I've been asked to write a FIX primer. What versions to use for order routing or FX spot trading, best practices concerning the inner workings of the protocol, number of sessions to use in different scenarios and so on.
As this is not a simple task, I will try to post "chapters" here when I'm done along with general views on high frequency trading and order routing. Stuff from my day to day life others may find useful. I've integrated with more than 20 financial institutions and exchanges. Some have done a really good job, others not quite so. This blog is also about these connections and my experiences.
Karsten Strøbæk's thoughts about the FIX protocol, mission critical systems and high frequency trading in general.
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