New version of FIX order router program interface — 5.0 released

9 september 2019

The released version of the FIX order router program interface has modifications in displaying external algorithmic orders in the QUIK Workstation. The algorithmic orders executed through external systems of algorithmic trading are now also displayed in the ‘Algo orders’ table which is used to process orders of the Algorithmic trading module in QUIK. Previously, external algorithmic orders were displayed only in the ‘Orders’ table without transmission of some specific parameters of external system algorithms.

There are also improvements in the mechanism managing sets of fields while transaction sending, their allowed values, and automatically filling in parameters of the order entry form (via ClientTransScheme.xml file settings). The released version of the interface allows adding up to 10 new user fields which can be used in the standard order entry form and in the entry form of external algorithmic orders as well. This innovation makes it possible to solve various tasks of transmitting user transaction values to execution brokers (for example, to specify an execution venue of a particular order). To process user fields and set conditions on them, additional improvements were made in the mechanism which completes FIX messages tags with specific user transaction values (via MarketTransTags.xml file settings). Besides that, this mechanism was supplemented with new conditions for setting a list of allowed execution types and order type conditions. This in turn allows supporting different versions of the FIX protocol when filling in the tags in correspondence with the protocol specification requirements.

When the interface compiles the instrument directory from the source class on the QUIK server, it is now possible to ignore the session status of the source class. In this case the instrument session status will be defined by the schedule set in the interface. This improvement will allow submitting some algorithmic orders before the trading session start and executing them after the session is opened.

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