The FIX Global Technical Committee (GTC) announces the availability of a new version of the Log2Orchestra utility. Log2Orchestra is the first in a series of tools related to the FIX Orchestra Technical Standard. It supports the automatic creation of an Orchestra XML file by using FIX engine logfiles as input. It is intended to be the starting point for someone who wants to benefit from FIX Orchestra and use it to build the meta-data representation for one or more FIX interface(s).

The tool parses the logfile(s) and retrieves not only standard FIX messages, fields and values but also any user-defined elements. For every FIX message type, it creates the superset of all fields found in any of the messages of that type. The input further requires a reference file that allows the tool to look up field names and other attributes for a given tag. The reference file can be any Orchestra XML file, including the official one from FIX representing FIX Latest for an Extension Pack. Your logfiles are not uploaded to FIX but processed on your local machine that has invoked the tool. You can define the name of the resulting Orchestra XML file.

Enhancements provided with Version 1.1

Log2Orchestra now provides direct access to official FIX Orchestra reference files in the public GitHub project FIX Orchestrations. You may still use local reference files (click on “Choose File”) but do not have to download any of the official files for FIX 4.2, FIX 4.4 or FIX Latest from the FIX website. Simply click on “FIX Standard” to get a list of XML files available in the FIX Standard folder in GitHub:

Log2Orchestra counts the number distinct elements included in the logfile(s). Version 1.0 had been showing a number for component scenarios although only message scenarios are currently supported by the configuration file. This number has been replaced with the number of code sets, i.e. sets of enumerated values used for one or more fields.

Bugfixes provided with Version 1.1

Log2Orchestra had problems with larger logfiles that were not processed correctly, leading to incorrect counts of elements. User-defined fields were created even if they were not present in the logfile(s). These issues have been resolved.

Log2Orchestra creates a meta-data element with a number of attributes conforming to the Dublin Core Metadata Initiative. Version 1.0 copied the attribute values from the reference file. This has been corrected to the perspective of the user of Log2Orchestra.

Additionally, a few minor corrections to the handling of the user interface have been made.

Log2Orchestra Contributors

The FIX Global Technical Committee (GTC) also invites FIX members to become contributors to the tools created for the membership. There is already a FIX Orchestra Working Group that maintains the FIX Orchestra Technical Standard and drives the business requirements for the related tools. The software for Log2Orchestra is not open-source and maintained in a private GitHub repository. If you are a FIX member, part of the FIX Orchestra Working Group and would like to contribute to the further development and testing of the software, you can be given access to the GitHub repository and testing website. You then also have access to the Jira project used internally to track software errors and enhancements for Log2Orchestra.

Please send an email to fix@fixtrading.org if you would like to access the Log2Orchestra tool, participate in the FIX Orchestra Working Group and/or offer your help as a tool contributor.

The FIX Global Technical Committee (GTC) announces the addition of five new Extension Packs to the FIX Latest specification, the normative specification of the FIX application layer, since the last blog post in November 2020. The artefacts for the individual Extension Packs described below are available here.

EP265 Previous Quote Identifier

This Extension Pack is a follow up to EP253 Extensions for CAT/FIX Mapping. Some of the extensions proposed by the CAT/FIX mapping were not included in EP253 and are covered with this Extension Pack.

EP266 Unique Product Identifier (UPI)

In order to improve transparency, mitigate systemic risk and protect against market abuse on a global basis, the Financial Stability Board (FSB) have implemented an internationally recognized Unique Product Identifier (ISO 4914 UPI) for over-the-counter (OTC) derivatives. The UPI is required to be common across all G20 jurisdictions and is therefore designed to support the global aggregation of transaction and position data reported to Trade Repositories (TRs) covered by G20 regulatory authorities. This Extension Pack added the field UPICode(2891) to support providing this information in FIX Equivalent fields for instrument legs and underlying instrument were included. See FIXimate for details.

EP267 Market Data Extensions

This Extension Pack addresses enhancements needed to support new market data types for changing market needs and new products’ data attributes. The business requirements covered with this Extension Pack are related to threshold limits and price banding, daily and accrued financing values, and TWAP (time weighted average price). The field MDEntryType(269) was extended with additional values and the existing PriceLimits component was added together with the field MaxPriceVariation(1143) to the main market data messages. See FIXimate for details.

EP268 MMT v3.5

This Extension Pack addresses the need to improve the overall post-trade transparency. It includes the mapping of new MMT flags to new fields and values in FIX. A new generic field TertiaryTrdType(2896) was created as part of the enhancement in addition to the existing fields TrdType(828) and SecondaryTrdType(855). This supports the use of up to three different trade types in a single message. See FIXimate for further details.

