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Fixml: FIX Technical Background

This document provides an overview of FIX (Financial Information eXchange) and introduces FIXML, which uses XML to represent FIX messages. It describes the FIX session and application layers, FIX message structure with header, body and trailer, and common FIX message types. Examples of a FIX single order message and how it would be represented in FIXML syntax are also shown. The implementation of FIXML aims to provide an easy migration path for existing FIX engines while maintaining backward compatibility and imposing little impact on current FIX systems.

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Юра Пальчик
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36 views

Fixml: FIX Technical Background

This document provides an overview of FIX (Financial Information eXchange) and introduces FIXML, which uses XML to represent FIX messages. It describes the FIX session and application layers, FIX message structure with header, body and trailer, and common FIX message types. Examples of a FIX single order message and how it would be represented in FIXML syntax are also shown. The implementation of FIXML aims to provide an easy migration path for existing FIX engines while maintaining backward compatibility and imposing little impact on current FIX systems.

Uploaded by

Юра Пальчик
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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FIXML

FIX Technical
Background

06/23/2000 FIX AND XML: FIXML 1


FIX Session and Application Layers

Trading Application

Session Layer • Establishing and terminating the


connection
• Message Delivery
data integrity, sequencing, addressing

Application Layer • Business related content


Order, Execution, IOI, etc

FIX Protocol

06/23/2000 FIX AND XML: FIXML 2


FIX Connectivity

Investment Manager Broker/Dealer


Wide Area Network Link

FIX Engine
FIX Engine

Order
Order TCP/IP Management
Management
System
System

Trader Trader
Trader Trader

06/23/2000 FIX AND XML: FIXML 3


FIX Message Structure TAG-VALUE

Identifies message type, message length,


Message Header sender/destination ,sequence number,
sending time, etc

Contains specific session and application


Message Body message content

Contains optional digital signature and


Message Trailer the required checksum value

06/23/2000 FIX AND XML: FIXML 4


FIX 4.1 Message Types

Session Messages Application Messages


Heartbeat Advertisement New Order - List
Logon Indications of Interest List Status
Test Request News List Execute
Resend Request New Order - Single List Cancel Request
Reject Execution Report List Status Request
Sequence Reset Don’t Know Quote
Logout Order Cancel/Replace Quote Request
Order Cancel Request Email
Order Cancel Reject Don’t Know Trade
Order Status Request Settlement Instr.
Allocation
Allocation ACK
06/23/2000 FIX AND XML: FIXML 5
Message Types Added for 4.2

Application Messages
Mass Quote
Quote Ack
Market Data Request
Market Data Request Reject
Market Data - Full/Snapshot/Incremental
Security Request/Definition/Status
Trading Session - Request/Status
Bid Request/Response
Business Message Reject

06/23/2000 FIX AND XML: FIXML 6


FIX Fields

<TAG>=<VALUE><DELIMITER>
Composed of four parts
------ <TAG>
------ “=“
------<VALUE>
------<DELIMITER>
non-printing ASCII character called the SOH
character
Example:
“8=FIX.4.2^”
06/23/2000 FIX AND XML: FIXML 7
FIX Single Order Example

8=FIX.4.1^9=0235^35=D^34=10^43=N^49=VENDOR^50=CUSTOMER^56=BROKER^52=19980930-09:25:58
^1=XQCCFUND^11=10^21=1^55=EK^48=277461109^22=1^54=1^38=10000^40=2^44=76.750000^59=0^10=165

Header Body
8=FIX.4.1 Begin String 1=XQCCFUND Account (optional)
9=235 Body Length 11=12345 ClOrdID
35=D MsgType 21=1 HandInst
34=10 MsgSeqNum 55=EK Symbol
43=N PossDupFlag 48=277461109 SecurityID (optional)
49=VENDOR SenderCompID 22=1 IDSource (optional)
115=CUSTOMER OnBehalfOfCompID 54=1 Side
56=BROKER TargetCompID 38=10000 OrderQty
52=19980930- Sending Time 40=2 OrdType
09:25:58 44=76.750000 Price (optional)
59=0 TimeInForce (optional)

Trailer
10=165 Checksum

06/23/2000 FIX AND XML: FIXML 8


FIXML

FIX and XML

06/23/2000 FIX AND XML: FIXML 9


FIXML: Example Syntax
<?xml version='1.0'?><!DOCTYPE FIXML SYSTEM 'fixmlmain.dtd'>
<FIXML>
<FIXMLMessage>
<Header>
…
</Header>
8=FIX.4.1^9=0235^35=D^34=10^43=N^49=VENDO
<ApplicationMessage>
R^50=CUSTOMER^56=BROKER^52=19980930- <Order>
09:25:58 <ClOrdID>12345</ClOrdID>
^1=XQCCFUND^11=10^21=1^55=EK^48=2774611 <HandlInst Value="1"/>
09^22=1^54=1^38=10000^40=2^44=76.750000^59= <Instrument>
0^10=165 <Security>
<Symbol>EK</Symbol>
</Security>
</Instrument>
<Side Value="1"/>
Becomes… <OrderQuantity>
<OrderQty>10000</OrderQty>
</OrderQuantity>
<OrderType>
<MarketOrder OrdType="1"/>
</OrderType>
<Currency Value="USD"/>
</Order>
</ApplicationMessage>
</FIXMLMessage>
</FIXML>

06/23/2000 FIX AND XML: FIXML 10


FIXML: Implementation Issues

• Easy migration for existing FIX engines


¾“Embedded FIXML”
• Backward-compatibility
¾optional field can co-exist with “standard”
tag=value data
¾XML attributes represent existing FIX tags
• Session Layer remains intact
¾core engine is not affected

06/23/2000 FIX AND XML: FIXML 11


FIXML
FIXML: Embedded messages

FIXML can be “wrapped” as a value of a standard FIX tag

49=BROKER SenderCompID
56=HUB TargetCompID
128=INST DeliverToCompID
212=245 FIXML Data Length
213=<FIXML> FIXMLData
<Header>
….
</Header>
<Indication>
….
</Indication>
</FIXML>

06/23/2000 FIX AND XML: FIXML 12


FIXML: Major Business Goals

• Utilize existing systems and processes


• Protect investment in traditional FIX
• Provide migration path to next generation
FIX systems
• Impose little or no impact on existing
business applications
• Position FIX for greater interoperability
with other industry standards
06/23/2000 FIX AND XML: FIXML 13

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