The Industry Asks… Quickfire Questions On FIX Latest Standard

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With Emma Quinn, Global Co-Head of Equity Trading, AllianceBernstein, and Hanno Klein, FIX Technical Director

As part of series of articles by members of the FIX Trading Community, AllianceBernstein’s Global Co-Head of Equity Trading, (and Chair of the FIX Trading Community’s Board of Directors), Emma Quinn, quizzes FIX Technical Director, Hanno Klein, on just what the end of FIX versioning means to firms, and how FIX Latest is already being used across trading, whether participants know it or not.

Emma: Let’s start by explaining what FIX Latest is?

Emma Quinn, AllianceBernstein

Hanno: FIX Latest is the most current version of the FIX Protocol that supports multiple asset classes and a wide range of trading life cycle business processes. FIX Latest is also about using FIX Orchestra, the FIX Technical Standard for meta-data, and the related tools to increase automation and efficiency for software development and testing as well as documenting Rules of Engagement for electronic interfaces.

Emma: Why should any firm ‘upgrade’ to FIX Latest?

Hanno: The better question to ask may be “Is any firm already using FIX Latest?” In recent years, many people have added tags from higher versions to their interfaces, for example to fulfill regulatory requirements. FIX Latest simply means to use any of the latest messages, fields, and values. It does not require to change the FIX Session Layer to the FIXT session profile (BeginString(8)=“FIXT.1.1”), i.e. one can continue to use the FIX.4.2 or FIX.4.4 session profile (BeginString(8) = “FIX.4.2” or “FIX.4.4”) together with tags from FIX Latest without violating FIX compliance.

Emma: So what do you see are the main benefits of FIX Latest?

Hanno: FIX Latest allows firms to reduce the usage of user-defined messages, fields and values to a minimum. That in turn makes it easier to connect to counterparties already supporting FIX Latest or being reluctant to introduce user-defined elements. FIX Latest provides support for all asset classes and a large number of business processes. It supports regulatory requirements that have been become highly prescriptive in recent years. FIX Latest is updated with each approved Extension Pack. FIX Latest is cumulative, containing all Extension Packs that have been approved prior.

Emma: For those unfamiliar with versioning, what are FIX legacy versions?

Hanno: FIX legacy versions are the versions of FIX prior to FIX Latest that continue to be supported and include FIX 4.2, FIX 4.4 and FIX 5.0 Service Pack 2. This means that the FIX Global Technical Committee (GTC) will look into issues reported for the related artefacts and provide guidance for their resolution. This may be a recommendation to use FIX Latest as a reference but without changing the session layer.

Emma: So to be clear, firms can use fields that are in FIX Latest with FIX 4.2?

Hanno Klein, FIX

Hanno: Yes, FIX Protocol allows firms to use messages, fields, and values from higher versions. This increases standardization and reduces the number of user-defined fields and values in use by the FIX Trading Community.

Emma: To make the most of FIX Latest, how can firms find out if a data element that they need already exists, so they don’t have to create a user-defined field?

Hanno: Firms can use the FIXimate tool (fiximate.fixtrading.org) or post a question to the discussion forum (forum.fixtrading.org) to find out whether a data element has already been standardized in FIX Latest. Beware that your terminology may be different from the standard terminology used by FIX, e.g. “reserve orders” may be called “iceberg orders” in your region.

Emma: Once a firm uses FIX Latest will it ever need to ‘upgrade’ again? How do firms stay current with the latest protocol changes?

Hanno: The term “upgrade” used to apply to a FIX Protocol version as it required to also change the FIX Session Layer, i.e. to change the value of BeginString(8). There is no “upgrade” to FIX Latest as it represents the largest possible scope of the FIX Protocol, and Extension Packs are optional. A FIX interface does not need to support the entire scope of FIX Latest, i.e. counterparties agree on the scope to be supported. Firms are free to include future enhancements if these help to support your new and existing business requirements.

New Extension Packs are published on the FIX website (fixtrading.org/extension-packs) and come with an ASBUILT document detailing the business requirements as well as the actual extensions to FIX Latest. This allows firms to quickly assess the relevance of the latest changes for your applications.

Emma: Just to clarify, what is the difference between the application layer and the session layer?

