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Algorithmic Trading
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Re: Role of FIX in matching engine
Mahesh Kumaraguru <>
31 Aug 2008 10:32AM ETFIX would be one of the Order Entry methods in addition to the exchange specific interfaces. Order(s) from Buy sides would reach the exchange as FIX messages ^35=D^. Orders which pass the acceptence criteria set forth by the exchange get added to the Order book and the matching engine crosses matching orders as per "continous double auction"
http://user.it.uu.se/~tschudin/lect/19981999/ds1/proj/e1.html
Result of a cross would be execution report ^35=D^ when the party whose order got crossed is a FIX party.
Enjoy building ur mini-stock exchange :-)
> Hello people,
>
> I want to know the role of FIX if any in a matching engine. I am doing a
> project, its like a mini-stock exchange. Hence
>
> Thank You
Re: Role of FIX in matching engine
Mahesh Kumaraguru 31 Aug 2008 10:32AM ET
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