Implementing Layer 7 FIX Proxy

Creating a custom Fast L4 profile for hardware-optimized FIX LL

You can create a custom Fast L4 profile to manage Layer 4 traffic for FIX low latency (FIX LL).

1. On the Main tab, click Local Traffic > Profiles > Protocol > Fast L4.

   The Fast L4 screen opens.

2. Click Create.

   The New Fast L4 profile screen opens.

3. In the Name field, type a unique name for the profile.

4. Select the Custom check box.

5. From the PVA Acceleration list, select Dedicated.

6. Select the PVA Flow Aging and PVA Flow Evict check boxes.

7. For the PVA Offload Dynamic setting, retain the default value (Enabled).

8. For the PVA Dynamic Client Packets setting, retain the default value (1).

9. For the PVA Dynamic Server Packets setting, retain the default value (0).

10. Select the Loose Close check box only for a one-arm virtual server configuration.

11. Set the TCP Close Timeout setting, according to the type of traffic that the virtual server will process.

12. Select the Software SYN Cookie Protection check box.

13. Click Finished.

The custom Fast L4 profile appears in the list of Fast L4 profiles.

Creating a FIX profile for low latency electronic trading

You can create the FIX profile for low latency electronic trading with FIX load balancing.

1. On the Main tab, click Local Traffic > Profiles > Services > FIXThe FIX profile list screen opens.

2. Click Create. The new FIX Profile screen opens.

3. In the Name field, type a unique name for the profile.

4. From the Parent Profile list, select a parent profile.

5. Select the Custom check box.

6. From the Report Log Publisher list, select the publisher for error messages and status reports.

7. Click Finished.

The FIX profile is configured for low latency electronic trading with FIX load balancing.

However, when this profile is created for Late Binding, a virtual server can choose a server pool based on the contents of the FIX connection’s initial packet. The Late Binding feature allows combining ‌load balancing with low latency.

This is a simplified FIX profile. The low latency path goes through ‌ePVA hardware, which does not examine the contents of each FIX packet. The only packet the BIG-IP software examines is the logon packet, which the BIG-IP system uses to choose a server pool. Therefore, most of the features in the FIX-profile screen (such as tag substitution) are ignored for low latency trading.

Creating a sever pool

Use this task to create a pool of servers with pool members. The pool identifies the servers to which the virtual server must send ‌client requests. As an option, you can identify the servers by their FQDNs instead of their IP addresses. In this way, the system automatically updates pool members whenever you make changes to their corresponding server IP addresses on your network.

1. On the Main tab, click Local Traffic > Pools. The Pool List screen opens.

2. Click Create. The New Pool screen opens.

3. In the Name field, type a unique name for the pool.

4. For the Health Monitors setting, from the Available list, select a monitor and move the monitor to the Active list.

   Note: A pool containing nodes represented by FQDNs cannot be monitored by inband or sasp monitors.

5. From the Load Balancing Method list, select how the system can distribute traffic to members of this pool. The default is Round Robin.

6. For the New Members setting, add each server that you want to include in the pool:

   1. Select New Node or New FQDN Node.

   2. (Optional) In the Node Name field, type a name for the node.

   3. If you chose New Node, then in the Address field, type the IP address of the server. If you chose New FQDN Node, then in the FQDN field, type the FQDN of the server.

      Note: If you want to use FQDNs instead of IP addresses, you should still type at least one IP address. Typing one IP address ensures that the system can find a pool member if a DNS server is not available.

   4. For the Service Port option, pick a service from the list.

   5. If you are using FQDNs for the server names, then for Auto Populate, keep the default value of Enabled. When you leave Auto Populate turned on, the system creates an ephemeral node for each IP address returned as an answer to a DNS query. Also, when a DNS answer shows that the IP address of an ephemeral node no longer exists, the system deletes the ephemeral node.

   6. Click Add.

   7. Do this step again for each node.

7. Click Finished.

Creating a virtual server for low-latency electronic trading

After you create a server pool, profile(s), and (optionally) iRule, you need to create a virtual server that references those components.

1. On the Main tab, click Local Traffic > Virtual Servers.

   The Virtual Server List screen opens.

2. Click Create.

   The New Virtual Server screen opens.

3. In the Name field, type a unique name for the virtual server.

4. From the Type list, select Performance (Layer 4).

5. In the Destination Address/Mask field, type the IP address in CIDR format. This is the address to which the FIX clients send their FIX transmissions.

   The supported format is address/prefix, where the prefix length is in bits. For example, an IPv4 address/prefix is 10.0.0.1 or 10.0.0.0/24, and an IPv6 address/prefix is ffe1::0020/64 or 2001:ed8:77b5:2:10:10:100:42/64. When you use an IPv4 address without specifying a prefix, the BIG-IP system automatically uses a /32 prefix.

   Note: The IP address you type must be available and not in the loopback network.

