FIX Message Parser & Execution Break Simulator

A trading operations portfolio project that parses simulated FIX execution-report messages, reconciles them against internal order records and broker drop-copy-style records, and generates exception reports for trade support investigation.

Important: All data in this repository is simulated. This project does not use real broker, OMS, EMS, hedge fund, client, exchange, or proprietary trading data.

Why This Project Exists

Trading Operations, Trade Support, and Production Support teams often investigate issues such as missing execution reports, stale orders, rejected orders, broker discrepancies, duplicate execution IDs, and order-state breaks.

This project is meant to demonstrate those workflows in a student-accessible way using Python, SQL, SQLite, pandas, CSV files, pytest, and GitHub Actions.

What the Project Demonstrates

• Parse simulated FIX tag-value execution reports.
• Convert raw FIX messages into structured CSV rows.
• Understand core order lifecycle states: New, Partially Filled, Filled, Rejected, and stale/open.
• Reconcile internal orders, FIX reports, broker drop-copy records, and expected order states.
• Detect common trade support exceptions using SQL.
• Generate CSV exception reports for investigation.
• Maintain a simple operational runbook.
• Validate parser and reconciliation behavior with automated tests and CI.

Core FIX Concepts Used

FIX messages are commonly represented as tag-value pairs. For readability, this project uses the pipe character | as the delimiter in sample files. Real FIX messages typically use the SOH delimiter.

Example simulated execution report:

8=FIX.4.2|35=8|49=BROKER1|56=CLIENT1|34=2|52=2026-06-14 09:30:07|37=B-1001|11=ORD-1001|17=E-1001-F1|150=1|39=1|55=AAPL|54=1|38=1000|32=400|31=190.2200|151=600|14=400|6=190.2200|10=002|

Tag	Field	Meaning in this project
35	MsgType	Message type. 35=8 means Execution Report.
11	ClOrdID	Client order ID from the internal system.
37	OrderID	Broker-assigned order ID.
17	ExecID	Broker execution identifier. Should be unique per execution event.
150	ExecType	Event type, such as New, Partial Fill, Fill, or Reject.
39	OrdStatus	Current order status after the event.
55	Symbol	Instrument ticker in this simulation.
54	Side	1=BUY, 2=SELL.
38	OrderQty	Original order quantity.
32	LastQty	Quantity executed on the current execution report.
31	LastPx	Price for the current execution.
151	LeavesQty	Remaining open quantity.
14	CumQty	Cumulative executed quantity.
6	AvgPx	Average execution price so far.

Repository Structure

.
├── .github/workflows/ci.yml
├── data/
│   ├── raw/fix_messages.txt
│   ├── input/internal_orders.csv
│   ├── input/broker_drop_copy.csv
│   ├── input/expected_order_states.csv
│   └── generated/fix_execution_reports.csv
├── db/
├── reports/exceptions/
├── sql/
│   ├── schema.sql
│   └── reconciliation_queries.sql
├── src/fixops/
│   ├── config.py
│   ├── fix_parser.py
│   ├── generate_sample_data.py
│   ├── load_db.py
│   └── reconcile.py
├── tests/
│   ├── test_parser.py
│   └── test_reconciliation.py
├── PROJECT_SCOPE.md
├── RUNBOOK.md
├── Makefile
├── pyproject.toml
└── requirements.txt

Data Files

File	Purpose
data/raw/fix_messages.txt	Raw simulated FIX execution-report messages.
data/input/internal_orders.csv	Internal order records from a simulated order-management source.
data/generated/fix_execution_reports.csv	Parsed structured output from the FIX parser.
data/input/broker_drop_copy.csv	Broker/drop-copy-style execution data.
data/input/expected_order_states.csv	Expected final order states used for status reconciliation.

Reconciliation Controls

The project generates separate CSV reports for:

1. Missing execution report
2. Missing broker drop copy
3. Rejected order
4. Stale open order
5. Quantity mismatch
6. Price mismatch
7. Side mismatch
8. Symbol mismatch
9. Order status mismatch
10. Duplicate ExecID
11. Unexpected fill
12. CumQty / LeavesQty inconsistency

Reports are written to:

reports/exceptions/

Quickstart

python -m venv .venv
source .venv/bin/activate  # Windows PowerShell: .venv\Scripts\Activate.ps1
python -m pip install -r requirements.txt
make run

Or run each step manually:

python -m fixops.generate_sample_data
python -m fixops.fix_parser
python -m fixops.load_db
python -m fixops.reconcile

Expected terminal output from reconciliation:

Reconciliation complete. Exception report counts:
- missing_execution_report: 1
- missing_broker_drop_copy: 1
- rejected_order: 1
- stale_open_order: 3
- quantity_mismatch: 1
- price_mismatch: 1
- side_mismatch: 1
- symbol_mismatch: 1
- order_status_mismatch: 2
- duplicate_exec_id: 1
- unexpected_fill: 1
- cumqty_leavesqty_inconsistency: 1

Run Tests

pytest

GitHub Actions runs tests on Python 3.10, 3.11, and 3.12 and also runs the end-to-end sample pipeline.

Example Exception Report

reports/exceptions/duplicate_exec_id.csv

exec_id	duplicate_count	cl_ord_ids	exception_reason
E-DUP-900	2	ORD-1009, ORD-1009	Same ExecID appears multiple times in the FIX execution-report stream

Suggested Commit Sequence

1. Initialize project structure and documentation
2. Add simulated order and broker datasets
3. Implement FIX execution report parser
4. Add SQLite schema and database loader
5. Implement reconciliation controls and exception exports
6. Add parser and reconciliation tests
7. Add GitHub Actions CI workflow
8. Expand README with runbook, interview notes, and resume bullets

Disclaimer

This repository is a portfolio simulation. It does not connect to a live FIX session, broker, OMS, EMS, execution venue, hedge fund system, or trading database.

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Sample Reconciliation Output

Running the pipeline produces CSV exception reports under:

reports/exceptions/
## Documentation

Additional project documentation:

- [Project Scope](PROJECT_SCOPE.md)
- [Operational Runbook](RUNBOOK.md)
- [Data Dictionary](docs/DATA_DICTIONARY.md)
- [Sample Trade Support Investigation](docs/SAMPLE_INVESTIGATION.md)