FIX 5.0 Specifications
Major changes in FIX 5.0 include:
Transport Independence Framework
With the release of FIX 5.0, the FPL Global Technical Committee (GTC) introduced a new Transport Independence (TI) framework which separates the FIX Session Protocol from the FIX Application Protocol. Under the TI framework, the application protocol messages can be sent over any suitable transport technology (e.g. MQ, WS-RX, message bus), where the FIX Session Protocol is one of the available transport options for FIX application messages. Starting with this release, FIX 5.0, the FIX Application layer and the FIX Session layer will have their own versioning moniker. The FIX Application layer will retain the traditional version moniker of “FIX.x.y” while the FIX Session layer will utilize a new version moniker of “FIXTx.y” (note that the version numbers will be independent of each other). With the advent of Application Versioning and Transport Independence, the FIX Session and Application layers have been decoupled and are now independent.
Refer to the FIXT 1.1 specification for additional information.
FIA Extensions and Enhancements to support Derivatives post-trade processing
This release includes 11 extension packs that provide enhancements to post-trade processing in the listed derivatives space. Among the enhancements are cross order extensions, collateral management for margin requirements, large trader reporting, allocations for options, special exchange instructions and user defined spreads.
Foreign Exchange Enhancements
This extension pack included extensive enhancements to FIX to support trading foreign exchange as a security. Major areas of enhancements are support for RFQ, streaming executable prices, swaps, complete support for spots and forwards, explicit support for expressing FX tenors, vanilla FX Spot options (post-trade trade reporting only).
Regulatory Requirements
Support was added to accommodate regulatory requirements for OATS Phase 2, Regulation NMS, and MiFID directive.
Market Data
Enhancements were made to the market data messages to better support book management and to provide the needed changes to support data optimization.
Exchange Users
A set of extension packs were included to better support order routing, trade capture, and external routing in an exchange environment. Trade capture reporting has been enhanced to better support the various trade reporting models supported by exchanges.
Other enhancements include:
A new Execution Acknowledgement message that allows the order initiating firm (e.g. buy-side) to explicitly acknowledge the receipt of an execution report.
Chinese STEP 1.0 support are enhancements required by the Chinese exchange markets who are utilizing FIX.
Algorithmic Trading extensions provide an enhanced framework in which to flexibly express algorithmic parameters.
