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Example for bonds buy and sell, FIX 4.2

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Example for bonds buy and sell, FIX 4.2

David
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/


Hi there!

I'm David from Germany. I'm a QuickFIX/J user since half of a year and I
developed an algo trading system for a customer. Before, I've had no FIX
experience and I'm very glad there was QuickFIX/J around to make it
simple to get into the matter.

Now that the system is up & running with equities, my customer wants to
enhance it to trade corporate bonds and governmental bonds. I saw that
buying or selling bonds seems to be more complicated than buying
equities. Unfortunately, I've not found any example of how to build such
an order.

I'd be glad if you could give me an idea of how I have to build an order
to buy/sell bonds using QuickFIX/J with FIX 4.2.

By the way: Also, I've got some more general questions to compare my
experiences with other developers of algo trading systems, but I didn't
find a community yet, where I could talk about that stuff and where a
beginner is welcome. If you know a nice board or something else, I'd be
very thankful for a short message.

Kind regards,

David

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Re: Example for bonds buy and sell, FIX 4.2

Øyvind Matheson Wergeland
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/



Hi David,

This is specific for your counterpart, so you have to look into their documentaion/rules of engangement.

Best regards

Øyvind Matheson Wergeland
CTO


Mobile: (+47) 95 16 16 88
E-mail: [hidden email]

Oslo Market Solutions
PO Box 4, 0051 Oslo, Norway
Telephone: (+47) 40 00 23 13
www.oslomarketsolutions.no

On 04/12/2016 02:34 PM, David wrote:
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/


Hi there!

I'm David from Germany. I'm a QuickFIX/J user since half of a year and I
developed an algo trading system for a customer. Before, I've had no FIX
experience and I'm very glad there was QuickFIX/J around to make it
simple to get into the matter.

Now that the system is up & running with equities, my customer wants to
enhance it to trade corporate bonds and governmental bonds. I saw that
buying or selling bonds seems to be more complicated than buying
equities. Unfortunately, I've not found any example of how to build such
an order.

I'd be glad if you could give me an idea of how I have to build an order
to buy/sell bonds using QuickFIX/J with FIX 4.2.

By the way: Also, I've got some more general questions to compare my
experiences with other developers of algo trading systems, but I didn't
find a community yet, where I could talk about that stuff and where a
beginner is welcome. If you know a nice board or something else, I'd be
very thankful for a short message.

Kind regards,

David

------------------------------------------------------------------------------
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Applications Manager provides deep performance insights into multiple tiers of
your business applications. It resolves application problems quickly and
reduces your MTTR. Get your free trial!
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your business applications. It resolves application problems quickly and
reduces your MTTR. Get your free trial!
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Re: Example for bonds buy and sell, FIX 4.2

Tod Harter
In reply to this post by David
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/



Hi David,

I'm a little unclear on what you want to do. Normally each vendor you will integrate with will have a FIX "rules of engagement" or often they call it a "spec". This will detail which version of FIX they use, what messages are supported, the various tags and values that they accept and their meanings within the context of their specific implementation.

FIX is a VAST and sprawling spec that encompasses a LOT of stuff. No one vendor likely uses more than a fraction of it, and many of them have used fairly idiosyncratic interpretations of the various tags and components, often repurposing them or adding their own custom tags and values.

The point is, you can only know how to integrate a given type of product in the context of a given vendor. When dealing with the more complex types of products like Futures, options, bonds, etc it is particularly hard to generalize, as each vendor will have a particular business model or models in mind and that will be reflected in their order flow.

In the case of bonds the market is VERY differently structured from the equities markets. Generally speaking bonds are traded by means of a blind auction process where bids are placed by each interested party and then at a fixed 'end of session' process the highest bid(s) are determined and transactions are finalized. The message flow used in this process is generally radically different from the equity message flow. There are also various styles of market, whereas equity, F/X, and in general most contracts, are traded in fairly standardized ways.

In other words you really probably need to determine what business model(s) your product is designed to support and try to build from there. That process might start with looking at the specs and processes provided by several vendors and trying to abstract out a common set of elements you can build off. My guess is that for bonds this will be quite different from what you have now. For instance my product can support equities, all types of contracts, and F/X, but bonds are simply too much of a different thing, we make no attempt to include them. Not that I wouldn't LIKE to perhaps, but its a very different market with different mechanics.

On Thu, Apr 14, 2016 at 11:37 AM, <[hidden email]> wrote:
Message: 2
Date: Tue, 12 Apr 2016 14:34:02 +0200
From: David <[hidden email]>
Subject: [Quickfixj-users] Example for bonds buy and sell, FIX 4.2
To: [hidden email]
Message-ID: <[hidden email]>
Content-Type: text/plain; charset=utf-8

Hi there!

I'm David from Germany. I'm a QuickFIX/J user since half of a year and I
developed an algo trading system for a customer. Before, I've had no FIX
experience and I'm very glad there was QuickFIX/J around to make it
simple to get into the matter.

