Protocols

Messages in FIX rely on a protocol. This protocol describes the fields and the structure of messages. As the protocol developed, new fields, message types, and structural components were added, leading to different versions. See below for an explanation of the message structure.

Although the protocol is a "standard", it is common that messages may be altered, enriched, or new message types provided. When a FIX connection is provided, both sides agree on the structure of the messages, and create a common protocol.

Loaders

This package provides two loaders: one for YAML formatted files, and one for the QuickFIx XML format.

YAML protocol files

The structure of the YAML files is given below. They are loaded in the following manner.

from jetblack_fixparser import load_yaml_protocol, ValueType

protocol = load_yaml_protocol(
    'FIX42.yaml',
    is_millisecond_time=True,
    is_float_decimal=True,
    is_type_enum={ ValueType.BOOLEAN: False }
)

The above example loaded the FIX 4.2 specification. It indicated that times will include milliseconds, floats should be converted to decimals, and that field of type 'BOOLEAN' should not be converted to a text representation.

XML protocol files

Due to the popularity of the QuickFix engine, the XML format used by this product is widespread, and a loader is provided. You can find the protocol files here. They are loaded in the following manner.

from jetblack_fixparser import load_quickfix_protocol, ValueType

protocol = load_quickfix_protocol(
    'FIX42.xml',
    is_millisecond_time=True,
    is_float_decimal=True,
    is_type_enum=None
)

See the YAML loader for a description of the arguments.

Structure

This package comes with a set of protocol files in YAML format.

Fields

Fields have a type, a number, and optionally a list fo values that can give the raw value a readable meaning.

Here are a few example fields:

fields:

  Account:
    number: 1
    type: STRING


  ExecTransType:
    number: 20
    type: CHAR
    values:
      0: NEW
      1: CANCEL
      2: CORRECT
      3: STATUS


  Price:
    number: 44
    type: PRICE

Header

All messages start with a header. The header fields must be presented in order. the order of other parts of the message may have more relaxed ordering constraints.

Here is an example header for FIX 4.0 (the most simple):

header:
  BeginString:
    required: true
  BodyLength:
    required: true
  MsgType:
    required: true
  SenderCompID:
    required: true
  TargetCompID:
    required: true
  OnBehalfOfCompID:
  DeliverToCompID:
  SecureDataLen:
  SecureData:
  MsgSeqNum:
  SenderSubID:
  TargetSubID:
  OnBehalfOfSubID:
  DeliverToSubID:
  PossDupFlag:
  PossResend:
  SendingTime:
    required: true
  OrigSendingTime:

The header consists of a sequence of fields which may be required.

Trailer

All messages end with a trailer.

Here is an example trailer:

trailer:
  SignatureLength:
  Signature:
  CheckSum:
    required: true

Messages

The messages themselves have a similar structure to header and trailer, but with a message type and category.

Here is an example:

messages:
  OrderCancelReject:
    msgtype: '9'
    msgcat: app
    fields:
      OrderID:
        required: true
      ClOrdID:
        required: true
      ClientID:
      ExecBroker:
      ListID:
      CxlRejReason:
      Text: