8) FIX Pricing Class - II | QuickFIX Application R&D for Algorithmic Trading
32In this video, we continue developing our FIX Pricing class, overriding the fromApp, toApp and toAdmin QuickFIX methods.
We also implement a function to process MassQuote message types and MassQuoteAcknowledgement messages.
* The next few tutorials will see us build a fully-functional FIX Application in Python 3. Emphasis will be placed on good design, leveraging object-oriented programming to ensure more time becomes available for strategy development as opposed to handling FIX I/O.
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This tutorial also refers back to some preliminary concepts involved in algorithmic trading via the FIX API, including:
1) FIX Protocol Architecture
-- Session Layer - connectivity, handshaking, data integrity & message sequencing
-- Application Layer - order execution, market data subscription, other business-specific functionality, etc
-- FIX Connection Types (Pricing, Trading)
2) FIX Field Structure (name, number, value, e.g. 8=FIX.4.4)
3) FIX Message Structure (Standard Header, Message Body, Standard Trailer)
4) Future FIX API tutorials planned for viewers.
If you haven't already, please watch the first video in this series, here:
https://youtu.be/r6IrtCMW81I
By the end of this tutorial, viewers will hopefully have developed enough of an understanding of the above concepts, to enable them to proceed with FIX trading application development using the FIX protocol (subject matter planned for future tutorials in this video series).
Enjoy!
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Topics: #algorithmictrading #quickfix #fixprotocol #darwinex