Implementing FIX Protocol
The second post in our FIX series moves from how the protocol works to code. We list FIX libraries for different languages, then set up QuickFIX/J in Java: the Maven dependency, the configuration file, logging on and off, and sending and receiving an order.
Introduction
In our previous blog, we looked at what FIX protocol is, who uses it, it’s architecture and how it works. We also looked at the FIX message structure, it’s advantages and it’s challenges as well. Now, in this blog, let’s look at how to implement FIX.
FIX Libraries
Below are some of the FIX libraries for different languages.
| Language | Library | Comments |
| Java/Scala | QuickFix/J | A Java implementation of the FIX protocol |
| C++ | QuickFIX | A C++ library for implementing FIX protocol |
| Python | QuickFIX (Python) | Python bindings for the QuickFIX FIX engine |
| C# (.NET) | QuickFIX/n | A .NET implementation of the QuickFIX FIX engine |
| JavaScript (Node.js) | fixparser | A Node.js library for working with FIX protocol |
| Go | quickfixgo | A lightweight Go library for FIX protocol |
| Perl | Protocol::FIX | A Perl module for working with FIX protocol |
| Haskell | fixhs | A Haskell library for working with FIX protocol |
FIX Implementation in Java
Maven Dependency
First, we need to add the below maven dependency to our Java project.
<dependency>
<groupId>org.quickfixj</groupId>
<artifactId>quickfixj-core</artifactId>
<version>2.0.1</version>
</dependency>Configuration File
Below is an example of a quickfix configuration file (quickfix.cfg)
[DEFAULT]
# Connection settings
StartTime=00:00:00
EndTime=23:59:59
SocketConnectHost=localhost/Client or Vendor IP
SocketConnectPort=5000
ReconnectInterval=60
HeartBtInt=30
[SESSION]
# FIX version and sender/target comp IDs
BeginString=FIX.4.4
SenderCompID=YOUR_SENDER_ID
TargetCompID=TARGET_IDStarting the session
import quickfix.*;
import quickfix.fix44.NewOrderSingle;
import quickfix.field.Symbol;
public class SimpleFixReceiver implements quickfix.Application {
public static void main(String[] args) throws Exception {
// Set up the session settings (use your own config)
SessionSettings settings = new SessionSettings("quickfix.cfg");
// Create the application instance
SimpleFixReceiver app = new SimpleFixReceiver();
// Set up the FIX initiator (client)
Initiator initiator = new SocketInitiator(app, new MessageStoreFactory(settings), new MessageFactory(), settings);
// Start the FIX session
initiator.start();
}
}Login/Logout
@Override
public void onLogon(SessionID sessionID) {
System.out.println("Logon to FIX session: " + sessionID);
}
@Override
public void onLogout(SessionID sessionID) {
System.out.println("Logout from FIX session: " + sessionID);
}Sending the Order
public void sendOrder(SessionID sessionID) {
// The sessionID is the unique identifier for this communication channel
// It is a combination of SenderCompID and TargetCompID along with other details
try {
// Create a NewOrderSingle message
NewOrderSingle order = new NewOrderSingle(
new ClOrdID("12345"), // ClOrdID (Client Order ID)
new Side(Side.BUY), // Side (Buy)
new Price(100.25), // Price
new OrderQty(100), // Order quantity
new Symbol("AAPL") // Symbol
);
// Send the order to the target session using the sessionID
Session.sendToTarget(order, sessionID);
// Session.sendToTarget(order, sessionID) method in QuickFIX/J is used to send a
// FIX message to the target system (or counterparty) that corresponds to the specified sessionID
System.out.println("Sent NewOrderSingle: " + order);
} catch (Exception e) {
e.printStackTrace();
}
}Receiving the Order
@Override
public void onMessage(NewOrderSingle message, SessionID sessionID) {
// Parse the symbol (tag 55) from NewOrderSingle message
try {
String symbol = message.get(new Symbol()).getValue();
System.out.println("Received FIX message with Symbol: " + symbol);
} catch (FieldNotFound e) {
e.printStackTrace();
}
}Conclusion
In this blog, we looked at different FIX library implementations in different languages and an example of how to send and receive a basic FIX message in Java.