EP269 Extension for Trade Compression

This Extension Pack clarifies the support of bilateral and multilateral compression for portfolio and netted trades using the FIX. The existing value TrdSubType(829) = 48 (Multilateral compression) has been clarified to be applicable to appropriate trade types and a new value 54 (Bilateral compression) may be used to identify a special case of compression between two parties.

The FIX Global Technical Committee (GTC) announces the addition of six new Extension Packs to the FIX Latest specification, the normative specification of the FIX application layer. The artefacts for the individual Extension Packs described below are available here.

New Extension Packs

EP253 Extensions for CAT/FIX Mapping

This extension pack has actually already been published but needed to be republished due to a datatype error in one of the extensions. The new value for RefOrderIDSource(1081) to specify a manual order identifier had been defined as “10”, following the previous values of “0”…”9″. However, the datatype of this field is char and not int. The value was therefore changed to “A”. Apologies for any inconvenience caused by this correction.

EP259 Related Orders

Support for order aggregation on execution reports. This extension had originally been designed as a change to the OrderAggregationGrp component in the post-trade area and adding it to the ExecutionReport(35=8) message. This was not possible as the component contains fields that are already part of the ExecutionReport(35=8) message, e.g. OrderID(37). The original proposal to extend OrderAggregationGrp with new fields OrderTime(2836) and OrderOriginationFirmID(2835) was hence rescinded in favor of a more generic solution similar to the repeating groups RelatedTradeGrp and RelatedPositionGrp.

EP260 Application Version for FIX Latest

Application version identifier for FIX Latest. This extension adds a new value 10="FIXLatest" (note that there is no space in the value) to ApplVerID(1128). FIX Latest is the term used to describe the latest version of the FIX application layer. FIX Latest is updated with each approved extension pack. FIX Latest is cumulative, containing all Extension Packs that have been approved prior. The number of included Extension Packs increases over time

EP261 RegulatoryReportType Extension

Additional support for CAT (Consolidated Audit Trail) event types. EP253 added RegulatoryReportType(1934) to a number of messages to convey the CAT event type. This extension adds the field to further messages (NewOrderSingle(35=D), ExecutionReport(35=8), Quote(35=S), QuoteStatusReport(35=AI)) for the same purpose.

EP262 APAC Master SPSA

Additional sources for parties to support segregated accounts in the APAC region. The Master SPSA (Master Special Segregated Account) Service is an optional service introduced to facilitate the trading efficiency of the Shanghai and Shenzhen Connect. It requires a number of identifiers for investors and their accounts that are assigned by the central clearing and settlement system(CCASS) of Hong KongExchanges and ClearingLimited (HKEX). This extension adds two new values to PartyIDSource(447) for SPSA and Master SPSA identifiers.

EP263 Regulatory Timestamps for Quotes

Support for repeating group of timestamps in quote messages. The TrdRegTimestamp component supports one or more timestamps related to trading and/or regulatory reporting. This extension adds the component to the pre-trade area, more specifically to the Quote(35=S) and QuoteStatusReport(35=AI) messages. It also adds the generic QuoteAttributeGrp component to the QuoteStatusReport(35=AI) message.

EP264 CAT/FIX Mapping Phase 2 (Update)

Additional support for data reporting required by CAT (Consolidated Audit Trail). EP253 already provided a significant number of extensions for CAT. A few of the enhancements proposed by the CAT/FIX mapping were not included in original Extension Pack and are covered with this new extension. They mainly include the addition of existing fields and components and do not add any new fields or components.

Specification Enhancements

In addition to the extensions of the application layer described above, there have also been a number of enhancements for the existing content. Previously, only the global components, i.e. components used in two or more business areas were shown as a diagram with their nested components. This visualization has now been extended to all components throughout the entire specification, for example to show the structure of the repeating group TrdCapRptSideGrp in the post-trade business area:

The diagram shows the next level of nesting and uses “…” to indicate whether there are any further nested components. It also uses a curved arrow (⤸) to indicate whether a component is repeating or not.

The FIX Global Technical Committee (GTC) is pleased to announce the submission of the FIX tagvalue encoding standard and the FIX session layer standard (including session testcases) to the International Organization for Standardization (ISO) for standardization. The submission has been made to the ISO/TC68/SC 9 subcommittee (Information exchange for financial services) as a Draft International Standard (DIS). ISO 3531 has been assigned to identify the FIX Session Protocol standard.

