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Project: Develop a FIX client (https://en.wikipedia.org/wiki/Financial_Information_eXchange) that can send random orders to a FIX server and calculate certain statistics related to the order flow.

FIX protocol version(Network and Communication Protocol): FIX 4.2

  1. Generate Order and save the log file: FIX_LOG_GENERATION.ipynb

    1. Handle basic FIX flows: Logon, Seq Number handling
    2. Able to send the below message to the server:
      • New Order (35=D): Limit Order or Market Order. You can put a random price for a Limit Order.
      • Order Cancel Request (35=F)
      • Do not send another other request
    3. Able to handle the below message from the server:
      • Reject (35=3)
      • Execution Report (35=8)
      • Order Cancel Reject (35=9)
    4. Send 1000 random orders for MSFT, AAPL, and BAC. One side can be BUY, SELL, or SHORT. It could be a limit or a market order. Send 1000 orders within a 5 minutes period from when the application starts. And, need to randomly cancel them within 5 minutes from when you send the order.

  2. Analysis of the log file on:

    1. Total trading volume, in USD
    2. PNL generated from this trading
    3. VWAP of the fills for each instrument

Tip: Use Mini-FIX (https://elato.se/minifix/) for correctness comparison during the code development.