6. From the Configuration list, select Advanced.

7. From the Protocol list, select TCP.

8. From the Protocol Profile (Client) list, select the custom Fast L4 profile you defined for low-latency FIX trading.

9. Go to the FIX Profile list and select the custom FIX profile you defined for low-latency trading.

10. For the Address Translation setting, clear the Enabled check box to implement direct server return (DSR) functionality.

11. For the Port Translation setting, clear the Enabled check box.

    Important: Clearing the Enabled check box disables network address translation (NAT) functionality. If you require NAT, you must select the Enabled check box.

12. In the Resources area of the screen, from the Default Pool list, select the pool name for FIX streams.

    This pool is for streams that do not match your iRule(s).

13. For the iRules setting, from the Available list, select the name of the iRule that you created for the Late Binding feature and move it to the Enabled list.

    The iRule enables load balancing based on the Layer-7 (FIX) fields at the head of each stream.

14. Click Finished.

The virtual server is configured to use the specified Fast L4 profile and pool. If a client initiates a FIX connection with this virtual server, the connection uses the Fast L4 (ePVA) hardware.

Creating an iRule for load-balancing Layer-7 (FIX) traffic

You can optionally create an iRule to parse and manipulate FIX streams. If required, you can log FIX streams when the FIX profile does not provide the required functionality.

1. On the Main tab, click Local Traffic > iRules. The iRule List screen displays a list of existing iRules.

2. Click the Create button. The new iRule screen opens.

3. In the Name field, type a unique name for the iRule.

4. In the Definition field, type an iRule to match FIX fields and choose a server pool based on their settings. Use the FIX_HEADER iRule event to select the first five fields in an FIX packet:

   • BeginString
   • BodyLength
   • MsgType
   • SenderCompID
   • TargetCompID The total length of a FIX message is unbounded, so this ensures that you capture all of the relevant data to choose a back-end server pool without waiting to collect all of the FIX message.

   For example, this iRule sends messages from each of the three senders to a specific server pool. Messages from any other senders revert to the default pool in a virtual server that uses this iRule. The iRule also logs a message to indicate that a new FIX stream has opened:

   Copy

   when FIX_HEADER {   
    set MsgType [FIX::tag get 35]    
   if { $MsgType eq "A" } {  # an A message is a logon message
   # record the sender and the target        
   set SenderCompID [FIX::tag get 49]        
   set TargetCompID [FIX::tag get 56]               
   
   # log the event locally - a new FIX stream is being created        
   log "FIX header: Sender $SenderCompID, Target $TargetCompID"               
   
   # log the event with High Speed Logging (HSL), too        
   set hsl [HSL::open -proto UDP -pool syslog_server_pool]        
   HSL::send $hsl "[IP::client_addr]: Sender $SenderCompID, Target $TargetCompID\n"               
   
   # choose a server pool based on the name of the sender        
   switch $SenderCompID {            
   "Fred's Bank"   { pool FIX1 }            
   "Wilma's Bank"  { pool FIX2 }            
   "Barney's Bank" { pool FIX3 }        
   }    
   }} 

   The iRule may be able to explicitly send the flow down to the ePVA (operating in hybrid mode), rather than doing it automatically. This explicit control is only possible if you set it in the Fast L4 profile. In the following example, the rule does not release the flow unless it encounters a FIX packet from a sender named “Mr. Slate’s Bank”. You must release the flow on both the client side (with the CLIENT_ACCEPTED event) and the server side (in the SERVER_CONNECTED event):

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   when CLIENT_ACCEPTED {    
   # prepare for releasing the flow down to the ePVA    
   BIGTCP::release_flow
   }
   when FIX_HEADER {    # (same as above example, with an additional sender)    
   set MsgType [FIX::tag get 35]    
   if { $MsgType eq "A" } {  # an A message is a logon message        
   # record the sender and the target        
   set SenderCompID [FIX::tag get 49]        
   set TargetCompID [FIX::tag get 56]              
   # log the event - a new FIX stream is being created        
   log "FIX header: Sender $SenderCompID, Target $TargetCompID"        
   # choose a server pool based on the name of the sender        
   switch $SenderCompID {            
   "Fred's Bank"      { pool FIX1 }            
   "Wilma's Bank"     { pool FIX2 }            
   "Barney's Bank"    { pool FIX3 }            
   "Mr. Slate's Bank" { pool FIX4 }        
   }    
   }
   }
   when SERVER_CONNECTED {
       if {$SenderCompID eq "Mr. Slate's Bank"}{
           # Mr. Slate's Bank sent this, so lower the latency
           log local0. "Detected $SenderCompID - releasing flow to ePVA"
           BIGTCP::release_flow
       }
   }

   The previous code sends all FIX streams through standard FIX-profile processing except the one(s) from “Mr. Slate’s Bank”, which goes through the ePVA.

5. Click Finished.

The iRule is now available. You can use this iRule in a virtual server that also offers a FIX profile and the low latency of Fast L4.

Implementation result

This implementation configures a BIG-IP® system to manage electronic trading functionality, optimizing the system.