How to begin building a FIX ATS

RedHat,

I'm actually glad you suggested contacting OQ to see if they can support IB Fix. He said that each FIX has different flavors so it doesn't mean that you can exactly switch between brokers. He said that they support TTFIX, PATS, they just finished another FIX I can't remember for their institutional product and are working on some other FIX I can't remember. However he said that it would be possible to add IB FIX, so rather than get all into learning the FIX I'll just them do what their good @.

It's also kinda good to know that they also support the institutions so you know they definitely know what the heck their doing.
 
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"?
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FIX protocol is a standard. There can be different additional tags in implementation, but basic tags are the same.

By "black job" I meant that you can hire a programmer who will implement a wrapper for QuickFix, which will give you high level "messages", "events" so on.

I am glad that OpenQuant supports other FIX providers, so you can stay with your existing version.
 
Just to clarify what we replied to sky.

We do have a buit-in FIX engine in OpenQuant (QuickFIX) and the business model of our internal framework is FIX based, so that we are friends with FIX and connecting to a FIX broker is a relatively easy task. On the other hand every broker usually introduces their own custom fields in the FIX messages, different handling rules, sessions (two sessions for market data and execution or one for everything) etc., so even if two brokers say they support FIX 4.2., it doesn't mean that you can simply take OpenQuant interface to broker one, change IP and login and start trading with broker two. Some (usually minor) modifications (and consequently tests) are needed to take into account all changes introduced to standard FIX by another broker.

Is it more clear now?

Regards,
Anton
 
Quote from RedRat:

FIX protocol is a standard. There can be different additional tags in implementation, but basic tags are the same.

By "black job" I meant that you can hire a programmer who will implement a wrapper for QuickFix, which will give you high level "messages", "events" so on.

I am glad that OpenQuant supports other FIX providers, so you can stay with your existing version.
More...

You guys are a bit nieve if you think FIX works across all brokers without many changes and testing. Yes FIX is a standard but many brokers implement FIX in their own way and its up to you to confirm to their FIX engine many implement a variety of custom tags and behaviors.

Also there are numerous versions of FIX 4.0, 4.1, 4.2, 4.3, 4.4 5.0 - 4.2 being the most standard for equities.

To the original poster fixprotocol.org is the standard body behind the protocol they can provide you with much background and details behind the protocol itself.

Quickfixengine.org is an opensource C++/Java implementation of FIX it is not an appliction just an application programming interface its a very good place to start on understanding FIX overall and using as a base to build your own FIX engine.

http://www.openfix.net/ is another useful tool by TransactTools used to test your FIX engine to make sure it confirms to various FIX standards it basically connects to your engine runs a variety of tests and gives you a nice report and how clean your implementation is.

Best of luck!!
 
It's rather funny how people in here mention that a software doesn't support XXX's FIX. They treat FIX like an API...

Anyways, the best bet is to play around. I have a CCNA so it wasn't so hard for me to understand how FIX / sockets work. Play with their UAT sessions and learn how they work.

1st task is to get the sessions connected. Make sure you have the correct setups like:

IP Address.
Port.
SenderCompID.
TargetCompID.
Heartbeat.
etc.

Then make sure the msg. sequence numbers are in sync and can be synced. (During daily session refresh and in-day logoff). This part of the task is more about understanding how your FIX engine works and understanding some basic tag conventions.

2nd is to receive data:

IOIs.
MarketDataIncremental.

3rd is to work on:

NewOrderSingle
ExecutionReport

4th is all the other perks like Allocations...
 
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