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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Sending orders and receiving a market response

The main goal of a trading system is to send orders and receive market responses regarding these orders. In this section, we will cover how to send an order and how to get an update on these orders.

The role of the initiator is to initiate a connection with the acceptor. When the connection is established, the trading session is enabled. From this very moment, the trading system can send orders to the exchange. The order will have the following type of message:

8=FIX.4.4|9=155|35=D|11=3440|15=USD|21=2|38=20000|40=D|44=55.945|54=1|55=USD/RUB|59=3|60=20190909-19:35:27|64=SP|107=SPOT|117=b3fc02d3-373e-4632-80a0-e50c2119310e|167=FOR|10=150|

The initiator creates the orders by using the message ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content