Overview
This guide describes the interface between Triple’A Plus and a Financial Information eXchange (FIX) standard capable software (for example FIX engines), which is referred to as TAP FIX interface or TFI.
Financial Information eXchange (FIX) is an electronic communications protocol for international real-time exchange of information related to security transactions and markets. The messages exchanged adhere to the FIX specifications standard.
This interface uses the FIX Standard version 4.4, which is one of the most widely adapted versions.
Functionality
Following are the flows supported by the TAP-FIX interface.
For the outward data exchanged (TAP to FIX),
- In TAP, the business actions of creation and the order cancellation or update, generate events based on subscriptions.
- The events are published from TAP by a dedicated subscription daemon process in the JMS message format.
- The interface captures the message, chooses a transformation to apply, and modifies the message based on a FreeMarker template into FIX standard message payload.
- The interface then posts the result as a file or as a JMS message, which is then sent to a FIX engine.
For the inward data exchanged (FIX to TAP),
- The FIX message arrives in the interface as a file or as a JMS message.
- Based on the message type, the interface transforms the message using a selected FreeMarker template.
- The resulting import message is injected to TAP using an ITX map, which calls the GATIT adapter to perform an online import.
Processed FIX Messages
From a FIX message perspective, the following message types are processed by the interface.
From TAP to FIX,
- D – New Order Single
- F – Order Cancel Request
- G - Order Cancel/Replace Request
From FIX to TAP
- 8 - Execution Report
- 0 - New
- 3 - Done For Day
- 4 - Cancelled
- 5 - Replace
- 6 - Pending Cancel
- 8 - Rejected
- A - Pending New
- C - Expired
- E - Pending Replace
- F.1 - Trade, Partially Filled
- F.2 - Trade, Filled
- 9 – Order Cancel Reject
- 8 Rejected
Refer Mapping_FIX.xlsx for more information.
Architecture
The below diagram shows the overall architecture of the TAP-FIX interface.
In the above architecture,
- Two ITX maps are used, to publish the FIX events out of TAP and to import the data back to TAP.
- Two Camel Spring Boot java applications (tfi-core and tfi-import) composing the interface and containing the following,
- Routes
- Transformations
- Provides persistence using JMS queues
- An optional embedded ActiveMQ broker as a JMS Provider
- A set of FreeMarker templates are used for transforming the message.
- Configuration files are used to control the application behavior.
In this topic