FIX engine integration

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FIX engine integration

PAULKENT
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Re: FIX engine integration

Jeffrey Ryan
This isn't a a question per se. The simplest fastest way is to hire someone.

The next best "question" is to carefully construct a request as to what you have done, what research you've done and what parts you are missing.

Best
Jeff

Jeffrey Ryan    |    Founder    |    [hidden email]

www.lemnica.com

On Feb 17, 2013, at 11:30 AM, Paul Kent <[hidden email]> wrote:

>
> Hi All,
>
> We are considering porting some automated trading strategies to R.
>
> Please can you advise me on FIX integration for trading:
>
> The simplest and quickest way to do this
>
> The most common/popular way of during this
>
> The best (fastest/most robust) way of doing this.
>
> Thanks
>
> Paul
>
>    [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

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Re: FIX engine integration

Ulrich Staudinger-4
I agree, you should get some consultant that has R expertise and automated
trading expertise. You might even check out the person that wrote this
email for this. In any case, you are best advised to get someone with
experience and work with them.



On Sun, Feb 17, 2013 at 7:01 PM, Jeff Ryan <[hidden email]> wrote:

> This isn't a a question per se. The simplest fastest way is to hire
> someone.
>
> The next best "question" is to carefully construct a request as to what
> you have done, what research you've done and what parts you are missing.
>
> Best
> Jeff
>
> Jeffrey Ryan    |    Founder    |    [hidden email]
>
> www.lemnica.com
>
> On Feb 17, 2013, at 11:30 AM, Paul Kent <[hidden email]> wrote:
>
> >
> > Hi All,
> >
> > We are considering porting some automated trading strategies to R.
> >
> > Please can you advise me on FIX integration for trading:
> >
> > The simplest and quickest way to do this
> >
> > The most common/popular way of during this
> >
> > The best (fastest/most robust) way of doing this.
> >
> > Thanks
> >
> > Paul
> >
> >    [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > [hidden email] mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions
> should go.
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>



--
Ulrich Staudinger

http://www.activequant.com

AQ-R user? Join our mailing list:
http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user

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Re: FIX engine integration

sidharth mallik
But has anybody attempted it already ? also FIX engines have
surprisingly not been implemented too much in C. will that be a
hindrance ? I can collaborate in this project if somebody wants to
make it. I already am making an algo trading platform in C. this would
just be an add on to it.

On 2/17/13, Ulrich Staudinger <[hidden email]> wrote:

> I agree, you should get some consultant that has R expertise and automated
> trading expertise. You might even check out the person that wrote this
> email for this. In any case, you are best advised to get someone with
> experience and work with them.
>
>
>
> On Sun, Feb 17, 2013 at 7:01 PM, Jeff Ryan <[hidden email]> wrote:
>
>> This isn't a a question per se. The simplest fastest way is to hire
>> someone.
>>
>> The next best "question" is to carefully construct a request as to what
>> you have done, what research you've done and what parts you are missing.
>>
>> Best
>> Jeff
>>
>> Jeffrey Ryan    |    Founder    |    [hidden email]
>>
>> www.lemnica.com
>>
>> On Feb 17, 2013, at 11:30 AM, Paul Kent <[hidden email]> wrote:
>>
>> >
>> > Hi All,
>> >
>> > We are considering porting some automated trading strategies to R.
>> >
>> > Please can you advise me on FIX integration for trading:
>> >
>> > The simplest and quickest way to do this
>> >
>> > The most common/popular way of during this
>> >
>> > The best (fastest/most robust) way of doing this.
>> >
>> > Thanks
>> >
>> > Paul
>> >
>> >    [[alternative HTML version deleted]]
>> >
>> > _______________________________________________
>> > [hidden email] mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> > -- Subscriber-posting only. If you want to post, subscribe first.
>> > -- Also note that this is not the r-help list where general R questions
>> should go.
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>>
>
>
>
> --
> Ulrich Staudinger
>
> http://www.activequant.com
>
> AQ-R user? Join our mailing list:
> http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
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> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

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Re: FIX engine integration

Ulrich Staudinger-4
Well ..... There is AQ-R, which you can use to plug into an ActiveQuant
Master Server. AQ-R has real time messaging based on STOMP in it.
That means, you can react to messages and send new messages to channels ...

I'll leave it to the educated reader how to put these puzzle pieces
together.