Now that the system is up & running with equities, my customer wants to
enhance it to trade corporate bonds and governmental bonds. I saw that
buying or selling bonds seems to be more complicated than buying
equities. Unfortunately, I've not found any example of how to build such
an order.

I'd be glad if you could give me an idea of how I have to build an order
to buy/sell bonds using QuickFIX/J with FIX 4.2.

By the way: Also, I've got some more general questions to compare my
experiences with other developers of algo trading systems, but I didn't
find a community yet, where I could talk about that stuff and where a
beginner is welcome. If you know a nice board or something else, I'd be
very thankful for a short message.

Kind regards,

David



“Men occasionally stumble over the truth, but most of them pick themselves up and hurry off as if nothing had happened.” -Winston Churchill

"Sometimes I wonder whether the world is being run by smart people who are putting us on, or by imbeciles who really mean it." - Mark Twain

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Applications Manager provides deep performance insights into multiple tiers of
your business applications. It resolves application problems quickly and
reduces your MTTR. Get your free trial!
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Re: Example for bonds buy and sell, FIX 4.2

David
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/



Hi there!

Thank you for your support. I've talked to the support of our counterpart and they explained me how to build those messages. They indeed had some "rules of engagement" which I read before posting here, but there was no word about possible differences between equities and bonds. Finally, I've solved by problem thanks to your advice.

Kind regards,

David


Am 17.04.2016 um 17:03 schrieb Tod Harter:
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/




Hi David,

I'm a little unclear on what you want to do. Normally each vendor you will integrate with will have a FIX "rules of engagement" or often they call it a "spec". This will detail which version of FIX they use, what messages are supported, the various tags and values that they accept and their meanings within the context of their specific implementation.

FIX is a VAST and sprawling spec that encompasses a LOT of stuff. No one vendor likely uses more than a fraction of it, and many of them have used fairly idiosyncratic interpretations of the various tags and components, often repurposing them or adding their own custom tags and values.

The point is, you can only know how to integrate a given type of product in the context of a given vendor. When dealing with the more complex types of products like Futures, options, bonds, etc it is particularly hard to generalize, as each vendor will have a particular business model or models in mind and that will be reflected in their order flow.

In the case of bonds the market is VERY differently structured from the equities markets. Generally speaking bonds are traded by means of a blind auction process where bids are placed by each interested party and then at a fixed 'end of session' process the highest bid(s) are determined and transactions are finalized. The message flow used in this process is generally radically different from the equity message flow. There are also various styles of market, whereas equity, F/X, and in general most contracts, are traded in fairly standardized ways.

In other words you really probably need to determine what business model(s) your product is designed to support and try to build from there. That process might start with looking at the specs and processes provided by several vendors and trying to abstract out a common set of elements you can build off. My guess is that for bonds this will be quite different from what you have now. For instance my product can support equities, all types of contracts, and F/X, but bonds are simply too much of a different thing, we make no attempt to include them. Not that I wouldn't LIKE to perhaps, but its a very different market with different mechanics.

On Thu, Apr 14, 2016 at 11:37 AM, <[hidden email]> wrote:
Message: 2
Date: Tue, 12 Apr 2016 14:34:02 +0200
From: David <[hidden email]>
Subject: [Quickfixj-users] Example for bonds buy and sell, FIX 4.2
To: [hidden email]
Message-ID: <[hidden email]>
Content-Type: text/plain; charset=utf-8

Hi there!

I'm David from Germany. I'm a QuickFIX/J user since half of a year and I
developed an algo trading system for a customer. Before, I've had no FIX
experience and I'm very glad there was QuickFIX/J around to make it
simple to get into the matter.

Now that the system is up & running with equities, my customer wants to
enhance it to trade corporate bonds and governmental bonds. I saw that
buying or selling bonds seems to be more complicated than buying
equities. Unfortunately, I've not found any example of how to build such
an order.

I'd be glad if you could give me an idea of how I have to build an order
to buy/sell bonds using QuickFIX/J with FIX 4.2.

By the way: Also, I've got some more general questions to compare my
experiences with other developers of algo trading systems, but I didn't
find a community yet, where I could talk about that stuff and where a
beginner is welcome. If you know a nice board or something else, I'd be
very thankful for a short message.

Kind regards,

David



“Men occasionally stumble over the truth, but most of them pick themselves up and hurry off as if nothing had happened.” -Winston Churchill

"Sometimes I wonder whether the world is being run by smart people who are putting us on, or by imbeciles who really mean it." - Mark Twain


------------------------------------------------------------------------------
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Applications Manager provides deep performance insights into multiple tiers of
your business applications. It resolves application problems quickly and
reduces your MTTR. Get your free trial!
https://ad.doubleclick.net/ddm/clk/302982198;130105516;z


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