undefined | Better HN

0 pointssrazzaque5y ago0 comments

Of course, and in practice you basically always need to tweak your FIX layer when connecting to multiple brokers.

Whilst there will be differences, you can rely on a surprising amount being uniform. The general session/authentication flow and serialisation mechanisms will be largely the same. Or the use of standard fields ClOrdID, or OrderQty. Or the "general" meaning of the messages NewOrderSingle or ExecutionReport.

It's somewhat predictable where the differences are going to be: identifying securities (different codes, etc), expressing order types and algo parameters, and subtle differences to order lifecycles.

Again this is a gut feel, but I doubt that if you take 2 proprietary APIs, you'll get that level of uniformity.

0 comments

kasey_junk5y ago

I have direct experience building the fix layers for integrating a variety of exchanges. I think FIX is a net negative. The standardization provides so little, there are so many murky edge cases in each implementation and the protocol encoding is so bad, I’d rather just program against the proprietary API. On the exchanges at least the binary APIs make so much more sense.

CoolGuySteve5y ago

I wish exchanges would do like Eurex and release a C header of structs representing their binary protocol.

Unambiguous, no transcription errors from an obnoxious PDF, none of FIX’s stupid design.

kasey_junk5y ago

It’s been an age but when I was doing connector work Eurex was so great. Everything about it technically was high quality.

srazzaqueOP5y ago

I think both you and nurettin raise a very good point, in that FIX had some great aspirations, but the wiggle-room in the standards was too wide, and has resulted in, well, not a very a meaningful standard. The existence of certain companies that do nothing but aggregate and normalise broker and LP APIs is further proof of this.

Nonetheless, it'd be great to see brokers in the retail space normalise toward a uniform API. Even if that is a standardised HTTP interface with good WS support for streaming data, or a standardised binary interface. My feel is that FIX is the closest thing we have now that would get us most of the way there, even for all its warts. But of course, I'd be equally keen on anything standardised.

Edit: typo

nurettin5y ago

Execution report is another thing that is different between the two. You can't even list your running orders without resorting to custom tags. You can't send multiple orders without providing their custom delimiters. You have to modify login messages and insert custom tags before a message is sent. The only uniformity I am left with is the fix template of key=value\0x01 repeating N times. Nobody conforms to fix 4.2 or 5.0xxx they say they derive from it, then you go through their conformance test of 100 messages and see for yourself what changes they made.

srazzaqueOP5y ago

I hear your pain... There's definitely brokers doing some strange things out there, or being overly sensitive to the order of fields. Let's not even talk about repeating groups.

> custom delimiters

Surely you mean custom _message_ delimiters, not field delimiters?

In any case I think it's a foolish endeavour to think that if a broker says "we conform to FIX4.4" to ever take that at face value. Agree that the conformance test always reveals the true extent of conformity.

But zooming out a little, despite these challenges, I'd say you're still in a better position than having N endpoints where 1 gives you a Java library with its own ridiculous threading model, another gives you a Python library that calls a HTTP endpoint (that you need to provide an OAuth token for), and yet another that only has a hosted C# interface. That's where we're headed towards.

nurettin5y ago

Yes I meant repeating group delimiters. What I do like about fix clients (not fix protocol) is the extra value they provide by keeping your sessions alive, tolerating hot restarts, logging in and out on schedule and managing multiple sessions. Things you have to craft when building rest clients. Other than that, I see absolutely no difference between going through a conformance test and reading rest APIs. It is basically the broker's custom designed API under the guise of a so-called industry standard fix protocol.

1 more reply

j / k navigate · click thread line to collapse

0 comments

kasey_junk5y ago

CoolGuySteve5y ago

I wish exchanges would do like Eurex and release a C header of structs representing their binary protocol.

Unambiguous, no transcription errors from an obnoxious PDF, none of FIX’s stupid design.

kasey_junk5y ago

It’s been an age but when I was doing connector work Eurex was so great. Everything about it technically was high quality.

srazzaqueOP5y ago

Edit: typo

nurettin5y ago

srazzaqueOP5y ago

I hear your pain... There's definitely brokers doing some strange things out there, or being overly sensitive to the order of fields. Let's not even talk about repeating groups.

> custom delimiters

Surely you mean custom _message_ delimiters, not field delimiters?

nurettin5y ago

1 more reply

j / k navigate · click thread line to collapse