Financial Information Exchange (FIX)

What is FIX ?

FIX was originally called Fidelity Information Exchange, but now FIX stands for Financial Information Exchange. FIX is an industry driven standard to communicate trading information electronically between brokers, buyer institutions, seller institutions and markets. FIX is platform independent, so it works with various types of computers and communication systems. FIX has been developed through the collaboration of banks, institutional investors, brokers and exchanges. These market participants wanted a common language for automated trading of financial instruments.

Brief History

FIX was first developed in 1992 by Robert Bob for equity trading between Fidelity investments and Salomon Brothers. Hence it was first called Fidelity Information Exchange. FIX has now become the de facto messaging standard for pre-trade and trade communications in the global equity market. FIX has now entered post trade space as well as foreign exchange, fixed income and derivative markets. FIX Protocol Ltd. is the company established for the purpose of ownership and maintenance of the specification. FIX is gaining increased attention within the exchange community as over three quarters of all exchanges surveyed supported a FIX interface, with the majority handling over 25% of their total tarding volume via FIX.

FIX Connectivity Diagram

source : http://en.wikipedia.org/w/index.php?title=File:Financial_Information_eXchange_System_Connectivity_Diagram.svg&page=1

FIX Messages

FIX session is layered on TCP. FIX messages are formed from a number of fields, each field is a tag value pairing that is separated from the next field by a delimiter ASCII 01. The tag is a string representation of a integer that indicates the meaning of the field. The value is an array of bytes that hold a specific meaning for the particular tag. FIX protocol defines a set of fields that make up a message. Some of these fields are mandatory and some are optional. The ordering of the fields is unimportant. A FIX message is composed of a header, a body and a trailer. Following is an example of FIX message:

Sending: [

 BeginString 'FIX.4.2'

BodyLength '200'

MsgType 'D' "Order - Single"

MsgSeqNum '81'

SenderCompID 'DSCWE10'

SenderSubID 's1'

SendingTime '20100914-13:34:27.643'

TargetCompID 'BCAPSUBM'

PossResend 'N'

Account 'DESHVALI'

ClOrdID 's1bs6940_20100914'

Currency 'USD‘

OrderQty '100'

OrdType '2' "Limit"

Price '129.45'

Side '1' "Buy"

Symbol 'IBM'

TimeInForce '0' "Day"

TransactTime '20100914-13:34:27'

ExDestination 'N'

MaxFloor '100'

SecurityType 'CS' "Common Stock"

CheckSum '161'

]

Recovery Handling : 

FIX has an optimistic model for recovery. It does not has per message acknowledgement. Instead the receiver monitors sequence number and detects gaps. Sequence number increases monotonically and is generally reset per day. There are serious errors is sequence number is decreased.