Where can I get FIX DATA (FIX, as in FIX PROTOCOL)

Question

Can someone suggest a place (sites) where you can find "real" FIX messages. In reality, I do not mean examples, but "real" ones, so if I put them in the engine, he will not complain that tag 10 is incorrect or I miss some of the required tags.

I specifically after the execution reports.

Ideally, I would like to find a large sequence of corrections representing several days of activity. I appreciate that this can be confidential data, but certainly tag 1, tag 207, tag 55 can be confusing.

Many thanks

Answer 1

You can get some sample data from validfix.

fix-analyzer.html contains many examples of various error messages

fix-log-analyzer.html has only one large example of a real log from some kind of fix mechanism.

(fixed broken link)

Answer 2

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

Answer 3

The problem with FIX is the true catch-all protocol. This provides more flexibility.

If you look, for example, at the specification for reporting a progress report in FIX 4.4 (BTW: it is always better to indicate the version number with FIX), you will notice that most of the tags you mentioned do not require a protocol. Of the three, you mentioned that only tag 55 is required for this type of message. This means that if tag 1 or 207 is present or not, it depends on the implementation in question.

So, unfortunately, there are no canonical samples. You must request sample messages from the party you are trying to contact.

Answer 4

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

Answer 5

There are several examples of the TradeCaptureReport message that you say on my Online FIX Decoder page (shameless plugin) that will not only show you the contents of the encoded message, but will carefully decode it into a table for you, assigning labels to other integers.

These specific examples have been published in the LSE.

If you are doing business reporting, then the exact format you must send depends on the provider you use. It is best to contact them directly and ask for samples, because what is valid for one supplier is probably different from another.

Answer 6

I had the same need, and I had to create something to automatically reformat FIX messages from one session to another. This turned out to be very useful in our own testing, so I decided to host a server on it. A shameless plugin is here, but FIXSIM.com may be useful.

Answer 7

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