Trading Protocols & Connectivity

Read these first

1. 01Cancel/Replace: What Actually Happens

   Amending a resting order isn't a small edit made in place, under the hood it's usually a cancel of the old order and the birth of a brand new one, which is why a "small" price change can silently cost you your place in the queue.

2. 02How An Order Entry Gateway Works

   The order entry gateway is the piece of exchange infrastructure that sits between a trading firm's systems and the matching engine, validating, sequencing, and forwarding every order before it's allowed anywhere near the book.

3. 03Streaming Prices Versus Request-For-Quote

   Some markets show a continuous, tradeable price to everyone at once; others make you ask a dealer for a price before you can trade at all. Which model a market uses shapes almost everything about how liquidity and information move through it.

4. 04The Execution Report State Machine

   Every order lives its whole life as a sequence of states, new, partially filled, filled, cancelled, rejected, and an execution report is the message that tells you which state it just moved to.

Then the rest

1. 05Binary Order Entry: Why Exchanges Left FIX
2. 06ClOrdID, OrigClOrdID And Order Identity
3. 07Credit Checks, Give-Ups And Clearing Certainty
4. 08Drop Copies And Independent Order State
5. 09Fat-Finger Limits And Price Collars
6. 10FIX Message Types And The Tags That Matter
7. 11Kill Switch Scope: What Actually Gets Cancelled
8. 12Mass Cancel And Cancel-On-Disconnect
9. 13Running An RFQ: How Many Dealers To Ask
10. 14Self-Trade Prevention Modes: Cancel Newest, Oldest, Decrement
11. 15Sequence Numbers, Gap Fill And Resend Requests
12. 16Session Failover And Warm Standby Gateways
13. 17The FIX Session Layer: Logon, Heartbeat, Logout
14. 18Why Orders Get Rejected