What is the FIX protocol?

FIX is an acronym for The Financial Information eXchange (FIX) effort, initiated in 1992. It is an open messaging standard controlled by no single individual or entity, and can be structured to meet the requirements of each entity that employs it.

The benefits of the FIX protocol in general, include:

  • Provides a framework for straight through processing.
  • Facilitates the efficient creation of connections between a wide range of counter-parties.
  • It is vendor neutral, works over the internet and does not depend on any particular security protocol.
  • Its flexibility makes deploying required infrastructure, configuration and implementation both efficient and convenient for both buy and sell-side entities.
  • It standardizes the exchange of any securities transaction between parties.

FIX has several message types such as a ‘Market Data Request’, ‘New Order Single’, ‘Order Status Request’ etc, that essentially mirror the steps of a complete order cycle.

Standardized fields of data serve as the building blocks of all FIX messages, and allow the flow of information from beginning to end in a transaction.

Development of trading systems based on FIX hence creates a solid foundation for straight through processing.

Source: www.fixtrading.org

Benefits

Short round-trip transaction times

FIX enables financial information exchange in very short periods of time.

Each entity involved follows discretely defined rules of engagement, thereby standardizing message construction and deconstruction on both sides of a transaction.

This consequently makes FIX messages short, type-strict and hence efficient in terms of processing and latency overhead.

Support for multiple brokers

One FIX application can be used to create sessions with multiple brokers simultaneously - accommodating of course for broker-specific constraints as regards FIX protocol specification - expanding a trader’s opportunities, should multiple broker feeds present an advantage.

Convenience

Trading strategy developers can employ practically any programming language that supports socket communication.

Several FIX engines exist today that greatly reduce the amount of time developers spend creating transfer logic, leaving them to focus more on application and trading logic. An example of a mature and very popular open source FIX Engine is QuickFIX.

Limitations

The FIX API provides a fixed, inextensible array of transaction types that strategy developers must abide by, all geared towards two main categories of exchange:

  1. Real-Time Market Data
  2. Order Execution & Management

FIX does not permit traders to query any specifics to do with their actual trading account, such as Equity, Balance, Available Margin, Open/Closed Orders, etc.

FIX does not permit acquisition of historical market data, only real-time.

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