FIX is an alternative order entry protocol for Parity.
FIX is based on the Financial Information Exchange (FIX) protocol version FIX 4.4. It is terminated at a FIX gateway, which is located between the client application and the trading system.
These definitions apply to both inbound and outbound messages.
Account(1) is optional. If it is present in a New Order Single message, it will be present in subsequent Execution Report and Order Cancel Reject messages.
ClOrdID(11) has a maximum length of 16 characters.
All messages start with the message header.
| Tag | Req'd | Description |
|---|---|---|
| BeginString(8) | Y | FIX.4.4 |
| BodyLength(9) | Y | |
| MsgType(35) | Y | |
| SenderCompID(49) | Y | |
| TargetCompID(56) | Y | |
| MsgSeqNum(34) | Y | |
| PossDupFlag(43) | N | When needed |
| PossResend(97) | N | When needed |
| SendingTime(52) | Y | |
| OrigSendingTime(122) | N | When needed |
All messages end with the message trailer.
| Tag | Req'd | Description |
|---|---|---|
| CheckSum(10) | Y |
Refer to the FIX 4.4 protocol specification regarding the following administrative messages:
- Heartbeat
- Test Request
- Resend Request
- Reject
- Sequence Reset
Inbound messages are sent by the client application to the FIX gateway.
Initiate a session with a Logon message.
| Tag | Req'd | Description |
|---|---|---|
| Message Header | Y | MsgType(35) = A (Logon) |
| EncryptMethod(98) | Y | 0 (None) |
| HeartBtInt(108) | Y | 30 |
| Username(553) | Y | |
| Password(554) | Y | |
| Message Trailer | Y |
Terminate a session with a Logout message.
| Tag | Req'd | Description |
|---|---|---|
| Message Header | Y | MsgType(35) = 5 (Logout) |
| Message Trailer | Y |
Enter an order with a New Order Single message.
| Tag | Req'd | Description |
|---|---|---|
| Message Header | Y | MsgType(35) = D (New Order Single) |
| ClOrdID(11) | Y | Unique identifier for the order |
| Account(1) | N | |
| Symbol(55) | Y | |
| Side(54) | Y | See below |
| TransactTime(60) | Y | |
| OrderQty(38) | Y | |
| OrdType(40) | Y | 2 (Limit) |
| Price(44) | Y | |
| Message Trailer | Y |
The sides are enumerated below.
| Side(54) | Description |
|---|---|
| 1 | Buy |
| 2 | Sell |
Cancel an order partially with an Order Cancel/Replace Request message.
| Tag | Req'd | Description |
|---|---|---|
| Message Header | Y | MsgType(35) = G (Order Cancel/Replace Request) |
| OrigClOrdID(41) | Y | Must match a previous non-rejected order |
| ClOrdID(11) | Y | Unique identifier for the order |
| Account(1) | N | |
| Side(54) | Y | Must match the original order |
| TransactTime(60) | Y | |
| OrderQty(38) | Y | |
| OrdType(40) | Y | Must match the original order |
| Message Trailer | Y |
Cancel an order fully with an Order Cancel Request message.
| Tag | Req'd | Description |
|---|---|---|
| Message Header | Y | MsgType(35) = F (Order Cancel Request) |
| OrigClOrdID(41) | Y | Must match a previous non-rejected order |
| ClOrdID(11) | Y | Unique identifier for the order |
| Account(1) | N | |
| Side(54) | Y | Must match the original order |
| TransactTime(60) | Y | |
| Message Trailer | Y |
Outbound messages are sent by the FIX gateway to the client application.
An order is accepted with an Execution Report message with ExecType(151) of 0 (New). OrderID(37) contains the trading system's identifier for the order.
| Tag | Req'd | Description |
|---|---|---|
| Message Header | Y | MsgType(35) = 8 (Execution Report) |
| OrderID(37) | Y | |
| ClOrdID(11) | Y | |
| ExecID(17) | Y | |
| ExecType(150) | Y | 0 (New) |
| OrdStatus(39 | Y | 0 (New) |
| Account(1) | N | |
| Symbol(55) | Y | |
| Side(54) | Y | |
| OrderQty(38) | Y | |
| LeavesQty(151) | Y | |
| CumQty(14) | Y | |
| AvgPx(6) | Y | |
| Message Trailer | Y |
An order is rejected with an Execution Report message with ExecType(151) of 8 (Rejected).
