FIX Protocol Study Note - Part 1
fujohnwang
2013-03-02
author: fujohnwang
Big Picture
Institutional Investers <-> Brokerage Firms <-> Liquidation Sources
- Institutional Investers
- Mutual Funds
- Hedge Fund
- Asset Mgmt
- Brokerage Firms
- Order Management System (OMS)
- Order Routing System (ORS)
- Execution System
- Other Systems
- 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:
- Header Tags
- Body Tags
- Footer/Trailer Tags
FIX Message Categories
- Admin Messages
- Logon
- Logout
- Heartbeat
- Test Request
- Resend Request
- Reject
- Sequence Reset/Gap Fill
- 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.
- Pre-Trade messages
References
- FIX Protocol Introduction, part 1
- FIX Protocol Introduction, part 2
- FIX Protocol Introduction, part 3
- FIX Protocol Introduction, part 4
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