[This message was posted by Richard Labs of CL&B Capital Management, LLC <[email protected]> to the "Algorithmic Trading" discussion forum at http://fixprotocol.org/discuss/31. You can reply to it on-line at http://fixprotocol.org/discuss/read/36b05d8d - PLEASE DO NOT REPLY BY MAIL.]
> http://individuals.interactivebrokers.com/php/apiUsersGuide/apiguide/ja- > va/running_the_java_test_client_sample_program.htm above link is to the IB proprietary TWS system. All messages in and out of TWS are 100% proprietary. If you want to use the FIX protocol (relevant to this web site) to IB (enabling yourself to change brokers at any time w/o changing your broker communication protocols) you need to use the free IBGateway software at IB. You still need a FIX engine on your end. There are two parts to the IBGateway: order routing (FIX) and market data (not FIX). Only the Order Routing is FIX. Note: it is rare for any one to use FIX for just the market data (consolidated order book, bid, ask, last, volume, etc.) Yes, you can use Internet to transport FIX protocol order messages to IB. Suggest looking at Marketcetera for a free open source system that includes the QuickFIX/J FIX engine unless you are building a quite large system. Note the Fees and Minimums: For Internet (no guarantee regarding up time, latency and throughput) Set up $500 one time charge Minimum $1200/yr commissions For a dedicated line, from you to IB (several connection points in the world), or from you to a third party transport provider (Radianz or Savvis) who is in turn connected to IB. You pay cost of the T1 (or whatever) line/extranet terminating at IB/Radianz/Savvis 18k/yr commissions at IB Note Limit: Limit: If more than 50 messages (or 33000 bytes) per second (via Internet, up to 150 on dedicated) Order types supported at IB: "Most of the 40+ TWS-supported order types plus ISE Facilitation/Solicitation" Note the FIX version supported at IB: "Our CTCI connection [via the IBGateway] supports FIX versions 4.1 and 4.2, with support for selected 4.3, 4.4 and custom IB tags." Here is your FIX guide at IB. All the custom Tags are listed starting on page 70: http://www.interactivebrokers.com/download/IB_FIX_Manual_Rev20.pdf Remember: you only need to deal with the order types you are interested in and the FIX message structures for those (as specifically implemented by IB - see above guide.) You don't need to learn every message type FIX has ever offered. For instance, in the Fixed Income area IB is very limited. (and there are 1000's of message structures covering all those types of trade) More generally - from IB: http://individuals.interactivebrokers.com/en/p.php?f=programInterface&p=c&ib_entity=llc The IBGateway client allows for FIX CTCI [computer to computer interface] connections to IB over the Internet. It is a piece of software that acts as a bridge between your FIX engine and IB. The software can also be used in place of TWS to deliver market data, using the same protocols as the Trader Workstation APIs. In this scenario, you do not need to have TWS running to get API market data. [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/FIX-Protocol?hl=en -~----------~----~----~----~------~----~------~--~---
