[This message was posted by Justin Fisher of Unemployed <[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/bfa60434 - PLEASE DO NOT REPLY BY MAIL.]
> > Thankyou for the detailed reply. I appreciate the response. Im pretty sure > > I have the situation in hand now. Thanks for the assistance. tp://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 -~----------~----~----~----~------~----~------~--~---
