Transmission Format of the FIX Protocol

With the use of the network, all large financial institutions have achieved automation and digitalization. The Internet is indispensable, so here we will mainly introduce the FIX protocol. It is an open protocol organized by the International FIX Association to promote the electronic process of international trade among various participants, including investment managers and brokers, the buyer and the seller establish real-time electronic communication protocols. The purpose of the Fix protocol is to format various securities and financial business needs processes into functional processes described in one available computer language, and exchange the format in a unified manner on each business function interface, facilitate the connection of each function module.

FIX protocol structure

Currently, the format of the FIX protocol has two structures: "Tag) >=< Value)" domain structure and fixml structure. The following briefly describes the composition, connection establishment, and information exchange methods of the FIX protocol in the domain structure mode, so as to understand the concept of the FIX protocol.

FIX Information Format

(1) Information Format

The basic format of a FIX protocol information is:

Standard Header + information body domain + standard end

Each piece of information is composed of a series of fields with <Tag) >=< Value)>. Separate each domain by "<>. Except for some special rules, the fields in the information can be arranged in any order. All domains are terminated with the "separator" #001; 0x01 H, which is written as <SOH>.

(2) standard information title

Each Command or application information has a standard title. The title indicates the information type, length, destination, sequence number, start point, and time.

(3) standard information tail

All information, whether in a command class or an application class, ends with a standard. The tail is used to separate information and include "test" values containing three digits.

(4) Data Types

The data types used by each domain include: integer, floating point number, Boolean, String, multivariate string, currency, exchange string domain, International Standard Time Stamp, International Standard Time, local market date, etc.

(5) Data Integrity

Whether the content of information data is complete can be checked by "check information length" and "simple" Test of characters.

(6) Encryption

To ensure information security, the transmitted information needs to be encrypted. The choice of encryption method is determined by the agreement between the parties involved in the transfer. Any domain can be encrypted and added to the "password" domain. However, it is believed that the domain that can be clearly recognized must be transmitted in non-encrypted mode, and these public domains are not encrypted) public data can be repeatedly verified in the password domain.

FIX protocol connection Establishment

The establishment of a FIX connection includes three steps: creation of a telecom-level connection, confirmation by the receiver to the initiator, and information synchronization.

Implementation of FIX Information Exchange Process

The FIX information exchange process is defined:

Two-way order information transfer within a continuous serial number series between the two parties. Each piece of information has a unique serial number recognition. At the beginning of each FIX exchange process, the sequence number starts from 1 and increases until the entire exchange process starts. When the connection is re-established during the FIX exchange process, the monitoring serial number will enable each user to identify the missing information and respond, so that the application can be synchronized in a consistent manner.

During the period when the information is not activated, the information exchange generates a "Heartbeat message" at a specified interval ". Through "heartbeat information", you can monitor the communication connection status, identify the serial number gap, and confirm whether the last message string is received. The "Heartbeat interval" is announced by the initiator of the Exchange Process in the "login" information using the "Heartbeat command" domain.

When neither party of the Information Exchange connection sends any data during the "Heartbeat command" period, the "heartbeat information" will be transmitted. When either party of the connection still does not receive the "Heartbeat message" within the "Heartbeat command" + "reasonable transmission time", the connection may fail, in addition, the rectification operation must be started. If the "Heartbeat command" is set to zero, no "heartbeat information" is generated periodically ".

FIX connection logout

The normal end of the information exchange process is through mutual sending "Logout" Logout) information. "Deregister" refers to the information that begins or confirms the termination of a FIX process. disconnection without the exchange of "deregister" information is abnormal and should be handled by error.

Application of FIX communication protocol

The distributed structure of the domestic securities trading model refers to the distribution and storage of data of various business departments and branches of the securities companies, which are independent of each other and directly linked with the exchange, domestic brokers are exploring and gradually introducing a centralized transaction system. The centralized transaction system can bring about the advantages of centralized risk control and System Efficiency Improvement. During the construction and planning of the centralized transaction system, build a generalized three-tier structure with the data layer, core service layer + FIX communication layer, and Application Layer Based on the Application FIX standardization protocol. Replace the previous file or communication Packet Exchange mode with the FIX Financial Information Exchange Protocol package.

During the application of the FIX protocol, it should be noted that, due to the differences between the securities trading methods in Asia and the dominant regions of the FIX protocol in America and Europe, the existing FIX protocol is used directly, in particular, it is difficult to regulate the securities business process.

For example, the application of the FIX protocol in the Japanese Securities Industry has encountered the problem of information definition content and information process sequence. Therefore, the domestic FIX should first focus on the FIX and its applicability in China, absorb experience from other markets, and compare different transaction procedures at home and abroad, the analysis of the use of the agreement and the use environment of the agreement, combined with the actual situation of the domestic securities market, makes the agreement a standard and can serve the Chinese securities market, it plays a role in the standardization process of China's securities transactions.