КГТУ Лаб 1: Stocks / FIX / FAST
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The document outlines a lecture course on software quality assurance tailored for trading systems, detailing various aspects of stock trading including order types, market functioning, and FIX protocol. It covers order parameters and examples of execution reports, including various rejection statuses and message types within a trading system. Additionally, it presents a simple architecture for stock systems utilizing UDP multicast and FIX messaging protocols.
![FIX message (simple example)
Symbol = AAPL,
Side = Sell,
OrderQty = 1000, [35=D;55=AAPL;54=2;38=1000;40=1]
OrdType = Market
EXCHANGE
CLIENT
FIX Order
FIX Order Accept (Execution Report)
Symbol = AAPL
Side = Sell
[35=8;55=AAPL;54=2;38=1000;40=1;39=0]
OrderQty = 1000, OrdType = Market
OrdStatus = New](https://image.slidesharecdn.com/kostromaqakgtulabfixfastprotocol-120920143649-phpapp02/85/1-Stocks-FIX-FAST-7-320.jpg)
КГТУ Лаб 1: Stocks / FIX / FAST
- 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: MARKET LIMIT STOPMARKET STOPLIMIT ICEBERG BUY SELL DAY GTT - Good Till Time GTD - Good Till Day ORDER GTC - Good Till Cancel PRICE IOK - Immediatly Or Cancel FOK - Fill Or Kill OPG - for Opening Auction ATC - for Closing Auction GFA - for any Auction QUANTITY INSTRUMENT
- 4. Reject GW & Reject ME Clients & Vendors (MD receivers) Brokers Executeion Report Reject Status = Rejected UDP MULTICAST Message 2 1 FIX Gateways FAST / Market Data 2 MATCHING Distribution Sequencer ENGINE Server
- 5. Order Accepted & Market Data Clients & Vendors (MD receivers) Brokers Executeion Report Status = Accept UDP MULTICAST FIX Gateways FAST / Market Data 1 2 MATCHING Distribution Sequencer ENGINE Server
- 7. FIX message (simple example) Symbol = AAPL, Side = Sell, OrderQty = 1000, [35=D;55=AAPL;54=2;38=1000;40=1] OrdType = Market EXCHANGE CLIENT FIX Order FIX Order Accept (Execution Report) Symbol = AAPL Side = Sell [35=8;55=AAPL;54=2;38=1000;40=1;39=0] OrderQty = 1000, OrdType = Market OrdStatus = New
- 8. FIX message (real example) <Header> … omitted … </Header> <ApplicationMessage> <Order> <ClOrdID>ORD_1</ClOrdID> ^ <HandInst Value="2" /> <MinQty>1000</MinQty> 11=ORD_1^21=2^110=1000^55=EK^22= <Instrument> 1^48=277461109^54=1^60=20000907 <Symbol>EK</Symbol> <IDSource>1</IDSource> - <SecurityID>277461109</SecurityID> 09:25:56^38=5000^40=2^44=62.5^15 </Instrument> <Side Value="1" /> =USD^47=A <TransactTime>20000907-09:25:56</TransactTime> <OrderQuantity> ^ <OrderQty>5000</OrderQty> </OrderQuantity> 10=165 <OrderType> <LimitOrder Value="2"> <Price>62.5</Price> </LimitOrder> 8=FIX.4.2^9=199^35=D^34=10^49=VENDOR^115=C </OrderType> USTOMER^144=BOSTONEQ^56=BROKER^57 <Currency Value="USD" /> =DOT^143=NY^52=20000907-09:25:58 <Rule80A Value="A" /> <Order> </ApplicationMessage> </FIXMLMessage></FIXML <FIXML><FIXMLMessage>
- 9. FAST (field encoding) <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|
- 10. Simple Stock System Architecture Clients & Vendors (MD receivers) Brokers UDP MULTICAST FIX Gateways FAST / Market Data MATCHING Distribution Sequencer ENGINE Server