On 02/17/2013 07:32 PM, sidharth mallik wrote:

> But has anybody attempted it already ? also FIX engines have
> surprisingly not been implemented too much in C. will that be a
> hindrance ? I can collaborate in this project if somebody wants to
> make it. I already am making an algo trading platform in C. this would
> just be an add on to it.
>
> On 2/17/13, Ulrich Staudinger <[hidden email]> wrote:
>> I agree, you should get some consultant that has R expertise and automated
>> trading expertise. You might even check out the person that wrote this
>> email for this. In any case, you are best advised to get someone with
>> experience and work with them.
>>
>>
>>
>> On Sun, Feb 17, 2013 at 7:01 PM, Jeff Ryan <[hidden email]> wrote:
>>
>>> This isn't a a question per se. The simplest fastest way is to hire
>>> someone.
>>>
>>> The next best "question" is to carefully construct a request as to what
>>> you have done, what research you've done and what parts you are missing.
>>>
>>> Best
>>> Jeff
>>>
>>> Jeffrey Ryan    |    Founder    |    [hidden email]
>>>
>>> www.lemnica.com
>>>
>>> On Feb 17, 2013, at 11:30 AM, Paul Kent <[hidden email]> wrote:
>>>
>>>> Hi All,
>>>>
>>>> We are considering porting some automated trading strategies to R.
>>>>
>>>> Please can you advise me on FIX integration for trading:
>>>>
>>>> The simplest and quickest way to do this
>>>>
>>>> The most common/popular way of during this
>>>>
>>>> The best (fastest/most robust) way of doing this.
>>>>
>>>> Thanks
>>>>
>>>> Paul
>>>>
>>>>     [[alternative HTML version deleted]]
>>>>
>>>> _______________________________________________
>>>> [hidden email] mailing list
>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>>> -- Also note that this is not the r-help list where general R questions
>>> should go.
>>>
>>> _______________________________________________
>>> [hidden email] mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>> -- Also note that this is not the r-help list where general R questions
>>> should go.
>>>
>>
>>
>> --
>> Ulrich Staudinger
>>
>> http://www.activequant.com
>>
>> AQ-R user? Join our mailing list:
>> http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user
>>
>> [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>>


--
Ulrich Staudinger, ActiveQuant GmbH

P: +41 79 702 05 95
E: [hidden email]

http://www.activequant.com
Connect online: https://www.xing.com/profile/Ulrich_Staudinger

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Re: FIX engine integration

Ulrich Staudinger-4
In reply to this post by sidharth mallik
In addition to my former mail, you don't need plain C, it is very
convenient to use RCPP.

Sincerely,
Ulrich



On 02/17/2013 07:32 PM, sidharth mallik wrote:

> But has anybody attempted it already ? also FIX engines have
> surprisingly not been implemented too much in C. will that be a
> hindrance ? I can collaborate in this project if somebody wants to
> make it. I already am making an algo trading platform in C. this would
> just be an add on to it.
>
> On 2/17/13, Ulrich Staudinger <[hidden email]> wrote:
>> I agree, you should get some consultant that has R expertise and automated
>> trading expertise. You might even check out the person that wrote this
>> email for this. In any case, you are best advised to get someone with
>> experience and work with them.
>>
>>
>>
>> On Sun, Feb 17, 2013 at 7:01 PM, Jeff Ryan <[hidden email]> wrote:
>>
>>> This isn't a a question per se. The simplest fastest way is to hire
>>> someone.
>>>
>>> The next best "question" is to carefully construct a request as to what
>>> you have done, what research you've done and what parts you are missing.
>>>
>>> Best
>>> Jeff
>>>
>>> Jeffrey Ryan    |    Founder    |    [hidden email]
>>>
>>> www.lemnica.com
>>>
>>> On Feb 17, 2013, at 11:30 AM, Paul Kent <[hidden email]> wrote:
>>>
>>>> Hi All,
>>>>
>>>> We are considering porting some automated trading strategies to R.
>>>>
>>>> Please can you advise me on FIX integration for trading:
>>>>
>>>> The simplest and quickest way to do this
>>>>
>>>> The most common/popular way of during this
>>>>
>>>> The best (fastest/most robust) way of doing this.
>>>>
>>>> Thanks
>>>>
>>>> Paul
>>>>
>>>>     [[alternative HTML version deleted]]
>>>>
>>>> _______________________________________________
>>>> [hidden email] mailing list
>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>>> -- Also note that this is not the r-help list where general R questions
>>> should go.
>>>
>>> _______________________________________________
>>> [hidden email] mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>> -- Also note that this is not the r-help list where general R questions
>>> should go.
>>>
>>
>>
>> --
>> Ulrich Staudinger
>>
>> http://www.activequant.com
>>
>> AQ-R user? Join our mailing list:
>> http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user
>>
>> [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>>


