Retrieving data – garbage in, garbage out
The FIX protocol is universal by design and thus can be used not only for ordering but also for data retrieval. However, in most cases, it is not actually used for market data transfer; instead, trading venues provide their own proprietary APIs to retrieve data from there.
As always, in this gloomy world of communication protocols, everything is individual and each trading venue offers its own API. However, in general, all broker APIs are implemented as REST or Websockets. The former is convenient for occasional requests for quotes, while the latter is best for continuous subscriptions that allow receiving real-time market data.
The following examples I provide are taken from the API of LMAX, one of the key ECNs in the FX market. They are not only great because of their openness to any client, big or small, but also because they are one of the very few trading venues that publicly disseminate real-time market data – and...
