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FIX Data Dictionary

About FIX Data Dictionary

While conceptualizing and planning the design for your FIX Initiator application, FIX Acceptor application or FIX-compliant programmatic components, you may come across several questions like:

  1. How do I build my FIX Initiator or Acceptor application when counterparties follow different FIX Protocol versions?
  2. How do I implement custom fields in FIX Messages?
  3. How do I support message types not defined in FIX Protocol?
  4. Can my common code work across all counterparties?
  5. Can I implement only relevant message types and fields?
  6. How do I update without changing code?
  7. How do I validate FIX Messages?

QXFIX Engine solves these using counterparty-dependent FIX Data Dictionary (XML file).

It contains:

  • FIX Protocol version
  • Message types
  • Header fields
  • Trailer fields
  • Body fields
  • Field definitions
  • Repeating groups
  • Enumerations

Note

QXFIX Engine includes QXFIX ROE tool to manage Data Dictionary XML files easily.

FAQs

  1. How does QXFIX ROE help in customization?
  2. What is structure of FIX Data Dictionary?
  3. How to specify FIX Protocol version?
  4. How to implement Header fields?
  5. How to implement Trailer fields?
  6. How to implement message types?
  7. How to specify repeating groups?
  8. How to implement FIX fields?
  9. How to specify enumerations?
  10. How to implement new message types and fields?
  11. How to use Data Dictionary in config?
  12. How to load Data Dictionary programmatically?
  13. How to extract FixDataDictionaryField?
  14. How to extract FixDataDictionaryMessage?

1. How does QXFIX ROE help in customization?

View Answer

Without modifying code, you can update Data Dictionaries to support:

  • Custom fields and message types
  • New FIX Protocol updates

QXFIX ROE allows easy editing of XML Data Dictionary.

2. What is the structure of a typical FIX Data Dictionary?

View Answer

A typical FIX Data Dictionary XML structure is:

View Code 
<?xml version="1.0" ?>
<fixDataDictionary version="FIX.4.2">

<fixheader>
    <fixfield name="BeginString" required="Y" />
    <fixfield name="BodyLength" required="Y" />
</fixheader>

<fixtrailer>
    <fixfield name="CheckSum" required="Y" />
</fixtrailer>

<fixmessages>
    <fixmessage name="Heartbeat" msgtype="0">
        <fixfield name="TestReqID" required="N" />
    </fixmessage>
</fixmessages>

<fixfields>
    <fixfield tag="1" name="Account" datatype="STRING" />
</fixfields>

</fixDataDictionary>

Note

Description attribute is optional. Other attributes are mandatory.

3. How do I specify the FIX Protocol version in the FIX Data Dictionary?

View Answer

The version attribute in the element defines the FIX Protocol version.

Format: FIX.m.n

View Code 
<?xml version="1.0"?>
<fixDataDictionary version="FIX.4.2">
...
</fixDataDictionary>

4. How do I implement the mandatory and optional Header fields agreed with my counterparty?

View Answer

The element defines Header fields.

Include only required and agreed fields.

Types of fields:

  • Mandatory FIX fields
  • Selected optional fields
  • Custom fields
View Code 
<fixheader>

<fixfield name="BeginString" required="Y" />
<fixfield name="BodyLength" required="Y" />
<fixfield name="MsgType" required="Y" />
<fixfield name="SenderCompID" required="Y" />
<fixfield name="TargetCompID" required="Y" />

</fixheader>

Note

  • name must match
  • required = Y/N
  • description is optional

5. How do I implement Trailer fields agreed with my counterparty?

View Answer

Standard Trailer fields:

  • SignatureLength
  • Signature
  • CheckSum
View Code 
<fixtrailer>

<fixfield name="SignatureLength" required="N" />
<fixfield name="Signature" required="N" />
<fixfield name="CheckSum" required="Y" />

</fixtrailer>

If Signature is required:

View Code 
<fixtrailer>

<fixfield name="SignatureLength" required="Y" />
<fixfield name="Signature" required="Y" />
<fixfield name="CheckSum" required="Y" />

</fixtrailer>

6. How do I implement different message types agreed with my counterparty, including the custom message types?

View Answer

The element contains all message types.

