FIX Protocol Study Note - Part 1

fujohnwang

2013-03-02

author: fujohnwang

Big Picture

Institutional Investers <-> Brokerage Firms <-> Liquidation Sources

  1. Institutional Investers
    • Mutual Funds
    • Hedge Fund
    • Asset Mgmt
  2. Brokerage Firms
    • Order Management System (OMS)
    • Order Routing System (ORS)
    • Execution System
    • Other Systems
  3. Liquidation Sources
    • Exchange
    • ECN
    • Other sources

Each party will deploy a FIX Engine with one as client and one as server.

a big picture

Structure of FIX Message

FIX Messages are composed of Field in a format of “Key=Value” and seperated by non-printed character such as ^. All of the Fields can be classified into 3 groups, that’s:

  1. Header Tags
  2. Body Tags
  3. Footer/Trailer Tags

FIX Message Categories

  1. Admin Messages
    • Logon
    • Logout
    • Heartbeat
    • Test Request
    • Resend Request
    • Reject
    • Sequence Reset/Gap Fill
  2. Application Messages
    • Pre-Trade messages
      • IOIs, Quotes, News, Emails, MarketData, Security Info, etc.
    • Trade Messages
      • Single Orders, Basket/List Orders, Multi-leg Orders, Executions, Order Cancel, Cancel/Replace, Status, etc.
    • Post-Trade messages
      • Allocations, Settlement Instructions, Positions Mgmt, etc.

References

  1. FIX Protocol Introduction, part 1
  2. FIX Protocol Introduction, part 2
  3. FIX Protocol Introduction, part 3
  4. FIX Protocol Introduction, part 4
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