where can I get FIX DATA (FIX as in FIX PROTOCOL) [closed]

Question

Can somebody suggest a place (websites) where to find 'real' FIX messages. By real I mean not examples but 'real' so that if I put them into an engine it won't complain that tag 10 is incorrect or that I am missing some mandatory tags.

I am specifically after execution reports.

Ideally I'd love to find a large sequence of fix messages representing few days of activities. I appreciate this can be sensitive data but surely tag 1,tag 207,tag 55 can all be obfuscated.

Many Thanks

Sherbrooke

Obfuscating some tags will make the checksum (tag 10) incorrect. So the messages wouldn't be entirely correct again. Yes, you could regenerate a checksum, but then you're back to generating your own messages. Big picture, you're going to have trouble finding anyone who will share real execution messages, even with obfuscation. – Angie

Answer 1

You can get some sample data from validfix.

fix-analyzer.html has many examples of different fix messages

fix-log-analyzer.html has just one big example of a real log from some sort of fix engine.

(fixed broken link)

Pact

The link in fix-log-analyzer.html is broken. it should be www.validfix.com/fix-log-analyzer.html (instead of .com) – Sherbrooke

Answer 2

Try FIX parser and click on the "sample data" button. It will generate a set of valid fix messages (including execution reports). Obviously you can also use it as a FIX parser to help you make sense of your data. Note that this text is separated by the actual FIX delimiter (SOH character). This means that visually all the text will look like a jumble of characters.

Rosio

Very pretty tool. I wish I had it open sourced and running internally because -- and this is the core problem that OP had -- I can't paste real FIX sessions to some random dude's website. Or... is it all running client side? Damn my lack of web skills to be able to tell the difference! :) – Angie

It is all on client side, precisely for that reason :) In fact, the site is hosted on a static web host (google storage) so there isn't even a server running behind it. – Rosio

Answer 3

The problem with FIX is it'a a real catch-all protocol. It allows a lot of flexibility.

If you look, for example, at the spec for the Execution Report message in FIX 4.4 (BTW: always better to specify a version number with FIX), you'll notice that most of the tags you mentioned are not required by the protocol. Of the three you mentioned, only tag 55 is required on that message type. That means that whether tag 1 or 207 are there or not is up to the implementation in question.

So, unfortunately, there are no canonical samples. You should ask for sample messages from the party with whom you're trying to communicate.

Spiral

Answer 4

There are some examples of the TradeCaptureReport message you're talking about on my Online FIX Decoder page (shameless plug) which will not only show you the contents of the encoded message, but will decode it neatly into a table for you, assigning labels to the otherwise cryptic integers.

These particular examples were made publicly available by the LSE.

If you're doing trade reporting, the exact format you have to send will depend upon the vendor you're using. It's best to contact them directly and ask for samples as what is valid for one vendor is likely different from another.

Landrum

Answer 5

There are some on the FIX protocol website if you have access (I don't know if they are available without logging on) or you can generate them yourself using the examples provided by quickfix.

Canzona

if I generate data myself I could easily create 'bad' one. So that's not an option – Sherbrooke

the engine will not allow you to create "bad" data so your premise is faulty in that respect if you want realistic trading data expect to pay a huge amount of money I am lucky that I work for a company where I can work with the data in live environments because real live data is expensive – Canzona

thanks. I did not ask for 'real live data'. just real data. I agree you are lucky you work in a company where you can access it. – Sherbrooke

I suppose I could sanitize some of my data and post it but it depends how much and what kind you need as some data is sensitive. Of course we can give you pointers here; Ox3A28213A is a favourite of mine – Canzona

Answer 6

Go to the CME-DataMine website where you can find Market Depth FIX files with all market data messages required to recreate the order book. ( CME DataMine )

Papoose

Answer 7

I had the same need and ended up having to build something to automatically reformat FIX messages from one session to another. It turned out to be quite useful in our own testing, so I ended up hosting a server for it. Shameless plug here, but FIXSIM.com might be of use.

Clinometer