[R-SIG-Finance] FIX engine integration

[Frank]

I mean there are several trading firms in Chicago that do this. They have
full time staffs on hand to keep everything going. FIX is not just as easy
as sending in buy me 1 e-mini at a price. Everything in the FIX message has
to be correct to get an ACK, if not you get a NAK. An ACK message is
detailed here:

http://www.fixprotocol.org/specifications/fix4.4fiximate/TradeCaptureReportA
ck.html

I was on a team interviewing for a FIX person. The best person wanted
$200,000 plus incentives. That was more than $100,000 over our salary range.
She eventually got what she was asking from a trading shop in Boston. So the
help for this is not cheap.

Wouldn't you rather use a brokerage firm that can take an order off a simple
order entry system and let them process it into FIX format and send it on to
the exchange?

GL

Frank 

-----Original Message-----
From: r-sig-finance-bounces at r-project.org
[mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Paul Kent
Sent: Sunday, February 17, 2013 11:30 AM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] FIX engine integration


Hi All,

We are considering porting some automated trading strategies to R. 

Please can you advise me on FIX integration for trading:

The simplest and quickest way to do this

The most common/popular way of during this

The best (fastest/most robust) way of doing this.

Thanks

Paul

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