How to begin building a FIX ATS

S

Sky123987

Because IB lets you send 150 orders per second using a FIX connection vs the 50 not using it, I'l like to experiment building an ATS using FIX, but I really have no idea where to begin.

Also, if I build a system using the FIX for IB will I be able to transfer my ATS to other brokerages, the reason I say this is because I heard that IB uses "IB FIX" while the others use stardard FIX. Will this cause a probelm transfering to other brokerages?

Thanks
 
With http://quickfixengine.org/ you may have a running prototype over a weekend.

Having FIX handler, you can easily switch between brokers since the majority of messages are standard for common order types, and all you need to tweak (per broker) is login mechanism and complex order types (that's where custom tags come into play). Not mentioning that you'll have speed advantage and stop to worry about all those crappy APIs.
 
Quote from speculatus:

Not mentioning that you'll have speed advantage and stop to worry about all those crappy APIs.
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Hi, I am now using Interactive Brokers's API for data, charts and orders. Is there any disadvantage that you know of in moving from the API to FIX?

Is there a speed advantage in receiving FIX chart data vs the TWS API?

Thank you
 
Quote from slacker:


Is there a speed advantage in receiving FIX chart data vs the TWS API?
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i can almost guarantee your speed up will come from a faster computer, better network card, or better ISP.
 
Thank you all for you help. Perhaps I guess I'm not certain to what FIX really is...

I currently have several strategies running in an ATS from SmartQuant. I use it to connect to Genesis and IB.

i look at the QuickFix, and the FixProtocal sites and I'm not really sure what I was looking at. I was expecting if be able to find a bunch of classes with Event Handlers, Methods... etc just like I find it my SmartQuant ATS

I was just interested in seeing if I'd be easily to build a FIX ATS as I know you can send in 150 orders / sec. I guess it's not going to be that easy.

Like I see there are many vendors @ http://www.fixprotocol.org/products/ do you just select one and start building ~I'm so confused
 
Quote from Sky123987:

Thank you all for you help. Perhaps I guess I'm not certain to what FIX really is...

I currently have several strategies running in an ATS from SmartQuant. I use it to connect to Genesis and IB.

i look at the QuickFix, and the FixProtocal sites and I'm not really sure what I was looking at. I was expecting if be able to find a bunch of classes with Event Handlers, Methods... etc just like I find it my SmartQuant ATS
More...


FIX protocol is quite complex. I do not suggest automation if you do not have your own programming experience. But you can hire a programmer, who can do black job for you.

Also OpenQuant has support for VelocityFutures, it is the same FIX. So you can continue using OpenQuant but with another brokerage.

I am not sure if OpenQuant supports IB FIX, you should ask them yourself.
 
IB FIX costs extra.

What you might do is build a plain IB ATS, but design it so that there is an interface between your strategy and broker/data-provider protocol(s), so that your strategy is independent of that lower-level stuff.

I think jsystemtrader now supports either IB or OpenTick data. I use it and it is an excellent way to learn about ATSs.
 
Quote from RedRat:

FIX protocol is quite complex. I do not suggest automation if you do not have your own programming experience. But you can hire a programmer, who can do black job for you.

Also OpenQuant has support for VelocityFutures, it is the same FIX. So you can continue using OpenQuant but with another brokerage.

I am not sure if OpenQuant supports IB FIX, you should ask them yourself.
More...

RedRat,

Thank you for your reply. No OpenQuant doesn't support IB FIX, they just support TT FIX and another FIX, but those FIXs just are with brokerages that trade futures, I trade stocks. What do you mean by do a "black job"?

It's just I wish I could run via FIX because I can utilize the limit of 150 orders / second, and I can utilize a ton of other brokers.

I have spend a LONG long time working with the ins and outs of OpenQuant and I have several working fairly complex stratgies already programming in OQ. I'd sure be a pain to program it again

Also, do you know of any OpenQuant type programs that support standard FIX?



Thanks
 
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