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Exchange FIX Best Practices

Optimize Traffic

To optimize your FIX set up, spread traffic over as many portfolios as possible to minimize order-entry latencies.

You should adhere to the following:

  • 1 API key per session/connection to guarantee a connection
  • 75 maximum connections per profile
  • 175 maximum connections per user across all profiles

Batch Messages

We strongly recommend batch messages for both order entry and cancellation.

Batch Requests:

  • Can have up to 15 orders / cancels per request.
  • Only count for a single message for the purposes of rate limiting.
  • Can be more efficient to process compared to the equivalent individual requests.

Available batch messages are:

Modify Order Requests

We strongly recommend Modify Order Requests where applicable.

Modify Order Requests:

  • Keep your place in the order book queue when size is amended down.
  • Result in 50% fewer messages when compared to canceling an existing order and placing a new one.
  • Reduce your overall rate limit usage when compared to sending a cancellation followed by a new order.
  • Can be more efficient to process compared to the equivalent individual cancel and new order requests.

For rate limits, see FIX API Rate Limits.

Drop Copy Session

Enabling DropCopyFlag="Yes" (9406=Y) configures your session to receive execution reports across all active sessions for the same profile.

We recommend that you enable DropCopyFlag on a separate, read-only session:

  • Execution latencies are higher for Drop Copy sessions because the same connection handles more read traffic.
  • Multiple Drop Copy sessions produce multiple copies of redundant data.

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