Extending Your Trading Engine to Support the FIX Protocol: A Practical Guide

In today's dynamic trading environments, extending your trading engine to facilitate the FIX protocol is crucial for ensuring seamless communication and efficient trading. If your trading engine doesn’t natively support a FIX engine, there are a few key steps to ensure proper integration. Below are the primary considerations and technical requirements:

1. Listening to Key Events

To successfully integrate the FIX protocol, your trading engine must start listening for the following critical event types:

• Market Events: These include market openings, closings, and the start of trading sessions.
• Securities Events: Actions such as listing new securities, publishing security definitions, starting and stopping trading over specific securities, etc.
• Order Events: Actions such as creating, accepting, rejecting, canceling, expiring, and filling orders.
• Trade Events: These involve trades occurring in both spot and OTC markets.

2. Defining Gateways for Event Reception

In environments with multiple gateways, such as Trading Gateway, Market Data Gateway, Surveillance Gateway, and Drop Copy Gateway, you need to define how events are distributed across these gateways. Each gateway should have a record of the events it needs to handle, stored in your datastore (it doesn't need to be in FIX format yet).

3. Managing Event Sequence Without Generating FIX Sequence Numbers

While capturing the necessary events, it’s essential not to generate FIX sequence numbers immediately. Instead, keep the sequence representation in your system, ensuring that sequence numbers are only generated by the FIX server when sending the event in FIX format.

4. Sending Events in FIX Format

Once the events are ready, send them in FIX format to the respective gateway. Let the FIX server manage the administrative aspects, such as sequence numbering. If the FIX message is successfully transmitted, mark the event as "sent" in your datastore and retain it for future record-keeping. If the gateway is not yet ready, simply queue the event for later transmission in the correct order.

By following these steps, you ensure a smooth extension of your trading engine to support the FIX protocol. This enables real-time market, order, and trade event processing while ensuring your infrastructure remains flexible and resilient.