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Financial Information eXchange

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783: 379:(0x01). The tag is an integer that indicates the meaning of the field. The value is an array of bytes that hold a specific meaning for the particular tag (e.g. tag 48 is SecurityID, a string that identifies the security; tag 22 is IDSource, an integer that indicates the identifier class being used). The values may be in plain text or encoded as pure binary (in which case the value is preceded by a length field). The FIX protocol defines meanings for most tags, but leaves a range of tags reserved for private use between consenting parties. 43: 140:. FIX initially addressed information between broker-dealers and their institutional clients. At the time, this information was communicated verbally over the telephone. Fidelity realized that information from their broker-dealers could be routed to the wrong trader, or simply lost when the parties hung up their phones. It wanted such communications to be replaced with 383:
their length. The message is broken into three distinct sections: the head, body and tail. Fields must remain within the correct section and within each section, the position may be important as fields can act as delimiters that stop one message from running into the next. The final field in any FIX message is tag 10 (
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latency advantages, performance is more deterministic because SBE messages are constrained by templates and fixed-length data elements are preferred. Another consequence is that fields are generally at a fixed position so that message filters and routers do not need to crack an entire message to access key fields.
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The FIX protocol also defines sets of fields that make a particular message; within the set of fields, some will be mandatory and others optional. The ordering of fields within the message is generally unimportant, however repeating groups are preceded by a count and encrypted fields are preceded by
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The original FIX session protocol did not have its own name since it was part of a monolithic specification covering application layer semantics and message encoding as well. However, starting with FIX version 5.0, the session layer was split off as an independent specification with the introduction
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Originally, the FIX standard was monolithic, including application layer semantics, message encoding, and session layer in a single technical specification. It remained monolithic through FIX version 4.2. Thereafter, message encodings and session layer specifications began to be split into separate
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To provide low latency, binary message encodings are supported both for session layer and application messages. The actual wire format is abstracted in the FIXP specification, so users may select a FIX encoding of their choice, so long as peers agree on a protocol to use. Early development has used
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FIXT is a point-to-point protocol. It guarantees message delivery in both directions. Messages sent in each direction carry a message sequence number in the message header. If there is a communication fault, a peer may request retransmission of missed messages. Message delivery is supported even in
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The FIX Trading Community is a non-profit, industry-driven standards body with a mission to address the business and regulatory issues impacting multi-asset trading across the global financial markets through the increased use of standards, including the FIX Protocol messaging language, delivering
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FIX Trading Community publishes an XML schema for SBE message schemas. A message schema may contain any number of message templates. A template describes the fields that constitute a message. Additionally, a schema provides a listing of simple and composite data types that may be reused by any
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There are two main groups of messages—admin and application. The admin messages handle the basics of a FIX session. They allow for a session to be started and terminated and for recovery of missed messages. The application messages deal with the sending and receiving of trade-related information
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Simple Binary Encoding defines a wire format using primitive data types that are native to computing systems. Message encoding and decoding is therefore much lower latency than character-based protocols since no translation is needed to put data into a format that computers can use. Aside from
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Delivery guarantees may be asymmetrical. For example, a trader may enter orders over an idempotent flow while executions are returned over a recoverable flow. In fast moving markets, the delay inherent in retransmission is often undesirable, resulting in missed opportunities or bad trades.
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SBE was developed by the FIX High Performance Working Group to support high performance trading. Tagvalue encoding was deemed no longer fit-for-purpose since it is character based rather than binary and its variable-length fields and messages result in non-deterministic performance.
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256. For example, in the message above, the summation of all ASCII values (including the SOH characters with ASCII value 1) results in 4158. Performing the modulo operation gives the value 62. Since the checksum is composed of three characters, this results in
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of FIXT. FIXT was largely the same as the original unnamed session layer in version 4.x, but it offered one significant innovation--it provided a mechanism to mix FIX application layer versions over a common session version. The current FIXT version is 1.1.
