Submit orders via FIX?
|
|
nycgekko
|
Hi,
Love the product - great learning tool. Thank you for all your efforts. I'm wondering if it's possible to submit orders for execution by piping FIX messages into somewhere, instead of using Photon or OrderLoader? Also, is it possible to view the raw outbound FIX messages? Thanks, GG |
toli
|
Hi,
Thanks for the kind words - glad you are finding Marketcetera useful. You can absolutely connect your strategies and send to the Marketcetera order-routing server directly - we have quite a few customers that are doing exactly that. It's achieved by connecting to our JMS message bus (currently ActiveMQ) and sending a formatted FIX messages which will then be routed to your counterparty. What language are you planning to use? If it's Java, you can view the OrderLoader as a sample app on how to create a JMS connection format and send messages. if it's VB/C#/.NET, we have a .NET/COM API that allows you to do the same - see http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/dotNetSupport and http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/ExcelSupport for examples. And of course there's integration for a few more language such as Ruby/Python/Perl, since ActiveMQ supports both the STOMP and the OpenWire protocols (http://activemq.apache.org/openwire and http://activemq.apache.org/stomp). Let me know what language you have in mind and I can work with you on how to integrate it with Marketcetera. > Also, is it possible to view the raw outbound FIX messages? You can see all the outgoing (and incoming) FIX messages in the ORS log file. If you are using the 0.5.0 version of Marketctera, there's an ors/logs directory. Look in there, and you'll see all the outgoing messages - they line usually has your SessionID and "outgoing" in there so it should be easy to find. in the prior versions the log went to /var/log/marketcetera/oms.log hope this helps -- Toli Kuznets http://www.marketcetera.com: Open-Source Trading Platform download.run.trade. _______________________________________________ _______________________________________________ Marketcetera Users mailing list Marketcetera Documentation: http://trac.marketcetera.org To unsubscribe, go to http://lists.marketcetera.org/cgi-bin/mailman/listinfo/m-etc-users or send an email to [hidden email]. |
||||||||||||||||
|
nycgekko
|
Thanks Toli!
I'm actually looking to send raw or formatted plaintext FIX messages to a Marketcetera listening port from another system. For example: 31 161 07:35:46 8^000FIX.4.2^0009^000431^00035^000D^00049^000GGCO^00056^000GGCO^00034^000161^00050^000GGAM^000142^000NASDAQTRADING^00057^000GGCO^00052^00020080625-11:35:46^000369^000171^00011^000UO20080625A0019^000109^000GGCUST^0001^000GG^00063^0000^00021^0002^00018^0001 AG CE POPTN POASN HID ^000100^000O^00055^000ZVZZT^00054^0001^00060^00020080625-11:35:46^00038^0002500^00040^0002^00044^000100^00015^000USD^000377^000N^00059^0000^00012^0000.01^00013^0000^00047^000A^000120^000USD^000210^0002500^0008034^000-1^0008035^000-1^0008036^000815^0008009^000UOA^0008010^00019^0008020^0003320080625^0008021^000gg^0008022^0000089^0008028^000GG^0008029^000120^0008030^00020080625^0008053^000GGCO^0008054^000-1^00010^000033^000 -or- 07:35:46 161 <START><210,2500><369,171><377,N><8009,UOA><8010,19><8020,3320080625><8021,gg><8022,0089><8028,GG><8029,120><8030,20080625><8034,-1><8035,-1><8036,815><8053,GGCO><8054,-1><Account,GGCO><CheckSum,033><ClOrdID,UO20080625A0019><ClientID,GGCO><CommType,0><Commission,0.01><Currency,USD><ExDestination,O><ExecInst,1 AG CE POPTN POASN HID><HandlInst,2><MsgSeqNum,161><MsgType,D><OrdType,2><OrderQty,2500><Price,100><Rule80A,A><SenderCompID,GGCO><SenderLocationID,NASDAQTRADING><SenderSubID,GGCO><SendingTime,20080625-11:35:46><SettlCurrency,USD><SettlmntType,0><Side,1><Symbol,ZVZZT><TargetCompID,GGCO><TargetSubID,GGCO><TimeInForce,0><TransactTime,20080625-11:35:46><END> Thanks, GG
|
||||||||||||||||
|
toli
|
Hi,
