Searching for FIX Messages
Have you ever had to search through a text based FIX log file to try and find all the FIX messages associated with a particular order? If you have you will understand the frustration that this can cause. There is no single identifier that links all the FIX messages for a particular order.
Often when looking through a log file, you can search for a ClOrdID, this will give you the New Order Single message and all the Execution Reports for this ClOrdID but what happens when you send out an Order Cancel Replace Request (OCRR)? What happens is that the ClOrdID changes and you can no longer use this to link messages.
How about Don’t Know Trades (DKT)? How do you associate these with an order? They don’t have a ClOrdID so you can’t link them directly to an order. Instead they only have an ExecRefID, this will identify the particular execution report that they are associated with. From this you then need to find out what order the execution report is associated with before you get a full picture of what has happened.
The same is true for DKTs, Rejects, Allocation Instructions, Allocation Acknowledgements and any Execution Reports after an OCRR. None of these have an identifier that can be used to link them to an Order.
In a best case scenario this can increase the time taken to identify and resolve FIX issues. In a worst case scenario it can lead to not identifying an issue correctly and not resolving the underlying cause of the issue. Support teams can miss FIX messages or incorrectly associate FIX messages with orders.
Cynapps IntelliFIX has built in search functionality specifically designed to work around the fact that there is no identifier that is common to all FIX messages for a particular order. Using an intelligent search algorithm called IntelliSearch we can quickly display every message associated with a particular order. IntelliSearch takes into account all of the above scenarios and many more to provide a search that delivers reliable and helpful FIX Message search results.
To find out more about IntelliSearch or any of the other helpful features IntelliFIX has to offer you please contact us.