The Financial Information eXchange (FIX) is an industry-driven initiative to develop non-proprietary, free and open messaging standards to facilitate data interchange between financial firms. The FIX Protocol language is comprised of a series of messaging specifications used in trade communications, covering pre-trade, trade, post-trade and settlement, hence supporting straight-through processing (STP) from indications of interest (IOI) to allocations and confirmations.
The FIX dictionary is very comprehensive, containing above 1000 items, each identified by a unique number, called tag. The message itself can be released in various formats: a simple concatenation of tag-value pairs, a more structured FixML language, or other formatting variants. The dictionary, messages and protocols are well documented. Some useful sites:
- The comprehensive specifications released by the FIX organization.
- Parallel to the specifications, the FIX organization also provides a wiki as well as a handy tag explorer: FIXimate.
- There are also handy explorers of the FIX universum, as the tool provided by Onixs.
We hereafter provide a mapping with our Trade dictionary and the FIX tags, as well as how a generic trade would be translated into a FIX message. The mapping pertains mainly following message types (field tag = 35):
- SecurityDefinition - [35 = d] - Details the underlying financial instrument.
- TradeCaptureReport - [35 = AE] - Trade capture details.
- Confirmation - [35 = AK] - Trade confirmation details.