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Exchange FIX Order Entry Messages 4.2

About this API:

  • Baseline: FIX 4.2 SP2 specification. Includes tags from later FIX versions plus custom tags in the high number range as allowed by the standard.
  • Environments: Production, Sandbox
Environment URLs
  • Production: tcp+ssl://fix.exchange.coinbase.com:4198
  • Sandbox: tcp+ssl://fix-public.sandbox.exchange.coinbase.com:4198

A standard header must be present at the start of every message in both directions.

TagNameDescription
8BeginStringMust be FIX.4.2
49SenderCompIDClient API key (on messages from the client)
56TargetCompIDMust be Coinbase (on messages from the client)
999CoinbaseProductSeqResponse header only (returned on Execution Reports). Represents market sequence.
caution

New orders can only be placed when the number of open orders is below 500 for that given product.

Logon (A)

Sent by the client to initiate a session and by the server as an acknowledgement. Only one session may exist per connection; sending a Logon message within an established session is an error.

TagNameDescription
34MsgSeqNumMust be 1
98EncryptMethodMust be 0 (None)
108HeartBtIntMust be 30 (secs). Values greater are capped at 30. Server sends Test Request if client messages are not received in approximately (HeartBtInt x 1.5) seconds. Server terminates session if client messages are not received in approximately (HeartBtInt x 2 seconds).
141ResetSeqNumFlagIf set to Y, reset sequence numbers for both sides of the FIX session.
554PasswordClient API passphrase
96RawDataClient message signature (see below)
8013CancelOrdersOnDisconnectS: Batch cancel all open orders placed during session; Y: Batch cancel all open orders for the current profile. The latter is more performant and recommended.
9406DropCopyFlagIf set to Y, execution reports are generated for all user orders (defaults to Y).

The Logon message sent by the client must be signed for security. The signing method is described in Signing a Message. The prehash string is the following fields joined by the FIX field separator (ASCII code 1):

SendingTime, MsgType, MsgSeqNum, SenderCompID, TargetCompID, Password.

There is no trailing separator. The RawData field should be a base64 encoding of the HMAC signature.

// create a new Logon message
var logon = new Msgs.Logon();
logon.SendingTime = new Date();
logon.HeartBtInt = 30;
logon.EncryptMethod = 0;
logon.passphrase = '...';

var presign = [
logon.SendingTime,
logon.MsgType,
session.outgoing_seq_num,
session.sender_comp_id,
session.target_comp_id,
passphrase
].join('\x01');

// add the presign string to the RawData field of the Logon message
logon.RawData = sign(presign, secret);

// send the logon message to the server
session.send(logon);

function sign(what, secret) {
var key = Buffer.from(secret, 'base64');
var hmac = crypto.createHmac('sha256', key);
return hmac.update(what).digest('base64');
}
caution

To establish multiple FIX connections, generate a new API key for each one. The maximum is 75 connections per profile. Do not use a single API key for multiple connections at the same time.

caution

The value of SendingTime must be within 5 minutes of server time in UTC.

Logout (5)

Sent by either side to initiate session termination. The side which receives this message first should reply with the same message type to confirm session termination.

caution

Do not close a connection without logging out of the session first or it triggers an error.

New Order Single (D)

Sent by the client to enter an order. Each profile can place a maximum of 500 open orders on a product. Once reached, the profile cannot place any new orders until the total number of open orders is below 500.

