FIX Gateway

This page shows you how to create a Gateway to connect to a remote system using the FIX (Financial Information eXchange) protocol.

Creating a Gateway

To create a Gateway:

1. Add the process configuration for the Gateway to the applicationName-processes.xml file. For example:

<process name="POSITION_FGW">
    <groupId>POSITION</groupId>
    <start>true</start>
    <options>-Xmx128m -DXSD_VALIDATE=false</options>
    <module>fix-eventhandler</module>
    <package>global.genesis.fix.eventhandler</package>
    <script>position-fix-gateway.kts</script>
    <loggingLevel>INFO,DATADUMP_OFF</loggingLevel>
    <description>FIX Drop Copy Gateway</description>
    <language>pal</language>
</process>

2. Create a Kotlin script file named {app-name}-fix-gateway.kts under jvm/{app-name}-script-config.

There are two ways to configure a FIX gateway.

• File-driven configuration
• database-driven configuration.

Each approach has different benefits.

File-driven configuration In order to use file-driven configuration, you must provide a path to a file in the configuration format expected by the QuickFIXJ engine. This is specified using the quickFixConfig property:

fix {
    quickFixConfig = GenesisPaths.genesisHome() + "generated/cfg/default-quickfix.cfg"
    disableDatabaseGateways = true
    disableConfigGateways = false
}

To see the format of QuickFIXJ and the configuration options, take a look at the QuickFIXJ config.

File-driven configuration enables multiple sessions to use the same port, which is more efficient in terms of performance. However, sessions cannot be started and stopped independently of each other.

Database-driven configuration Below is an example of configuring the Gateway for database-driven configuration.

In a database-driven configuration, a single FIX session is created for each record in the FIX_SESSION table in the Genesis Application database.

The table exposes the following properties to define a session:

Field Name	Type
TIMESTAMP	NANO_TIMESTAMP
CONNECTION_NAME	STRING
FIX_CONNECTION_TYPE	ENUM[INITIATOR ACCEPTOR]
FIX_DATA_DICTIONARY	STRING
FIX_END_TIME	STRING
FIX_HEARTBEAT_INTERVAL	INT
FIX_HOSTNAME	STRING
FIX_PORT	INT
FIX_SESSION_ENABLED	BOOLEAN
FIX_SESSION_TEMPLATE	STRING
FIX_START_TIME	STRING
FIX_TIME_ZONE	STRING
FIX_VERSION	STRING
PROCESS_NAME	STRING
SENDER_ID	STRING
SENDER_LOCATION_ID	STRING
SENDER_SUB_ID	STRING
SESSION_QUALIFIER	STRING
TARGET_ID	STRING
TARGET_LOCATION_ID	STRING
TARGET_SUB_ID	STRING

You must also define a QuickFIXJ config file to use as template for the session configuration. The template defines the default properties that are common across multiple sessions.

Each session defined in the database references which template to use as the source for common properties through the FIX_SESSION_TEMPLATE field.

An example template:

[DEFAULT]
ResetOnDisconnect=Y
ResetOnLogon=Y
ResetOnLogout=Y

ValidateFieldsHaveValues=N
ValidateFieldsOutOfOrder=N
ValidateIncomingMessage=N
ValidateSequenceNumbers=N
ValidateUnorderedGroupFields=N
ValidateUserDefinedFields=N

AllowUnknownMsgFields=Y

An example GPAL configuration to enable database sessions:

fix {
    databaseSessionTemplates("default-quickfix.cfg")
    disableDatabaseGateways = false
    disableConfigGateways = true
}

Database-driven configuration enables sessions to be created dynamically, and to be started and stopped at runtime while the system is up, completely independently from one another.

Each session must specify a unique port (if accepting connection), which is less efficient in terms of IO performance.

It is also possible to use both database configuration and config configuration at the same time.

