Just like SWIFT is the message protocol for back-office (example, for trade-settlement) messaging, the FIX protocol is the de facto messaging standard for communication before and during, trade execution between exchanges, banks, brokers, clearing firms, and other market participants. Fidelity Investments and Salomon Brothers introduced FIX in 1992 to facilitate electronic communication between broker-dealers and institutional clients who by then exchanged information over the phone.

It became popular in global equity markets before expanding into foreign exchange, fixed income and derivatives markets, and further into post-trade to support straight-through processing. Exchanges provide access to FIX messages as a real-time data feed that is parsed by algorithmic traders to track market activity and, for example, identify the footprint of market participants and anticipate their next move. 

The sequence of messages allows for the reconstruction of the order book. The scale of transactions across numerous exchanges creates a large amount (~10 TB) of unstructured data that is challenging to process and, hence, can be a source of competitive advantage.

The FIX protocol, currently at version 5.0, is a free and open standard with a large community of affiliated industry professionals. It is self-describing like the more recent XML, and a FIX session is supported by the underlying Transmission Control Protocol (TCP) layer. The community continually adds new functionality.

The protocol supports pipe-separated key-value pairs, as well as a tag-based FIXML syntax. A sample message that requests a server login would look as follows:

8=FIX.5.0|9=127|35=A|59=theBroker.123456|56=CSERVER|34=1|32=20180117- 08:03:04|57=TRADE|50=any_string|98=2|108=34|141=Y|553=12345|554=passw0rd!|10=131|

There are a few open source FIX implementations in python that can be used to formulate and parse FIX messages. Interactive Brokers offer a FIX-based computer-to-computer interface (CTCI) for automated trading (see the resources section for this chapter in the GitHub repo).