1. Jump to first page Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Jim Northey Jordan and Jordan Introduction to FIX The FIX Session Layer

2. Jump to first page 2 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan FIX Session Layer n Session Level Messages n Login n Message Sequencing n Keeping the session alive – heart beating n Logout

3. Jump to first page 3 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Protocol Overview n Standardized session layer using administrative messages n Application layer with application messages n Messages use tag level encoding u Tag# u “=“ u Value u, ASCII 01 field separator

4. Jump to first page 4 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Message Structure n All FIX Messages are identified by a MsgType[Tag 35] code u (Look up using Volume 6 or using FIXImate for the list of messages) n All messages use a standard header and standard trailer n Messages consists of required tags and optional tags

5. Jump to first page 5 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Customization n Trading parties agree on specific usage and content of fields subject to the guidelines and definitions provided in the specification n FIX provides for custom tags to support extensions or specific trading requirements

6. Jump to first page 6 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Standard Header n BeginString[8] identifies the version of FIX being used, for instance: u “FIX 4.1”, “FIX 4.2” n BodyLength[9] identifies the length of the message n MsgType[35] Message type

7. Jump to first page 7 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Identification of Trading Parties n SenderCompID[49] - Identifies the sender of the message - counterparties agree on format n TargetCompID[56] - Identifies the recipient of the message - counterparties agree on format n Additional header fields u SubID Fields u LocID Fields u OnBehalfOf DeliverTo u Routing

8. Jump to first page 8 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Your Application Program Trading System, Order Management System Anatomy of a FIX Engine Transaction Journal DBMS Engine Encryption Message Store FIX Counterparty TCP/IP Connection Diagram taken from Programmer’s Manual for the.FixAntenna Engine from B2B ITS Consulting Services http://fix.btobits.comhttp://fix.btobits.com and http://www.btobits.comhttp://www.btobits.com

9. Jump to first page 9 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Customer (i.e. Investment Mgr) Supplier (i.e.Broker/Dealer) FIX System Order Management System Trader Trader in Foreign Office Order Management System Trader Trader in Foreign Office FIX Engine Business Msg Processing FIX EngineBusiness Msg Processing Wide Area Network Link TCP/IP (TCP Socket opened by customer, persists during life of FIX session) FIX System Connectivity © FIX Protocol Limited - March, 2000

10. Jump to first page 10 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Session Level n Initiating a session (Logon) n Heartbeat n Message Sequencing n Message Validation n Ending a session (Logout)

11. Jump to first page 11 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Initiating a Session (Logon MsgType=A) n Buy side firm initiates (the Initiator) a connection to a Sell side (the Acceptor) firm using the LOGON Session Level Message MsgType[35]=“A” 8=FIX.4.2^ 9=92^ 35=A^ 49=BOFASEC0^ 56=DFIX201^ 50=MSO:MSO^ 57=TEST^ 34=106^ 43=N^ 52=20010822-13:06:42^ 98=0^ 108=30^ 10=021^

12. Jump to first page 12 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Nominal Login Scenario Start of Day Test Request Initiator Test Request Recipient Login MsgType=A, TargetCompID=CBOEFIX001 SenderCompID=M001 MsgSeqNum=1 Login MsgType=A, TargetCompID=M001 SenderCompID=CBOEFIX001 MsgSeqNum=1 Valid SenderCompID Incoming Sequence Number matches expected value This is the Logon Acknowledgement We have a FIX Session Established!

13. Jump to first page 13 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Message Sequencing n The FIX Session guarantees that messages are delivered in the order in which they are sent n A FIX Session can be defined as “a bi-directional stream of ordered messages between two parties within a continuous sequence number series” n Each FIX Engines is expected to keep track of two sequence numbers u The Incoming Sequence Number expected on inbound messages received from the counterparty u The Outgoing Sequence Number to be sent to the counterparty

14. Jump to first page 14 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Message Sequencing n So what happens if the sequence numbers are not in order? n FIX Provides messages for recovery of lost messages u Provides for delivery of lost messages u Provides for a way to resynchronize sequence numbers between engines

15. Jump to first page 15 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Resend Request (MsgType=2) n Used to request the counterparty to resend a set of FIX messages n Tell the counterparty the range of messages that you did not receive u BeginSeqNo (tag 7) u EndSeqNo (tag 16)

