What is FIX (Financial Information Exchange)?
How does FIX work?
Clients and brokers use software called FIX engines to connect using the FIX protocol. In order to begin a FIX session, Client A and Broker B connect their engines at a predetermined start time using a predetermined host and comp ID.
Once a session begins, FIX messages are classified into two groups: Admin (or session level) messages, and Application messages. Application messages include trade, pre-trade, and post-trade messages. After exchanging the relevant information, both the client and the broker disconnect their FIX engine at the same time to keep their wheeling and dealing secure.