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The original FIX message encoding is known as tagvalue encoding. Each field consists of a unique numeric tag and a value. The tag identifies the field semantically. Therefore, messages are self-describing. Tagvalue encoding is character-based, using
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alone, financial service entities are employing direct market access (DMA) to increase their speed to financial markets. Managing the delivery of trading applications and keeping latency low increasingly requires an understanding of the FIX protocol.
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8=FIX.4.2 | 9=178 | 35=8 | 49=PHLX | 56=PERS | 52=20071123-05:30:00.000 | 11=ATOMNOCCC9990900 | 20=3 | 150=E | 39=E | 55=MSFT | 167=CS | 54=1 | 38=15 | 40=2 | 44=15 | 58=PHLX EQUITY TESTING | 59=0 | 47=C | 32=0 | 31=0 | 151=15 | 14=0 | 6=0 | 10=128
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FIXML is an XML schema for FIX messages. It is semantically equivalent to tagvalue encoded messages but takes advantage of XML parser technology. FIXML is commonly used for back-office and clearing applications rather than trading.
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Unlike tagvalue and FIXML, an SBE message is not self-describing. Only data is sent on the wire with a minimal header to identify the template that controls a message. Metadata that describes a message layout is exchanged
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The latest version of FIX Protocol implements "Transport Independence" by permitting multiple versions of application messages to be carried over a single version of Transport Independent FIX Session (FIXT.1.1 and higher).
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FIXP was developed by the FIX High Performance Working Group to meet the needs of high performance trading. The primary need is for low latency message encoding and decoding and control over message delivery guarantees.
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From a practical perspective, assuming a C/C++ implementation, and adjusting for endianness: most non-composite types in the message directly map to the same type in the language. For example, 32-bit integer maps to
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from the schema definition. Then, given a pointer to a message buffer, accessing non-composite fields of the message amount to type-casting it to a pointer to structure and accessing structure members directly.
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According to the FIX Trading Community, FIX has become the de facto messaging standard for pre-trade and trade communication in the global equity markets, and is expanding into the post-trade space to support
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Unsequenced: makes no delivery guarantees. This choice is appropriate if guarantees are unnecessary or if recovery is provided at the application layer or through a different communication channel.
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8=FIX.4.2|9=65|35=A|49=SERVER|56=CLIENT|34=177|52=20090107-18:15:16|98=0|108=30|10=062| ^ 5 + 10 + 10 + 7 + 21 + 5 + 7 ^ = 65
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Further, in 2020, the FIX Trading Community released a new FIX binary encoding, based on Simple Binary Encoding (SBE), meant to complement the existing FAST encoding.
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Idempotent: at-most-once delivery. If gaps are detected, the sender is notified, but recovery is under the control of the application, if it is done at all.
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FIX has become the standard electronic protocol for pre-trade communications and trade execution. Although it is mainly used for equity transactions in the
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The FIX protocol specification was originally authored in 1992 by Robert "Bob" Lamoureux and Chris Morstatt to enable electronic communication of
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which could then be shared among traders, analyzed, acted on and stored. For example, broker-dealers call with an indication of interest (
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The body length is the character count starting at tag 35 (included) all the way to tag 10 (excluded), including trailing SOH delimiters.
1407: 1167:- a Wiki dedicated to FIX. A specification reference tool like FIXimate but because it is a wiki it also allows user notes and feedback 782: 375:
FIX messages are formed from several fields; each field has a tag value pairing that is separated from the next field by a delimiter
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messaging, FIX is the standard for front office messaging. However, today, the membership of FIX Protocol Ltd. is extending FIX into
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Recoverable: exactly-once message delivery. If gaps are detected, then missed messages may be recovered by retransmission.
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To implement session establishment and guaranteed delivery, FIXT and classic FIX 4.x define these session message types:
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written in shell script with sed that runs fast natively on Unix/Linux, in need of updating to the latest FIX version.
