s overviewimix_training_cfets

1、IMIX协议By MT 2011/05/18Agenda电子信息交换网络FIX 协议FIX VS IMIXIMIX 消息结构IMIX Session层IMIX Application 层IMIX API客户端部署IMIX Best Practice IMIX for TBSQ & A2交易中心的电子信息交换网络3交易中心的电子信息交换网络不同的系统连接在网络上不同系统间通过自己的协议语言与其它系统进行信息交换我们需要统一信息交换的协议语言 ! ! !要统一！我们要统一！4FIX protocol金融交换协议（Financial Information Exchange Protocol）金融界

2、被广泛应用的工业标准1992年开始被用于自动生成报表，后被推广至金融事务处理。基于Tag/Value 的协议易用、健壮的session 层Application层用于描述、传输金融信息消息尺寸小，对带宽要求不高提供可扩展的机制用于定制个性化业务流程5IMIX VS FIX银行间市场信息交换协议（Inter-bank Market Information eXchange Protocol）IMIX按照CFETS的业务逻辑对FIX协议进行定制支持外汇交易、固定收益市场。支持交易前、交易、交易后各阶段业务流程6IMIX 和交易中心的电子交换网络7IMIX 基础单元IMIX 域Tag=Value由

3、4个部分组成TAG=Value分隔符(ASCII SOH character0x01)8IMIX 基础单元Tag简化符号, 数据字典Examples:8 - BeginString, 9 - BodyLength35 - MessageType, 10 - CheckSum10000+CFETS Defined Tags9IMIX 基础单元VALUESASCII 码字符集Integers with Range Limits, EnumerationsFloating Pointwith precision requirementsCharacter Strings with semantic

4、constraints ( I.E.Dates, enumerations )二进制数据SecureData (tag 91)SignatureData (tag 89)RawData (tag 96)10IMIX 消息一组域描述一个业务行为IMIX消息是金融信息交换的一种载体所有消息的开头：8=IMIXm.n 9=NNNN 35=?m.n is the Version NNNN is the body length? is the message type enumeration所有消息的结尾：.10=CCCwhere CCC is the check sum of the message二

5、进制数据必须跟在描述其长度的域后面每个消息都唯一的sequence number消息流中出现了缺失会触发重发请求消息保存当日的消息用于消息重发消息序号比期望小会引发严重错误11IMIX 消息的例子128=IMIX1.09=xxx35=849=CFETS56=29000881100000000000057=MHB J.DEALERMHBJ34=1352=20070913-10:20:59347=UTF- 811=MHBJ_ORDER_00215=AUD17=5.1.329331=0.77132=5000054=160=20061122- 10:21:3463=064=2006112475=200

6、61122120=AUD150=F194=0.7711056=3855010176=1210038=2210042=MT10317=510315=210296=2006112422=548=AUDUSD=CFHA55=AUD.USD453=2448=119000043010000000000452=I14802=3523=CCCB.DEALERCCCB803=101523=CCCB803=102523=Changsha City Commercial Bank803=5448=290008811000000000000452=I13802=3523=MHBJ.D EALERMHBJ803=10

7、1523=MHBJ803=102523=Mizuho Corporate Bank Beijing803=510=XXXIMIX 消息结构49=CFETS56=2900088110000000000008=IMIX1.09=XXX35=8消息头Header57=MHBJ.DEALERMHBJ34=1352=20070913-10:20:59347=UTF-811=MHBJ_ORDER_00215=AUD17=5.1.329331=0.77132=50000 54=160=20061122-10:21:3463=064=2006112475=20061122 120=AUD150=F194=0.

8、7711056=3855010176=1210038=22 10042=MT10317=510315=210296=20061124消息体Body1348=AUDUSD=CFHA22=555=AUD.USD453=2448=119000043010000000000452=114802=3523=CCCB.DEALERCCCB803=101523=CCCB803=102523=Changsha City Commercial Bank803=5448=290008811000000000000452=114802=3523=MHBJ.DEALERMHBJ803=101523=MHBJ803=1

9、02523=Mizuho Corporate Bank Beijing803=510=XXXIMIX 消息分类ADMIN/SESSIONAPPLICATIONLogon Heartbeat Test RequestResend Request Reject Sequence ResetLogoutMarketData Indication of Interest QuoteNew Order, Executions Order StatusTrade Capture Report14IMIX 消息类型ADDITIONAL MESSAGE TYPES, when 35=xt = Cross Or

10、der Cxl/Repl Request u = Cross Order Cancel Request v = Security Type Requestw = Security Typesx = Security List Request y = Security Listz = Derivative Security List Request AA = Derivative Security ListAB = New Order - MultilegAC = Multileg Order Cancel/Replace AD = Trade Capture Report Request AE

11、 = Trade Capture ReportAF = Order Mass Status RequestAG = Quote Request RejectAH = RFQ RequestAI = Quote Status Report AJ = Quote Response AK = ConfirmationAL = Position Maintenance Request AM = Position Maintenance Report AN = Request For PositionsAO = Request For Positions Ack BN = Execution Ackno

