FIX Protocol Bridge

Status: Archived (concepts active) | Era: 2022-2023 | Repository: LAG_Openbook_FIX_Server-main

The FIX (Financial Information eXchange) Server was designed to bridge traditional forex systems with decentralized exchanges, enabling institutional traders to access on-chain liquidity through standard financial protocols.

Overview

Purpose

Enable traditional financial institutions to interact with DeFi markets using familiar FIX protocol standards, reducing integration complexity and regulatory friction.

FIX Protocol

FIX 4.4 is the industry standard for electronic trading communication:

Message Type	Tag	Description
New Order Single	D	Submit new order
Execution Report	8	Order status/fill
Order Cancel Request	F	Cancel pending order
Market Data Request	V	Subscribe to prices
Market Data Snapshot	W	Price update

Architecture

System Design

┌─────────────────────────────────────────────────────────────┐
│                    Traditional Forex                         │
│  ┌─────────┐   ┌─────────┐   ┌─────────────────────────┐    │
│  │ MT4/MT5 │   │ FIX API │   │ Institutional Platform │    │
│  └────┬────┘   └────┬────┘   └────────────┬────────────┘    │
│       │             │                      │                 │
└───────┼─────────────┼──────────────────────┼─────────────────┘
        │             │                      │
        └─────────────┼──────────────────────┘
                      │
              ┌───────▼───────┐
              │  FIX Gateway  │
              │  (Lagrange)   │
              │               │
              │ - Session Mgmt│
              │ - Order Route │
              │ - Price Agg   │
              └───────┬───────┘
                      │
        ┌─────────────┼─────────────┐
        │             │             │
        ▼             ▼             ▼
   ┌─────────┐  ┌─────────┐  ┌─────────┐
   │ Serum   │  │ Raydium │  │ Orca    │
   │ DEX     │  │ AMM     │  │ Whirl-  │
   │         │  │         │  │ pools   │
   └─────────┘  └─────────┘  └─────────┘

Message Flow

// FIX message handling
interface FIXMessage {
  header: {
    msgType: string;      // Tag 35
    senderCompID: string; // Tag 49
    targetCompID: string; // Tag 56
    msgSeqNum: number;    // Tag 34
    sendingTime: Date;    // Tag 52
  };
  body: Record<string, string>;
  trailer: {
    checkSum: string;     // Tag 10
  };
}

// New Order Single (Tag 35=D)
interface NewOrderSingle {
  clOrdID: string;        // Tag 11 - Client order ID
  symbol: string;         // Tag 55 - Trading symbol
  side: '1' | '2';       // Tag 54 - 1=Buy, 2=Sell
  ordType: '1' | '2';    // Tag 40 - 1=Market, 2=Limit
  price?: number;         // Tag 44 - Limit price
  orderQty: number;       // Tag 38 - Quantity
  timeInForce: string;    // Tag 59 - GTC, IOC, FOK
}

Implementation

Session Management

// FIX session handler
class FIXSession {
  private heartbeatInterval: number = 30;
  private inSeqNum: number = 1;
  private outSeqNum: number = 1;

  async handleLogon(message: FIXMessage): Promise<void> {
    // Validate credentials
    const { username, password } = extractCredentials(message);
    await this.authenticate(username, password);

    // Send logon acknowledgment
    await this.sendMessage({
      msgType: 'A',  // Logon
      heartBtInt: this.heartbeatInterval,
    });
  }

  async handleNewOrder(message: NewOrderSingle): Promise<void> {
    // Validate order parameters
    this.validateOrder(message);

    // Route to appropriate DEX
    const dex = this.selectDex(message.symbol);
    const result = await dex.placeOrder(message);

    // Send execution report
    await this.sendExecutionReport({
      clOrdID: message.clOrdID,
      ordStatus: result.status,
      execType: result.type,
      cumQty: result.filledQty,
      avgPx: result.avgPrice,
    });
  }
}

Price Aggregation

// Multi-source price aggregation
class PriceAggregator {
  private sources: PriceSource[] = [];

  async getBestPrice(symbol: string, side: 'buy' | 'sell'): Promise<Price> {
    const quotes = await Promise.all(
      this.sources.map(s => s.getQuote(symbol))
    );

    // Find best execution price
    return quotes.reduce((best, quote) => {
      if (side === 'buy') {
        return quote.ask < best.ask ? quote : best;
      } else {
        return quote.bid > best.bid ? quote : best;
      }
    });
  }

  // Market data broadcast
  async broadcastMarketData(symbol: string): Promise<void> {
    const price = await this.getBestPrice(symbol);

    await this.broadcast({
      msgType: 'W',  // Market Data Snapshot
      symbol,
      bidPx: price.bid,
      askPx: price.ask,
      bidSize: price.bidSize,
      askSize: price.askSize,
    });
  }
}

What Evolved

Current Influence

While the FIX bridge itself was archived, its concepts influenced:

FIX Concept	Current Implementation
Protocol standards	GraphQL API standards
Order routing	Multi-chain bridge architecture
Price aggregation	Price oracle system
Session management	Privy authentication

Bridge.xyz Integration

The fiat-to-crypto bridge concept evolved into our Bridge.xyz integration:

FIX Bridge (Lagrange)     →    Bridge.xyz (fXYZ)
─────────────────────────────────────────────────
Forex ↔ Crypto            →    Fiat ↔ Crypto
FIX 4.4 protocol          →    REST/GraphQL API
MT4/MT5 integration       →    Banking rails (ACH, SEPA)
Institutional focus       →    Consumer + institutional

Technical Details

Supported Features

Feature	Status	Notes
Logon/Logout	Implemented	Standard FIX session
New Order Single	Implemented	Market and limit orders
Order Cancel	Implemented	Full cancel support
Market Data	Implemented	Real-time streaming
Execution Reports	Implemented	Fill notifications
Mass Quote	Planned	Never completed

Message Examples

New Order (Buy 100 SOL at limit $95):

8=FIX.4.4|9=148|35=D|49=CLIENT|56=LAGRANGE|
34=2|52=20230615-10:30:00|11=ORD001|
55=SOL/USD|54=1|40=2|38=100|44=95.00|
59=0|10=234|

Execution Report (Filled):

8=FIX.4.4|9=189|35=8|49=LAGRANGE|56=CLIENT|
34=2|52=20230615-10:30:01|37=EXE001|
11=ORD001|17=FILL001|150=F|39=2|
55=SOL/USD|54=1|38=100|32=100|
31=94.85|6=94.85|14=100|151=0|10=156|

Lessons Learned

What Worked

Standard Protocol: FIX familiarity reduced institutional onboarding friction
Price Aggregation: Multi-source pricing improved execution quality
Session Reliability: Heartbeat and sequence recovery ensured reliability

What Didn't Work

Serum Dependency: Platform shutdown made the bridge obsolete
Complexity: Maintaining FIX compliance required significant resources
Latency: On-chain settlement slower than traditional forex expectations

Archive Location

archive/fxyz-knowledge-project/old-projects/lagrange-repos/LAG_Openbook_FIX_Server-main/
├── src/
│   ├── fix/
│   │   ├── session.ts
│   │   ├── messages.ts
│   │   └── parser.ts
│   ├── dex/
│   │   ├── serum.ts
│   │   └── aggregator.ts
│   └── server.ts
├── config/
│   └── fix-spec.xml
└── package.json

FIX Protocol Bridge

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