IB's FIX interface

W

walterjennings

Hey.

I'm wondering if anyone has any experience with using IB's FIX API and could answer a few questions.

How was the performance compared to TWS API?
How much did you pay?
Is it possible to get the initial setup fee waived if commissions are high enough?
Is there offered open source code that handles the FIX msgs already or did you have to code them yourselves?
Can TWS be used along side an automated system running FIX? so that i can monitor all positions placed, account values and p/l outside my bot
Will an order placed through FIX show up as a trade on TWS after it is filled?
Did you notice less slippage?
Is the data feed coming through FIX less truncated than the data feed coming through TWS (more detailed) since the limit becomes 150 msg / sec instead of 50 msgs / sec? I remember hearing that esignal data is more detailed but can lag during news events because the sheer about of data that has to be sent, IB doesn't have that issue because they condense data and limit the number of msgs / sec, so i am wondering if FIX is closer to esignal's level of detail since it has 3x the msgs / sec.


Any other information would be very appreciated.

Thanks.
 
I am not an experienced FIX user, but may be able to answer a couple questions.

re: "Is there offered open source code that handles the FIX msgs already or did you have to code them yourselves? "
Yes. If you google for "FIX protocol open source"
(without the quotes), you'll get several leads.
But, be aware that "Although freeware FIX
engines exist they are best used for educational
purposes or perhaps as a base on which to
build your own engine." That is from a FIX trade
organization, so beware, see
http://fixprotocol.org/implementation-guide/engine.shtml

re: "Can TWS be used along side an automated
system running FIX? so that i can monitor all
positions placed, account values and p/l outside
my bot" You might be able to use TWS along
side, but for TWS to provide that info it would
have to be using FIX to IB -- there may be other
considerations. If the bot is going to use FIX,
then the bot must be able to read the incoming
FIX; otherwise, how could it make trading
decisions based on price/volume, do risk
management, etc.? If the bot does process the
incoming FIX, then it could provide a user
interface for monitoring purposes. I do see
that by using TWS, you wouldn't have to put
a sophisticated user interface on the bot.
This is a good question to ask IB about.

re: "Is the data feed coming through FIX less truncated than the data feed coming through TWS (more detailed) ..."
This may be related to
the "does IB <-> TWS use FIX" question. But
if you think about implementing a tick farm,
if you've aggregated data from an exchange,
which may have already aggregated it -- CME,
wouldn't you then just want to wrap it in
whatever protocol was necessary for delivery
to the customer? Only IB knows for sure.
 
From my reading of the site, you still have to use the TWS API to request account information. This kind of kills the whole IB FIX idea for me.

They also mention that you can use FIX for market data on their comparison page but if you click through they say that you need to use TWS API for market data. Strange!
 

Please note that only the market data request information in the API user's guide is applicable when running the gateway client software.
More...

This tells me that FIX is used for everything _but_ market data. If you follow the links on the page, though, the comparison table states that FIX supports market data without explaining that you need the API for it.

The biggest bummer is that IB FIX does not let you fetch account information, i.e. it's for execution only.
 
Please show me that flow. I am missing something. There is a pc of FIX software I'd like to use, and in reading the gateway implementation manual, I dont see the API segment.

I see this flow,

My app -> Fix Gateway -> IB

Unless I am reading to fast (I tend to skim info at 1st) I dont see it.

Help.!!!!!




Quote from local_crusher:

You have no idea, obviously.

This link mentions the Market Data Gateway (Java App) which tunnels market data trough the same interface as TWS. (IB->Mkt data gateway->API->Your App)

The IB FIX interface itself does not offer mkt data.
More...
 
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