Wed Dec 28 22:51:36 UTC 2022 - last commit message “don’t install everything”

Financial Information eXchange

See Wikipedia and the repo whence this came.

Example messages

Body length is the character count starting at tag 35 (included) all the way to tag 10 (excluded). SOH delimiters do count in body length.

8=FIX.4.2 | 9=178 | 35=8 | 49=PHLX | 56=PERS | 52=20071123-05:30:00.000 | 11=ATOMNOCCC9990900 | 20=3 | 150=E | 39=E | 55=MSFT | 167=CS | 54=1 | 38=15 | 40=2 | 44=15 | 58=PHLX EQUITY TESTING | 59=0 | 47=C | 32=0 | 31=0 | 151=15 | 14=0 | 6=0 | 10=128 |

SOH character is used as a delimiter.

• NYSE
• FIXSIM

8=FIX.4.4
9=148
35=D
34=1080
49=TESTBUY1
52=20180920-18:14:19.508
56=TESTSELL1
11=636730640278898634
15=USD
21=2
38=7000
40=1
54=1
55=MSFT
60=20180920-18:14:19.492
10=092
 

FIX protocol (explained by a quant developer)

See Coding Jesus and CME FIX standard for the tag specification.

There are two layers: - Session (log on, heartbeat, data integrity, sequencing) - Application (buy, sell, cancel, modify, replace, quote)

Refs

• https://www.onixs.biz/fix-dictionary/4.4/fields_by_tag.html
• https://www.fixglobal.com/trader-fix-tags-reading/

Must have

See Darwinex.

Standard header

Message Body

Sequence of tab=value pairs depending on message type.

Standard trailer

• 10 CheckSum

Example tags

Header tags 8-255

• 35=c (message type)

Body tags 256+

• 1028=Y (manual)
• 1029=N (auto)
• 321=1 (new instrument)
• 762=COMBO (type of instrument)

Trailer tags

• 10=241 (checksum)

Examples order

See part 1 and Darwinex tutorial.

stunnel used for order session authentication, price sessions don’t require SSH.

Message type

• 35=D – new order single
• 35=0 – heartbeat
• 35=1 – test request
• 35=8 – execution report
• 35= – session reject

Symbol

• 55=IBM
• 55=EUR/USD

Order ack

• 39=0 – new order ack
• 39=8 – new order reject
• 39=1 – partial execution
• 39=2 – complete execution

Side

• 54=1 – buy side
• 54=2 – sell side

Price

• 44 – what is your limit on the order?

Order type

• 40=1 – markget price
• 40=2 – limit price

Routing

• 49=tbd – sender comp id (sender firm)
• 50=tbd – sender sub id (trader of desk ID)
• 56=tbd – target comp id (sending order to)

APIs

• https://exchangeratesapi.io/

Refs

• What is FIX protocol?
• Online FIX parser
• quickFIX engine
• FIX trading community.

gprof

gtest

Running main() from ./googletest/src/gtest_main.cc
[==========] Running 1 test from 1 test suite.
[----------] Global test environment set-up.
[----------] 1 test from fixi
[ RUN      ] fixi.string_split
8=FIX.4.4
9=148
35=D
34=1080
49=TESTBUY1
52=20180920-18:14:19.508
56=TESTSELL1
11=636730640278898634
15=USD
21=2
38=7000
40=1
54=1
55=MSFT
60=20180920-18:14:19.492
10=092

[       OK ] fixi.string_split (0 ms)
[----------] 1 test from fixi (0 ms total)

[----------] Global test environment tear-down
[==========] 1 test from 1 test suite ran. (0 ms total)
[  PASSED  ] 1 test.

main.cxx

#include <iomanip>
#include <ranges>
#include <string>
#include <vector>

#include "fmt/core.h"    // for print
#include "gtest/gtest.h" // for Test, AssertionResult, Message, TestPartResult

TEST(fixi, string_split) {
  constexpr auto message = std::string_view{
      "8=FIX.4.4␁9=148␁35=D␁34=1080␁49=TESTBUY1␁52=20180920-18:14:19.508␁56="
      "TESTSELL1␁11=636730640278898634␁15=USD␁21=2␁38=7000␁40=1␁54=1␁55=MSFT␁"
      "60=20180920-18:14:19.492␁10=092␁"};
  constexpr auto delim = std::string_view{"␁"};

  for (const auto tag_value : std::views::split(message, delim))
    fmt::print("{}\n",
               std::string_view{std::cbegin(tag_value), std::cend(tag_value)});
}

• CI_JOB_URL=https://gitlab.com/germs-dev/fix/-/jobs/3532421508
• CI_PIPELINE_CREATED_AT=2022-12-28T22:49:59Z