Objective

The FIX tagvalue encoding and the FIX session protocol were defined as part of the very first published FIX Version 2.7 back in 1994. The financial industry has enjoyed the benefits of these technical standards for a few decades now. They are well proven and used on a global scale across asset classes.

ISO standards are recognized and accepted globally. Many countries and regulators have expressed a strong preference for ISO based standards in recent years. FIX is the de facto global standard for electronic trading. It seems appropriate to have our global de facto standards recognized as ISO standards.

FIX tagvalue encoding (ISO 3531-1)

FIX tagvalue encoding is the original encoding used for FIX messages. The tagvalue encoding is the encoding used by the FIX session layer; it corresponds to the Presentation Layer of the ISO Open Systems Interconnection model. The encoding uses an integer number known as a tag to identify the field, followed by the “=” character (hexadecimal 0x3D), then the value of that field encoded in the ISO 8859-1 character set. Each tagvalue pair is separated by the Start of Heading control character <SOH> (hexadecimal value 0x01), which is defined by ISO 6429:1992. The tagvalue encoding also supports the encoding of binary and multibyte character data in certain encoded data fields that are preceded by a Length field.

The GTC has refactored and enhanced the original specification without making any changes to the standards themselves. The FIX datatypes are now described in terms of their value space as well as in terms of their lexical space, i.e. the actual wire format. Multiple sequence diagrams have been added to the FIX session layer specification.

The technical specification is available for download or as an online version.

FIX session layer (ISO 3531-2)

The FIX session layer provides reliable and recoverable messaging for electronic trading. The protocol is intended for use by asset managers, trading firms, brokerages, trading venues, clearing houses, custodians, depositories, asset servicers, among others involved in the trading life cycle activities of a wide range of financial instruments. The FIX session layer functionality is a realization of the ISO/IEC 7498-1:1994 Open System Interconnection basic reference model level 5 session layer.

The FIX session layer standard has been integrated into a single refactored volume with  multiple session profiles, which describe specific realizations of the FIX session layer. The FIX session layer standard covers the session protocols defined as part of the FIX application versions FIX 4.2 and FIX 4.4 as well as the specification of FIXT. A new session profile called Lightweight FIXT has been added which simplifies the standard for those that do not require application message recovery by the session layer..

The technical specification is available for download or as an online version.

FIX session testcases (ISO 3531-3)

The FIX session testcases provide a set of compliance tests applicable to all versions of the FIX session layer standard. They were last revised September 20, 2002 at which time FIX version 4.3 with Errata 20020930 was the latest version of the FIX Protocol. The testcases are from the perspective of the FIX system being tested. The FIX system receives the “Condition / Stimulus” and is expected to take the appropriate action as defined by “Expected Behavior”.

The technical specification is available for download or as an online version.

ISO submission process

The FIX Trading Community is a liaison “A” organization to the ISO TC 68 committee for financial services. FIX also is a liaison “A” organization to the ISO TC 68/SC 9 subcommittee on information exchange and ISO TC 68/SC 8 subcommittee on reference data. The ISO directives, the governance rules of ISO, permits national standards bodies and liaison organizations, such as FIX, to submit existing non-ISO developed standards for inclusion as international standards. The ISO directives provide for a “fast track” submission process. The “fast track” process only bypasses the working group phase of the process. The reasoning being that the standard is already developed and in use, what remains is to have the standard balloted by national standards body members of ISO for approval. The overall approval process includes document preparation and translation into the ISO supported languages, balloting by national standards bodies, then publication. This process is expected to take between six months to one year to complete.

Impact on the FIX Trading Community

In practical terms for the FIX Trading Community there is an immediate benefit of higher quality standards documents that should lead to improved interoperability between implementations because vagueness and ambiguity has been reduced. The governance and evolution of the standard remains within the FIX Trading Community. ISO requires a five-year systematic review of each standard, which of course will require FIX Trading Community involvement and leadership. It is hoped that the adopters of FIX standards will benefit from the certainty of the ISO standardization process and the value of ISO branding.

The FIX application layer messages (the business messages) are not being submitted for ISO standardization at this time. A separate long-term effort, which has been ongoing since 2007, to find a path for inclusion of the FIX application layer messages as part of the ISO 20022 messaging standard continues. The FIX Trading Community remains committed to harmonization and interoperability with the ISO 20022 messaging standard.

