FIX
The Financial Information eXchange (FIX) Protocol is a messaging standard developed specifically for the real-time electronic exchange of securities transactions and markets.
Quotes Direct supports FIX messages of version 5.0 SP1 or higher.
A FIX message represents a sequence of fields, the values of which are associated with predefined unique numbers, called “tags.”
The fields of the message are delimited by the ASCII character 01: SOH (start of heading).
A FIX message example (Logon):
8=FIX.5.0.SP2|9=71|35=A|34=1|49=CQG|52=20100707-20:00:00|108=60|553=username|554=password|10=003|
A FIX message consists of three parts:
•header
•body
•trailer
The header must have has the following fields:
•8: BeginString
•9: BodyLength
•34: MsgSeqNum
•35: MsgType
•49: SenderCompID
•52: SendingTime
The body of the message depends on the MsgType (tag 35, specified in the header).
The trailer (tag 10) provides the checksum of the message, which can be used to determine whether the message was properly received.
Note: All messages from FIX clients to Quotes Direct are expected to be in plain FIX format without FAST encoding.
FAST
The FIX Adapted for Streaming (FAST) Protocol is a group of encoding and decoding rules meant to provide a concrete, standards‐based mechanism for delivering a FIX data stream in a highly efficient manner.
FAST has been shown to reduce message size by as much as 90% with relatively low processing overhead.
Quotes Direct fully supports the standard FAST v1.1, which is documented at www.fixprotocol.org.
Note: All FIX messages sent from the Quotes Direct system are FAST-encoded and standard compliant.
The FAST templates must be obtained from the Template Dissemination Service.
Data Channels
Connections to the Security Definition Server and Replay Server are made over TCP.
Quotes Direct uses separate UDP multicast groups: one for each feed type (incremental or snapshot) for every feed ID.
Each security definition includes information about the corresponding incremental, snapshot, and replay channels.
The FIX templates are available at: ftp://develop.cqg.com