TagNameDescription
11ClOrdIDUUID selected by client to identify the order
55SymbolRequired symbol to identify the new order, e.g., BTC-USD
54SideMust be 1 to buy or 2 to sell
44PriceLimit price (e.g., in USD) (Limit order only)
38OrderQtyOrder size in base units (e.g., BTC)
152CashOrderQtyOrder size in quote units (e.g., USD) (Market order only)
40OrdTypeMust be 1 for Market, 2 for Limit, or 4 for Stop Limit
99StopPxStop price for order
59TimeInForceMust be a valid TimeInForce value. See the table below (Limit order only)
111MaxFloorMaximum size within an order to be displayed. Must be > 10% of OrderQty
126ExpireTimeTime/Date (in UTC) of order expiration for Good Till Date (GTD) only. The order expires within one second after the specified time.
1109TriggerPriceDirectionThe side from which the trigger price (or last trade price) is reached.
Valid values:
  • U = Trigger if price goes UP to or through specified Trigger Price.
  • D = Trigger if price goes DOWN to or through specified Trigger Price.
Note: If OrdType = 4, 1109 is highly recommended. If OrdType != 4, 1109 is not needed.
7928SelfTradePreventionOptional, see the table below

SelfTradePrevention Values

ValueDescription
DDecrement and cancel (the default)
OCancel resting order
NCancel incoming order
BCancel both orders

If an order is decremented due to self-trade prevention, an Execution Report is sent to the client with ExecType=D indicating unsolicited OrderQty reduction (i.e., partial cancel).

See the self-trade prevention documentation for more details about this field.

Time In Force Values

ValuePolicyAbbr
1Good Till CancelGTC
3Immediate or CancelIOC
4Fill or KillFOK
6Good Till Date (90-day hard limit)GTD
PPost-Only (GTC & make liquidity only)
Post-Only

The post-only flag (P) indicates that the order should only make liquidity. If any part of the order results in taking liquidity, the order is rejected and no part of it executes. Open Post-Only orders are treated as Good Till Cancel.

See the Time In Force documentation for more details about these values.

Errors

If a trading error occurs (for example, the user has insufficient funds), an Execution Report with ExecType=8 is sent back, signifying that the order was rejected.

Iceberg Orders

See Iceberg Orders.

Take Profit Stop Loss Orders

See TPSL Orders.

New Order Batch (U6)

Sent by the client to create multiple orders. Maximum of 15 orders per message. All orders must have the same symbol.

Each profile can place a maximum of 500 open orders on a product. Once reached, the profile cannot place any new orders until the total number of open orders is below 500. If the total number of open orders in the batch causes the profile to exceed the 500 maximum, the entire batch is rejected.

TagNameDescription
8014BatchIDUUID selected by client to identify this New Order Batch request
73NoOrdersNumber of orders in this message (number of repeating groups to follow). Must be less than or equal to 15.
11ClOrdIDUUID selected by client for the order. Must be the first field in the repeating group.
55SymbolRequired symbol to identify the new order (e.g., BTC-USD)
54SideMust be 1 to buy or 2 to sell
44PriceLimit price (e.g., in USD)
38OrderQtyOrder size in base units (e.g., BTC)
40OrdTypeMust be 2 for Limit
59TimeInForceMust be a valid TimeInForce value
126ExpireTimeTime/Date (in UTC) of order expiration for Good Till Date (GTD) only. The order expires within one second after the specified time.
7928SelfTradePreventionOptional, see the table above

Order Cancel Request (F)

Sent by the client to cancel an order.

TagNameDescription
11ClOrdIDUUID selected by client to identify this cancel request
37OrderIDOrderID from the ExecutionReport with OrdStatus=New (39=0)
41OrigClOrdIDClOrdID from the New Order Single. When supplying this value, you do not need to supply an OrderID.
55SymbolRequired symbol of the order to cancel (must match Symbol of the Order).
58TextFree format text string

Order Status Request (H)

Sent by the client to obtain information about pending and done orders.

TagNameDescription
37OrderIDOrderID of order to be sent back.
11ClOrdIDClOrdID of order to be sent back. When supplying this value, you do not need to supply an OrderID.
55SymbolRequired symbol to identify the order, e.g., BTC-USD

Response

The response to an Order Status Request is an ExecutionReport with ExecType=I. The ExecutionReport contains the ClOrdID if the value is supplied. If the order cannot be found, the ExecutionReport has OrderID=0.

Order Cancel Batch Request (U4)

Sent by the client to cancel multiple orders. Maximum of 15 orders per message. All orders must have the same symbol.