--
Ulrich Staudinger, ActiveQuant GmbH

P: +41 79 702 05 95
E: [hidden email]

http://www.activequant.com
Connect online: https://www.xing.com/profile/Ulrich_Staudinger

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Re: FIX engine integration

Frank-2
In reply to this post by PAULKENT
I mean there are several trading firms in Chicago that do this. They have
full time staffs on hand to keep everything going. FIX is not just as easy
as sending in buy me 1 e-mini at a price. Everything in the FIX message has
to be correct to get an ACK, if not you get a NAK. An ACK message is
detailed here:

http://www.fixprotocol.org/specifications/fix4.4fiximate/TradeCaptureReportA
ck.html

I was on a team interviewing for a FIX person. The best person wanted
$200,000 plus incentives. That was more than $100,000 over our salary range.
She eventually got what she was asking from a trading shop in Boston. So the
help for this is not cheap.

Wouldn't you rather use a brokerage firm that can take an order off a simple
order entry system and let them process it into FIX format and send it on to
the exchange?

GL

Frank

-----Original Message-----
From: [hidden email]
[mailto:[hidden email]] On Behalf Of Paul Kent
Sent: Sunday, February 17, 2013 11:30 AM
To: [hidden email]
Subject: [R-SIG-Finance] FIX engine integration


Hi All,

We are considering porting some automated trading strategies to R.

Please can you advise me on FIX integration for trading:

The simplest and quickest way to do this

The most common/popular way of during this

The best (fastest/most robust) way of doing this.

Thanks

Paul

        [[alternative HTML version deleted]]

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should go.

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Re: FIX engine integration

Ulrich Staudinger-4
There are so many what-ifs in this discussion that I strongly agree with
Jeff. The original poster should write some specs or requirements and then
it's possible to discuss it.

For example, how fast does this have to be, what's the required latency?
How complex is the trading system, does it have to react to order events,
how complex is the trading system's order update logic? Which exchanges are
to be supported? How many different brokers, etc. etc. etc.



On Sun, Feb 17, 2013 at 8:02 PM, Frank <[hidden email]> wrote:

> I mean there are several trading firms in Chicago that do this. They have
> full time staffs on hand to keep everything going. FIX is not just as easy
> as sending in buy me 1 e-mini at a price. Everything in the FIX message has
> to be correct to get an ACK, if not you get a NAK. An ACK message is
> detailed here:
>
>
> http://www.fixprotocol.org/specifications/fix4.4fiximate/TradeCaptureReportA
> ck.html
>
> I was on a team interviewing for a FIX person. The best person wanted
> $200,000 plus incentives. That was more than $100,000 over our salary
> range.
> She eventually got what she was asking from a trading shop in Boston. So
> the
> help for this is not cheap.
>
> Wouldn't you rather use a brokerage firm that can take an order off a
> simple
> order entry system and let them process it into FIX format and send it on
> to
> the exchange?
>
> GL
>
> Frank
>
> -----Original Message-----
> From: [hidden email]
> [mailto:[hidden email]] On Behalf Of Paul Kent
> Sent: Sunday, February 17, 2013 11:30 AM
> To: [hidden email]
> Subject: [R-SIG-Finance] FIX engine integration
>
>
> Hi All,
>
> We are considering porting some automated trading strategies to R.
>
> Please can you advise me on FIX integration for trading:
>
> The simplest and quickest way to do this
>
> The most common/popular way of during this
>
> The best (fastest/most robust) way of doing this.
>
> Thanks
>
> Paul
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>



--
Ulrich Staudinger, Managing Director and Sr. Software Engineer, ActiveQuant
GmbH

P: +41 79 702 05 95
E: [hidden email]

http://www.activequant.com

AQ-R user? Join our mailing list:
http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user

        [[alternative HTML version deleted]]

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Re: FIX engine integration

sidharth mallik
@Ulrich : Aren't the specifications you mentioned somewhat obvious ?

