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  3. Configuring the BIG-IP System for Electronic Trading
Manual Chapter : Configuring the BIG-IP System for Electronic Trading

Applies To:

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BIG-IP AAM

  • 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0

BIG-IP APM

  • 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0

BIG-IP Analytics

  • 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0

BIG-IP Link Controller

  • 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0

BIG-IP LTM

  • 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0

BIG-IP PEM

  • 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0

BIG-IP AFM

  • 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0

BIG-IP DNS

  • 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0

BIG-IP ASM

  • 14.1.5, 14.1.4, 14.1.3, 14.1.2, 14.1.0, 14.0.1, 14.0.0
Manual Chapter

Configuring the BIG-IP System for Electronic Trading

Overview: Configuring the BIG-IP system for electronic trading

The BIG-IP® system Local Traffic Manager (LTM) FIX profile provides you with the ability to use Financial Information eXchange (FIX) protocol messages in routing, load balancing, persisting, and logging connections. The BIG-IP system uses the FIX profile to examine the header, body, and footer of each FIX message, and then process each message according to the parameters that it contains.
The BIG-IP system supports FIX protocol versions 4.2, 4.4, and 5.0, and uses the key-value pair FIX message format.
You cannot configure or use the BIG-IP FIX Profile to provide low-latency electronic trading functionality. Instead, you must implement low-latency electronic trading functionality separately. Refer to
Implementing Low-Latency Electronic Trading Functionality
 for details.

Task summary for implementing electronic trading

There are several tasks you can perform to implement electronic trading.

Creating a data group list for a FIX profile

You can create a data group list for a FIX profile that enables you to provide tag substitution, as required.
  1. On the Main tab, click
    Local Traffic
    iRules
    Data Group List
    .
    The Data Group List screen opens, displaying a list of data groups on the system.
  2. Click
    Create
    .
    The New Data Group screen opens.
  3. In the
    Name
     field, type a unique name for the data group.
  4. From the
    Type
     list, select
    Integer
    .
  5. Using the
    Integer Records
     setting, create tag mapping entries consisting of an integer (client tag) and a value (server tag):
    1. In the
      Integer
       field, type a value to be used for a specific client.
    2. In the
      Value
       field, type a value that is substituted on the server.
    3. Click
      Add
      .
      The new mapping between the integer and corresponding value appears in the list of Integer Records.
  6. Click
    Finished
    .
    The new data group appears in the list of data groups.
A data group list for a FIX profile is available.

Creating a FIX profile for electronic trading

You can create a FIX profile for electronic trading, and steer traffic in accordance with specified parameters.
  1. On the Main tab, click
    Local Traffic
    Profiles
    Services
    FIX
    .
    The 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. From the
    Message Log Publisher
     list, select the publisher for message logging.
  8. In the
    Rate Sample Interval
     field, type the sample interval, in seconds, for the message rate.
  9. From the
    Error Action
     list, select one of the following settings.
    • Don't Forward
       (default) to drop a message with errors and not forward it.
    • Drop Connection
       to disconnect the connection.
  10. Select the
    Quick Parsing
     check box to parse the basic standard fields, and validate the message length and checksum.
  11. Select the
    Response Parsing
     check box to parse the messages from the FIX server, applying the same parser configuration and error handling for the server as for the client.
  12. Select the
    Fully Parse Logon Message
     check box to fully parse the logon message, instead of using quick parsing.
  13. From the
    Sender and Tag Substitution Data Group Mapping
     list, select one of the following settings.
    Setting
    Description
    Not Configured
     (default)
    Disables the tag substitution map between sender ID and tag substitution data group.
    Specify
    Provides the
    Mapping List
     settings for you to configure as required.
    1. In the
      Sender
       field, type a sender ID that represents the identity of the firm sending the message.
      Example:
      client1
    2. In the
      Data Group
       field, type a tag substitution data group.
      Example:
      FIX_tag_map
    3. Click
      Add
      .
  14. Click
    Finished
    .
The FIX profile is configured for electronic trading.

Creating a load balancing pool

Ensure that at least one virtual server exists in the configuration before you start to create a load balancing pool.
Create a pool of systems with Access Policy Manager to which the system can load balance global traffic.
  1. On the Main tab, click
    DNS
    GSLB
    Pools
    .
    The Pool List screen opens.
  2. Click
    Create
    .
    The New Pool screen opens.
  3. In the General Properties area, in the
    Name
     field, type a name for the pool.
    Names must begin with a letter, and can contain only letters, numbers, and the underscore (_) character.
    The pool name is limited to 63 characters.
  4. From the
    Type
     list, depending on the type of the system (IPv4 or IPv6), select either an
    A
     or
    AAAA
     pool type.
  5. In the Configuration area, for the
    Health Monitors
     setting, in the
    Available
     list, select a monitor type, and move the monitor to the
    Selected
     list.
    Hold the Shift or Ctrl key to select more than one monitor at a time.
  6. In the Members area, for the
    Load Balancing Method
     settings, select a method that uses virtual server score:
    • VS Score - If you select this method, load balancing decisions are based on the virtual server score only.
    • Quality of Service - If you select this method, you must configure weights for up to nine measures of service, including
      VS Score
      . Virtual server score then factors into the load balancing decision at the weight you specify.
  7. For the
    Member List
     setting, add virtual servers as members of this load balancing pool.
    The system evaluates the virtual servers (pool members) in the order in which they are listed. A virtual server can belong to more than one pool.
    1. Select a virtual server from the
      Virtual Server
       list.
    2. Click
      Add
      .
  8. Click
    Finished
    .

Creating a virtual server for secure electronic trading

You first need to configure a FIX profile before configuring a virtual server for electronic trading.
You can configure a virtual server for electronic trading, using a FIX profile.
  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. For the
    Destination Address/Mask
     setting, confirm that the
    Host
     button is selected, and type the IP address in CIDR format.
    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.
    The IP address you type must be available and not in the loopback network.
  5. In the
    Service Port
     field, type the port number used for the FIX message.
  6. From the
    Configuration
     list, select
    Advanced
    .
  7. From the
    Protocol
     list, select
    TCP
    .
  8. From the
    Protocol Profile (Client)
     list, select a predefined or user-defined TCP profile.
  9. For the
    SSL Profile (Client)
     setting, from the
    Available
     list, select
    clientssl
    , and using the Move button, move the name to the
    Selected
     list.
  10. For the
    SSL Profile (Server)
     setting, from the
    Available
     list, select
    serverssl
    , and using the Move button, move the name to the
    Selected
     list.
  11. From the
    FIX Profile
     list, select the FIX profile you want to assign to the virtual server.
  12. In the Resources area of the screen, from the
    Default Pool
     list, select the relevant pool name.
  13. Click
    Finished
    .
A virtual server is configured for electronic trading, using a FIX profile.

Viewing FIX message statistics

You can view various statistics specific to FIX profile traffic.
  1. On the Main tab, click
    Local Traffic
    Virtual Servers
    Statistics
    .
    The Virtual Servers statistics screen opens.
  2. From the
    Statistics Type
     list, select
    Profiles Summary
    .
  3. In the Global Profile Statistics area, for the Profile Type
    FIX
    , click
    View
     in the Details.
    The system displays information about the number of current connections, the number of messages, the total message size, and the number of messages in the last sample interval.
The FIX profile statistics are available.

Implementation result

This implementation configures a BIG-IP® system to manage electronic trading functionality, provides you with the ability to use Financial Information eXchange (FIX) protocol messages.
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