Messages

The baseline specification for this API is FIX 4.2. There are additional tags from later versions of FIX, and custom tags in the high number range as allowed by the standard.

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

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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.

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(secret, 'base64');
    var hmac = crypto.createHmac('sha256', key);
    return hmac.update(what).digest('base64');
}

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To establish multiple FIX connections, generate a new API key for each one. The maximum is 7 connections per profile. Do not use a single API key for multiple connections at the same time.

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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.

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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.

SelfTradePrevention Values

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.

TimeInForce Values

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.

New Order Batch (U6)

Sent by the client to create multiple orders. Maximum of 10 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.

Order Cancel Request (F)

Sent by the client to cancel an order.

Order Status Request (H)

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

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. Only 10 orders can be sent in a single message. All orders must have the same Symbol.

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.

ExecType Values

New Order Batch Reject (U7)

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

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.

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.

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.

SessionRejectReason Values

The following values can be sent by the server.

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.

Test Request (1)

May be sent at any time by either side.