Creating FAST Schema From FIX Schema

Most likely user may need to create a FAST schema from an existing FIX schema. In this chapter we will walk through step by step how to do it.

For information about how to create a standalone FAST schema without corresponding FIX schema, please read the next chapter.

Creating a New FAST Schema

In "Repository Explorer" panel, right click mouse on the node "FASTSChema", the select "New Schema" from the pop up menu.

A new schema dialog will pop up. In the dialog, we give the schema a name "Test".

Because we want to create a FAST schema from a FIX schema, we need to click the "Browse" button of the "Fast Schema". Then select a FIX 5.0SP1 derived schema "QA_50SP1".

Click the "OK" button, a new FAST schema "Test" derived from "FIX50SP1" is created and added to the list.

FIX Header and Transport Schema

FIX message has a header and a trailer. Some fields in header are very commonly used and should be used in the FAST messages as well. For example, "SendingTime", "SenderCompID", "TargetCompID", etc.

FAST Schema Editor allows inclusion of header fields in the top level group of FAST messages.

Transport Schema

Starting from FIX 5.0, a sepcial transport protocol FIXXT 1.1 is introduced. The transport protocol may have a slightly different header than the header defined in the early protocols. That feature is also very well supported in FAST message template design from FIX. A separate transport protocol can be specified in the FAST schema dialog, which may affect the definition of header fields only.

Adding a New Template

Once the schema is newly created, it contains no template.

In order to add a new template to the schema, right click the mouse on the "Templates" node in the left panel of the FAST schema editor. Then choose "Add Template".

Because the FAST schema is associated with a FIX schema, the template has to be derived from one FIX message. A dialog will pop up with all available FIX messages in the corresponding FIX schema for user to choose. In this case we choose the "MarketDataIncrementalRefresh" message.

Once the user clicks "OK" button (or double click the message entry in the list), a template derived from "MarketDataIncrementalRefresh" will be created. Please note the name of the template is initially set as "PleaseSpecifyTemplateName". User should modify the name field to an appropriate name for the template.

The template name must be unique in the schema and should not collide with standard template names used in FAST SCP templates.

According to FAST specification, multiple templates can be created for one single message structure (in this case FIX message), with each template optimized for different encoding/decoding or delivery scenario.

Enterprise provides some nice features to facilitate building FAST template from FIX schema. For example, in the screen shot above, the "TypeRef" of the template is pre-defined as "MarketDataIncrementalRefresh", which is the name of the corresponding FIX message. The field is also greyed out to prevent any modification, because it will be automatically modified when the FIX field is modified.

For the meaning of other fields, please read FAST specification.

Adding Instructions (Fields) to Template

In order to add an instruction to the template, right click on the template node, and select "Add Instruction" from the pop up menu.

A pop up dialog will show up with all available FIX fields for current message context. Note the header fields are also listed on the top.

Now let's first add a FIX repeating group, which is called "sequence" in FAST message. We choose "NoMDEnties" and press "OK".

Fast schema editor will automatically perform the following:

• Add the field as a "sequence" instruction to the template. The instruction type (sequence) can not be modified.
• Automatically assign the name of the field as "MDEntries". It is smart enough to create the name by trimming off the leading prefix of "No". The name is editable because it doesn't have a corresponding name in FIX schema.
• Automatically create the "length" field with the name and ID match those of the FIX field. The length name and ID are all readonly and the length can not be disabled.

General Rules about FIX/FAST Field Type Conversion

We adding a FIX field to a FAST template, the FAST schema editor can facilitate users to choose right FAST instruction type based on the type of the FIX field.

The following is the general rules of the type cpnversion:

• FIX "int" type (or derived types such as Length, TagNum, MonthYear etc) can be converted to an integer type instruction. User can choose a type among int32, uint32, int64 or uint64.
• FIX "float" type (or derived types such as Qty, Amt or Percentage etc) can be converted to a decimal type or integer type. The reason why a FIX "float" can be assigned to an integer FAST type is that the designed of a market data message may know for sure that the "Qty" type is an integer.
• FIX "Boolean" and "char" types can be assigned to FAST integer or ASCII string type.
• FIX "timestamp" or "UTCTimeOnly" or derived types can be assigned to either an integer instruction type or a string instruction type, depending on how application wants the time to be encoded.
• FIX "data" type can be assigned to either a "ByteVector" or "Unicode String" type.
• FIX "repeating group" type corresponds to the FAST "sequence" instruction type.
• Other FIX data type can be converted to an ASCII string instruction type. If the data type is a FIX string derived and has valid values, it can also be assigned to FAST "int32" type to support enumeration.

Summary

In this chapter we discussed the features in FAST schema editor that facilitates the creation of FAST templates from a FIX schema.