Hanno: The application layer is equivalent to what you would see in a typical Rules of Engagement document describing the FIX interface. You see the names of messages such as NewOrderSingle and you see tables showing you the components, fields, and values inside the message. The FIX Session Layer does hasve messages as well, but these are not related to the business level. They are needed to create a connection between two counterparties and deal with technical errors such as transmission gaps.

Emma: So how many FIX messages and fields are there?

Hanno: FIX 4.2 was released in March 2000 and provided about 50 messages and 500 fields. FIX Latest currently has more than 160 messages and about 6000 fields. The tag numbers for about half of the fields are above 40000 and cover business requirements that are specific for OTC derivatives.

Emma: Do you have any tools that can be used to help firms use FIX Latest – are these available to non-members?

Hanno: FIXimate (fiximate.fixtrading.org) is a great tool to find out what FIX Latest has to offer and is also available to non-members. It provides comprehensive search capabilities to look for messages, fields, and values.

FIX recommends standardizing the meta-data of your interface with the FIX Orchestra Technical Standard. FIX provides a FIX Orchestra XML file together with every Extension Pack that includes all of FIX Latest.

Log2Orchestra is a members-only tool to convert your FIX engine logfiles into an Orchestra XML file. Firms can use that to make changes for the use of data elements from FIX Latest.

Emma: Will buy-side counterparties be able to accept a FIX Latest connection if they are not running it? 

Hanno: Connections are made with the FIX Session Layer whereby the session profiles (FIX.4.2, FIX4, FIXT, LFIXT) of the counterparties have to match. FIX Latest covers the scope of the FIX Protocol and is independent of a specific session layer (FIX or even non-FIX).

Emma: Is there better security in FIX Latest? Does it support encryption natively?

Hanno: Legacy FIX versions as well as FIX Latest are not security standards and FIX does not define its own. The policy has always been for FIX to support the use of external security standards. FIX recommends the use of the Transport Layer Security (TLS) Protocol. FIX provides the FIXS Technical Standard defining the use of FIX over TLS.

FIX supports the encryption of sensitive data by means of special fields in a message containing such data elements, e.g. passwords, as well as the identification of the encoding method. FIX does not define its own encryption standards and recommends the use of external encryption standards.

Emma: Will all existing message formats be available in FIX Latest?

Hanno: The vast majority of messages and fields have not been subject to change other than making additional fields and/or values available. Over time, FIX has deprecated some fields and values and replaced them with other fields and/or values. Deprecated elements can continue to be used based on counterparty agreement. FIX recommends moving away from deprecated elements whenever other changes need to be made that require extensive testing of the application. 

Emma: Do any FIX engine providers support FIX Latest now? Who in the FIX Community supports FIX Latest now?

Hanno: FIX engine providers and users do not have to register their usage with FIX Protocol. However, most FIX engine providers are supporting the use of fields and values from FIX Latest together with more than one FIX session profile (mainly FIX.4.2 and FIX4 but also FIXT). Using the FIX session profile FIX.4.2 or FIX4 with tags from higher versions is equivalent to using the FIX session profile FIXT with FIX Latest. Many in the FIX Community need to fulfill regulatory requirements that have only come up in recent years. These are supported by Extension Packs that are all part of FIX Latest.

Emma: When is the best time to move to FIX Latest per FIX best practices?

Hanno: The first step is to compile a list of user-defined messages, fields and values one is currently using. The next step is to use the publicly available FIXimate tool (fiximate.fixtrading.org) and the discussion forum (forum.fixtrading.org) to find out whether they have already been standardized in FIX Latest. The transition from the user-defined elements to FIX Latest can be done incrementally. The best time is always whenever related parts of an application are enhanced and hence tested anyway.

Emma: Does FIX provide a blog/forum to ask questions focused on FIX Latest?

Hanno: FIX offers a general forum (forum.fixtrading.org) for any questions related to FIX. Tags can optionally be used to identify the topic of a post. Please use the tag “fixlatest” for questions related to FIX Latest. Apart from the members of the FIX committees and working groups, any registered user can respond to the questions. Registration is free and does not require FIX membership. The FIX website has a blog of the FIX Global Technical Committee (fixtrading.org/gtc-blog) that provides you with the latest news and developments related to FIX Technical Standards and tools.