Since he wants to use R, high frequency is ruled out. it is most
probably medium frequency.
then again, in absence of specs, we must assume that R will be used
here as a calculation engine for whatever kind of calculations
required which should by default include any calculations for reacting
to order events. I mean not reacting to order events is just a subset
of the whole thing and is just an architectural issue when actually
making the platform.

the actual issues he needs to answer are :

1. is this for a server level platform or a client level platform
2. what is the actual volume of trading
3. does he already have a front end or will that need to be integrated as well
4. what kind of risk management needs to be involved

and other such stuff.

but in any case, i think he is already using some platform and he has
strategies already prepared for that platform, so the actual
requirement is that a platform is being used, can he lay hands on R
code that can perform the same stuff or not.

On 2/18/13, Ulrich Staudinger <[hidden email]> wrote:

> There are so many what-ifs in this discussion that I strongly agree with
> Jeff. The original poster should write some specs or requirements and then
> it's possible to discuss it.
>
> For example, how fast does this have to be, what's the required latency?
> How complex is the trading system, does it have to react to order events,
> how complex is the trading system's order update logic? Which exchanges are
> to be supported? How many different brokers, etc. etc. etc.
>
>
>
> On Sun, Feb 17, 2013 at 8:02 PM, Frank <[hidden email]> wrote:
>
>> I mean there are several trading firms in Chicago that do this. They have
>> full time staffs on hand to keep everything going. FIX is not just as
>> easy
>> as sending in buy me 1 e-mini at a price. Everything in the FIX message
>> has
>> to be correct to get an ACK, if not you get a NAK. An ACK message is
>> detailed here:
>>
>>
>> http://www.fixprotocol.org/specifications/fix4.4fiximate/TradeCaptureReportA
>> ck.html
>>
>> I was on a team interviewing for a FIX person. The best person wanted
>> $200,000 plus incentives. That was more than $100,000 over our salary
>> range.
>> She eventually got what she was asking from a trading shop in Boston. So
>> the
>> help for this is not cheap.
>>
>> Wouldn't you rather use a brokerage firm that can take an order off a
>> simple
>> order entry system and let them process it into FIX format and send it on
>> to
>> the exchange?
>>
>> GL
>>
>> Frank
>>
>> -----Original Message-----
>> From: [hidden email]
>> [mailto:[hidden email]] On Behalf Of Paul Kent
>> Sent: Sunday, February 17, 2013 11:30 AM
>> To: [hidden email]
>> Subject: [R-SIG-Finance] FIX engine integration
>>
>>
>> Hi All,
>>
>> We are considering porting some automated trading strategies to R.
>>
>> Please can you advise me on FIX integration for trading:
>>
>> The simplest and quickest way to do this
>>
>> The most common/popular way of during this
>>
>> The best (fastest/most robust) way of doing this.
>>
>> Thanks
>>
>> Paul
>>
>>         [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>>
>
>
>
> --
> Ulrich Staudinger, Managing Director and Sr. Software Engineer, ActiveQuant
> GmbH
>
> P: +41 79 702 05 95
> E: [hidden email]
>
> http://www.activequant.com
>
> AQ-R user? Join our mailing list:
> http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
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> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

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Re: FIX engine integration

Ulrich Staudinger-4
On Sun, Feb 17, 2013 at 8:57 PM, sidharth mallik <[hidden email]> wrote:

> @Ulrich : Aren't the specifications you mentioned somewhat obvious ?


nothing is obvious when dealing with people ...


>
> Since he wants to use R, high frequency is ruled out. it is most
> probably medium frequency.
>

... depends on the definition of high frequency trading.



> then again, in absence of specs, we must assume that R will be used
> here as a calculation engine for whatever kind of calculations
> required which should by default include any calculations for reacting
> to order events. I mean not reacting to order events is just a subset
> of the whole thing and is just an architectural issue when actually
> making the platform.
>


I don't think it's obvious that he must react to order events. There are
many fire-and-forget algorithms.


