Clarification of data feed via FIX/API

Discussion in 'Data Sets and Feeds' started by Baywolf, Oct 8, 2009.

  1. Baywolf


    I'm looking for clarification on FIX vs. API access of market data. Is FIX used for more than just orders? I understand that some brokerages offer API access where you can grab market data and send orders via their API, but could one do the same with a FIX only brokerage?
  2. Occam


  3. rosy2


    yes you can get data with FIX. also now data is sent using FIX/FAST. however, each exchange also has there own proprietary protocols that are faster than fix. if your broker is interfacing with those then use the broker's API
  4. soks86


    The worlds largest futures/options exchange runs purely on FIX for orders and administrative tasks and FIX/FAST for market data. The only think that can make a protocol "slow" is the amount of space it takes up and the amount of time it takes to encode/decode a message from that protocol to some usable format.

    Generally you see many exchanges supporting FIX because it allows clients that depend on multiple exchanges to connect their software to all of them without having to spend thousands of dollars on development for proprietary API connections.

    However it is true that an API connection will be faster than FIX and if you are not planning on connecting to other exchanges then you may as well use the API connection.

    FIX/FAST on the other hand is simple a compression scheme that uses Stop-Bit encoding, as well as some other tricks involving delta, incremental, and constant values, to make messages smaller. There is a loss here in the time it takes to encode/decode the message but I have personally seen this take time in the range of nanoseconds (or was it micro...). Not only does a smaller message take less bandwidth (allowing for more market data on one connection) but somehow it's supposed to also make it more responsive... I'm not sure how as this is a claim by ORC and I'm sure if it's true it's simply due to the nature of smaller messages on a network connection.

    The advantage of FIX/FAST over FIX can be seen by comparing historical data sizes when they are stored in their original format. I don't remember the numbers myself but I know one day of one oil product produced nearly 500MB of FIX/FAST data. If this were in FIX or some other non-compressed format it would have taken well over 1GB of space. Generally you only need this sort of think for Market Data though since order entry never uses as much bandwidth per user as market data will.