Max on broker APIs

November 23, 2009

Max Dama’s posted a couple of times recently on broker APIs. In his most recent post he drops an intriguing aside when commenting on IB, Wex and Lime: “I haven’t used each of the three’s FIX APIs”

Which prompts the question: why not ?  Why code to a proprietary API rather than an industry standard protocol. I’ve had less than happy experiences with FIX for Fixed Income myself, so my guess at the reasons would be…

  • Convenience: going straight to a Java or .Net API is quicker than selecting a FIX implementation and/or protocol implementation like quickfix.org, and then doing an integration.
  • Statefullness: AFAIK FIX doesn’t address state like “order submitted”, “order on the book”, “order cancelled” etc. A well sorted API with a good callback interface makes this kind of thing earlier. FIX is just a protocol, leaving you to build this stuff yourself.
  • Speed: less infrastructure means less latency.

I wonder whether FIX is more popular with sell side firms offering connectivity than the buy side. It seems from Max’s posts that he’s doing connectivity work for hedge funds building automated trading systems using the broker APIs he mentions. I’d be interested to know more about why those firms choose to use the proprietary APIs…

Advertisements

2 Responses to “Max on broker APIs”

  1. Sean Says:

    I think you mean quickfixengine.org, not quickfix.org

  2. Max Dama Says:

    Hi,

    Thanks for reading. That’s a good question, really FIX has just a slightly higher barrier to entry because you can’t write code as easily as with a normal programming language like Matlab. Most brokers don’t advertise their FIX API as much as their proprietary API, especially to retail traders, which could explain it too.

    But since programming to FIX frees you from broker lock-in, it’s better. I’ll think twice on my next project, thanks.

    Regards,
    Max

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s