Sorry that I wasn't more clear. The easiest way to accomplish what you want is to send it to Marketcetera over JMS. What language is the strategy generating your FIX orders running as? Is it Java (in which case you should use a variant of code in OrderLoader). Is it C#/.NET - in which case you should use our COM component. Is it C/C++ (use the other OpenWire adapters). Basically, you need these 2 steps: 1. create a connection to our JMS server (via some 3rd-party library that does that for you) 2. send FIX message over the JMS connection. It should be very simple to accomplish what you want. Let me know what you have on the sending side and i'll be happy to advise you how to proceed. Feel free to email me directly if you aren't comfortable posting everything to the newsgroup. toli On Wed, Jun 25, 2008 at 5:23 AM, nycgekko <[hidden email]> wrote: > > Thanks Toli! > > I'm actually looking to send raw or formatted plaintext FIX messages to a > Marketcetera listening port from another system. > > For example: > > 31 161 07:35:46 > 8^000FIX.4.2^0009^000431^00035^000D^00049^000GGCO^00056^000GGCO^00034^000161^00050^000GGAM^000142^000NASDAQTRADING^00057^000GGCO^00052^00020080625-11:35:46^000369^000171^00011^000UO20080625A0019^000109^000GGCUST^0001^000GG^00063^0000^00021^0002^00018^0001 > AG CE POPTN POASN HID > ^000100^000O^00055^000ZVZZT^00054^0001^00060^00020080625-11:35:46^00038^0002500^00040^0002^00044^000100^00015^000USD^000377^000N^00059^0000^00012^0000.01^00013^0000^00047^000A^000120^000USD^000210^0002500^0008034^000-1^0008035^000-1^0008036^000815^0008009^000UOA^0008010^00019^0008020^0003320080625^0008021^000gg^0008022^0000089^0008028^000GG^0008029^000120^0008030^00020080625^0008053^000GGCO^0008054^000-1^00010^000033^000 > > -or- > > 07:35:46 161 > <START><210,2500><369,171><377,N><8009,UOA><8010,19><8020,3320080625><8021,gg><8022,0089><8028,GG><8029,120><8030,20080625><8034,-1><8035,-1><8036,815><8053,GGCO><8054,-1><Account,GGCO><CheckSum,033><ClOrdID,UO20080625A0019><ClientID,GGCO><CommType,0><Commission,0.01><Currency,USD><ExDestination,O><ExecInst,1 > AG CE POPTN POASN > HID><HandlInst,2><MsgSeqNum,161><MsgType,D><OrdType,2><OrderQty,2500><Price,100><Rule80A,A><SenderCompID,GGCO><SenderLocationID,NASDAQTRADING><SenderSubID,GGCO><SendingTime,20080625-11:35:46><SettlCurrency,USD><SettlmntType,0><Side,1><Symbol,ZVZZT><TargetCompID,GGCO><TargetSubID,GGCO><TimeInForce,0><TransactTime,20080625-11:35:46><END> > > Thanks, > GG > > > > toli wrote: >> >> Hi, >> >> Thanks for the kind words - glad you are finding Marketcetera useful. >> >> You can absolutely connect your strategies and send to the >> Marketcetera order-routing server directly - we have quite a few >> customers that are doing exactly that. >> >> It's achieved by connecting to our JMS message bus (currently >> ActiveMQ) and sending a formatted FIX messages which will then be >> routed to your counterparty. >> What language are you planning to use? If it's Java, you can view the >> OrderLoader as a sample app on how to create a JMS connection format >> and send messages. >> if it's VB/C#/.NET, we have a .NET/COM API that allows you to do the >> same - see >> http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/dotNetSupport >> and http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/ExcelSupport >> for examples. >> And of course there's integration for a few more language such as >> Ruby/Python/Perl, since ActiveMQ supports both the STOMP and the >> OpenWire protocols (http://activemq.apache.org/openwire and >> http://activemq.apache.org/stomp). >> >> Let me know what language you have in mind and I can work with you on >> how to integrate it with Marketcetera. >> >>> Also, is it possible to view the raw outbound FIX messages? >> You can see all the outgoing (and incoming) FIX messages in the ORS >> log file. If you are using the 0.5.0 version of Marketctera, there's >> an ors/logs directory. Look in there, and you'll see all the outgoing >> messages - they line usually has your SessionID