FIX Protocol Study Note - Part 1

fujohnwang

2013-03-02

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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.

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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