12、wledgement U01 = Query ResultU02 = Query RequestU03 = Trade Capture Report0 = Heartbeat1 = Test Request2 = Resend Request 3 = Reject4 = Sequence Reset 5 = Logout6 = Indication of Interest 7 = Advertisement8 = Execution Report9 = Order Cancel Reject A = LogonB = News C = EmailD = Order - Single E = O

13、rder - ListF = Order Cancel Request G = Order Cxl/ReplRequest H = Order Status Request J = Allocation InstructionK = List Cancel Request L = List ExecuteM = List Status Request N = List StatusP = Alloc Instruction AckQ = Dont Know Trade (DK) R = Quote RequestS = QuoteT = Settlement Instructions V =

14、Market Data RequestW = Market Data-Snapshot/Refresh X = Market Data-Incremental Refresh Y = Market Data Request RejectZ = Quote Cancela = Quote Status Requestb = Mass Quote Acknowledgement c = Security Definition Requestd = Security Definitione = Security Status Request f = Security Statusg = Tradin

15、g Session Status Request h = Trading Session Statusi = Mass Quotej = Business Message Reject k = Bid Requestl = Bid Responsem = List Strike Pricen = XML message (non-FIX MsgType) o = Registration Instructionsp = Registration Instructions Response q = Order Mass Cancel Requestr = Order Mass Cancel Re

16、port s = New Order - CrossU06 = Data Download Request U07 = Data Download Response15IMIX 协议 Session 层一些必须被立即处理的消息LOGONLOGOUT TESTREQ SEQRESETGAPFILL16IMIX 协议 Session 层维持消息对话，保证消息传输初始化一条session (Logon) HeartbeatMessage Sequencing Message Validation结束一条session (Logout)17IMIX 协议 Application 层描述、实现交易中心交

17、易事务16 类应用消息IOI（6）意向性报价ExecutionReport（8）成交NewOrderSingle（D）撮合Quote（S）对话报价、点击成交报价MarketDataSnapshotFullRefresh (W)市场数据18IMIX API 能做什么?维持 IMIX 会话支持IMIX 应用消息的处理19IMIX API 基本通讯模型IMIX20IMIX APISell SideOrder Management SystemBuy SideOrder Management SystemIMIX API使用 IMIX API 开发IMIX 应用配置ClientAPI与之连接的Agen

18、t的IP地址与端口操作员所属机构操作员代码操作员面向业务市场消息、日志存放地址数据字典存放地址(the path and the filename, usually a XML file).21使用 IMIX API 开发IMIX 应用配置 Agent与之连接的Hub的IP地址与端口（可配置多个）CA证书文件存放地址消息、日志存放地址22使用 IMIX API 开发IMIX 应用初始化Logon消息交换 构建消息 发送消息Logout23使用 IMIX API 开发IMIX 应用初始化/Create a listener to handle all of the incoming event

19、and message DemoListener listener = new DemoListener();/Choice the configure fileString configfile = .demo.cfg;/Initialize IMIXApplication.initialize(listener,configfile);24使用 IMIX API 开发IMIX 应用Logon/ start an IMIXSession connection String userName = mike;String password = 123456;String market = FI;

20、/Create an IMIXSession from the username, password and market name IMIXSession imixSession = new IMIXSession(userName, password,market);/Try to connect to the IMIXMW imixSession.start();25使用 IMIX API 开发IMIX 应用构造消息/construct an orderNewOrderSingle newOrderSingle = new NewOrderSingle(); newOrderSingle

21、.set(new ClOrdID(123); newOrderSingle.set(new Symbol(china); newOrderSingle.set(new Side(Side.BUY); newOrderSingle.set(new TransactTime(); newOrderSingle.set(new OrdType(2);/ Limit newOrderSingle.set(new OrderQty(1); newOrderSingle.set(new HandlInst(1);newOrderSingle.set(new Price(1);26使用 IMIX API 开

22、发IMIX 应用发送消息/ send if(imixSession.isStarted()System.out.println(1st connection is sending.);imixSession.send(Message)newOrderSingle);27使用 IMIX API 开发IMIX 应用接受消息 (1) 实现了MessageCracker 的工具类，通过它写回调函数，从回调中接收消息：public class ClientListener extends MessageCracker implements Listener public void fromApp(Mes

23、sage message, IMIXSession imixSession)public void onMessage(QueryReject queryReject) throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue28使用 IMIX API 开发IMIX 应用接受消息 (2) 回调messageCrackpublic void fromApp(Message message, IMIXSession imixSession) try messageCrack(message);catch(UnsupportedMessageType e)throw e;throw e; throw e;catch(IncorrectTagValue e)catch(FieldNotFound e)catch(Exception e)ImixApplication.getLogger().error(API user thrown an exception, wejust ignore it:, e);注意：IMIX