and "outgoing" in >> there so it should be easy to find. >> in the prior versions the log went to /var/log/marketcetera/oms.log >> >> hope this helps >> >> -- >> Toli Kuznets >> http://www.marketcetera.com: Open-Source Trading Platform >> download.run.trade. >> _______________________________________________ >> _______________________________________________ >> Marketcetera Users mailing list >> Marketcetera Documentation: http://trac.marketcetera.org >> To unsubscribe, go to >> http://lists.marketcetera.org/cgi-bin/mailman/listinfo/m-etc-users or send >> an email to [hidden email]. >> >> > > -- > View this message in context: http://www.nabble.com/Submit-orders-via-FIX--tp18103920p18111107.html > Sent from the m-etc-users mailing list archive at Nabble.com. > > _______________________________________________ > _______________________________________________ > Marketcetera Users mailing list > Marketcetera Documentation: http://trac.marketcetera.org > To unsubscribe, go to > http://lists.marketcetera.org/cgi-bin/mailman/listinfo/m-etc-users or send an email to [hidden email]. > -- Toli Kuznets http://www.marketcetera.com: Open-Source Trading Platform download.run.trade. _______________________________________________ _______________________________________________ Marketcetera Users mailing list Marketcetera Documentation: http://trac.marketcetera.org To unsubscribe, go to http://lists.marketcetera.org/cgi-bin/mailman/listinfo/m-etc-users or send an email to [hidden email]. |
||||||||||||||||
|
nycgekko
|
Hi Toli,
No, you were clear and I understood. The thing is, there are several internal systems that will be sending to the MC OMS for routing to our counterparty (an exchange, or a dark pool). So, it's easiest to use native FIX. So I guess what I'm asking for is has anyone written/do you have a generic FIX->JMS "connector" that will take raw FIX in plaintext and pop it onto the JMS queue? GG
|
||||||||||||||||
|
toli
|
Hi,
Got it, now I understand. No, we currently don't have a "FIX sink" that will take all incoming FIX messages and drop them on the message bus. It'll seems fairly straightforward to implement - it's a combination of the QuickFIX/J "executor" sample app (that has a basic acceptor), the QuickFIXApplication from Marketcetera ORS codebase for sample code on how to override the fromApp() method and drop the incoming messages on the ors-commands queue We don't have that yet, but it's a great RFE and i'll add it to our engineering backlog. Let me know if you end up implementing this yourself meanwhile, and i'd be happy to guide you on how to do that. On Wed, Jun 25, 2008 at 5:48 PM, nycgekko <[hidden email]> wrote: > > Hi Toli, > > No, you were clear and I understood. The thing is, there are several > internal systems that will be sending to the MC OMS for routing to our > counterparty (an exchange, or a dark pool). So, it's easiest to use native > FIX. > > So I guess what I'm asking for is has anyone written/do you have a generic > FIX->JMS "connector" that will take raw FIX in plaintext and pop it onto the > JMS queue? > > GG > > > > toli wrote: >> >> Hi, >> >> Sorry that I wasn't more clear. The easiest way to accomplish what you >> want is to send it to Marketcetera over JMS. >> What language is the strategy generating your FIX orders running as? >> Is it Java (in which case you should use a variant of code in >> OrderLoader). Is it C#/.NET - in which case you should use our COM >> component. Is it C/C++ (use the other OpenWire adapters). >> >> Basically, you need these 2 steps: >> 1. create a connection to our JMS server (via some 3rd-party library >> that does that for you) >> 2. send FIX message over the JMS connection. >> >> It should be very simple to accomplish what you want. Let me know what >> you have on the sending side and i'll be happy to advise you how to >> proceed. Feel free to email me directly if you aren't comfortable >> posting everything to the newsgroup. >> >> toli >> >> On