A more efficient FIX? Everyman's HFT

Recently a group of the thought leaders within FPL started up the High Frequency Trading Working Group. The goal is to come up with a less verbose encoding for FIX than tag=value and to also streamline order handling semantics and possibly even the session layer.

The snow has arrived up north here in the Lasalletech home office, which gives us time to contemplate the big things in life, or the minute, in the case of high frequency trading messages.

The NYSEDirect approach of a fixed record format seems to me to be a huge step backwards (nearly 30 or 50 years backward depending upon what you compare it to). I will also concede that my favorite ASN.1 seems like overkill for simple order/quote messages and fills. Although I think ASN.1 is largely summarily dismissed by people who know nothing about it. So what to use then?

I was talking to the head of our development organization, one Jacob Northey, and we both agreed that compression is not warranted or needed. Smaller messages sizes and fewer fields, yes. Compression no. So what makes sense to us is the use FAST without operators. Yes that's right just use the transfer encoding part of FAST. Simple to parse. Most people already have most of the code. The template syntax to define the messages is straight forward and understandable. This approach eliminates the complexity of field operators.

Of course, then Jacob goes on to say, FAST without operators is just Google Protocol Buffers...

Hmmm....