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Text of the page (random words):
targetcompid targetcompid bringing silicon valley to wallstreet repeating groups a very short post for a very big deal fix parser is now able to parse repeating groups repeating groups have been the most requested feature since the app was launched i hesitated adding repeating groups because they break the simplicity of parsing fix where keys are unique repeating group tags have to be identified and a mechanism has to be provided to handle custom repeating groups the current implementation bypasses all of that the algorithm infers the existence of repeating groups from the data in the fix message removing the need for keeping track of custom or standard noxxx tags check it out your favorite fix analysis tool just became even better positions and open orders it s been a while it is always nice to hear from so many of you regarding fix parser over the next few days fix parser will gain the ability to calculate your positions and open orders this is a beta level feature meaning many corner cases may not yet be covered by default it is hidden away behind two toggle buttons so if you are not interested you will barely even notice it if you are curious take a look at the positions and open orders table there you will find dashboard like tables which will summarize the positions you have accumulated and the orders which are still open if the feedback is positive these features will be fleshed out the possibilities are very interesting please send me a note if some calculation is wrong or if you have other ideas even easier even prettier fix parser 2 0 almost a year ago the first version of http fixparser targetcompid com was released then as now it was the most user friendly and beautiful way to quickly comprehend fix messages since then several features have been added including a few in response to user requests a few minutes ago a brand new version of the app was released it is almost completely redesigned front to back with complete focus on making your fix life easier let s start with a non feature the new version adds a note your fix data is never sent to any server it stays private and local to your machine this was always true just wasn t posted fix parser is a completely client side app once you ve loaded the web page you can even disconnect your computer from the internet and the app will continue to work on to the new stuff timeline view now shows relevant details such as symbol side quantity and reject text right next to the event type itself this feature alone doubles the utility of fix parser what s the best way to double the usefulness once again show which events are related to each other click on a new order and you will see fills related to it click on a session reject and you will see the referenced event making simple what used to be a pain the look and feel has been updated the colors contrast better there is less noise and the focus is squarely on the events use the app on your desktop tablet or even your phone it works beautifully finally a great deal of thought and love has been put into the code behind the app the parsing logic has been completely rewritten to process data much more intelligently for the technically minded the server side story is very interesting in its own right there is no server side code the app is served off google s cloud storage naturally fix messages can contain sensitive information which is why no fix data is ever sent outside your computer there is no server to send it to the first version was also a labor of love and still lives at http fixparser targetcompid com v1 0 this version improves usefulness by an order of magnitude there are several more ideas floating around in our heads if you have an idea a request or even a complaint please send a note to fixsanity targetcompid com what is fix protocol why is fix protocol needed fix protocol is the blood which flows through the veins of the financial industry say you go to your broker s website and enter two orders buy 100 shares of google buy 100 shares of toyota your broker finds that google trades on nasdaq and sends your order to kcg a nasdaq market maker kcg finds that gs is offering a better price and as forced by best execution rules forwards the order to them gs fills the order and sends a notification back to kcg which routes the notification back to your broker in parallel your broker found that toyota trades in japan since your broker is a very small company they use a third party to route international orders your toyota order was forwarded to mpn which sent the order to a japanese broker who then sent your order to tokyo stock exchange when your order is filled that notification hops through all these companies and continents until it comes back to you all this happens in less than a second these two orders touched six different companies if you enter the exact pair of orders one minute later it is possible that a different set of companies see your orders every second of the day financial companies 1 in almost every country communicate with each other fix protocol is the language used by all these companies to communicate trading information among themselves what is fix protocol fix protocol is a collection of standardized messages exchanged between two parties in order to understand why fix protocol is the way it is you have to remember that actual money is exchanging hands and assets are being moved around using this encoding great care must be taken to make sure that messages are not intercepted and tampered with each transaction must be recorded and must be