| Tag | Req'd | Description |
|---|---|---|
| Message Header | Y | MsgType(35) = 8 (Execution Report) |
| OrderID(37) | Y | |
| ClOrdID(11) | Y | |
| ExecID(17) | Y | |
| ExecType(150) | Y | 8 (Rejected) |
| OrdStatus(39) | Y | 8 (Rejected) |
| OrdRejReason(103) | Y | See below |
| Account(1) | N | |
| Symbol(55) | Y | |
| Side(54) | Y | |
| OrderQty(38) | Y | |
| LeavesQty(151) | Y | |
| CumQty(14) | Y | |
| AvgPx(6) | Y | |
| Message Trailer | Y |
The reasons for order rejection are enumerated below.
| OrdRejReason(103) | Description |
|---|---|
| 0 | Broker/exchange option |
| 1 | Unknown symbol |
| 6 | Duplicate order |
| 13 | Incorrect quantity |
An order execution is indicated with an Execution Report message with ExecType(150) of F (Trade).
| Tag | Req'd | Description |
|---|---|---|
| Message Header | Y | MsgType(35) = 8 (Execution Report) |
| OrderID(37) | Y | |
| ClOrdID(11) | Y | |
| ExecID(17) | Y | |
| ExecType(150) | Y | F (Trade) |
| OrdStatus(39) | Y | |
| Account(1) | N | |
| Symbol(55) | Y | |
| Side(54) | Y | |
| OrderQty(38) | Y | |
| LastQty(32) | Y | |
| LastPx(31) | Y | |
| LeavesQty(151) | Y | |
| CumQty(14) | Y | |
| AvgPx(6) | Y | |
| Message Trailer | Y |
An order cancellation is immediately acknowledged with an Execution Report message with ExecType(150) of 6 (Pending cancel) or E (Pending replace).
| Tag | Req'd | Description |
|---|---|---|
| Message Header | Y | MsgType(35) = 8 (Execution Report) |
| OrderID(37) | Y | |
| ClOrdID(11) | Y | |
| OrigClOrdID(41) | Y | |
| ExecID(17) | Y | |
| ExecType(150) | Y | See below |
| OrdStatus(39) | Y | |
| Account(1) | N | |
| Symbol(55) | Y | |
| Side(54) | Y | |
| OrderQty(38) | Y | |
| LeavesQty(151) | Y | |
| CumQty(14) | Y | |
| AvgPx(6) | Y | |
| Message Trailer | Y |
The execution types for order cancellation acknowledgement are enumerated below.
| ExecType(150) | Description |
|---|---|
| 6 | Pending cancel |
| E | Pending replace |
An order cancellation is indicated with an Execution Report message with ExecType(150) of 4 (Canceled) or 5 (Replaced).
| Tag | Req'd | Description |
|---|---|---|
| Message Header | Y | MsgType(35) = 8 (Execution Report) |
| OrderID(37) | Y | |
| ClOrdID(11) | Y | |
| OrigClOrdID(41) | Y | |
| ExecID(17) | Y | |
| ExecType(150) | Y | See below |
| OrdStatus(39) | Y | |
| Account(1) | N | |
| Symbol(55) | Y | |
| Side(54) | Y | |
| OrderQty(38) | Y | |
| LeavesQty(151) | Y | |
| CumQty(14) | Y | |
| AvgPx(6) | Y | |
| Message Trailer | Y |
The execution types for order cancellation are enumerated below.
| ExecType(150) | Description |
|---|---|
| 4 | Canceled |
| 5 | Replaced |
An order cancel rejection is indicated with an Order Cancel Reject message.
| Tag | Req'd | Description |
|---|---|---|
| Message Header | Y | MsgType(35) = 9 (Order Cancel Reject) |
| OrderID(37) | Y | |
| ClOrdID(11) | Y | |
| OrigClOrdID(41) | Y | |
| OrdStatus(39) | Y | |
| Account(1) | N | |
| CxlRejResponseTo(434) | Y | See below |
| CxlRejReason(102) | Y | See below |
| Message Trailer | Y |
Types of requests that the Order Cancel Reject message is in response to are enumerated below.
| CxlRejResponseTo(434) | Description |
|---|---|
| 1 | Order Cancel Request |
| 2 | Order Cancel/Replace Request |
The reasons for order cancel rejection are enumerated below.
| CxlRejReason(102) | Description |
|---|---|
| 0 | Too late to cancel |
| 1 | Unknown order |
| 3 | Order already in Pending Cancel or Pending Replace status |
| 6 | Duplicate ClOrdID(11) |
- Version 1. Initial version.