Wed, Jun 25, 2008 at 5:23 AM, nycgekko <[hidden email]> wrote: >>> >>> Thanks Toli! >>> >>> I'm actually looking to send raw or formatted plaintext FIX messages to a >>> Marketcetera listening port from another system. >>> >>> For example: >>> >>> 31 161 07:35:46 >>> 8^000FIX.4.2^0009^000431^00035^000D^00049^000GGCO^00056^000GGCO^00034^000161^00050^000GGAM^000142^000NASDAQTRADING^00057^000GGCO^00052^00020080625-11:35:46^000369^000171^00011^000UO20080625A0019^000109^000GGCUST^0001^000GG^00063^0000^00021^0002^00018^0001 >>> AG CE POPTN POASN HID >>> ^000100^000O^00055^000ZVZZT^00054^0001^00060^00020080625-11:35:46^00038^0002500^00040^0002^00044^000100^00015^000USD^000377^000N^00059^0000^00012^0000.01^00013^0000^00047^000A^000120^000USD^000210^0002500^0008034^000-1^0008035^000-1^0008036^000815^0008009^000UOA^0008010^00019^0008020^0003320080625^0008021^000gg^0008022^0000089^0008028^000GG^0008029^000120^0008030^00020080625^0008053^000GGCO^0008054^000-1^00010^000033^000 >>> >>> -or- >>> >>> 07:35:46 161 >>> <START><210,2500><369,171><377,N><8009,UOA><8010,19><8020,3320080625><8021,gg><8022,0089><8028,GG><8029,120><8030,20080625><8034,-1><8035,-1><8036,815><8053,GGCO><8054,-1><Account,GGCO><CheckSum,033><ClOrdID,UO20080625A0019><ClientID,GGCO><CommType,0><Commission,0.01><Currency,USD><ExDestination,O><ExecInst,1 >>> AG CE POPTN POASN >>> HID><HandlInst,2><MsgSeqNum,161><MsgType,D><OrdType,2><OrderQty,2500><Price,100><Rule80A,A><SenderCompID,GGCO><SenderLocationID,NASDAQTRADING><SenderSubID,GGCO><SendingTime,20080625-11:35:46><SettlCurrency,USD><SettlmntType,0><Side,1><Symbol,ZVZZT><TargetCompID,GGCO><TargetSubID,GGCO><TimeInForce,0><TransactTime,20080625-11:35:46><END> >>> >>> Thanks, >>> GG >>> >>> >>> >>> toli wrote: >>>> >>>> Hi, >>>> >>>> Thanks for the kind words - glad you are finding Marketcetera useful. >>>> >>>> You can absolutely connect your strategies and send to the >>>> Marketcetera order-routing server directly - we have quite a few >>>> customers that are doing exactly that. >>>> >>>> It's achieved by connecting to our JMS message bus (currently >>>> ActiveMQ) and sending a formatted FIX messages which will then be >>>> routed to your counterparty. >>>> What language are you planning to use? If it's Java, you can view the >>>> OrderLoader as a sample app on how to create a JMS connection format >>>> and send messages. >>>> if it's VB/C#/.NET, we have a .NET/COM API that allows you to do the >>>> same - see >>>> http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/dotNetSupport >>>> and >>>> http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/ExcelSupport >>>> for examples. >>>> And of course there's integration for a few more language such as >>>> Ruby/Python/Perl, since ActiveMQ supports both the STOMP and the >>>> OpenWire protocols (http://activemq.apache.org/openwire and >>>> http://activemq.apache.org/stomp). >>>> >>>> Let me know what language you have in mind and I can work with you on >>>> how to integrate it with Marketcetera. >>>> >>>>> Also, is it possible to view the raw outbound FIX messages? >>>> You can see all the outgoing (and incoming) FIX messages in the ORS >>>> log file. If you are using the 0.5.0 version of Marketctera, there's >>>> an ors/logs directory. Look in there, and you'll see all the outgoing >>>> messages - they line usually has your SessionID and "outgoing" in >>>> there so it should be easy to find. >>>> in the prior versions the log went to /var/log/marketcetera/oms.log >>>> >>>> hope this helps >>>> >>>> -- >>>> Toli Kuznets >>>> http://www.marketcetera.com: Open-Source Trading Platform >>>> download.run.trade. >>>> _______________________________________________ >>>> _______________________________________________ >>>> Marketcetera Users mailing list >>>> Marketcetera Documentation: http://trac.marketcetera.org >>>> To unsubscribe, go to >>>> http://lists.marketcetera.org/cgi-bin/mailman/listinfo/m-etc-users or >>>> send >>>> an email to [hidden