TagNameDescription
8014BatchIDUUID selected by client to identify this Order Batch Cancel Request
73NoOrdersNumber of orders in this message (number of repeating groups to follow). Must be less than or equal to 15.
41OrigClOrdIDUUID selected by client for the order. Must be the first field in the repeating group.
55SymbolRequired symbol of the order to cancel (must match Symbol of the Order)
37OrderIDOrderID from the ExecutionReport with OrdStatus=New (39=0). If present, this field takes precedence over OrigClOrdID to identify the order (optional).
11ClOrdIDUUID selected by client to identify this cancel request

Response

When the message is invalid or an unexpected error occurs, an Order Cancel Batch Reject (U5) message is sent. When orders are cancelled, an Execution Report (8) is sent for each order canceled. When Order Cancel Batch Request (U4) is partially rejected (i.e., some orders are filled or already canceled), Order Cancel Reject (9) is sent for each rejected cancel.

Execution Report (8)

Sent by the server when an order is accepted, rejected, filled, or canceled. Also sent when the user sends an OrderStatusRequest.

TagNameDescription
6AvgPxCalculated average price of all fills on this order. Only popluates Exec Report if CumQty > 0
11ClOrdIDOnly present on order acknowledgements, ExecType=New (150=0)
14CumQtyCurrently executed quantity for chain of orders. Populates Exec Report when:
  • 39=0 ⇒ OrdStatus = New
  • 39=1 ⇒ OrdStatus = Partially filled
  • 39=3 ⇒ OrdStatus = Done for day
  • 39=5 ⇒ OrdStatus = Replaced
17ExecIDUnique identifier of execution message as assigned by broker
37OrderIDOrderID from the ExecutionReport with ExecType=New (150=0)
39OrdStatusOrder status as of the current message
55SymbolSymbol of the original order
54SideMust be 1 to buy or 2 to sell
32LastSharesAmount filled (if ExecType=1). Also called LastQty as of FIX 4.3
44PricePrice of the fill if ExecType indicates a fill, otherwise the order price
38OrderQtyOrderQty as accepted (may be less than requested upon self-trade prevention). Represents original order quantity when OrdStatus is Canceled or Done for day.
111MaxFloorMaximum size within an order to be displayed. Must be > 10% of OrderQty
198SecondaryOrderIDAssigned by the party that accepts the order. Can be used to provide the OrderID (37) used by an exchange or executing system.
58TextHuman-readable description of the reject or cancel (optional)
  • 101:Time In Force
  • 102:Self-trade Prevention
  • 103:Admin
  • 104:Price Bound Order Protection
  • 105:Insufficient Funds
  • 106:Insufficient Liquidity
  • 107:Broker
  • 109:High Bid Limit Order Protection
60TransactTimeTime the event occurred
103OrdRejReasonInsufficient funds=3, Post-only=8, Unknown error=0
136NoMiscFees1 (Order Status Request responses and fill reports)
137MiscFeeAmtFee amount (absolute value for Order Status Request responses, percentage value for fill reports)
138MiscFeeCurrFee currency
139MiscFeeType4 (Exchange fees) (Order Status Request responses and fill reports)
150ExecTypeMay be 1 (Partial fill) for fills, D for self-trade prevention, etc.
151LeavesQtyQuantity open for further execution. Populates Exec Report when:
  • 39=0 ⇒ OrdStatus = New
  • 39=1 ⇒ OrdStatus = Partially filled
  • 39=3 ⇒ OrdStatus = Done for day
  • 39=5 ⇒ OrdStatus = Replaced
152CashOrderQtyOrder size in quote units (e.g., USD) (Market order only)
891MiscFeeBasis2 (Percentage fee basis) (fill report only)
1003TradeIDProduct unique trade id
1057AggressorIndicatorY for taker orders, N for maker orders

ExecType Values

ExecTypeDescription
0New Order
1Partial Fill
3Done
4Canceled
7Stopped
8Rejected
DRestated (Order Changed due to STP)
IOrder Status

New Order Batch Reject (U7)

Sent by the server when a New Order Batch message is rejected.