The FIX Global Technical Committee (GTC) is proud to announce the addition of all 258 Extension Packs to the FIX Latest online specification. FIX Latest is the first official release of FIX since FIX Version 5.0 Service Pack 2 (FIX 5.0 SP2) was released in 2010. FIX Latest makes available the use of all application layer messages over the FIX4 and FIXT session profiles of the FIX Session Layer standard. For the first time, the entire integrated FIX specification is available as an online format.

The transformation of the normative specification of the FIX application layer into an online format was started a few years ago, prompted by a contribution from Jim Kaye of Bank of America Merrill Lynch of an initial refactoring of the document based on the seven volume FIX specification. The FIX organization then worked to enhance the repository, which is the machine-readable version of the specification, which became FIX Orchestra. At the same time a replacement FIX website and discussion forum was developed and released that supports single sign on. The availability of FIX Orchestra and the new website infrastructure provided a platform upon which Hanno Klein, GTC Co-chair, could lead the continued refactoring and integration of the 160 Extension Packs created since the release of FIX 5.0 SP2 into an integrated online specification that is generated from a combination of markdown and FIX Orchestra, moving away from a manually edited word processing document format. This represents an incredible amount of work that has produced a considerable amount of value for the FIX user community.

Part of the restructuring included the creation of infrastructure that can automatically update the online specification, MSWord, and PDF formats of the specification with each new Extension Pack. This approach makes each enhancement to FIX Latest available to the FIX Community immediately after approval. Firms that adopt the FIX Latest branding can immediately use any of the new functionality without requiring a version change.

The first publication of the online specification (aka baseline) was made in December 2019. It was limited to the specification as defined by FIX 5.0 SP2 back in 2009, which included the first 97 Extension Packs. Whilst the content had not changed much compared to the original Volumes 3 (Pre-Trade), 4 (Trade), and 5 (Post-Trade), the generation and presentation of it had been fundamentally changed. The key difference was that a single source format (markdown) was used, from which multiple other formats (e.g. docx, html) are automatically generated with minimal manual handling effort (see below for further details). This allowed to post the specification in an interactive format to the FIX website and also provide documents for download.

The second publication in February of this year was an update to the baseline in terms of the presentation of the content, i.e. it still only provided the first 97 Extension Packs. However, the update contained component descriptions previously only available in FIXimate. It also provided images for the message structure, i.e. visualizing each message with its first level components. Navigational capabilities were enhanced to make it easier to move around across sections of the specification, both for the online format as well as for the downloadable documents.

The primary objective of this third publication has been the addition of the remaining content from the 160 Extension Packs released after FIX 5.0 SP2. This includes almost 50 new FIX messages across all areas, for example:

• Parties Reference Data
• Entitlements
• Risk Limits
• Position Transfers
• Margin Requirements
• Market Data Statistics
• Mass Orders
• Pay Management

The number of FIX fields has quadrupled from around 1500 to now almost 6000 fields. More than 3000 of these fields were added to the instrument components (includes instrument legs and underlyings) to support OTC derivative instruments, driven by the need for regulatory reporting to the CFTC in the US. The CFTC accepts FIX application messages using the FIXML encoding.

FIX Latest

FIX Latest is the most current version of FIX that supports multiple asset classes and a wide range of trading life cycle business processes. It includes all extensions and hence mitigates versioning complexities that have slowed the adoption of years of innovation and standardization of electronic trading flows.

With the introduction of FIX Latest, firms no longer need to be tied to a specific version of FIX. The FIX Community  is encouraged to adopt the FIX Latest application layer messages for use over the primary FIX session layer profiles FIX4 (8=FIX.4.4) and  FIXT(8=FIXT.1.1)). When an Extension Pack is approved for inclusion in the FIX standard, it can be integrated into the firm’s existing infrastructure readily, as it becomes the new FIX Latest application version. The FIX Trading Community has invested member funds into the creation of infrastructure to update and publish the online and document versions of the FIX application standard immediately following the approval of an Extension Pack. The standard is available online, as a machine-readable repository, and as a traditional downloadable document.

Behind the scenes…

The following is for those of you that are interested to know a little bit more about the approach taken by the GTC and the technologies used to automate the generation of the online spec. The approach has proven to be highly efficient and can also be applied by the FIX Trading Community to their environments whenever there are specification documents, for example rules of engagement documents for FIX interfaces. The GTC would welcome an increase in the degree of automation throughout the industry.

A fundamental design issue was to separate content from its rendering and we decided to use markdown as input format. There are many flavors of markdown and we tried to be as simple and “standard” as possible by choosing GitHub Flavored Markdown. This also has the advantage of GitHub being able to natively render repository content that is written in markdown.