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When a point-to-point session is established, peers negotiate delivery guarantees from among the following choices:
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FIX Trading Community has also developed standard mappings between FIX and other message protocols, including:
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operational efficiency, increased transparency, and reduced costs and risk for all market participants.
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in the Open Systems Interconnection model (OSI model), is responsible for the wire format of messages.
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allocation and other phases of the trading process, in every market, for virtually every asset class.
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such as an order request or information on the current state and subsequent execution of that order.
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A message is composed of a header, a body, and a trailer. The message fields are separated by the
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Below is a diagram of how to FIX messaging looks between Buyside/Customer and Sellside/Supplier.
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The session layer is responsible for message exchange including checkpoint recovery mechanisms.
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area, bond derivatives and FX-transactions are also possible. One could say that whereas
1193:- an online FIX dictionary browser for all FIX versions, including a FIX message parser 210: 148:) to buy or sell a block of stock. The FIX initiative created new messages such as the 1174: 982: 1366: 1334:- Online FIX Resource including detailed notes on usage (versions 4.0, 4.2, 5.0 SP2). 1331: 1220: 1216: 1212: 1208: 1204: 1200: 824: 820: 798: 245:
documents, and ultimately, FIX evolved into a family of related technical standards.
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value of all characters in the message (except for the checksum field itself), then
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Theoretically, FIXT is transport independent. However, it is usually employed over
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The example below (displayed with SOH delimiters as '|') has a body length of 65:
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initiated in 1992 for international real-time exchange of information related to
1173:- a comprehensive tool for exploring all FIX Protocol versions (4.0 - 5.0 SP2), 924: 831: 802: 749:
FIXP covers both point-to-point and multicast use cases with common primitives.
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The checksum of a FIX message is always the last field in the message, with tag
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Note: No application messages should be sent in one direction of a session.
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transactions and markets. With trillions of dollars traded annually on the
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Transport Independence also paves the way for transport protocols such as
851: 384: 340: 190: 1340:- Free global trading journal and official magazine of the FIX Protocol. 1150: 948: 1356: 900: 846: 813: 116: 925:"FIX 4.2 Specification with 20010501 Errata • FIX Trading Community" 304:
From FIXT.1.1 / FIX.5.0, the header contains five or six fields: 8 (
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the event of disconnection and later reestablishment of a session.
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The content of the message body is defined by the message type (35