TagNameDescription
8014BatchIDBatchID from the New Order Batch message
58TextHuman-readable description of the error (optional)

Modify Order Request (G)

Supports the Order Replace Request outlined in the FIX protocol. See also: WebSocket Full Channel, Change.

caution

Each Modify Order Request, per order, must be processed in turn. A client can only send a Modify Order Request after the previous request for the same order has been fully processed.

Example FIX Request:

 BeginString=FIX.4.2 BodyLength=265 MsgType=ORDER_CANCEL_REPLACE_REQUEST MsgSeqNum=17 SenderCompID=00000000100000000000000000000003 SendingTime=20220609-04:01:48.757 TargetCompID=Coinbase ClOrdID=907b6ae6-bcbe-441a-b7bb-d932afdb9edb OrderID=71de0cdf-938f-495b-9fad-108837bde704 OrderQty=2 OrdType=LIMIT OrigClOrdID=907b6ae6-bcbe-441a-b7bb-d932afdb9eda Price=100.00 Side=BUY Symbol=ETH-USD TransactTime=20220609-04:01:48.757 CheckSum=107

Example Execution Report:

BeginString=FIX.4.2 BodyLength=253 MsgType=EXECUTION_REPORT MsgSeqNum=18 SenderCompID=Coinbase SendingTime=20220609-04:01:48.766 TargetCompID=00000000100000000000000000000003 ExecID=450d0b12-e994-48de-9f74-0f43c74fd054 ExecTransType=NEW OrderID=71de0cdf-938f-495b-9fad-108837bde704 OrderQty=3 OrdStatus=DONE_FOR_DAY Price=100 Side=BUY Symbol=ETH-USD Text=107:Broker TransactTime=20220609-04:01:48.762 ExecType=DONE_FOR_DAY LeavesQty=0 CheckSum=150
TagNameDescription
37OrderIDUnique identifier of most recent order as assigned by broker
41OrigClOrdIDClOrdID <11> of previous order (NOT initial order of the day) when canceling or replacing an order
11ClOrdIDUnique identifier of replacement order as assigned by institution.
55SymbolMust match original order
54SideMust match original side
38OrderQtyTotal Intended Order Quantity (including the amount already executed for this chain of orders)
60TransactTimeTime this order request was initiated/released by the trader or trading system
40OrdTypeOnly limit orders are supported for now (2)
44PricePrice per share

Guidance

Queue Priority

  • If you increase the quantity, or modify the price (up or down) you lose your place and move to the back of the queue. If you decrease the quantity you keep your place in the queue.

OrderQty (38)

  • If you send a Modify Order request whose OrderQty (38) is less than the filled size of the order, Coinbase cancels the order and marks it as filled.

Matching

  • If your Modify Order request results in an immediate match and you are both the initiator of the order AND subscribed to the authenticated WebSocket feed, you should receive a change message with "reason": "modify_order".

    After the immediate match, if there is any quantity remaining on the modified order, you should receive a new change message with "reason":"remainder_after_modification" which reports the new / old prices as a result of the Modify Order.

  • If you are using the non-authenticated WebSocket feed (as the initiator or not), you should receive a match + done message for the order at the newly modified price.

caution

Clients may experience a non-standard FIX OrderCancelReject with text (when processing the last cancel replace request). This can occur when our system is backlogged and unable to process this Modify Order Request (or OrderCancelReplaceRequest).

Order Cancel Reject (9)

Sent by the server when an Order Cancel Request cannot be satisfied, e.g., because the order is already canceled or completely filled.

TagNameDescription
11ClOrdIDAs on the cancel request
37OrderIDAs on the cancel request
41OrigClOrdIDAs on the cancel request
39OrdStatus4 if too late to cancel
102CxlRejReason1 if the order is unknown
434CxlRejResponseTo1 (Order Cancel Request)

Order Cancel Batch Reject (U5)

Sent by the server when an Order Cancel Batch Request cannot be satisfied, e.g., because a Symbol was not present. This is not sent if no orders can be found.

