Tag Archives: FIX

Fix engine: Fix8 Market Tech update

ONCE I move over to Interacive Brokers, I will look into this FIX engine as option for my future needs. This is where  I will be focusing on C++ with future/options asset classes.

Fix8 Market Tech update – release of 19.03

Good Day! This is our newsletter, with a dose of insights into the future of Fix8. The topic of this newsletter is the flexibility and higlight of features offered in UFE, our Universal FIX Engine. 

You received this newsletter because we are connected through your interest in Fix8. If you wish to unsubscribe, please scroll down and hit the unsubscribe button. 

UFE: The fastest FIX Engine which can talk any FIX dialect without any performance downside.

For those who’ve been following us closely you’ll be well aware of UFE. The fastest FIX Engine which talks any FIX dialect without any performance downside.

In the scenario where your FIX set up can seem complicated due to FIX variants we can remove that complication with UFE amongst other benefits.

With the ability to connect to multiple venues outbound and/or have multiple inbound clients out of the box as well as the plug and play support for dropcopy and order routing (amongst the many features), we feel that most if not all your FIX issues can be solved with correct configuration of your UFE instance.

We already have sell and buy side venues running UFE.  Talk to us about your use case and how we can help.

Another example of UFE’s flexibility as it acts as an order router for two dealers. Contact us to discuss further: heretohelp@fix8mt.com.
Read More

What’s new?

  • Add ability to access message seqnum before message is sent.
  • Further performance improvement upon the headline 250% from last release.

What’s in the works?

UFE Gateway (UFE’s web front end) dynamic session loading is due to be released in 19.06.

Have a question for us?

We would love to hear from you. Please get in touch with us on heretohelp@fix8mt.com.

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Bitcoin HFT client using FIX vs REST API

Bitcoin HFT client using FIX vs REST API

Is it FIX protocol or REST API to implement a crypto currency trading system

https://bitcointalk.org/index.php?topic=1059302.0

https://github.com/Aurora-Team/BitcoinExchangeFH

https://github.com/timmolter/XChange/wiki/Exchange-support

https://github.com/thrasher-/gocryptotrader

https://github.com/ctubio/Krypto-trading-bot

 

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Tutorial on fix to download Yahoo Finance historical data in Python

Tutorial on fix to download Yahoo Finance historical data in Python

 

 

Date manipulation for:

https://stackoverflow.com/questions/5158160/python-get-datetime-for-3-years-ago-today

https://www.cyberciti.biz/faq/howto-get-current-date-time-in-python/

https://stackoverflow.com/questions/10624937/convert-datetime-object-to-a-string-of-date-only-in-python

Fix tutorial from

Fix now for Yahoo Finance with Python Historical Datareader

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Fix now for Yahoo Finance with Python Historical Datareader

Fix now for Yahoo Finance with Python Historical Datareader

Note future changes as well

Visit https://github.com/ranaroussi/fix-yahoo-finance

Note requirements but run in your in console:

pip3 install pandas –upgrade

pip3 install numpy –upgrade

pip3 install requests –upgrade

pip3 install multitasking –upgrade

pip3 install fix_yahoo_finance –upgrade –no-cache-dir

Run the supplied example which appears to work ok:

python3

Python 3.6.1 (default, Apr 4 2017, 09:40:21)

[GCC 4.2.1 Compatible Apple LLVM 8.1.0 (clang-802.0.38)] on darwin

Type “help”, “copyright”, “credits” or “license” for more information.

>>> import fix_yahoo_finance as yf

/usr/local/lib/python3.6/site-packages/fix_yahoo_finance/__init__.py:43: DeprecationWarning:

Auto-overriding of pandas_datareader’s get_data_yahoo() is deprecated and will be removed in future versions.

Use pdr_override() to explicitly override it.

