Friday, March 16, 2012

design considerations - my first homemade FIX client

In a typical sell-side / market maker, the FIX gateway is a FIX client for a liquidity venue. The liquidity venue (typically an exchange, but also ECNs, dark pools) runs a massively multi-threaded, FIX server farm, possibly with custom-made FPGA hardware. I believe the technical requirements for an exchange FIX server is different from a sell-side FIX client.

Therefore, I assume my audience are far more interested in the client code than the server code.

My mock server implementation is a mock-up, with no optimization, no resilience/robust design, no fault-tolerance, no select()-based sockets, no high-availability, no checksum validation.

-- design priorities --
Since this is a from-scratch implementation of a large spec, I focused on basic functionality. Debugging and instrumentation is important in the early stage. A lot of extra code was created to help developers verify the correct operation of all those nitty gritty details.

I don't aim to build a complete engine, but the basic functionality I build, i try to build it on solid ground, so hopefully it doesn't become throw-away code.

At the heart of the OO design was the abstraction expressed by AbstractClient, AbstractState and ClientSession. These form the backbone of the core object graph. The fields and constructors were chosen with care. Cohesion and low-coupling were my ideals but sometimes hard to achieve.

These core classes help meet most of the fundamental requirements related to object state of a client connection, sequence number, state transition, output stream sharing, connection liveness monitoring... I wouldn't say these are well-design classes, but they are a reasonable first attempt at modelling the problem using java classes.

Reusable components were created whenever possible, such as the message parser, message formatter.

FIX engine are highly configurable. All config parameters are extracted into a config object, which is obtained from a config factory. One config for Test, one for Production or UAT etc.

-- features --
- parsing a raw FIX msg into an array, which is faster to access than a hashmap. By our design, we avoid hash lookup completely.
- is a home-made solution to the potential forever-blocking of readLine(). On some platforms, socket read is not interruptible and the only way to unfreeze a socket read is to close the socket. We do that in this implementation but only after sending a final logout message.
- Various template methods to guarantee close() and guard against resource leak
- AbstractClient has most of the generic logic, while SingleOrderClient implements very small amount of custom logic.
- FIX msg formatter is generic enough to accept a map of tags and values -- any tags and values
- sequence num validation
- state machines on both client and (simplified) server. State design pattern.
- server side -- very few features, but ConnectionManager is reasonable encapsulation of new socket creation.

---- client-side features to be implemented ----
- heart beat -- more robust. Should never fail.
- timeout waiting for ack
- re-logon if no heartbeat for 60 seconds
- checksum validation
- storing exchange order-ack into database
- Right now, given time constraint, i didn't use nonblocking IO. All FIX system should use non-blocking IO.
---------- Disclaimer -------------
I spent about 4 hours on this project, as suggested by Jonathan. I had to do some basic research on FIX since I have never programmed FIX (except some ECN connectivity modules that probably used FIX under the hood).
--------------- How to run the server/client -----------------
Run, then
To see the heart beat monitoring/intervention (Destroyer) in action, put 500 in getSilenceThreshold().

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