Additional configuration options

Field Name	Default Value	Description
outboundRoutingTag	50	Used for outbound messages. Value in SOURCE_ID from the send message event will be copied to this tag in the outbound message.
inboundRoutingTag	57	Used for inbound messages. Value in this tag number will be set on the INTERNAL_TARGET field on the resulting FIX_IN record.
isOutboundInHeader	true	True if the value of outboundRoutingTag should be obtained from the message header, rather than the body.
isInboundInHeader	true	True if the value of inboundRoutingTag should be obtained from the message header, rather than the body.
fileLogPath	null	Path to the directory where QuickFIXJ session logs will be stored, if using logFactoryImpl = FILE.
quickFixConfig	null	Path to the QuickFIXJ session configuration file, if using file-driven configuration.
isFixLoggingEnabled	true	Set to true to enable FIX session logs using the configured LogFactoryImpl.
isPersistToFixIn	true	Set to true to enable persistence of inbound messages to FIX_IN table.
isPersistToFixOut	true	Set to true to enable persistence of outbound messages to FIX_OUT table.
genesisFlakeRxSequence	false	Set to true to use gFlake as FIX_IN record timestamps (see GFlake).
isPersistToFixInBatching	true	Set to true to ensure that writes to the FIX_IN table are batched. This is more performant, but at the risk of potential data loss.
batchSize	256	Max number of records per write batch when using isPersistToFixInBatching.
batchIntervalMs	200	Max time between write batches when using isPersistToFixInBatching.
stopOnDatabaseInsertFailure	false	Set to true to trigger a forced session disconnection and sequence recovery when a record fails to be written to FIX_IN. Used with isPersistToFixIn.
recoverFromLastFixInTargetSequence	true	Set to true to use the FIX_IN table to determine the expected target sequence number when session is started.
disableConfigGateways	false	Set to true to disable initialisation of FIX sessions from configuration files.
disableDatabaseGateways	false	Set to true to disable initialisation of FIX sessions from database records.
disableProcessStatusCheck	false	Set to true to prevent individual FIX sessions from setting the process state to WARNING when a session is not connected during its expected schedule.
authenticateLogonCredentials	false	Set to true to do application-level verification of session username and password on session Logon based on records in the FIX_SESSION_AUTH table.
passwordSalt	""	Optional salt to be used when validating passwords. Use with authenticateLogonCredentials.
threadModel	SINGLE	Thread-handling model for QuickFIXJ sessions. Options are SINGLE, THREAD_PER_SESSION and IO_THREAD. This is a delicate setting and should be used with care (see below).
messageStoreImpl	MEMORY	QuickFIXJ message store implementation for sequence number storage and session recovery. Valid values are MEMORY, FILE and DATABASE.
logFactoryImpl	FILE	QuickFIXJ log factory implementation for session logs. Valid values are FILE, CONSOLE, SLF4J and NONE.
validateSessionStatusOnLogon	false	Set to true to enable safeguard mechanism to prevent the same FIX session logging on twice. Used when running multiple FIX gateway processes in an active-active configuration.
updateSessionStatusInterval	0	The time between session status update writes to the database, as part of validateSessionStatusOnLogon.
sessionStatusValidityPeriod	30000	The amount of time that must elapse before the system treats a record in FIX_SESSION_STATUS as stale. Used as part of validateSessionStatusOnLogon
maxMessageSizeInBytes	10240	The maximum length a FIX message can be before it is split across multiple database records for persistence. Applies to all FIX message persistence (FIX_IN, FIX_OUT and the QuickFIX Database message store).

Thread model

The threadModel configuration property is related to performance and high-volume FIX streams, such as market-data feeds.

• SINGLE mode uses a single thread to process messages across all sessions. This is the default configuration, and a good way of keeping the hardware footprint on the FIX Gateway processes relatively small.
• THREAD_PER_SESSION uses a single message-processing thread per session. It is a good option if you have a large number of sessions or if sessions are latency-sensitive when processing messages, because messages from one session will never be queued behind those from another session.
• IO_THREAD is for high-performance FIX message streams only, and should be used with care. In this mode, there is no hand-off to a processing thread from the MINA IO Thread. When using the other thread model options, the default behaviour of the FIX engine is to queue messages on an unbounded in-memory queue. The MINA IO thread writes to the queue, and the message-processor thread reads from this queue. However, under extremely high message volumes, this queue can fill up and cause memory pressure and significant garbage collection overhead, which can degrade application performance. Removing this queue prevents this issue, pushing back pressure all the way to the TCP/IP stack and preventing application failure. It is imperative that the FIX processing logic is written in such a way that there are no blocking operations performed on the IO thread. This means avoiding using MessageStoreImpl.DATABASE and any blocking ops in any custom message publishers. Any delay in processing TCP traffic can cause significant performance degradation, due to the data-throttling method in the TCP protocol.

Session status validation

Session status validation is a feature that was introduced for applications running multiple clustered FIX gateways in an active-active configuration, using a TCP load balancer to balance sessions across a pool of instances.

To prevent clients connecting to the system on multiple nodes, you can enable validateSessionStatusOnLogon. This causes the node that has an active session to update the FIX_SESSION_STATUS table every N milliseconds, where N is defined by updateSessionStatusInterval configuration key.

When processing any FIX Logon message, the node checks the status and the write time of the corresponding FIX_SESSION_STATUS record in the Genesis database. If the record shows the session as connected, and the write time is within the period defined by sessionStatusValidityPeriod, the logon will be rejected.