email]. >>>> >>>> >>> >>> -- >>> View this message in context: >>> http://www.nabble.com/Submit-orders-via-FIX--tp18103920p18111107.html >>> Sent from the m-etc-users mailing list archive at Nabble.com. >>> >>> _______________________________________________ >>> _______________________________________________ >>> Marketcetera Users mailing list >>> Marketcetera Documentation: http://trac.marketcetera.org >>> To unsubscribe, go to >>> http://lists.marketcetera.org/cgi-bin/mailman/listinfo/m-etc-users or >>> send an email to [hidden email]. >>> >> >> >> >> -- >> Toli Kuznets >> http://www.marketcetera.com: Open-Source Trading Platform >> download.run.trade. >> _______________________________________________ >> _______________________________________________ >> Marketcetera Users mailing list >> Marketcetera Documentation: http://trac.marketcetera.org >> To unsubscribe, go to >> http://lists.marketcetera.org/cgi-bin/mailman/listinfo/m-etc-users or send >> an email to [hidden email]. >> >> > > -- > View this message in context: http://www.nabble.com/Submit-orders-via-FIX--tp18103920p18124608.html > Sent from the m-etc-users mailing list archive at Nabble.com. > > _______________________________________________ > _______________________________________________ > Marketcetera Users mailing list > Marketcetera Documentation: http://trac.marketcetera.org > To unsubscribe, go to > http://lists.marketcetera.org/cgi-bin/mailman/listinfo/m-etc-users or send an email to [hidden email]. > -- Toli Kuznets http://www.marketcetera.com: Open-Source Trading Platform download.run.trade. _______________________________________________ _______________________________________________ Marketcetera Users mailing list Marketcetera Documentation: http://trac.marketcetera.org To unsubscribe, go to http://lists.marketcetera.org/cgi-bin/mailman/listinfo/m-etc-users or send an email to [hidden email]. |
||||||||||||||||
|
nycgekko
|
(For the record, I'm nowhere near being a developer)
Thanks - a FIX acceptor that would be incredibly useful, and fastest to implement ("upstream system agnostic"). Just wondering - why the bus technology? Based on my experience with a front-end app with 9,000+ daily users, the bus breaks down and most data (except for market data) is really point-to-point anyway ("transactional"). Was it to speed development (easy to publish/easy to subscribe)? GG
|
||||||||||||||||
|
toli
|
Hi,
You are correct - one of the reasons we chose to use ActiveMQ was to speed development, both of the Marketcetera Platform itself, and of the trading strategies. Having a known JMS bus makes it very easy and simple to integrate custom trading strategies with Marketcetera - ActiveMQ provides a lot of integration points, so that it's very simple to send orders to Marketcetera from inside your custom trading strategy. In addition, at this point we don't foresee thousands of people using the same instance of Marketcetera. We envision that each user (a hedge fund, for example) will have the ORS running inside, with multiple traders connecting using the Photon GUI and multiple strategies connecting directly as well. The message bus is very scalable in this configuration. Hope this answers your question. > Just wondering - why the bus technology? Based on my experience with a > front-end app with 9,000+ daily users, the bus breaks down and most data > (except for market data) is really point-to-point anyway ("transactional"). > Was it to speed development (easy to publish/easy to subscribe)? > -- Toli Kuznets http://www.marketcetera.com: Open-Source Trading Platform download.run.trade. _______________________________________________ _______________________________________________ Marketcetera Users mailing list Marketcetera Documentation: http://trac.marketcetera.org To unsubscribe, go to http://lists.marketcetera.org/cgi-bin/mailman/listinfo/m-etc-users or send an email to [hidden email]. |
||||||||||||||||
| Free Embeddable Forum Powered by Nabble | Help |
