How much does your latency improve using the FIX level interface with a direct Point to Point connection vs a typical direct broker execution platform with DSL?
AFAIK, all brokers that support FIX would allow the connection over the Internet instead of a PTP line. I do not know what you are trading, but once you start going the FIX route, things seem to get expensive. Otherwise, for the futures markets in Chicago, O'connor can set you up on just about anything you can imagine. I would go to the following URL and start making phone calls: http://www.cbot.com/cbot/pub/page1/1,3248,1055+2+16,00.html nitro
im using a broker who holds securities for me (long and short) just like a regular retail broker. they just happen to accept my orders and report my fills over a FIX network connection (rather than a GUI, API, etc.) does that make more sense? so no, i dont have a globex id. i dont know much about that really. what is a globex id?
puffy, i'm just using FIX network protocol over the internet. it's not a direct point to point. so i send FIX protocol direct to a broker's machine from my machine. you can VPN over that if you want it encrypted (a good idea). it's not necessarily more expensive, but you do need to come up with a FIX-capable client.
Ah, you are still under the globex ID of your broker, submitting orders thru the broker's FIX interface rather than having the broker generate the FIX commands via the broker execution platform. It is possible to have your own globex ID and communicate directly with the CME trading platform as the brokers and trading groups themselves do. I dont know what the requirements for doing this are (financially, technically, exchange membership-wise etc...). Do you get charged for clearing only or are you charged commissions + clearing fees (as if you were still executing on the brokers platform)? Does the FIX intereface method reduce latency compared with using the broker's platform?
papakipos, where did you get info on FIX api? I noticed that fix.org or whatever does not have detailed info. Is it a C++/java API? And is there a way to test it virtually? that is how can a person learn the FIX API? where to get info?
go to fixprotocol.org. note that it's not an api. it's a network protocol. you have to write your own api, which i did. or go buy one. they are pretty expensive however. but heck, i might sell mine. ;-) mine is in perl, however. perl is a GREAT language for trading systems, IMO. -matt
puffy, fees (commish and exchange fees) seem to be about the same if you use FIX vs using some GUI trading app. latency for FIX may be better. im not sure yet. im still in the bringup phase. i expect it to be slightly better, but not cosmically. after all, the GUI trading apps (like tradestation etc) are ok that way. the main reason i moved to my own execution system was that tradestation just didnt have the right execution LOGIC. it didnt do what i want. it would let you cancel pending limit orders form your trading code (duh!). and stuff like that. if anyone knows of a better programmable trading execution system, i'd love to hear about it. but in the meantime, i guess i just wrote me own. i'm much happier now. i still think the TS-style apps are great for backtesting however. that's not something i want to code myself. (i've tried. getting the historical data is HARD, and expensive to main) but i digress. regards, -matt
How can I get any info on the protocol that is used to send orders to SuperDot or NASDAQ ecn's ? As I understand the FIX protocol is used by institutions and retail to send orders to brokers. Please clarify this mystery. I am trying to find out what one should have and know to write order entry platform for direct access. There is very little material about this on internet. Thank you.