An introductory guide to FIX Protocol

Tutorial: An Introductory Guide to FIX Protocol

Step 1: Understanding FIX Protocol

• FIX Protocol is a vendor-neutral electronic communication protocol for real-time exchange of securities transaction information.
• It is commonly used for pre-trading, post-trading, and other trading mechanisms by both buy-side and sell-side firms.

Step 2: Structure of FIX Protocol

• FIX Protocol consists of two layers: Session Layer and Application Layer.
• The Session Layer handles connection initialization, maintenance, and termination.
• The Application Layer deals with business-specific functions like order creation, cancellation, and replacement.

Step 3: Creating a FIX Message

• FIX messages are text-based and follow specific field definitions.
• Each field has a name, number, data type, and value.
• For example, the "begin string" field (Field 8) in a FIX message represents the protocol version used.

Step 4: Components of a FIX Message

• A FIX message comprises a header, body, and trailer.
• The header includes information like protocol version, message type, sender ID, etc.
• The body contains the actual message content (e.g., order details).
• The trailer includes a checksum for data integrity.

Step 5: Parsing FIX Messages with QuickFIX

• QuickFIX is a Java-based messaging engine for FIX Protocol.
• Use QuickFIX to parse and validate FIX messages, converting them into structured message types.
• Check each tag in the parsed message to ensure data integrity.

Step 6: Leveraging Advanced Message Processing System (AMPS)

• AMPS is a modern messaging engine for high-throughput, low-latency messaging.
• Define message types (e.g., JSON or FIX) for efficient message processing.
• Publish messages to specific topics and subscribe to receive and process them.

Step 7: Implementing a Demo Trading Cycle

• Set up a matching engine to match trade orders, a booking service to handle trade bookings, and a reporting service to store trade data.
• Use FIX messages to place buy and sell orders, match trades, and generate execution reports.
• Utilize REST endpoints or tools like Postman to interact with the trading system.

Step 8: Testing the Trading System

• Place buy and sell orders using FIX messages.
• Verify that orders are matched correctly and execution reports are generated.
• Ensure that trade data is stored in the database for further analysis.

By following these steps, you can gain a comprehensive understanding of FIX Protocol and its implementation in a trading system. Feel free to reach out for any further assistance or questions.