FIX protocol

FIX (Financial Information eXchange) is the industry-standard message vocabulary for orders and executions: a new order, a cancel, a replace, an execution report, a heartbeat. Its classic form writes each field as a numbered tag and a value; CME's iLink 3 order entry keeps FIX semantics but encodes them in Simple Binary Encoding for speed.

Senzoukria · Glossary · Updated September 2026

Definition

FIX defines messages and fields for the whole trade lifecycle, from order entry to execution reports and allocations, plus a session layer that handles logon, sequence numbers, heartbeats and resends. Brokers and exchanges publish which messages and fields they accept, so two FIX interfaces are rarely interchangeable without adjustment, but they share a vocabulary.

Reading a FIX order

In the classic tag=value form, a limit order to buy 2 contracts at 5,000.25 valid for the day contains, among others:

  • 35=D: message type New Order Single.
  • 54=1: side buy (2 would be sell).
  • 38=2: order quantity 2.
  • 40=2: order type limit (1 market, 3 stop, 4 stop limit).
  • 44=5000.25: limit price.
  • 59=0: time in force day (1 good till cancelled, 3 immediate or cancel, 4 fill or kill).

The session layer

  • Heartbeat messages (35=0) keep an idle connection alive at an agreed interval.
  • A test request (35=1) asks the other side to prove it is still there.
  • Sequence numbers on every message allow gaps to be detected and resent.
  • CME uses this heartbeat and test-request logic to detect lost order-entry connections for cancel on disconnect.

FIX at CME

CME's iLink order entry uses Simple Binary Encoding, which CME describes as optimised for low-latency encoding and decoding while keeping bandwidth reasonably small, and states that all FIX semantics are supported. The fields keep their FIX meaning; only their representation on the wire changes from text to fixed binary layouts.

In Senzoukria

The application does not speak FIX. For CME futures it routes orders through Rithmic's R | Protocol, whose order messages carry the same concepts, side, quantity, price type (market, limit, stop market, stop limit) and duration (day, GTC, IOC, FOK), in Rithmic's own format; those four durations are exactly what its order ticket offers.

Common mistakes

  • Assuming a FIX interface from one broker works unchanged with another.
  • Equating 'FIX API' with lower latency; the path behind the interface matters more.

In the same section

Sources

This page in other languages

Frequently asked questions

Do retail traders need FIX?
Rarely. Most retail platforms use a vendor's API such as Rithmic's, which covers orders and executions with the same concepts. FIX access is typically offered to institutional clients or developers with specific needs.
Is iLink 3 still FIX?
It keeps FIX semantics, meaning the same fields and meanings, but encodes messages in Simple Binary Encoding over a lightweight session protocol rather than as tag=value text.

Keep reading

Strategy researchTest a trading strategy, from observation to challenge rulesDefine an observation, question it with the copilot, write a rule and explore costs, drawdown and fictional challenge limits in an interactive example.Quant · Start hereQuant trading for beginners: from idea to backtestDefine a testable rule, choose suitable data and evaluate later periods after costs.Order flow · HubOrder flow trading: the complete guideThe hub. What order flow is, what it shows — aggression, delta, imbalance, absorption, liquidity — and the tools that read it, each linked to a full guide.