Chicago FinTech Open Source Meetup: QuickFIX 101

Presentation given at the Chicago FinTech Open Source Meetup on October 16, hosted by Connamara Systems.

It demonstrates how QuickFIX can be used to rapidly develop a workspace in which to run a trading strategy. The workspace provides market data and order routing to the strategy.

We leverage the "executor" example app that is included with QuickFIX to simulate an order/execution session, and we use a simple market data simulator (both included here) to drive the strategy with Last Trade notifications.

The addition of Cucumber testing using the agent_fix and fix_spec gems was presented at the Chicago FinTech Open Source meetup on November 14, 2013, also hosted by Connamara Systems.

The source code is available on GitHub: https://github.com/mgatny/quickfix_101

Transcript

1. Mike Gatny Vice President - Consulting Services QuickFIX 101 Building a Sample Trading App
2. Introduction Chicago FinTech Open Source Meetup: QuickFIX 101 About Mike Gatny • Lead Engineer and VP Consulting Services at Connamara, since ‘06 • Contributor to the QuickFIX/C++ and OpenFAST projects, and co- author of QuickFIX/n • Co-author of FixPresso, Connamara’s proprietary, low-latency rewrite of QuickFIX/j, used by a major exchange About Connamara Systems • Software Engineering firm specializing in FinTech, est. 1997 • Experts in Agile software development • Projects include: HFT systems, risk mgmt systems, exchanges, matching engines, front-end trading screens • Clients include: hedge funds, CTAs, FCMs, exchanges, etc. • Involved with QuickFIX/C++ since the project began. Creators of QuickFIX/n, agent_zmq, agent_fix, protobuf_spec, and fix_spec • Paid support for all flavors of QuickFIX
3. Introduction Chicago FinTech Open Source Meetup: QuickFIX 101 QuickFIX comes in a variety of flavors: • QuickFIX: C++, with wrappers for python, ruby, .NET • QuickFIX/j: Java implementation - The best version for Java • QuickFIX/n: C# implementation - The best version for .NET • QuickFIX/go: Go implementation - Coming soon from Connamara What kinds of things do people use QuickFIX for? • Automated trading systems that need to send orders & receive fills. • Risk management systems that need to receive drop-copies of fill reports in order to track firm-wide positions & P/L. • Trading screens that need to display financial market data. • Exchanges, brokers, banks, etc. that want to provide a FIX protocol API, often on top of their existing proprietary protocols.
4. What we will cover Chicago FinTech Open Source Meetup: QuickFIX 101 How to organize a QuickFIX application ◦ E.g. for trading apps that need to receive market data, send orders, and receive execution reports. How to add custom settings to the QuickFIX config file ◦ E.g. for adding a Password to every Logon message. How to customize the QuickFIX DataDictionary file How to create a sim environment for a FIX app by: ◦ Hooking it up to the Executor example app from the QuickFIX project ◦ Hooking it up to a simple, purpose-built FIX market data simulator
5. How we will cover it Chicago FinTech Open Source Meetup: QuickFIX 101 Create a Workspace for running a trading Strategy Create a simple momentum strategy in the Workspace Hook it up to the Executor and a market data Simulator
6. QuickFIX data flow Chicago FinTech Open Source Meetup: QuickFIX 101 So, how does QuickFIX notify our application that an interesting event has occurred? We implement callbacks that QuickFIX will invoke to deliver events to us. It looks something like this: FIX Gateway Your Code QuickFIX fromApp(Message) crack(Message) onMessage(ExecutionReport) onMessage(OrderCancelReject) Raw FIX is decoded into a "Message" object, and QuickFIX calls your fromApp method to let you know about it.
7. Workspace Workspace App architecture Chicago FinTech Open Source Meetup: QuickFIX 101 Market Data Simulator Executor QuickFIX Application (ThreadedSocketInitiator) Strategy Market Data Simulator Executor Strategy QuickFIX Application (SocketInitiator) QuickFIX Application (SocketInitiator) One QuickFIX Application for multiple FIX Sessions One QuickFIX Application per FIX Session <<FIX>> <<FIX>>
8. Basic app logic Chicago FinTech Open Source Meetup: QuickFIX 101 Connect Strategy to Workspace Send market data subscription Listen for market data updates Listen for execution reports When a TRADE msg is received, decide whether to send orders When a FILL msg is received, update our position
9. Follow along Chicago FinTech Open Source Meetup: QuickFIX 101 https://github.com/mgatny/quickfix_101
10. Where to get help Chicago FinTech Open Source Meetup: QuickFIX 101 Start with the QuickFIX example apps! Always check your QuickFIX messages.log and event.log Ask questions on the QuickFIX mailing list See: http://quickfixengine.org/quickfix/doc/html/ Get a Connamara QuickFIX Support Bundle!