available on request if server and client lose their connection they must be able to re connect and re synchronize their state exact time of each transaction must be recorded there must be a mechanism of finding out if one of the parties is no longer responsive fix protocol handles all these requirements a fix session generally consists of a server which listens to incoming connections and a client which initiates the connection if you run a trading program on your machine your program probably contains a fix client which connects to a fix server run by your broker your broker in turn probably has many fix clients which connect to servers at various exchanges or other brokers a typical session generally looks like this client connects to server and sends logon message server responds with a logon acknowledgement both parties now consider logon to be successful and start sending each other heartbeats client may send a new order request the server responds with an acknowledgement that the order was received and is now considered open and in the market if the order executes the server sends notifications of fills before the order has finished trading client can send a request to cancel the order or modify it if possible the server will accept and acknowledge this request to cancel or modify the order otherwise this request will be rejected what does fix protocol look like fix is a relatively simple text based protocol 2 logically it is just a collection of tags and values side buy symbol goog qty 100 along with business information these messages also contain infrastructure or logistics information such as protocol version total size of the message id of the client id of the target message number timestamp error checking checksum etc version fix 4 2 size 118 senderid client targetid server side buy symbol goog qty 100 timestamp 10 52am checksum 123 to make the specification more modular the message is divided into three parts the header the body and the footer the header contains generic information such as fix version length of message type of message sender id target id message sequence number sending time this information is required the header may also contain optional information about encryption routing flags indicating attempts to resend information etc the trailer is much simpler and generally only contains a checksum value this checksum is calculated through a standard algorithm and is used to make sure there was no encoding error either when the message was generated or while it was being transmitted the body contains business specific information order quantities symbol names reference ids of orders to be canceled etc you can look at fix messages and parse them into an easy to understand format at http fixparser targetcompid com what does fix protocol really look like fix messages as they are processed by programs look slightly different from what you saw earlier tags are actually numeric values rather than text descriptions in other words an actual fix message is looks a little more like this 8 fix 4 1 9 61 35 a 34 1 49 exec 52 20121105 23 24 06 56 banzai 98 0 108 30 10 003 fix specifications map tags to their descriptions http fixparser targetcompid com has a handy utility to convert tag numbers to their text descriptions there is one minor difference between what is shown here and what fix messages actually look like in real fix messages the tag value pairs are separated by special ascii character 01 or soh which is a non displaying character not or pipe 8 fix 4 19 6135 a34 149 exec52 20121105 23 24 0656 banzai98 0108 3010 003 what else fix is good at re synchronization of state recovering from disconnects corrupt data etc each outgoing message is tagged with a sequence number when a message is received the sequence number of the message is checked against the expected sequence number if the numbers don t match the missing messages can be requested again the party responsible for re sending messages can chose to send an ignore command so time sensitive messages aren t transmitted again notice how this differs from some protocols which require an acknowledgement of each message in fix acknowledgements are limited to business level requests such as new orders cancel and modify requests how can i learn the details http www fixprotocol org provides all the specs and a fairly active forum membership to the website is free and the forum members are very helpful to newcomers http quickfixj com java and http www quickfixengine org c with bindings for python ruby c etc are production quality open source implementations of fix and are used by many companies in the industry https github com falconair fix js javascript node js and https github com falconair lowlevelfix java are two fix implementations by the author these are certainly not to be used in production but will prove helpful understanding how fix can be implemented in code realistically such detailed knowledge of fix is not required by most practitioners 1 currently fix is used to mainly trade equities stocks slowly other instruments are also being traded with it 2 latest versions of fix introduce non ascii encodings however most of the street is still on version 4 0 to 4 4 which are text based fix protocol fix parser targetcompid 3 fixparser targetcompid com a few days ago we released http fixparser targetcompid com it is a very simple tool to translate fix protocol message tags to their english keywords try it out share it with your friends and family most of all let us know how to improve it by dropping us a line at info targetcompid com design by simon fletcher powered by tumblr copyright 2010