Each defines:

  • Message name
  • Message type (tag 35)
  • Body fields
View Code 
<fixmessages>

<fixmessage name="Heartbeat" msgtype="0">
    <fixfield name="TestReqID" required="N" />
</fixmessage>

<fixmessage name="Logon" msgtype="A">

    <fixfield name="EncryptMethod" required="Y" />
    <fixfield name="HeartBtInt" required="Y" />
    <fixfield name="RawDataLength" required="N" />
    <fixfield name="RawData" required="N" />

    <repeatinggroup name="NoMsgTypes" required="N">
        <fixfield name="RefMsgType" required="N" />
        <fixfield name="MsgDirection" required="N" />
    </repeatinggroup>

</fixmessage>

</fixmessages>

Note

  • name = message name
  • msgtype = FIX tag 35
  • required = Y/N

7. How do I specify the Repeating Groups in a message?

View Answer

Repeating Groups are defined using .

Example: NoMsgTypes in Logon message.

View Code 
<fixmessage name="Logon" msgtype="A">

<fixfield name="EncryptMethod" required="Y" />
<fixfield name="HeartBtInt" required="Y" />

<repeatinggroup name="NoMsgTypes" required="N">

    <fixfield name="RefMsgType" required="N" />
    <fixfield name="MsgDirection" required="N" />

</repeatinggroup>

</fixmessage>

Key Points

  • Repeating group uses NumInGroup field
  • Contains multiple field sets
  • Must define child fields properly

8. How do I implement the standard and custom FIX fields that my organization and the counterparty mutually agreed to use?

View Answer

The element defines all FIX fields.

Each includes:

  • tag number
  • field name
  • data type
  • optional description
View Code 
<fixfields>

<fixfield tag="1" name="Account" datatype="STRING" />

<fixfield tag="2" name="AdvId" datatype="STRING" />

<fixfield tag="4" name="AdvSide" datatype="CHAR">

    <choice value="B" description="Buy" />
    <choice value="S" description="Sell" />
    <choice value="T" description="Trade" />
    <choice value="X" description="Cross" />

</fixfield>

<fixfield tag="5" name="AdvTransType" datatype="STRING">

    <choice value="C" description="Cancel" />
    <choice value="N" description="New" />
    <choice value="R" description="Replace" />

</fixfield>

</fixfields>

Note

  • description is optional
  • choice defines enumerations

9. How do I specify the description for enumerations of an enumerated field?

View Answer

Enumerations are defined using inside .

Each choice has:

  • value
  • description
View Code 
<fixfields>

<fixfield tag="4" name="AdvSide" datatype="CHAR">

    <choice value="B" description="BUY" />
    <choice value="S" description="SELL" />

</fixfield>

</fixfields>

Note

Include only required enumerations for compact design.

10. How do I implement new message types and fields that my organization and the counterparty mutually agreed to use?

View Answer
To implement Required Action
Standard FIX message types (new) Add inside
Custom message types Add and corresponding
New standard fields Add inside
Custom fields Add and reference in messages

11. I created a FIX Data Dictionary for my counterparty ‘X’. How do I implement it in the FIX configuration file?

View Answer

You can reference the Data Dictionary file in FIX configuration.

View Code 
<?xml version="1.0" encoding="utf-8"?>

<configuration>
<Session>

<add key="DataDictionary" value="D:\...\DataDictionary_X.xml" />

</Session>
</configuration>

Note

Always provide full file path.

12. How do I programmatically refer to a FIX Data Dictionary file and get object structure?

View Answer

Use FixDataDictionary class.

View Code 
using com.QX.FIXEngine.Core;

FixDataDictionary cmeFIXDataDictionary =
FixDataDictionaryManager.Instance()
.GetFixDataDictionary("D:\...\DataDictionary\CME4.2.xml");

Related objects:

  • FixDataDictionaryField
  • FixDataDictionaryMessage
  • FixDataDictionaryHeader
  • FixDataDictionaryTrailer

13. How do I extract FixDataDictionaryField information?

View Answer

First get FixDataDictionaryField object.

View Code 
string fieldName = "OrdType";

FixDataDictionaryField fixDataDictionaryField =
fixDataDictionary.GetFixDataDictionaryField(fieldName);

int fieldTag = fixDataDictionaryField.FieldTag;

string name = fixDataDictionaryField.FieldName;

eFixFieldDataType type =
fixDataDictionaryField.FieldDataTypeEnum;

bool isRequired =
fixDataDictionaryField.IsRequiredField;

bool isGroup =
fixDataDictionaryField.IsGroupField;

bool isValid =
fixDataDictionaryField.HasValidFieldValue("Market");

string description =
fixDataDictionaryField.GetFieldValueDescription("Market");

14. How do I extract FixDataDictionaryMessage object and get information?

View Answer

Use FixDataDictionaryMessage API.

View Code 
FixDataDictionaryMessage fixDataDictionaryMessage =
fixDataDictionary.GetDataDictionaryMessage(
    com.QX.FIXEngine.Core.Message.FixMessageTypes.Logon_A
);