TagNameDescription
8014BatchIDBatchID from the New Order Batch message
58TextHuman-readable description of the error (optional)

Reject (3)

Sent by either side upon receipt of a message which cannot be processed, e.g., due to missing fields or an unsupported message type.

TagNameDescription
45RefSeqNumMsgSeqNum of the rejected incoming message
371RefTagIDTag number of the field which caused the reject (optional)
372RefMsgTypeMsgType of the rejected incoming message
58TextHuman-readable description of the error (optional)
373SessionRejectReasonCode to identify reason for reject

SessionRejectReason Values

The following values can be sent by the server.

ValueDescription
1Required tag missing
5Value is incorrect (out of range) for this tag
6Incorrect data format for value
11Invalid MsgType (35)

RFQ Request (AH)

Request For Quote (RFQ) allows liquidity providers to respond and interact with real-time RFQ requests. The RFQ process begins with Quote Request (R).

Request For Quote is enabled for users who have been approved by Coinbase as an RFQ Liquidity Provider. Once approved, clients must send an RFQ Request message (35=AH) after each successful Logon (35=A) message for any session in which you are interested in receiving RFQ requests.

  • If this request is acknowledged, and no symbol is specified, this session receives all Quote requests (all assets).
  • If this request is acknowledged, and symbol is specified , this session only receives requests for the specific symbols. For instance, in the scenario of subscribing to "BTC-USD," if the related products are present, quote request message for both "BTC-USD" and "USD-BTC" will be subsequently returned as responses.
  • If the session submitting this request is not approved by Coinbase for participating in the RFQ program, this request is rejected with a Business Message Reject (j).
TagNameTypeRequiredNotes
644RFQReqIDUUIDY
146NoRelatedSymInt32NRepeating group for number of symbols in the subscription message
55SymbolString32Y
tip

Not receiving a response is expected and indicative of a successful request.

Quote Request (R)

Quote Request (R) is the start of the RFQ process. Liquidity Providers receive a Quote Request from Coinbase on behalf of a customer looking to participate in an RFQ trade. Any quote response to this request must adhere to the following rules to avoid rejections:

  • Message must be well formed and complete (i.e., all required fields present).
  • Quote message must be received before the expiration time indicated on Tag=62.
TagNameTypeRequiredNotes
131QuoteReqIDUUIDR
146NoRelatedSymInt32YAlways 1
55SymbolString32YExample: BTC-AVAX
38OrderQtyFloat64Y
62ValidUntilTimeUTCTimestampYUTC millis
20220712-00:00:00.000
126ExpireTimeUTCTimestampYUTC millis
20220712-00:00:00.000
303QuoteRequestTypeCharY1 = Manual Accept
2 = Automatic Accept (default)
891MiscFeeBasisINTYAlways 2 = Percentage
137MiscFeeAmtAMTYBasis point fee to market makers (MMs)
caution

QuoteRequestType (303) is always 2 = Automatic Accept for the current implementation of RFQ on Coinbase Exchange. MiscFeeBasis (891) is always 2 = Percentage for the current implementation of RFQ on Coinbase Exchange.

Request For Quote Message Flow
Request For Quote message flow in 7 steps. (1) Customer submits RFQ; (2) Exchange sends Quote Request to liquidity provider; (3) Liquidity provider sends Quote to Exchange; (4) the Exchange responds to the liquidity provider with the Quote Status Report and (5) the Execution Report and (6) the Quote Status Report; (7) the Exchange then sends the customer a fill or cancel message.
info

See also the new WebSocket RFQ Matches Channel.

Quote (S)

Quote in response to a Quote Request that can be submitted up to the ValidUntilTime (Tag=62) specified in the Quote Request message. The Quote can be submitted as either a one-way quote or two-way quote. Only one side is actioned on if participant wins RFQ.

info

Precision for price and size is limited to 16 decimal places and 40 digits total.