This leads to the second fundamental decision, i.e. to treat the specification like source code and use a repository with all of its great features for collaboration and keeping track of who changed what, when and why. It allows to use tags to create releases of a specification, starting with a version for internal review all the way to the version for publication.

The third major decision was to use open source tools to the extent possible and to develop our own tools only where absolutely necessary. The main tool used for the transformation of the markdown content to other formats is Pandoc, a universal document converter. Pandoc was initially used to transform the existing FIX 5.0 SP2 specification from Microsoft Word (docx) to a markdown format.

Pandoc is able to use a so-called reference file (a.k.a. style file) when generating a Microsoft Word (docx) file from markdown. This reference file is a Microsoft Word (docx) file containing the styles to be used to format the markdown content. It is key to the look and feel of the resulting document and represents an important asset developed by the GTC for the FIX Trading Community. It guarantees a consistent formatting throughout the document, including the title page, table of contents and page headers and footers. The same style file is used for all application layer specification documents. The look and feel of the corresponding online versions is defined by the standard CSS (Cascading Style Sheet) of the main FIX website. It was slightly enhanced, for example to support syntax highlighting for code snippets.

Another important tool is PlantUML, an extremely powerful tool we will be using more and more for various kinds of images. It is currently being used to visualize the structure of global components in the introduction area. We have previously used it extensively for the sequence diagrams in the refactored version of the FIX Session Layer standard.

We are also using the stream editor SED, for example to replace document-internal references with URLs for the online version. We had to develop our own tool orchestra2doc to extract FIX messages, components, and fields from FIX Orchestra and generate html files for the specification appendices containing the detailed message and component layouts. Pandoc is used to transform the html files into markdown in order to use them as input for the document version of the specification, ultimately offered as a set of PDF files for download.

What’s next?

The current version of the online specification contains detailed information related to messages and components. Some of the business areas already contain more general and conceptual information specific to a business process. This will be further extended with the concepts introduced by some of the Extension Packs. There is also more refactoring work to do, for example to extract the concept of message fragmentation that is currently described more than once in the context of different messages. It is planned to introduce dedicated chapters for concepts at the beginning of each business area (pre-trade, trade, post-trade) that will only make references to messages and/or components.

The new approach for technical specifications will also be taken for the documentation of the FIX Technical Standards, i.e. to transition to markdown and to offer an online version in addition to a document for download. There is already a separate style file that will be used for the formatting and layout of all FIX Technical Standards, i.e. they will be provided in an online version later this year. The first refactoring of the FIX Technical Standards was completed for the FIX TagValue Encoding and the FIX Session Layer standard. Migration of the remaining standards is underway.

FIX Orchestra is quickly becoming the key component of any FIX infrastructure. It can be used to generate not only documentation but also encoding schemas (e.g. FIXML, SBE, JSON) or dictionaries such as QuickFIX. The GTC has created a number of public repositories in GitHub related to the development of tools for FIX Orchestra. One of them is Tablature that contains tools to convert between markdown and FIX Orchestra XML files (and vice versa). The GTC plans to use it to automatically update content stored in FIX Orchestra. We see Tablature as a key enabling approach for creating rules of engagement in a simple usable manner for the entire industry.

The tools are part of the activities of the FIX Orchestra Working Group, discussing requirements and proposals.  For example, the markdown format of Tablature serves as an easy authoring format shielding from the complexities of FIX Orchestra. On the other hand, the powerful and rich feature set of the FIX Orchestra standard (scenarios, workflows, state changes etc.) is a huge benefit for the automation of software development and testing related to interfaces (not just FIX). The working group is always looking for volunteers to drive forward the development of useful tools around FIX Orchestra.

We welcome any feedback from the FIX Trading Community and have added a thread to the FIX discussion forum to engage with you on your thoughts and ideas.

Hanno Klein, GTC Co-chair EMEA
Jim Northey, GTC Co-chair Americas
Daniel Shek, GTC Co-chair Asia Pacific

The FIX Global Technical Committee (GTC) is proud to announce the availability of a FIX Orchestra XML file with every Extension Pack (EP) starting with EP255. The file follows Version 1.0 of the new FIX Technical Standard FIX Orchestra published in February 2020 (https://www.fixtrading.org/standards/fix-orchestra/). It is a metadata standard that defines all elements of a messaging application as well as the syntax for the rules that govern these elements. The term FIX Orchestra file stands for the physical representation of an electronic interface that follows the FIX Orchestra standard and uses the XML format.