>
> the actual issues he needs to answer are :
>
> 1. is this for a server level platform or a client level platform
> 2. what is the actual volume of trading



> 3. does he already have a front end or will that need to be integrated as
> well
> 4. what kind of risk management needs to be involved
>
> and other such stuff.
>
> but in any case, i think he is already using some platform and he has
> strategies already prepared for that platform, so the actual
> requirement is that a platform is being used, can he lay hands on R
> code that can perform the same stuff or not.
>

... speculations.

        [[alternative HTML version deleted]]

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Re: FIX engine integration

Thomas Fuller
In reply to this post by sidharth mallik
"I can collaborate in this project if somebody wants to make it."

I suspect you underestimate the level of effort required to develop a FIX engine. In this case a better idea would be to either buy one or use something like QuickFIX.

http://www.quickfixengine.org/

Tom

  
Thomas P. Fuller,  MSc
Managing Director

Coherent Logic Limited
High Performance  Software Engineering

[hidden email]
IM:  thospfuller (Yahoo)

Registered in England, #05560634
 


145-157 St.  John Street
London, EC1V 4PY United Kingdom

work:   44.[0]207.788.7654
mobile:  44.[0]781.828.7465
 


________________________________
 From: sidharth mallik <[hidden email]>
To: Ulrich Staudinger <[hidden email]>
Cc: "[hidden email]" <[hidden email]>
Sent: Sunday, 17 February 2013, 18:32
Subject: Re: [R-SIG-Finance] FIX engine integration

But has anybody attempted it already ? also FIX engines have
surprisingly not been implemented too much in C. will that be a
hindrance ? I can collaborate in this project if somebody wants to
make it. I already am making an algo trading platform in C. this would
just be an add on to it.

On 2/17/13, Ulrich Staudinger <[hidden email]> wrote:

> I agree, you should get some consultant that has R expertise and automated
> trading expertise. You might even check out the person that wrote this
> email for this. In any case, you are best advised to get someone with
> experience and work with them.
>
>
>
> On Sun, Feb 17, 2013 at 7:01 PM, Jeff Ryan <[hidden email]> wrote:
>
>> This isn't a a question per se. The simplest fastest way is to hire
>> someone.
>>
>> The next best "question" is to carefully construct a request as to what
>> you have done, what research you've done and what parts you are missing.
>>
>> Best
>> Jeff
>>
>> Jeffrey Ryan    |    Founder    |    [hidden email]
>>
>> www.lemnica.com
>>
>> On Feb 17, 2013, at 11:30 AM, Paul Kent <[hidden email]> wrote:
>>
>> >
>> > Hi All,
>> >
>> > We are considering porting some automated trading strategies to R.
>> >
>> > Please can you advise me on FIX integration for trading:
>> >
>> > The simplest and quickest way to do this
>> >
>> > The most common/popular way of during this
>> >
>> > The best (fastest/most robust) way of doing this.
>> >
>> > Thanks
>> >
>> > Paul
>> >
>> >    [[alternative HTML version deleted]]
>> >
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>
>
>
> --
> Ulrich Staudinger
>
> http://www.activequant.com
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Re: FIX engine integration

Daniel Cegiełka
my two cents:

1. keep FIX (engine) outside of R (instances).

2. use rzmq/zeromq as middleware between the FIX engine and R (multi-instances):
http://www.zeromq.org/
https://github.com/armstrtw/rzmq

3. use filtering per topic (symbol subscribe):
http://www.zeromq.org/whitepapers:message-matching

4. You can use QuickFIX but a better option may be a fix8:
http://fix8.org/

Best regards,
Daniel

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Re: FIX engine integration

Andrew Piskorski
In reply to this post by PAULKENT
On Sun, Feb 17, 2013 at 12:30:20PM -0500, Paul Kent wrote:

> We are considering porting some automated trading strategies to R.
>
> Please can you advise me on FIX integration for trading:

I haven't done it, but have thought about doing so, and got some
feedback from folks who have built and used FIX in the past.  From
them, my understanding is that despite being a "standard", in actual
practice every broker uses FIX differently, with their own non-trivial
conventions and quirks.  So you will need to add custom support for
each broker you trade with.

You will probably also want to build a simulation of each of your
brokers FIX behavior, so you can hook that that up to your FIX-enabled
trading engine for testing.

If building your own, the C version of QuickFix is the obvious open
source codebase to start from.  Perhaps some commerical option would
be better, but I'm not familiar with them.

--
Andrew Piskorski <[hidden email]>

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