FIX seems the most used protocol, even for connecting to stock exchange. It was primally designed for semi manual order processing between trading desks.
As you may notice, it is a open protocol with a flat structure mixing element from different protocols layers.
Note that the implementation is very dependent of the interpretation of various tags or the usage of private tags.
In fact each installation of this kind of gateway needs lot of testing. Testing experience as well as specific knowledge of each market (cash equities, derivatives, forex, commodities, ...) is of main importance in this business.
Note that the protocol is very crude about security and authentication.
