iona financial solutions: fix information
iona financial solutions: fix information
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swiftnet fin services
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trade and transaction processing
related links
- artix data services datasheet
- artix data services standards libraries
fix information
learn about industry standards from the experts
what is fix?
fix message formats
what about fxml?
session management
what are the integration issues?
where to find out more
one of the key components at the heart of most stp (straight through
processing) solutions in the financial markets is the ability to
exchange trade information with counterparties electronically. to
date most of the activity in streamlining processing has been targeted
at the post trade lifecycle, namely confirmation, settlement and
reconciliation. many organisations have now largely addressed this
area by automating links to s.w.i.f.t., oasys global, dtcc, etc.
and are now turning their attention to the front office. in order
to automate the trading process an electronic standard must exist
and the financial information exhange protocol (fix) has recently
become the de facto standard
in this area. iona, having grown out of the braid and mercator organisations,
have been designing solutions and advising clients on projects involving
fix for many years. we have a sound understanding of the issues
surrounding the use of fix in such environments, and are therefore
well placed to help our clients with its integration into an existing
front and back office systems infrastructure or its implementation
as part of a larger trade automation project.
what is fix?
the financial interface exchange (fix)
protocol was initiated in 1992 by a group of institutions and brokers
interested in streamlining their trading processes. it is an open
message standard controlled by no single entity, that can be structured
to match the business requirements of each firm. the first organisations
to go live were fidelity and salomon smith barney who still figure
strongly within the fix committees.
unlike most initiatives fix does not impose
a single type of carrier (e.g., it will work with leased lines,
private networks, internet, etc.), nor a single security protocol.
it is, however, important to note that fix is not a network in itself
and that communication is made directly between each broker/institution
pair by prior bi-lateral agreement. thus a fund management institution
may have 50 or 60 connections to brokers worldwide some via the
internet, others via direct dial or leased connections and still
others connected via private networks such as liberty or autex.
in summary each broker/institution connection can be thought of
a two way conversational link taking place between applications
at each end. these applications are often referred to as "fix engines"
and can operate either as standalone or fully integrated solutions.
the structure of the organisation is based
around a series of committees comprised of interested parties within
the broking and institutional communities. these committees are
focused on business, technical and regional issues with working
groups examining the impact of new technology such as xml and potential
expansion of the protocol to cover other users such as exchanges
and ecn's (electronic crossing networks).
the protocol is defined at two levels:
session and application. the session level is concerned with
the delivery of data while the application level defines business
related data content. broadly the business messages cover the communication
between brokers and institutions of the following information:
indications of interest
orders and order acknowledgment
fills
account allocations
news, e-mail, program trading lists,
administrative messages
the protocol has been deliberately designed
to support both domestic and cross border trading in a varied spread
of instrument and security types such as:
equities
fixed income
adrs
derivatives
futures
foreign exchange trading
if we ignore the session level message exchange that will be covered
elsewhere we can use a simple example of an equity trade to show
a typical message flow.
the sell side sends an order to their broker for 10,000 ibm shares.
the message will contain details of whether it is for the day, good
till cancel, at the opening, immediate or cancel, fill or kill,
good till crossing or good till date, what allocation details there
may be, etc, etc. the broker will acknowledge this by sending back
an order accept message as a form of acknowledgement referring to
the unique sequence number of the previous message. the broker will
then issue indication of interest messages to all connected institutions.
when an institution is interested in filling part or all of a trade
they will in turn send an order message to the broker who will acknowledge
with an order accept. when the broker executes the trade they will
then confirm back to both customers using a filled execution report
message. up to the point of execution parties can cancel using the
appropriate message type.
fix message formats
the general format of a fix message is
a standard header followed by the message body fields and terminated
with a standard trailer. each message is constructed of a stream
of <tag>=<value> fields.
fields within a message can be defined in any sequence with
the relative position of a field within a message being of no consequence.
it should be noted that there are some exceptions to this rule and
these are defined in the protocol specification that can be downloaded
from www.fixprotocol.org.
the latest version of the specification is 4.2 and was introduced
in march 2000.
the following is an example of a quote
for single security message:
beginstring=fix4.2<soh>
bodylen=222<soh>
msgtype=s<soh>
sendercompid=broker<soh>
targetcompid=institution<soh>
msgseqnum=251<soh>
sendingtime=20000728-14:06:22<soh>
header
-----------------------------------------------
quoteid=xxx<soh>
quotereqid=yyy<soh>
symbol=aa<soh>
maturymonthyear=199901<soh>
strikeprice=25.00<soh>
putorcall=1<soh>
bidpx=5.00<soh>
offerpx=5.25<soh>
bidsize=10<soh>
offersize=10<soh>
body
-----------------------------------------------
checksum=ked
<soh>
trailer
notes: the example above has omitted
a large number of non mandatory fields. the<soh> denotes the
start of header control character and is used to mark the end of
a message when following the checksum field. each field is also
followed by the <soh> control character. the example
above has used the field names themselves for clarity, however in
reality only their numeric tag equivalents would be sent and there
would be no implicit carriage return line feeds at the end of each
field. thus the transmitted stream would be as follows:
8=fix4.2<soh>9=222<soh>35=s<soh>49=broker<soh>56=institution
<soh>34=251<soh>52=2000072814:06:22<soh>117=xxx<soh>131=yyy
<soh>55=aa<soh>200=199901<soh>202=25.00<soh>201=1<soh>132=5.00
<soh>133=5.25<soh>134=10<soh>135=10<soh>10=ked<soh>
what about fxml?