Objective

The FIX Orchestra file published with every EP contains all FIX messages, components, repeating groups, fields and values (aka FIX Latest). It does not use any of the extended features of FIX Orchestra to define subsets, scenarios, workflows, etc. as it simply represents the complete repository.

The FIX Trading Community can use it as a central source and Golden Record of information for any of their FIX interfaces. It is intended for development and testing environments and to be consumed by applications generating artifacts such as specifications, source code and test cases.

Extension Pack Content

Every EP (https://www.fixtrading.org/extension-packs/) contains a number of individual files as follows:

• ASBUILT: PDF document with the Gap Analysis showing only the incremental extensions to FIX together with the newly assigned tag numbers and values
• NEW Orchestra: ZIP file with the representation of FIX Latest (complete application layer) using the new Technical Standard FIX Orchestra Version 1.0
• Repository: ZIP file with the two legacy representations of FIX Latest (complete application layer), i.e. basic repository and unified repository (aka FIX Repository 2010 Edition)
• FIXML Schema: ZIP file with a set of XML files representing the FIXML encoding of FIX Latest (complete application layer)

FAQ

The FIX Global Technical Committee is happy to announce an update to the baseline version of the normative FIX Specification, initially published under https://fixtrading.org/online-specification in early December 2019. The update includes a number of enhancements described below. It does not yet include Extension Packs beyond EP97 but is intended to facilitate the understanding of FIX concepts and enhance navigational support inside both the document and the online version.

Component Descriptions

The business areas pre-trade, trade, post-trade, and infrastructure now contain a description of all components in addition to the description of messages that was initially present. The components in each area are either specific to a single category or used in more than one category of the given business area. The latter are called common components and described in their own section ahead of the individual categories.

The descriptions will eventually also be made available in FIXimate (https://fiximate.fixtrading.org/) when its production is migrated from the FIX Repository to FIX Orchestra (see https://www.fixtrading.org/standards/fix-orchestra/). Note that some of the descriptions are already available in FIXimate.

Message Diagrams

The structure of FIX messages is now available as a diagram to visualize its components. Note that FIX 5.0 SP2 as of EP97 already provides more than 100 different message types!

FIX groups related fields into components to show a semantic relationship between them, e.g. to represent a business concept. The group can either be a single instance, e.g. DisplayInstruction (for reserve orders, aka iceberg orders) or a repeating group with one or more instances, e.g. Parties (for actors and/or accounts).

Required components are shown with a red outline and repeating groups contain an arrow symbol. Some messages do not have any components.

Links to Descriptions of Categories, Components and Messages

The introduction to the business areas pre-trade, trade, post-trade, and infrastructure contains a list of all components and a list of messages in this area. The lists show the related category of a component or message. The category names as well as the names of components and messages are now clickable links to the corresponding sections in the specification.

Links to Component and Message Layouts

The description of components and messages now include a direct link to the corresponding layout in the appendix. In the online version this will open a new tab in your browser and automatically jump to the appropriate table.

Direct Access to Appendix in Online Version

The introduction of each business area starts with a list of categories offering direct access. Access to the appendix in the online version was previously a two-step process, i.e. the first click took you to the end of the page where you had to click a second link to get to the appendix. The first click now takes you directly to the appendix and it also opens in a new tab and no longer in the same tab by default.

PDF Bookmark Navigation Pane

The PDF documents offered for download already provided this capability in the initial baseline. This is to point it out again as PDF documents do not have this capability in general and some users may not be familiar with it. The Acrobat Reader can display different panes for navigation (e.g. thumbnails, bookmarks) inside the document. The FIX Specification uses bookmarks for all headings down to the fourth level. The bookmark navigation pane can be displayed in the Acrobat Reader by clicking on the bookmark symbol on the left-hand side or by pressing F4.

Some browsers also support PDF bookmarks directly. Look for the following symbol:

We welcome any feedback from the FIX Trading Community and have added a thread to the FIX discussion forum to engage with you on your thoughts and ideas.

The FIX Global Technical Committee (GTC) is proud to announce the availability of Version 1.0 of the new FIX Technical Standard FIX Orchestra. It is a metadata standard that defines all elements of a messaging application as well as the syntax for the rules that govern these elements. The term FIX Orchestra file stands for the physical representation of an electronic interface that follows the FIX Orchestra standard and uses the XML format.

Objective

FIX Orchestra was conceived as machine readable rules of engagement between counterparties. As such, it is a standard for exchange of metadata about the behavior of (FIX) applications. Orchestra is intended to cut time to on-board counterparties and improve accuracy of implementations. FIX Orchestra does not change FIX Protocol itself in any way, nor does it make obsolete existing FIX engines or tools.