16. Jump to first page 16 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Exceptional Login Scenario - Sequence Number to High Session Initiator Session Acceptor Login MsgType=A TargetCompID=CBOEFIX001 SenderCompID=M001 MsgSeqNum=3 Login MsgType=A TargetCompID=M001 SenderCompID=CBOEFIX001 MsgSeqNum=1 Valid SenderCompID Sequence Number > Expected Value Incoming Sequence Number matches expected value This is the Logon Acknowledgement Incoming Expected=1 Resend Request MsgType=2 TargetCompID=M001 SenderCompID=CBOEFIX001 MsgSeqNum=2 BeginSeqNo=1 EndSeqNo= 2 Resends messages or sends a gap fill

17. Jump to first page 17 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Exceptional Login Scenario - Sequence Number to Low Session Initiator Session Acceptor Login MsgType=A TargetCompID=CBOEFIX001 SenderCompID=M001 MsgSeqNum=1 Logout MsgType=5 TargetCompID=M001 SenderCompID=CBOEFIX001 MsgSeqNum=1 Text = Incoming Sequence Number < Expected = 5 Valid SenderCompID Sequence Number < Expected Value Why do we stop the Session from being established? Incoming Expected=5 Disconnect by closing socket

18. Jump to first page 18 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Sequence Reset (MsgType=4) n In order to reduce unnecessary communication, FIX permits firms to skip or gap fill over administrative messages (such as heartbeats and test requests) n This is done using the Sequence Reset Message u GapFillFlag (tag 123) u NewSeqNo (tag 36)

19. Jump to first page 19 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Heartbeat (MsgType=0) n The FIX Session is kept alive by both sides sending heartbeats to the other 8=FIX.4.2^ 9=0072^ 35=0^ 49=GLTRADE1^ 56=DFIX201^ 34=2^ 52=20010822-13:53:28^ 10=124^

20. Jump to first page 20 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Heartbeating lets each side know the connection is active Session Initiator Session Acceptor Heartbeat MsgType=0 TargetCompID=CBOEFIX001 SenderCompID=M001 MsgSeqNum=2 Logout MsgType=5 TargetCompID=CBEOFIX001 SenderCompID=M001 MsgSeqNum=1 Login MsgType=A TargetCompID=M001 SenderCompID=CBOEFIX001 MsgSeqNum=1 Login MsgType=A TargetCompID=CBOEFIX001 SenderCompID=M001 MsgSeqNum=1 Heartbeat MsgType=0 TargetCompID=M001 SenderCompID=CBOEFIX001 MsgSeqNum=2 …

21. Jump to first page 21 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan How often do we heartbeat a FIX connection? n Configurable n “Negotiated” at Logon time u HeartBtInt (tag 108) Note same value used by both sides

22. Jump to first page 22 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Test Request (MsgType=1) n Either party on the FIX connection can send a Test Request message at any time during the FIX Session n The recipient of a Test Request message must respond with a Heartbeat message n The Test Request contains a required TestReqID[112] field n The Heartbeat response message must contain the TestReqID[112] of the Test Request

23. Jump to first page 23 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Normal Test Request Scenario Test Request Initiator Test Request Recipient Test Request MsgType=1, TestReqID=“AnyString” Heartbeat MsgType=0, TestReqID=“AnyString”

24. Jump to first page 24 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Exception Test Request Scenario Test Request Initiator Test Request Recipient Test Request MsgType=1, TestReqID=“AnyString” Disconnect by closing socket Logout MsgType=5 Text=“Test Request Timeout” No Response from recipient for 2 X Heartbeat Interval

25. Jump to first page 25 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Message Validation n FIX Engines validate that messages are properly formed and will reject the message using a Session Level REJECT message if the message is invalid n The Checksum (tag 10) is validated

26. Jump to first page 26 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Ending a Session(Logout MsgType=5) n Each side sends a logout message 8=FIX.4.2^ 9=0082^ 35=5^ 49=DFIX201^ 56=GLTRADE0^ 34=483^ 52=20010822-14:05:34^ 10=176^

27. Jump to first page 27 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan Normal Logout Processing Firm Initiating Logout Logout Recipient Logout MsgType=5 TargetCompID=CBOEFIX001 SenderCompID=M001 MsgSeqNum=M Logout MsgType=5 TargetCompID=M001 SenderCompID=CBOEFIX001 MsgSeqNum=N Wait a brief period of time (heartbeat interval) for other side to send logout – this is done in case other side needs to do resend processing Both sides disconnect by closing socket It is considered bad form to close the connection prior to receiving the logout confirmation

28. Jump to first page 28 Introduction to FIX Copyright© 2004 Jim Northey and Jordan & Jordan End of FIX Session Layer Slide Show