Heartbeat Message Sequencing Message Validation Ending a session (Logout)

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Initiating a Session (Logon MsgType=A)

Buy side firm initiates (the Initiator) a connection to a Sell side (the Acceptor) firm using the LOGON Session Level Message MsgType[35]=“A”

8=FIX.4.2^9=92^35=A^49=BOFASEC0^56=DFIX201^50=MSO:MSO^57=TEST^34=106^43=N^52=20010822-13:06:42^98=0^108=30^10=021^

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Nominal Login Scenario Start of Day

Test Request Initiator

Test Request Recipient

Login MsgType=A, TargetCompID=CBOEFIX001SenderCompID=M001 MsgSeqNum=1

Login MsgType=A, TargetCompID=M001SenderCompID=CBOEFIX001 MsgSeqNum=1

Valid SenderCompIDIncoming Sequence Number

matches expected value

Incoming Sequence Number matches expected value

This is the Logon

Acknowledgement

We have a FIX Session Established!

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Message Sequencing

The FIX Session guarantees that messages are delivered in the order in which they are sent

A FIX Session can be defined as

“a bi-directional stream of ordered messages between two parties within a continuous sequence number series”

Each FIX Engines is expected to keep track of two sequence numbers The Incoming Sequence Number expected on inbound messages

received from the counterparty The Outgoing Sequence Number to be sent to the counterparty

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Message Sequencing

So what happens if the sequence numbers are not in order? FIX Provides messages for recovery of lost messages

Provides for delivery of lost messages Provides for a way to resynchronize sequence numbers between

engines

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Resend Request (MsgType=2)

Used to request the counterparty to resend a set of FIX messages

Tell the counterparty the range of messages that you did not receive BeginSeqNo (tag 7) EndSeqNo (tag 16)

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Exceptional Login Scenario - Sequence Number to High

Session Initiator

Session Acceptor

Login MsgType=A TargetCompID=CBOEFIX001SenderCompID=M001 MsgSeqNum=3

Login MsgType=A TargetCompID=M001SenderCompID=CBOEFIX001 MsgSeqNum=1

Valid SenderCompIDSequence Number > Expected

Value

Incoming Sequence Number matches expected value

This is the Logon

Acknowledgement

IncomingExpected=1

Resend Request MsgType=2 TargetCompID=M001SenderCompID=CBOEFIX001 MsgSeqNum=2

BeginSeqNo=1 EndSeqNo= 2

Resends messages or sends a gap fill

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Exceptional Login Scenario - Sequence Number to Low

Session Initiator

Session Acceptor


Logout MsgType=5 TargetCompID=M001SenderCompID=CBOEFIX001 MsgSeqNum=1

Text = Incoming Sequence Number <Expected = 5

Valid SenderCompIDSequence Number < Expected

Value

Why do we stop the Session from being

established?

IncomingExpected=5

Disconnect by closing socket

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Sequence Reset (MsgType=4)

In order to reduce unnecessary communication, FIX permits firms to skip or gap fill over administrative messages (such as heartbeats and test requests)

This is done using the Sequence Reset Message GapFillFlag (tag 123) NewSeqNo (tag 36)

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Heartbeat (MsgType=0)

The FIX Session is kept alive by both sides sending heartbeats to the other

8=FIX.4.2^9=0072^35=0^49=GLTRADE1^56=DFIX201^34=2^52=20010822-13:53:28^10=124^

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Heartbeating lets each side know the connection is active

Session Initiator

Session Acceptor

Heartbeat MsgType=0 TargetCompID=CBOEFIX001SenderCompID=M001 MsgSeqNum=2

Logout MsgType=5 TargetCompID=CBEOFIX001SenderCompID=M001 MsgSeqNum=1

Login MsgType=A TargetCompID=M001SenderCompID=CBOEFIX001 MsgSeqNum=1


Heartbeat MsgType=0 TargetCompID=M001SenderCompID=CBOEFIX001 MsgSeqNum=2

…

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How often do we heartbeat a FIX connection?

Configurable “Negotiated” at Logon time

HeartBtInt (tag 108) Note same value used by both sides

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Test Request (MsgType=1)

Either party on the FIX connection can send a Test Request message at any time during the FIX Session

The recipient of a Test Request message must respond with a Heartbeat message

The Test Request contains a required TestReqID[112] field The Heartbeat response message must contain the

TestReqID[112] of the Test Request

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Normal Test Request Scenario



Test Request MsgType=1, TestReqID=“AnyString”

Heartbeat MsgType=0, TestReqID=“AnyString”

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Exception Test Request Scenario



Test Request MsgType=1, TestReqID=“AnyString”

Disconnect by closing socket

Logout MsgType=5 Text=“Test Request Timeout”

No Response from recipient

for 2 X Heartbeat Interval

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Message Validation

FIX Engines validate that messages are properly formed and will reject the message using a Session Level REJECT message if the message is invalid

The Checksum (tag 10) is validated

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Ending a Session(Logout MsgType=5)

Each side sends a logout message8=FIX.4.2^9=0082^35=5^49=DFIX201^56=GLTRADE0^34=483^52=20010822-14:05:34^10=176^

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Normal Logout Processing

Firm Initiating Logout

Logout Recipient

Logout MsgType=5 TargetCompID=CBOEFIX001SenderCompID=M001 MsgSeqNum=M

Logout MsgType=5 TargetCompID=M001SenderCompID=CBOEFIX001 MsgSeqNum=N

Wait a brief period of time (heartbeat interval) for other side to send logout – this is done in

case other side needs to do resend processing

Both sides disconnect by closing socket

It is considered bad form to close the

connection prior to receiving the logout

confirmation

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End of FIX Session LayerSlide Show

jump to first page introduction to fix copyright© 2004 jim northey and jordan & jordan jim...

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