Developing a FIX Connector: A Practical Guide Using FSRA Surveillance as a Case Study

In this article, I’ll outline the key steps to building a FIX (Financial Information eXchange) connector, using the FSRA (Financial Services Regulatory Authority) FIX Server as a case study. I’ll discuss essential considerations and best practices for creating a robust and compliant service.

Disclaimer: This article is based on the ADGM FSRA FIX Exchange Specification Version 3.0, dated May 2024. The details and guidance provided are accurate as of this version and publication date. Readers are encouraged to refer directly to the original FSRA documentation for updates or clarifications. For specific questions or additional documentation, please contact FSRA directly.

1. Start with a Thorough Review of the Specification Document

The foundational step in developing a FIX connector is thoroughly reading the specification document. Conduct a gap analysis to identify any missing tags or message types within your trading engine. This assessment will help you modify your internal system to support the events required by FSRA and ensure alignment with the server's expectations.

2. Deep Dive into Security Definition Messages

To establish initial connectivity, you’ll need to construct and send a security definition message. This message helps any external system understand the securities within your trading environment, enabling surveillance activities.

One critical tag, SecurityIDSource, often requires special attention. The FSRA specification indicates that this field must be accurately managed and stored in a flexible database format to allow updates without modifying code. Custom trading engines may lack this field initially, so adding an extension table to your database for such values is a recommended approach.

3. Managing Sequence Numbers Efficiently

Sequence number management is a common challenge in developing FIX connectors. A frequent mistake is manually handling sequence numbers. The FSRA documentation specifies that exchanges should queue messages without pre-allocated sequence numbers to prevent issues during outages or sequence resets.

Your trading engine should create events (e.g., new orders, modifications, cancellations, and fills) in sequence. Your service should capture these events sequentially and store them in a database. Here’s a suggested flow:

• Database Storage: Save all events sequentially to your database.
• FIX Message Generation: Generate the FIX message only when the connection to FSRA is up; if it’s down, hold the messages in the database.
• Sequential Sending: When reconnected, send all queued messages from the database in the order they were generated.

Important: Sequence resets should only be used to increase sequence numbers, aligning with FSRA guidelines to maintain compliance.

4. Validating Your Generated Messages

Once you've defined all necessary tags and built the message constructor, it’s essential to validate your messages before sending them. While using external tools can help validate the structure of FIX messages, exchanges are responsible for ensuring that the business logic aligns with FSRA expectations.

I’ve created a tool that can aid in structural validation, which you can download from FinFIX. Connect locally to this tool to identify missing tags or structural issues in your messages. Note that this tool does not validate the logic of the messages. It also allows you to export a CSV file of all generated messages, which can be reviewed and checked for completeness.

5. Monitoring and Reporting Obligations

FSRA requires exchanges to monitor FIX sessions for various aspects such as sequence resets, unexpected disconnections, and abnormal behaviors. Exchanges must report any incidents involving skipped or missing messages to FSRA, ensuring that these issues are addressed promptly.

By following these best practices and understanding the detailed FSRA requirements, your development of a FIX connector will be more aligned with compliance standards, reducing the risks of discrepancies and ensuring a seamless trading system.