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

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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.

Important: 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. Optional: From the Report Log Publisher list, select the publisher for error messages and status reports.
  7. Optional: 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.
    Important: 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.
    Tip: 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 the Create button.
    The New Virtual Server screen opens.
  3. In the Name field, type a unique name for the virtual server.
  4. In the Destination Address field, 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.
    Note: 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. Optional: 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. Optional: 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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