[R-SIG-Finance] FIX engine integration

[Andrew Piskorski]

On Sun, Feb 17, 2013 at 12:30:20PM -0500, Paul Kent wrote:

> We are considering porting some automated trading strategies to R.
> 
> Please can you advise me on FIX integration for trading:

I haven't done it, but have thought about doing so, and got some
feedback from folks who have built and used FIX in the past.  From
them, my understanding is that despite being a "standard", in actual
practice every broker uses FIX differently, with their own non-trivial
conventions and quirks.  So you will need to add custom support for
each broker you trade with.

You will probably also want to build a simulation of each of your
brokers FIX behavior, so you can hook that that up to your FIX-enabled
trading engine for testing.

If building your own, the C version of QuickFix is the obvious open
source codebase to start from.  Perhaps some commerical option would
be better, but I'm not familiar with them.

-- 
Andrew Piskorski <atp at piskorski.com>