DeprecationWarning)

>>> data = yf.download(“SPY”, start=”2017-01-01″, end=”2017-04-30″)

[*********************100%***********************] 1 of 1 downloaded>>>

>>> data

Open High Low Close Adj Close \

Date

2017-01-03 225.039993 225.830002 223.880005 225.240005 223.176010

2017-01-04 225.619995 226.750000 225.610001 226.580002 224.503738

2017-01-05 226.270004 226.580002 225.479996 226.399994 224.325378

2017-01-06 226.529999 227.750000 225.899994 227.210007 225.127960

2017-01-09 226.910004 227.070007 226.419998 226.460007 224.384842

2017-01-10 226.479996 227.449997 226.009995 226.460007 224.384842

2017-01-11 226.360001 227.100006 225.589996 227.100006 225.018967

2017-01-12 226.500000 226.750000 224.960007 226.529999 224.454193

2017-01-13 226.729996 227.399994 226.690002 227.050003 224.969421

2017-01-17 226.309998 226.779999 225.800003 226.250000 224.176743

2017-01-18 226.539993 226.800003 225.899994 226.750000 224.672165

2017-01-19 226.839996 227.000000 225.410004 225.910004 223.839874

2017-01-20 226.699997 227.309998 225.970001 226.740005 224.662262

2017-01-23 226.740005 226.809998 225.270004 226.149994 224.077667

2017-01-24 226.399994 228.080002 226.270004 227.600006 225.514389

2017-01-25 228.699997 229.570007 228.509995 229.570007 227.466339

2017-01-26 229.399994 229.710007 229.009995 229.330002 227.228531

2017-01-27 229.419998 229.589996 228.759995 228.970001 226.871826

2017-01-30 228.169998 228.199997 226.410004 227.550003 225.464844

2017-01-31 226.979996 227.600006 226.320007 227.529999 225.445023

2017-02-01 227.529999 228.589996 226.940002 227.619995 225.534195

2017-02-02 227.619995 228.100006 226.820007 227.770004 225.682831

2017-02-03 228.820007 229.550003 228.460007 229.339996 227.238434

2017-02-06 228.869995 229.330002 228.539993 228.929993 226.832184

2017-02-07 229.380005 229.660004 228.720001 228.940002 226.842117

2017-02-08 228.940002 229.389999 228.309998 229.240005 227.139359

2017-02-09 229.240005 230.949997 229.240005 230.600006 228.486893

2017-02-10 231.000000 231.770004 230.619995 231.509995 229.388550

2017-02-13 232.080002 233.070007 232.050003 232.770004 230.637009

2017-02-14 232.559998 233.710007 232.160004 233.699997 231.558472

… … … … … …

2017-03-17 237.750000 237.970001 237.029999 237.029999 235.879700

2017-03-20 237.029999 237.360001 236.320007 236.770004 235.620972

2017-03-21 237.470001 237.610001 233.580002 233.729996 232.595718

2017-03-22 233.770004 234.610001 233.050003 234.279999 233.143051

2017-03-23 234.279999 235.339996 233.600006 234.029999 232.894257

2017-03-24 234.380005 235.039993 232.960007 233.860001 232.725082

2017-03-27 231.929993 233.919998 231.610001 233.619995 232.486252

2017-03-28 233.270004 235.809998 233.139999 235.320007 234.178009

2017-03-29 234.990005 235.809998 234.729996 235.539993 234.396927

2017-03-30 235.470001 236.520004 235.270004 236.289993 235.143295

2017-03-31 235.899994 236.509995 235.679993 235.740005 234.595978

2017-04-03 235.800003 236.029999 233.910004 235.330002 234.187958

2017-04-04 235.000000 235.580002 234.559998 235.479996 234.337219

2017-04-05 236.259995 237.389999 234.539993 234.779999 233.640625

2017-04-06 234.940002 236.039993 234.429993 235.440002 234.297424

2017-04-07 235.149994 236.000000 234.639999 235.199997 234.058578

2017-04-10 235.360001 236.259995 234.729996 235.339996 234.197906

2017-04-11 234.899994 235.179993 233.339996 235.059998 233.919266

2017-04-12 234.740005 234.960007 233.770004 234.029999 232.894257

