Is FIX the way to go for automated trading with IB?

Getting data seems to be a much bigger problem than the execution path. It seems to be where all the costs and difficulties show up.

 

FIX data speed is not really a concern unless you need to monitor a lot of instruments. It's just more verbose so there's additional bandwidth and CPU overhead.

They have a new compressed format although I don't think any broker offers it yet.

Francis

 

I presume you are talking about FAST?

I am not aware of any retail focused brokers that are offering data via FIX at all, compressed or otherwise.

 

TT has market data through FIX (but not FAST).

Francis

 

IB has a solution for the traders who want to trade using FIX: trade through the IBgateway. It allows you to submit orders in FIX and retrieve market data through the IB-API (thus hiding the compression/decompression that takes place between the IBgateway and our servers).

 

PATS has FIX API.

 

Do you happen to know which FCMs are offering it?

Francis

 

If you're referring to me, I think GHCO supports it.

 

Anyone care to comment on the reliability/stability of the QuickFix implementation?

 

I use it and over thousands of automated trades, I have never had a problem.

nitro