Re: [Quickfix-users] Moving from Non FIX to FIX based solution
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Re: [Quickfix-users] Moving from Non FIX to FIX based solution
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From: James P M. I. <jmi...@bl...> - 2007-07-22 14:31:42
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Think of them as sessions. Its one session per logical connect. IE 1
session per socket.<br>
<br>
The QuickFix engine can manage multiple sessions.<br>
<br>
Part of the configuration of a session is agreeing on the acceptor's
host and port. All messages for that session will go over that socket
connection that QuickFix will create and manage for you.<br>
<br>
You can send trades for multiple account, assets, destination, etc over
a single session, but the other side must be able to handle those
orders. Brokers DMA system can usually accept a wide variety of order
types, asset types, and destinations, while a direct exchange
connection will only be used for orders for that exchange.<br>
<br>
Generally orders are managed in the session that they are created, but
there are cases where message traffic is mirrored to other sessions to
allow for management of simple drop copy processing.<br>
<br>
Hanan Harush wrote:
<blockquote
cite="mid:c78...@ma..."
type="cite">tnx for the response. My comments are inside.<br>
<br>
<br>
<div><span class="gmail_quote">On 7/22/07, <b
class="gmail_sendername">James P Michels III</b> <<a
moz-do-not-send="true" href="mailto:jmi...@bl...">jmi...@bl...
</a>> wrote:</span>
<blockquote class="gmail_quote"
style="border-left: 1px solid rgb(204, 204, 204); margin: 0pt 0pt 0pt 0.8ex; padding-left: 1ex;">
<div style="direction: ltr;"><span class="e"
id="q_113ee3b73342f53e_0">QuickFIX Documentation: <a
moz-do-not-send="true"
onclick="return top.js.OpenExtLink(window,event,this)"
href="http://www.quickfixengine.org/quickfix/doc/html/index.html"
target="_blank">http://www.quickfixengine.org/quickfix/doc/html/index.html
</a><br>
QuickFIX Support: <a moz-do-not-send="true"
onclick="return top.js.OpenExtLink(window,event,this)"
href="http://www.quickfixengine.org/services.html" target="_blank">http://www.quickfixengine.org/services.html</a><br>
<br>
</span></div>
<br>
<div bgcolor="#ffffff" text="#000000">Which part of the
configuration settings are you confused about besides
the initiator/acceptor part?<br>
<br>
The initiator is the client and the acceptor is the server. Its really
that simple. Usually the exchange/broker system is the acceptor and the
client app is the initiator.</div>
</blockquote>
<div><br>
The broker is the acceptor which is ok with me.<br>
regarding the applications that sends the orders ( currently
implemented in seperate PC):<br>
Do i need to have an initiator per automated trading system ? which
leads me to 3 initiators are speaking FIX with the broker acceptor .
<br>
<br>
<span style="font-weight: bold;">Or </span><br>
A single initiator that works with the broker ( acceptor ).<br>
In that case what is the suggested solution for sending orders throw
different trading systems ? <br>
<br>
<br>
</div>
<br>
<blockquote class="gmail_quote"
style="border-left: 1px solid rgb(204, 204, 204); margin: 0pt 0pt 0pt 0.8ex; padding-left: 1ex;">
<div bgcolor="#ffffff" text="#000000">Hanan Harush wrote:
<blockquote type="cite">
<div><span><font color="#0000ff" face="Arial" size="2">I just
want to clarify a few things: </font></span></div>
<div><span><font color="#0000ff" face="Arial" size="2">1. I am <strong>not</strong>
using TA (
technical Analysis ) for this project. ( i come from the Arbitrage
field)</font></span></div>
<div><span><font color="#0000ff" face="Arial" size="2">2. I have
read the FIX documentation, also
choose quickfix mainly because of the open source. all i need a help
with choosing the right configuration for my setup.</font></span></div>
<div><span><font color="#0000ff" face="Arial" size="2">My broker
supports FIX.4.2 and i also have a
demo account.</font></span></div>
<div><span></span> </div>
<div><span><font color="#0000ff" face="Arial" size="2">Regards,</font></span></div>
<div><span><font color="#0000ff" face="Arial" size="2">Hanan</font></span></div>
<div><span></span> </div>
<div><span></span> </div>
<div><span></span> </div>
<div><span> </span></div>
<br>
<div dir="ltr" align="left" lang="he">
<hr><font face="Tahoma" size="2"><b>From:</b>
<a moz-do-not-send="true"
href="mailto:qui...@li..."
target="_blank" onclick="return top.js.OpenExtLink(window,event,this)">qui...@li...</a>
[<a moz-do-not-send="true"
href="mailto:qui...@li..."
target="_blank" onclick="return top.js.OpenExtLink(window,event,this)">mailto:qui...@li...</a>]
<b>On Behalf Of </b>James
P Michels III<br>
<b>Sent:</b> Saturday, July 21, 2007 8:23 PM<br>
<b>To:</b> <a moz-do-not-send="true"
href="mailto:Qui...@li..." target="_blank"
onclick="return top.js.OpenExtLink(window,event,this)">Qui...@li...</a><br>
<b>Subject:</b> Re: [Quickfix-users] Moving from Non FIX to FIX
based
solution<br>
</font><br>
</div>
QuickFix is a library for doing FIX Protocol message management. This
includes a large variety of order management functions and some market
data functions. FIX is quickly becoming ubiquitous for order
management, but for market data, its not as commonly used in my
experience.<br>
<br>
The TA operation you referred to are not within the scope of FIX and
you will need to use other software to support that functionality.<br>
<br>
Check out the documentation for the FIX version you are interested in
at <a moz-do-not-send="true" href="http://www.fixprotocol.org/"
target="_blank" onclick="return top.js.OpenExtLink(window,event,this)">http://www.fixprotocol.org/</a><br>
<br>
<br>
<br>
<a moz-do-not-send="true" href="mailto:jj...@sf..."