2017-04-13 233.639999 234.490005 232.509995 232.509995 231.381638

2017-04-17 233.110001 234.570007 232.880005 234.570007 233.431656

2017-04-18 233.720001 234.490005 233.080002 233.869995 232.735031

2017-04-19 234.520004 234.949997 233.179993 233.440002 232.307129

2017-04-20 234.149994 235.850006 233.779999 235.339996 234.197906

2017-04-21 235.250000 235.309998 234.130005 234.589996 233.451538

2017-04-24 237.179993 237.410004 234.559998 237.169998 236.019028

2017-04-25 237.910004 238.949997 237.809998 238.550003 237.392334

2017-04-26 238.509995 239.529999 238.350006 238.399994 237.243057

2017-04-27 238.770004 238.949997 237.979996 238.600006 237.442093

2017-04-28 238.899994 238.929993 237.929993 238.080002 236.924606

Volume

Date

2017-01-03 91366500

2017-01-04 78744400

2017-01-05 78379000

2017-01-06 71559900

2017-01-09 46939700

2017-01-10 63771900

2017-01-11 74650000

2017-01-12 72113200

2017-01-13 62717900

2017-01-17 61240800

2017-01-18 54793300

2017-01-19 66608800

2017-01-20 129168600

2017-01-23 75061600

2017-01-24 95555300

2017-01-25 84437700

2017-01-26 59970700

2017-01-27 59711100

2017-01-30 79737300

2017-01-31 75880800

2017-02-01 79117700

2017-02-02 69657600

2017-02-03 80563200

2017-02-06 57790100

2017-02-07 57931200

2017-02-08 51566200

2017-02-09 65955200

2017-02-10 66015900

2017-02-13 55182100

2017-02-14 71109000

… …

2017-03-17 89002100

2017-03-20 52537000

2017-03-21 131809300

2017-03-22 97569200

2017-03-23 100410300

2017-03-24 112504900

2017-03-27 87454500

2017-03-28 93483900

2017-03-29 61950400

2017-03-30 56737900

2017-03-31 73733100

2017-04-03 85546500

2017-04-04 56466200

2017-04-05 108800600

2017-04-06 69135800

2017-04-07 74412300

2017-04-10 67615300

2017-04-11 88045300

2017-04-12 81864400

2017-04-13 92880400

2017-04-17 68405400

2017-04-18 83225800

2017-04-19 68699900

2017-04-20 92572200

2017-04-21 110389800

2017-04-24 119209900

2017-04-25 76698300

2017-04-26 84702500

2017-04-27 57410300

2017-04-28 63532800

[81 rows x 6 columns]

>>>

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RenTech HFT executive intends to fix for Trump support

Renaissance Technologies executive intends to fix for Trump support

Renaissance Technologies executive intends to fix for Trump support

For anyone who did not know. As for me, political views should not be part of the job of your employer. It is none of your business!

Go here to learn more about this dispute

I have some exciting but sad news throughout this email so pay attention below:

Satori Mateu talking trade

First, TODAY I am holding a webinar event for all those interested to learn about the psychology of trading from someone who produced the nationally syndicated show of Tony Robbins called Breakthrough on MTV.

I will be posting the webinar link in the next day here:

Here is our detail event

If you want be part of this please participate in this.

As you know, in the past I have been notifying all those on this newsletter that it will be soon retired. That day will be the end of May which is obviously this month!

As a result, if you want to continue this conversation, you can join my new server from infusionsoft which will be deployed in a week or so.

At the same time, you can get my latest PDF reports on trading like a boss and Algo trading secrets. These are free of course which can be instantly download it once you sign-up to continue the conversation.

Lastly, I have promoted a very affordable introductory rate for my new Quant Analytic service for only $47 per month.

