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КГТУ Лаб 1: Stocks / FIX / FAST

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September 20, 2012

КГТУ Лаб 1: Stocks / FIX / FAST

Курс Лекций:
Обеспечение Качества Программного Обеспечения

Лаб. 1: Stocks / FIX / FAST
Максим Рудовский, Инновационные Трейдинговые Системы
Иосиф Иткин, Exactpro Systems
Александр Орлов, Инновационные Трейдинговые Системы

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Exactpro
PRO

September 20, 2012
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  1. Курс Лекций: Обеспечение Качества Программного Обеспечения Лаб. 1: Stocks /

    FIX / FAST Максим Рудовский, Инновационные Трейдинговые Системы Иосиф Иткин, Exactpro Systems Александр Орлов, Инновационные Трейдинговые Системы
  2. Plan: 1. Введение a. Реальная стоимость vs. Биржевая стоимость b.

    Биржа и для чего она нужна? 2. Order: Direction, Type, Qty, Price, TimeInForce, Instr 3. Reject GW&ME validation 4. Схема функционирования биржи a. Reject GW & Reject ME b. Order Accepted & Market Data 5. Order Book 6. FIX Protocol 7. Работа с терминалом
  3. Order parameters: ORDER BUY SELL MARKET LIMIT STOPMARKET STOPLIMIT ICEBERG

    DAY GTT - Good Till Time GTD - Good Till Day GTC - Good Till Cancel IOK - Immediatly Or Cancel FOK - Fill Or Kill OPG - for Opening Auction ATC - for Closing Auction GFA - for any Auction PRICE QUANTITY INSTRUMENT
  4. Distribution Server Sequencer Clients & Brokers FIX Gateways UDP MULTICAST

    FAST / Market Data Vendors (MD receivers) Reject GW & Reject ME MATCHING ENGINE 1 2 2 Executeion Report Status = Rejected Reject Message
  5. Distribution Server Sequencer Clients & Brokers FIX Gateways UDP MULTICAST

    FAST / Market Data Vendors (MD receivers) Order Accepted & Market Data MATCHING ENGINE Executeion Report Status = Accept 1 2
  6. None
  7. FIX message (simple example) Symbol = AAPL, Side = Sell,

    OrderQty = 1000, OrdType = Market Symbol = AAPL Side = Sell OrderQty = 1000, OrdType = Market OrdStatus = New [35=D;55=AAPL;54=2;38=1000;40=1] [35=8;55=AAPL;54=2;38=1000;40=1;39=0] EXCHANGE CLIENT FIX Order Accept (Execution Report) FIX Order
  8. ^ 11=ORD_1^21=2^110=1000^55=EK^22= 1^48=277461109^54=1^60=20000907 - 09:25:56^38=5000^40=2^44=62.5^15 =USD^47=A ^ 10=165 8=FIX.4.2^9=199^35=D^34=10^49=VENDOR^115=C USTOMER^144=BOSTONEQ^56=BROKER^57

    =DOT^143=NY^52=20000907-09:25:58 FIX message (real example) <Header> … omitted … </Header> <ApplicationMessage> <Order> <ClOrdID>ORD_1</ClOrdID> <HandInst Value="2" /> <MinQty>1000</MinQty> <Instrument> <Symbol>EK</Symbol> <IDSource>1</IDSource> <SecurityID>277461109</SecurityID> </Instrument> <Side Value="1" /> <TransactTime>20000907-09:25:56</TransactTime> <OrderQuantity> <OrderQty>5000</OrderQty> </OrderQuantity> <OrderType> <LimitOrder Value="2"> <Price>62.5</Price> </LimitOrder> </OrderType> <Currency Value="USD" /> <Rule80A Value="A" /> <Order> </ApplicationMessage> </FIXMLMessage></FIXML <FIXML><FIXMLMessage>
  9. <template name="ExampleOrder"> <messageRef name="NewOrderSingle"/> <string name="BeginStr"> <constant value="FIX.4.4"/> </string> <u32

    name="SeqNum"> <increment/> </u32> <string name="SenderID"> <copy/> </string> <string name="SendingTime"> <delta/> </string> <decimal name="Price"> <delta/> </decimal> <string name="Symbol"> <copy/> </string> </template> BeginStr SeqNum SenderID SendingTime Price Symbol 8=FIX.4.4|34=10000|49=CLIENT1|52=20060126-13:06:58.100|44=1200|55=FOO1| 8=FIX.4.4|34=10001|49=CLIENT1|52=20060126-13:06:58.200|44=1210|55=FOO1| 8=FIX.4.4|34=10002|49=CLIENT1|52=20060126-13:06:58.300|44=1190|55=BAR2| Original size 71 bytes | 10000| CLIENT1| 20060126-13:06:58.100| 1200| FOO1| | | | 200| 10| | | | | 300| -20| BAR2| FAST (field encoding)
  10. Simple Stock System Architecture Distribution Server Sequencer Clients & Brokers

    FIX Gateways UDP MULTICAST FAST / Market Data Vendors (MD receivers) MATCHING ENGINE Distribution Server Sequencer Clients & Brokers FIX Gateways UDP MULTICAST FAST / Market Data Vendors (MD receivers) MATCHING ENGINE