Saturday, January 7, 2012

What is FIX Engine in FIX Protocol

FIX Engine is in heart in FIX protocol Implementation, whenever we discuss about FIX protocol we talk about FIX engines, performance of different Fix engines, support of different FIX versions on FIX engine etc. but on basic level we definitely like to know what is a FIX engine and what does FIX Engine do in FIX protocol. In this article we will try to touch base on such questions with an independent view on FIX engines.

Quick guide on Fix Engine functionality

What is FIX Engines

Fix engines are program written in any programming language like Java, C++ which is used to facilitate online trading using FIX Protocol. its an implementation of FIX protocol and a single piece of software required to establish FIX connectivity. FIX messages which caries stocks trading orders electronically in form of tag and value is composed, parse and understand by FIX engines. FIX engines is also responsible for establishing FIX connectivity between client and broker or client and exchange. In a simple FIX connectivity setup we have two FIX engines running one at client side and other at broker or exchange side. These FIX engines first establish FIX session between each other and than transmit application level  messages(electronic stock order, cancels and order amendments etc). In Short FIX engine is essential piece of software your company will require to build electronic trading infrastructure.

What does FIX Engine do ?

here is short summary of what is responsibility of FIX engine and what does fix engine do:

1) Establish Fix Connectivity by sending session level messages.
2) manage FIX Session
3) recover if FIX session lost
4) creating, sending, parsing FIX messages for electronic trading.
5) handles replay
6) supports different FIX (Financial information exchange) protocol version and tags.

Who uses FIX Engines

what is FIX Engine in FIX ProtocolFIX Engines are mostly used by large Investment banks, brokerage firms, hedge funds, pension funds and other independent parties which are interested in electronic trading. In stock trading first FIX engines is used at two places first at client side (most of high net worth individual, hedge funds uses FIX protocol to transmit orders to brokers) and on Exchange side if Exchange supports FIX protocol or you have connected to a broker. Since different exchange uses there proprietary exchange protocol (e.g. HKSE uses OG, TSE uses Arrowhead protocol and NASDAQ uses OUCH protocol), use of FIX engine on exchange side is less as compared ot client side, As clients and firms prefer to use FIX protocol for sending orders and receiving executions.

Performance of FIX Engine:

Performance of any FIX engines is key in order to be successful in online trading or electronic trading space. fastest, robust, flexible FIX Engines are proffered by brokerage firms and client alike. Since today's market is very volatile and sensitive due to high frequency and algorithmic trading, speed of FIX engines has become more important and derived bigger investment banks and brokerage houses to implement or create there own Fix engines.

Commercial FIX engines in Market
There are lot of commercial FIX Engines are available in market and they are listed on vendor page of FIX protocol. here is quick list of popular FIX engines you may want to choose for your firm:

1) NYFIX Appia
by far most used, flexible, robust and easy to maintain and support. what is best feature of Appia is that it
provides you to create new FIX session on the fly and manage fix session without downtime in FIX engine.

2) Cameron FIX Engine
Another popular fix engine which strictly follow FIX protocol and supports almost all of FIX protocol version.

3) Onix Biz
I have not used fix protocol solutions but sounds like good candidate.

4) B2Bits
B2Bits offers fix engines and fix solution in Java, .NET and C++.

despite these popular ones there are lot many other players like rapidaddition, Inforeach and Flyer Fix Engines.

That's all on FIX engines of FIX protocol , you can also check my other articles on FIX protocols for getting more knowledge on how fix protocol works etc.

Related FIX Tutorials


Anonymous said...

Can you also write about architecture of FIX engine. would be good if you give an example of either open source quick fix engine or any vendor based application like Appia or B2Bits.

Javin @ difference between FIX 4.2 vs FIX 4.4 said...

@Anonymous ,Thanks for recommendation. have you tried Devexperts ? how is it for creating and maintaining new sessions ? does This FIX engine support addition of new session without shut down or restart ?

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