You can get complete details here and benefits as well here

Do note that this introductory offer will be closed off and coming days. It will then be doubled there after for a monthly cost of $97 per month.

So if you’re smart as I think you are, you may want to join up now to get grandfathered in to this new service at only $47 per month.

Thanks bryan

 

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is this your FIX engine in Python ?

is this your FIX engine in Python ?

 

This came from a conversation in my Facebook prorgramming group. It seem that this video was introduced with hints in the video and comment to watch for:

Question become if there is a FIX engine in Python I am not sure if that exists but this could be a useful option http://fix8.org/

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Trans FIX open source will work with Interactive Brokers

Trans FIX open source will work with Interactive Brokers

I have verified this abandoned library is still useful for some! Interactive Brokers will support up to FIX 4.2 which this program will support.

https://github.com/peter-lawrey/TransFIX

From an Interactive Brokers FIX PDF

IB currently supports FIX versions 4.1 or 4.2.

Join my FREE newsletter to learn more how to implement FIX into your automated trading

 

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Let’s revisit FIX 8 again for low latency C++

Let’s revisit FIX 8 again for low latency C++

I have done a few meetups the founder which you can find below

Join my FREE newsletter to learn more about the future of FIX with HFT automated trading

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CME futures historical data FIX decoder?

CME futures historical data FIX decoder?

Anyone know about this data? It looks like a lot of it is not current which is expected.

http://www.cmegroup.com/market-data/datamine-historical-data.html

Not only that, there is a SDK to decode this FIX format.

http://www.fixtradingcommunity.org/pg/discussions/topicpost/169643/cme-fastfix-decoder

http://pages.cmegroup.com/fix-fast-decoder-inquiry-disclaimer.html

UGH..there needs to be a better way for historical futures data.

Quandl Futures data:

https://www.quandl.com/data/SCF/pricing?license=15&step=2

 

Product: Stevens Continuous Futures ($100/month)
All subscriptions include
  • Unlimited access to all datasets in this database, including all history and updates.
  • The ability to batch download the whole database in one call.
  • Access via the Quandl API and all Quandl conduits (Web, Excel, R, Python, Matlab and more).
  • Instant activation; any-time cancellation; unlimited support.

IQFeed may have best fees:

http://www.iqfeed.net/index.cfm?displayaction=data§ion=fees

CME (what’s this?)

  • Financial Futures (S&P 500 Index, Nasdaq 100 Index, Eurodollar, Currencies, Forex, etc)
  • Full Sized Electronic and Pit traded livestock Contracts (Hogs,Cattle, etc)
  • All Contracts from CME Mini and CME Globex
  • Lumber
  • Dairy (Milk, Cheese, Butter)
  • Cooling (CDD) and Heating Degree Days (HDD)
  • Home Price Index
$91.00 $91.00

 

COMEX (what’s this?)Access to real time Level I commodity futures and options data from the COMEX, including both electronic and pit traded contracts.
Popular Contracts Include:

  • Precious Metals (Gold, Silver, Copper)
  • All Contracts from COMEX Globex
$91.00 $91.00

 

NYMEX miNY Contracts (what’s this?)

  • Mini Crude Oil
  • Mini Natural Gas
  • Mini Heating Oil
  • Mini RBOB Gas
$36.00 $36.00

 

IQFeed RT US Futures and Futures Options $20/month*
IQFeed Level II: $20/month*

Join my FREE newsletter to learn more about how CME data can impact your automated trading

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Botched Java fix leaves millions vulnerable

Botched Java fix leaves millions vulnerable

And  here  I thought Microsoft’s Q&A was crap, but Oracle seems to take the cake since now they don’t care

http://arstechnica.com/security/2016/03/botched-java-patch-leaves-millions-vulnerable-to-30-month-old-attack/?comments=1

You should read the comments

Join my FREE newsletter to learn what programming languages I use for security in automated trading

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!