Scope

The well-known FIX Repository (https://www.fixtrading.org/standards/fix-repository/) is just part of a FIX Orchestra file, representing the messages, components, groups, fields, and values supported by an interface. A given FIX implementation typically only uses a small subset of the FIX Repository. The FIX Orchestra file published on the FIX website will always include the entire FIX application layer. The FIX session layers (FIX4, FIXT) are also represented via FIX Orchestra files.

However, FIX Orchestra is much more than just a static set of messages, components, groups, fields, and values. It is also about the orchestration of an interface, e.g. the conditionality of certain fields and values based on the presence or values of other fields. FIX Orchestra offers the definition of so-called scenarios, i.e. variants of a specific message, component or field. For example, a FIX ExecutionReport(35=8) message will look very different when confirming a successful order modification compared to a partial fill. It is also possible to design workflows representing an exchange of messages between counterparties. An Orchestra file allows to capture the key aspects of an interface and can then be used for example to develop internal and external test cases or as input for the automated generation of documentation. Counterparties can agree on a single Orchestra file as interface specification.

Non-FIX interfaces and Orchestra

Note that FIX Orchestra is not limited to FIX interfaces but can be used for any electronic interface. The FIX GTC has done a proof of concept with the publicly available specification of a binary, proprietary interface of a large exchange to ensure that the syntax of Orchestra would be able to address any messaging application.

Tools

The FIX GTC is working on a number of tools to create and maintain Orchestra files. Orchid, the Orchestra editor offers a graphical user interface to upload and maintain an existing Orchestra file. Other tools will be able to convert FIX logfiles or a simple text input into an Orchestra file to jump-start the process. The tools will be made available to the FIX Trading Community under different conditions, probably depending on the FIX membership status. Note that the tools are still work in progress and the FIX GTC is now encouraging the FIX Trading Community to make use of the FIX Orchestra standard. Feedback from such usage is valuable input for the desired capabilities of the tools. Please use the related post on the FIX discussion forum for this.

FIX Orchestra Group

FIX offers its members a working group that has been responsible for the development of the FIX Orchestra standard. The standard has now reached a significant level of maturity. Since 2016, the group has submitted a total of five Release Candidates for Version 1.0 to the GTC prior to the Draft Standard that has now been published. Please contact the FIX Program Office (fix@fixtrading.org) if you are interested to join the group.

FIX EMEA Trading Conference 2020

The annual EMEA Trading Conference is the biggest FIX conference world-wide with up to 1,000 delegates. There will be more than one session touching on FIX Orchestra including a dedicated Orchestra demonstration session planning to show a live presentation of tools and techniques. Please see https://www.fixtrading.org/event/emea2020/ for details.

Any clients, including Service Bureaus, that currently utilize CTCI and wish to continue to deliver electronic transactions should migrate to the FIX Protocol by Monday, 3^rd of February 2020.

FINRA announced their termination of CTCI protocol (CTCI/TCP; CTCI/MQ) support for both TRACE and Over-the-Counter Reporting (ORF) transaction reporting in August 2018, for more information please click here.

Supporting Documentation:

• FINRA Trade Reporting and Compliance Engine (TRACE) documentation can be found here
• FINRA Over the Counter Trade Reporting Facility documentation can be found here

FIX Extension Pack 209 (MSRB and FINRA TRACE Reporting Extension) was published in May 2016 to address the identification of trades executed on an Alternative Trading System (ATS).  The extension pack added a new valid value 17 = “Exempt from Trade Reporting” to PartyRoleQualifier(2376), a new field RemunerationIndicator(2356) to the side level of the TradeCaptureReport(35=AE) message, and added VenueType(1430) to the ExecutionReport(35=8) message.

The FIX Global Technical Committee is happy to announce that the normative FIX Specification has been successfully refactored on the basis of FIX Version 5.0 Service Pack 2 Volume 1 – 7 and is now published under https://fixtrading.org/online-specification. It is the starting point for the inclusion of the large number of Extension Packs that have been published since FIX Version 5.0 Service Pack 2. The term “FIX Latest” represents the normative FIX Specification including the latest extension pack.