TagNameTypeRequiredNotes
131QuoteReqIDUUIDY
117QuoteIDUUIDY
55SymbolString32YExample: BTC-AVAX
132BidPxFloat64CRequired if submitting a bid
133OfferPxFloat64CRequired if submitting an offer
134BidSizeFloat64CRequired if submitting a bid. Must match OrderQty in Quote Request
135OfferSizeFloat64CRequired if submitting an offer. Must match OrderQty in Quote Request

Quote Status Report (AI)

` Message sent in response to a successful or unsuccessful Quote.

  • If the Quote was accepted, QuoteStatus=16 (Active).
  • If the Quote was rejected, QuoteStatus=9 (Rejected).
  • If the Quote was accepted and selected for execution, QuoteStatus=19 (Pending), and you receive an Execution Report.
  • If the Quote was accepted but not selected for execution, QuoteStatus=17 (Canceled).
  • If there is no response to a Quote request from Liquidity Providers, QuoteStatus=7 (Expired).
TagNameTypeRequiredNotes
131QuoteReqIDUUIDY
117QuoteIDUUIDC
55SymbolString32YExample: BTC-AVAX
38OrderQtyFloat64YEchoed from Quote
35=S
132BidPxFloat64YEchoed from Quote
35=S
133OfferPxFloat64YEchoed from Quote
35=S
134BidSizeFloat64CMust match OrderQty in Quote Request
135OfferSizeFloat64CMust match OrderQty in Quote Request
62ValidUntilTimeUTCTimestampYUTC millis
20220712-00:00:00.000
126ExpireTimeUTCTimestampYUTC millis
20220712-00:00:00.000
297QuoteStatusInt32Y5 = Rejected: Insufficient funds (in response to 35=S)
7 = Expired:
   Either no response to 35=S from liquidity providers
   Or best quote not accepted by counterparty
16 = Active: Quote successful (in response to 35=S)
17 = Canceled:
   Either quoting window expired bc quote not best
   Or RFQ was unable to hold funds
19 = Pending Trade: RFQ selected for execution
58TextStringCRequired if QuoteStatus=5, Quote action was rejected

Resend Request (2)

FIX Resend Requests are sent by the receiving application to initiate the retransmission of messages.

TagNameDescription
7BeginSeqNoSequence number of first message in range to be resent
16EndSeqNoSequence number of last message in range to be resent

Guidance

  • To successfully use replay functionality, submit a unique senderLocationID when logging on (because you can have multiple connections per API key).

    SenderLocationID <142> identifies the message originator's location.

  • To replay messages from a previous session, include ResetSeqNumFlag=N in your logon message (because, by default, we clear users sessions when logging on). You must also include the same senderLocationID used in the previous session to continue the session.

    ResetSeqNumFlag <141> is a boolean flag that indicates whether or not both sides of the FIX session should reset sequence numbers.

Sequence Numbers

Each request must be in batches of 2000 messages or less and lookback (the duration we keep messages) is 3 hours. For example, say you received messages in sequence range 4000-10000 within the last 3 hours:

  • You can retrieve all messages from 4000 to 10000 by sending 3 requests in batches of 2000.
  • You cannot retrieve messages before 4000 because of the 3 hour lookback.

Sample Ranges

  • Request single: BeginSeqNo <7> = EndSeqNo <16>
  • Request range: BeginSeqNo <7> = first message in range; EndSeqNo <16> = last message in range
  • Request range: BeginSeqNo <7> = first message in range; EndSeqNo <16> = 2000th message from first message (999999 or 0)

Heartbeat (0)

Sent by both sides if no messages have been sent for (HeartBtInt x 0.75) seconds, as agreed upon during logon. May also be sent in response to a Test Request.

TagNameDescription
112TestReqIDCopied from the Test Request, if any

Test Request (1)

May be sent at any time by either side.

TagNameDescription
112TestReqIDFree text

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