[R-SIG-Finance] FIX engine integration

[sidharth mallik]

@Ulrich : Aren't the specifications you mentioned somewhat obvious ?

Since he wants to use R, high frequency is ruled out. it is most
probably medium frequency.
then again, in absence of specs, we must assume that R will be used
here as a calculation engine for whatever kind of calculations
required which should by default include any calculations for reacting
to order events. I mean not reacting to order events is just a subset
of the whole thing and is just an architectural issue when actually
making the platform.

the actual issues he needs to answer are :

1. is this for a server level platform or a client level platform
2. what is the actual volume of trading
3. does he already have a front end or will that need to be integrated as well
4. what kind of risk management needs to be involved

and other such stuff.

but in any case, i think he is already using some platform and he has
strategies already prepared for that platform, so the actual
requirement is that a platform is being used, can he lay hands on R
code that can perform the same stuff or not.

On 2/18/13, Ulrich Staudinger <ustaudinger at activequant.com> wrote:
> There are so many what-ifs in this discussion that I strongly agree with
> Jeff. The original poster should write some specs or requirements and then
> it's possible to discuss it.
>
> For example, how fast does this have to be, what's the required latency?
> How complex is the trading system, does it have to react to order events,
> how complex is the trading system's order update logic? Which exchanges are
> to be supported? How many different brokers, etc. etc. etc.
>
>
>
> On Sun, Feb 17, 2013 at 8:02 PM, Frank <frankm60606 at gmail.com> wrote:
>
>> 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
>>
>>         [[alternative HTML version deleted]]
>>
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>
>
>
> --
> Ulrich Staudinger, Managing Director and Sr. Software Engineer, ActiveQuant
> GmbH
>
> P: +41 79 702 05 95
> E: ustaudinger at activequant.com
>
> http://www.activequant.com
>
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