Previously, the FIX Specification was only available as Word or PDF document which was more or less manually updated. It also contained not only the normative parts of the FIX Specification but also specifications for encodings (tagvalue, FIXML) and for the FIX Session Layer (prior to FIX 5.0). It also contains some implementation guideline material scattered throughout Volumes 3 to 5 and especially in Volume 7 that we do not consider to be part of the normative specification. We have now retrieved the normative parts and converted them into a generic markdown format that allows us to generate not only Word and PDF documents but also web pages for an online representation. It is hence a single source consisting of manually edited elements and automatically generated layouts of messages and components coming directly out of FIX Orchestra, the successor to the FIX Repository. The plan is to eventually incorporate the entire normative FIX Specification into  FIX Orchestra as it is also the source for the generation of FIXimate, the online representation of all standard FIX messages, fields, and valid values. This will enable us to provide more information as part of FIXimate and further increase the level of automation.

The initial publication of the normative FIX Specification is called baseline and reflects the normative parts of FIX Version 5.0 Service Pack 2, i.e. mainly previous Volumes 3, 4, and 5 but also parts of Volume 1 regarding common components and application messages. The baseline is already more than just a simple cut and paste from Volumes 1-7, e.g. references to FIX messages, fields, and valid values have been standardised.

The task at hand is now to enhance the baseline with the normative parts of all Extension Packs published after FIX Version 5.0 Service Pack 2, starting with EP 98 – LSE FillsGrp Yield Extension and currently ending with EP254 – ESMA SFTR Extensions. The online specification (and the related PDF documents for download) indicate the last extension pack that has already been included, i.e. “as of EP97” for the baseline. Please be patient with us while we try to incorporate the outstanding extension packs (more than 150!) into the online specification as quickly as feasible. The objective is then to make the update of the FIX Specification part of the implementation process of each and every extension pack, providing you with the latest and complete specification immediately after the publication of an extension pack. The individual ASBUILT document of an extension pack will still be made available at the current location on the website.

So, how did we structure the new online specification? It consists of the following five business areas (called sections in FIX Orchestra). Each of the business areas pre-trade, trade, and post trade starts with a simple list of all its components and messages, followed by the description of each of its categories. A category consists of a description for each of its messages. Finally, there is an appendix with all the component and message layouts, sorted by category. Note that the appendix is created out of FIX Orchestra and is consistent with the setting of “as of EPnnn”, i.e. the initial online specification only contains messages and fields up to EP97 which is equivalent to FIX Version 5.0 Service Pack 2.

Introduction

The introduction mainly covers the so-called Global Common Components that are repeating or non-repeating components used across two or more business areas. It also contains the description of the semantics for the FIX data types. Note that the mapping of the semantic data types to a wire format (e.g. ASCII, binary) depends on the chosen encoding. FIX supports a number of different encodings beyond tagvalue and FIXML such as Simple Binary Encoding, Google Protocol Buffers and JSON. Please see FIX Family of Standards for details. Lastly, the introduction explains the concept of user defined fields (aka UDFs). UDFs provide a significant flexibility when designing FIX interfaces. On the other hand, use of UDFs reduces standardisation and the Global Technical Committee always urges the members of the FIX Trading Community to come forward asking for extensions instead of permanently making UDFs a part of their rules of engagement.

Pre-Trade

The business area of pre-trade as of EP97  covers multiple categories that are identical to the representation you find in FIXimate.

• Indication
• Event Communication
• Quotation Negotiation
• Market Data
• Securities Reference Data
• Market Structure Reference Data

Trade

The business area of trade as of EP97  covers multiple categories that are identical to the representation you find in FIXimate.

• Single General Order Handling (includes link to Order State Change Matrices)
• Program Trading
• Order Mass Handling
• Cross Orders
• Multileg Orders

Post-Trade

The business area of post-trade as of EP97  covers multiple categories that are identical to the representation you find in FIXimate.

• Allocation
• Settlement Instruction
• Registration Instruction
• Trade Capture
• Confirmation
• Position Maintenance
• Collateral Management

Infrastructure

The business area of infrastructure as of EP97  covers multiple categories that are identical to the representation you find in FIXimate.

• Business Reject
• Network
• User Management
• Application

There is also a PDF document for download for each of the five business areas and an additional one for Order State Change Matrices. They support a navigation pane to enable direct access to a specific chapter. We have decided not to generate a list of fields and valid values similar to what was previously provided with Volume 6. The simple reason is that FIXimate already offers such a list as well as a search box in which you can enter a tag number to pull up the description and valid values of a field.

Even though the addition of content from extension packs takes priority, we also plan to enhance the look and feel of the online specification by adding more navigation capabilities and diagrams. At this point we welcome any feedback from the FIX Trading Community and a thread has been added to the FIX discussion forum to engage with you on your thoughts and ideas.