in the years since the original fix protocol
specifications were drawn up technology has moved on and in recent
years the advent of xml (extensible markup language) has had a great
impact on the definition of data transmission standards. to this
end the fix steering committee set up a working group to investigate
introducing an xml based version of the fix standards. this has
now been released as a draft specification for fixml and is currently
being piloted by a number of organisations. the current release
is version 1.1 and is equivalent to the previous version of the
fix standard, version 4.1.
fixml is already having an impact on the
fix standard itself, with version 4.2 introducing two new fields
within the fix header block. the new fields, "xmldatalen" and "xmldata"
facilitate the sending of fixml structure within the current standard.
the only major difference in structure
is the adherence to basic xml structure, for example the fix tag...
strikeprice=25.00
...would become,
<strikeprice>25.00</strikeprice>
the fixml message structures are defined
by xml document type definitions (dtd's) and these can be downloaded
from the fix website, www.fixprotocol.org.
session management
this section will give a high level overview
of the session protocol. it is not meant to be exhaustive and exact
details can be found in the fix protocol specification.
a fix session is defined as a bi-directional
stream of ordered messages between two parties within a continuous
sequence number series. connecting parties must bi-laterally agree
as to when sessions are to be started/stopped based upon individual
system and time zone requirements.
the fix session protocol is based on an
optimistic model. normal delivery of data is assumed (i.e.
no communication level acknowledgment of individual messages) with
errors in delivery identified by message sequence number gaps.
a fix session is comprised of three parts:
logon, message exchange and logout.
establishing a fix connection involves three distinct operations:
creation of a telecommunications level link, authentication/acceptance
of the sender by the receiver and message synchronization (initialization).
the sequence of connection is as follows:
the sender establishes a communication link with the receiver,
eg leased line, internet or private network.
the sender transmits a logon
message. the receiver authenticates the identity of the
sender from information contained within the logon message. if the sender is successfully
authenticated, the receiver responds with a confirming logon message. it is at this satge that
encryption keys may be passed
the sender may begin to send messages immediately following
the logon confirmation message.
after authentication, the sender and receiver must synchronize
their messages through interrogation of the msgseqnum field before sending any queued
or new messages. a comparison of the msgseqnum in the logon message to the internally monitored
next expected sequence number will indicate any message gaps.
if gaps are detected then either party can send a resend request
for any missing messages in the sequence.
normal termination of the message exchange session will be completed
via the exchange of logout
messages.
the heartbeat monitors the status of the communication link
and identifies when the last of a string of messages was not received.
when either end of a fix connection has not sent any data for
a specified number of seconds, it will transmit a heartbeat message.
when either end of the connection has not received any data for
a specified number of seconds, it will transmit a test request
message. if there is still no heartbeat message received
after the same time then the connection should be considered lost
and corrective action be initiated
what are the integration issues?
the inherent flexibility of the fix standard means that there are
a number of issues that need consideration up front before even
considering the integration tasks although they are undoubtedly
linked.
as the fixml standard evolves and is officially released, organisations
will have to decide whether to adopt the fix or fixml standard.
significant dialogue must be entered into with other market participants
with whom connection will be required. this will not only dictate
the mode or modes of communications that need to be implemented
but also what encryption needs to be carried out, for example public
key or des.
it is also necessary to consider which messages from the fix standard
are going to be utilised. this is of course normal for any large
standard covering many instruments and services. there is, however,
an added complication with fix in that it has significant overlap
with other standards relating to trade confirmation. many organisations
will already have investment in oasys global, s.w.i.f.t., dtcc,
trax, etc, for exactly this purpose and this must be considered.
once these decisions have been made it will need to be decided
whether to purchase an off the shelf "fix engine" that will handle
all of the session management but may not provide a consistent user
interface for the front office or to fix enable existing trading
systems.
whichever approach is taken the issues relating to integration
with internal applications is somewhat more complicated than many
other financial data standards. the reason being that not only does
it have to integrate with the front office trading systems but also
with the back office once trade execution is complete.
the implementation of fix standards into the front office can
be seen as the starting point for a fully automated transaction
lifecycle and this is more fully explored in link to transaction
automation.
where to find out more
fix
http://www.fixprotocol.org/
© iona technologies 2007
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