1309: 1299: 418: 283: 267: 225: 673: 31: 1319: 30:"FIXT" redirects here. For media company and record label, see 1289: 1279: 1269: 1259: 1249: 1239: 1146: 1067:"FIX Performance Session Layer (FIXP) • FIX Trading Community" 36: 885:. The FIX Protocol Organization. June 8, 2009. Archived from 1116:"Exploiting Financial Information Exchange (FIX) Protocol?" 812:
by the use of FIX Algorithmic Trading Definition Language
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FIX 4.2 : CheckSum <10> field | FIX Dictionary
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The trailer contains the last field of the message, 10 (
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Online Resource including usage notes on Rapid Addition
1149:- this official FIX Trading Community website contains 1164: 1019:"Simple Binary Encoding (SBE) • FIX Trading Community" 827:
is a binary protocol and is used mostly for sending
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and a 3 character value. It is given by summing the
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Up to FIX.4.4, the header contains three fields: 8 (
983:Appendix B - CheckSum Calculation | FIX Dictionary 344:), always expressed as a three-digit number (e.g. 1187:- an open source .NET FIX engine implementation. 805:to be used instead of traditional FIX over TCP. 1043:"FIX Transport (FIXT) • FIX Trading Community" 8: 1181:, covering session and application messages. 823:which stands for FIX Adapted for Streaming. 819:In 2005, the FIX Trading Community released 351:Example of a FIX message, Execution Report ( 1346:- Non-technical overview of FIX Protocol. 774:Diagrammatic representation of FIX system 87:Learn how and when to remove this message 50:This article includes a list of general 1091:"Home – High Performance Working Group" 949:"FIX Standards • FIX Trading Community" 874: 160:, as well as continuing to expand into 1398:Financial industry XML-based standards 1197:Full FIX Protocol Dictionary on Onixs 7: 863:List of electronic trading protocols 737:FIX Performance Session Layer (FIXP) 480:and so on. One can generate a C/C++ 854:, an open source FIX implementation 789:Latest developments in FIX protocol 901:"Overview • FIX Trading Community" 490:/* Generated struct from schema */ 359:) representing the SOH character: 56:it lacks sufficient corresponding 27:Electronic communications protocol 25: 781: 41: 995:"FIXML • FIX Trading Community" 261:Tagvalue encoding (classic FIX) 189:FIX is widely used by both the 1359:- an online FIX message parser 1130:"Simple Binary Encoding (SBE)" 193:(institutions) as well as the 101:Financial Information eXchange 1: 698:Transmission Control Protocol 1185:B2BITS FIX Antenna .NET Core 443:Simple Binary Encoding (SBE) 355:), with the pipe character ( 107:) protocol is an electronic 1393:Application layer protocols 1373:Financial routing standards 274:FIX tagvalue message format 158:straight-through processing 1429: 1408:Electronic trading systems 29: 476:, floating point maps to 324:) and the optional 1128 ( 253:Message encoding, called 197:(brokers/dealers) of the 1155:FIXimate FIX Dictionary 746:Simple Binary Encoding. 487: 240:Technical specifications 664:Google Protocol Buffers 109:communications protocol 71:more precise citations. 280:start of heading (SOH) 201:. Among its users are 1344:What is FIX Protocol? 1095:FIX Trading Community 1071:FIX Trading Community 1047:FIX Trading Community 1023:FIX Trading Community 999:FIX Trading Community 953:FIX Trading Community 929:FIX Trading Community 905:FIX Trading Community 889:on September 9, 2004. 834:via UDP connections. 610:"Traded %u of %s 472:, fixed strings maps 176:FIX Trading Community 142:machine-readable data 132:trading data between 688:FIX Transport (FIXT) 228:is the standard for 134:Fidelity Investments 1157:FIX Legacy Versions 858:SWIFT:Message Types 810:algorithmic trading 655:Other FIX encodings 1403:Financial software 1383:Financial metadata 1325:2019-07-01 at the 1315:2016-03-04 at the 1305:2019-07-01 at the 1295:2015-11-07 at the 1285:2015-11-07 at the 1275:2015-11-07 at the 1265:2015-11-07 at the 1255:2015-11-07 at the 1245:2015-11-07 at the 464:number of fields. 