target="_blank" onclick="return top.js.OpenExtLink(window,event,this)">jj...@sf...</a>
wrote:
<blockquote
cite="http://mid...@rm..."
type="cite">
<pre>QuickFIX Documentation: <a moz-do-not-send="true"
href="http://www.quickfixengine.org/quickfix/doc/html/index.html"
target="_blank" onclick="return top.js.OpenExtLink(window,event,this)">http://www.quickfixengine.org/quickfix/doc/html/index.html
</a>
QuickFIX Support: <a moz-do-not-send="true"
href="http://www.quickfixengine.org/services.html" target="_blank"
onclick="return top.js.OpenExtLink(window,event,this)">http://www.quickfixengine.org/services.html</a>
Hey Hanan,
How do you manage to calculate things such as bar count, fibonacci, and many
other TA ? Is there already a prebuilt set of TA library that I can use? Or
would I have to create all of the TA (technical analysis) functions myself?
Fibonacci wouldn't be too hard, but how can I count bars, access
high/low/close/open.
Cheers.
On Sat, 21 Jul 2007 12:42:55 -0400 <a moz-do-not-send="true"
href="mailto:rod...@gm..." target="_blank"
onclick="return top.js.OpenExtLink(window,event,this)">rod...@gm...</a> wrote:
</pre>
<blockquote type="cite">
<pre>QuickFIX Documentation:
<a moz-do-not-send="true"
href="http://www.quickfixengine.org/quickfix/doc/html/index.html"
target="_blank" onclick="return top.js.OpenExtLink(window,event,this)">http://www.quickfixengine.org/quickfix/doc/html/index.html
</a>
QuickFIX Support: <a moz-do-not-send="true"
href="http://www.quickfixengine.org/services.html" target="_blank"
onclick="return top.js.OpenExtLink(window,event,this)">http://www.quickfixengine.org/services.html</a>
On 7/21/07, Hanan Harush <a moz-do-not-send="true"
href="mailto:han...@gm..." target="_blank"
onclick="return top.js.OpenExtLink(window,event,this)"><han...@gm...></a> wrote:
</pre>
<blockquote type="cite">
<pre>QuickFIX Documentation:
<a moz-do-not-send="true"
href="http://www.quickfixengine.org/quickfix/doc/html/index.html"
target="_blank" onclick="return top.js.OpenExtLink(window,event,this)">http://www.quickfixengine.org/quickfix/doc/html/index.html
</a>
QuickFIX Support:
<a moz-do-not-send="true"
href="http://www.quickfixengine.org/services.html" target="_blank"
onclick="return top.js.OpenExtLink(window,event,this)">http://www.quickfixengine.org/services.html</a>
Hi All,
First about myself:
My name is Hanan Harush, i have 8 years experience in project
</pre>
</blockquote>
</blockquote>
<pre>management/
</pre>
<blockquote type="cite">
<blockquote type="cite">
<pre>software development.
I have implemented an automated trading system for NYSE/NASDAQ.
Both the quotes and the order sending and order status where implemented
using an ActiveX API through an existing Desktop trading application.
My current systems main components:
Quotes Source - reads quotes and update the DB server.
DB server - holds the quotes as well as other additional configuration.
Automated system 1 - Reads quotes from the DB server, calculate , sends
trading orders
Automated system 2 - Reads quotes from the DB server, calculate , sends
trading orders
Automated system 3 - Reads quotes from the DB server, calculate , sends
trading orders (*) requires desktop application installation/license.
Now that the automated system is stable i would like to move to FIX
</pre>
</blockquote>
</blockquote>
<pre>based
</pre>
<blockquote type="cite">
<blockquote type="cite">
<pre>solution for both Quotes ( Level II ) and Order Sending/Status.
I have read the docs/examples and also downloaded and compiled quickfix.
And to the questions:
What are the alternatives for FIX based configuration for the orders
sending/Status ( i am a bit confused regarding the
</pre>
</blockquote>
<pre>initiator/acceptor roles)
</pre>
<blockquote type="cite">
<pre> ?
</pre>
</blockquote>
<pre>It depends on the broker/service you use for level II I believe many
will have their own native API you can use which will be a lot easier
to implement into your system. Some may also offer FIX the good thing
with FIX is that its basically universal most systems will support
some version and variation of fix. Fix will require a lot more effort
but its universal and depending on how extenable your system is it
should be able to easily connect to other FIX engines with little
effort.
</pre>
<blockquote type="cite">
<pre>What is the configuration for FIX based solution to Level II Quotes ?
</pre>
</blockquote>
<pre>It all depends who you plan to get your level II quotes from you might
want to checkout eSignal or ActiveFeed.
</pre>
<blockquote type="cite">
<pre>Any help will be appreciated.
Best Regards,
Hanan Harush
</pre>
</blockquote>
</blockquote>
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<blockquote type="cite">
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<pre>--
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<pre>John Jeong-Woo Kim
Simon Fraser University
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<pre cols="72">--
James P Michels III
Bluefin Trading LLC
<a moz-do-not-send="true" href="mailto:jmi...@bl..."
target="_blank" onclick="return top.js.OpenExtLink(window,event,this)">jmi...@bl...</a>
914-227-9511 (office)
267-573-1121 (alternate)
215-431-7644 (cell)
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<pre class="moz-signature" cols="72">--
James P Michels III
Bluefin Trading LLC
<a class="moz-txt-link-abbreviated" href="mailto:jmi...@bl...">jmi...@bl...</a>
914-227-9511 (office)
267-573-1121 (alternate)
215-431-7644 (cell)
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