255:Presentation Layer 1413:Financial markets 1388:Network protocols 1171:B2BITS FIXopaedia 1147:FIX Protocol Ltd. 1114:DeMarco, Darren. 808:FIX now supports 680:Session protocols 335:) in the header. 249:Message encodings 199:financial markets 97: 96: 89: 16:(Redirected from 1420: 1191:Esprow FIX Tools 1134: 1133: 1132:. 21 March 2024. 1126: 1120: 1119: 1111: 1105: 1104: 1102: 1101: 1087: 1081: 1080: 1078: 1077: 1063: 1057: 1056: 1054: 1053: 1039: 1033: 1032: 1030: 1029: 1015: 1009: 1008: 1006: 1005: 991: 985: 980: 974: 969: 963: 962: 960: 959: 945: 939: 938: 936: 935: 921: 915: 914: 912: 911: 897: 891: 890: 879: 785: 650: 647: 644: 641: 638: 635: 632: 629: 626: 623: 620: 617: 614: 611: 608: 605: 602: 599: 598:incoming_message 596: 593: 590: 587: 584: 581: 578: 575: 572: 569: 566: 563: 560: 557: 554: 553:incoming_message 551: 548: 545: 542: 539: 536: 533: 530: 527: 524: 521: 518: 515: 512: 509: 506: 503: 500: 497: 494: 491: 483: 479: 475: 471: 429: 416: 366: 358: 354: 347: 343: 334: 327: 323: 319: 315: 311: 307: 300: 296: 292: 207:investment banks 162:foreign exchange 138:Salomon Brothers 92: 85: 81: 78: 72: 67:this article by 58:inline citations 45: 44: 37: 21: 1428: 1427: 1423: 1422: 1421: 1419: 1418: 1417: 1363: 1362: 1327:Wayback Machine 1317:Wayback Machine 1307:Wayback Machine 1297:Wayback Machine 1287:Wayback Machine 1277:Wayback Machine 1267:Wayback Machine 1257:Wayback Machine 1247:Wayback Machine 1143: 1138: 1137: 1128: 1127: 1123: 1113: 1112: 1108: 1099: 1097: 1089: 1088: 1084: 1075: 1073: 1065: 1064: 1060: 1051: 1049: 1041: 1040: 1036: 1027: 1025: 1017: 1016: 1012: 1003: 1001: 993: 992: 988: 981: 977: 970: 966: 957: 955: 947: 946: 942: 933: 931: 923: 922: 918: 909: 907: 899: 898: 894: 881: 880: 876: 871: 843: 791: 776: 739: 690: 682: 657: 652: 651: 648: 645: 642: 639: 636: 633: 630: 627: 624: 621: 618: 615: 612: 609: 606: 603: 600: 597: 594: 591: 588: 585: 582: 579: 576: 573: 570: 567: 564: 561: 558: 555: 552: 549: 546: 543: 541:consume_message 540: 537: 534: 531: 528: 525: 522: 519: 516: 513: 510: 507: 504: 501: 498: 495: 492: 489: 481: 477: 473: 469: 460:between peers. 445: 436: 427: 414: 411: 406: 402: 400: 397: 373: 363: 356: 352: 345: 339: 332: 325: 321: 317: 313: 309: 305: 298: 294: 290: 276: 263: 251: 242: 211:stock exchanges 187: 178: 126: 93: 82: 76: 73: 63:Please help to 62: 46: 42: 35: 28: 23: 22: 15: 12: 11: 5: 1426: 1424: 1416: 1415: 1410: 1405: 1400: 1395: 1390: 1385: 1380: 1375: 1365: 1364: 1361: 1360: 1354: 1347: 1341: 1335: 1329: 1236: 1194: 1188: 1182: 1168: 1162: 1153: 1142: 1141:External links 1139: 1136: 1135: 1121: 1106: 1082: 1058: 1034: 1010: 986: 975: 964: 940: 916: 892: 883:"What is FIX?" 873: 872: 870: 867: 866: 865: 860: 855: 849: 842: 839: 799:message queues 790: 787: 775: 772: 767: 766: 763: 760: 757: 738: 735: 734: 733: 730: 727: 724: 721: 718: 715: 712: 689: 686: 681: 678: 677: 676: 671: 666: 656: 653: 488: 444: 441: 435: 432: 410: 407: 404: 396: 393: 372: 369: 368: 367: 275: 272: 262: 259: 250: 247: 241: 238: 186: 183: 177: 174: 125: 122: 95: 94: 49: 47: 40: 26: 24: 14: 13: 10: 9: 6: 4: 3: 2: 1425: 1414: 1411: 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Index

FIX protocol
FiXT
references
inline citations
improve
introducing
Learn how and when to remove this message
communications protocol
securities
NASDAQ
equity
Fidelity Investments
Salomon Brothers
machine-readable data
IOI
IOI
straight-through processing
foreign exchange
fixed income
derivatives
buy side
sell side
financial markets
mutual funds
investment banks
stock exchanges
ECNs
front office
SWIFT
back office

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