roq-fix-bridge#

Purpose#

  • Gateway bridge using a FIX 4.4 based message protocol

  • Integration with third-party vendors

Description#

The FIX bridge allows FIX clients to connect with gateways, receive market data, and manage orders.

The FIX bridge configuration defines a list of exchanges and corresponding symbols (regex). This implementation use exchange/symbol for all message routing!

Note

Some FIX clients may rely on TradingSessionID for state management. For many Crypto exchanges, this is not a well-defined concept. The implementation choice is to use the source_name of the gateway (as specified using the gateway --name command-line flag) to mean TradingSessionID. The concept of TradingSessionID is otherwise not used directly by the FIX bridge for any message routing.

The FIX bridge will automatically manage gateway connectivity.

Upon connecting to a gateway, the FIX bridge will discover the universe of exchange/symbol as well as order management capabilities, e.g. whether order rewrite is supported by a gateway. Furthermore, a “ready”-state is being maintained based on gateway notifications around account availability.

Note

FIX clients should expect and manager order action rejects if the exchange/symbol has not yet been discovered and/or the account is not yet in the ready state (e.g. due to disconnect).

Order management has been implemented to conform to FIX Order State Changes.

This effectively means that ClOrdId/OrigClOrdId chaining is supported when modifying and canceling orders.

When possible, gateways will try to pass enough information to the exchange such that later order download will be able to notify the FIX bridge with the correct ClOrdId/OrigClOrdId information. This is however only best effort and the feature should not be relied upon!

Note

The FIX bridge and the gateways are all designed for low latency and there is no database persistence layer causing latency anywhere in the path of order routing. Furthermore, not all exchanges support rewriting client order identifiers. The FIX bridge and the gateways maintain in-memory maps between exchange order identifiers and outstanding requests on the one side, and ClOrdId/OrigClOrdId on the other side. Correct updates around ClOrdId/OrigClOrdId chaining should only be expected if both FIX bridge and gateway remain connected. Reconnection may work, but it’s best effort, only.

To manage uncertainties around disconnects, the FIX bridge may be configured such that gateways are instructed to auto-cancel orders upon disconnect. Similarly, when possible, gateways may be configured such that exchanges are instructed to auto-cancel orders upon disconnect.

Conda#

$ mamba install \
  --channel https://roq-trading.com/conda/stable \
  roq-fix-bridge
$ cp $CONDA_PREFIX/share/roq-fix-bridge/config.toml $CONFIG_FILE_PATH

# Then modify $CONFIG_FILE_PATH to match your specific configuration
$ roq-fix-bridge \
      --name "fix-bridge" \
      --config_file "$CONFIG_FILE_PATH" \
      --service_listen_address "$TCP_LISTEN_PORT_FOR_METRICS" \
      --client_listen_address "$TCP_LISTEN_PORT_FOR_FIX_CLIENTS" \
      --flagfile "$FLAG_FILE" \
      [<gateway unix domain sockets>]

Config#

A list of exchanges and corresponding symbols.

[symbols]

 [symbols.bitmex]
 regex=["XBTUSD", "XBT.*"]

 [symbols.deribit]
 regex=".*"

A list of FIX clients allowed to connect to the FIX bridge.

[users]

 [users.MD1]
 component="roq-fix-client-test"
 username="tbmd1"

An optional list of mapping overrides. This may be necessary because FIX 4.4 has a limited set of market data types (MDEntryType).

[statistics]

  [statistics.FUNDING_RATE]
  fix_md_entry_type="SETTLEMENT_PRICE"

Flags#

$ roq-fix-bridge --help
--config_file

Config file

--client_listen_address

Listen address

--cancel_on_disconnect (false)

Cancel orders on disconnect?

--oms_route_by_strategy (false)

Route order updates using strategy_id?

--fix_version (4.4)

FIX version

--fix_comp_id (roq-fix-bridge)

Component identifier

--fix_auth_method

Authentication method: (empty), hmac_sha256, hmac_sha256_ts

--fix_auth_timestamp_tolerance (5s)

Timestamp tolerance used with authentication

--fix_logon_timeout

Logon timeout, heartbeat freq is use if not specified

--fix_logon_heartbeat_min (5s)

Minimum accepted client ping frequency

--fix_logon_heartbeat_max (60s)

Maximum accepted client ping frequency

--fix_heartbeat_freq (5s)

Server to client ping frequency

--fix_decode_buffer_size (1048576)

Decode buffer size

--fix_encode_buffer_size (10485760)

Encode buffer size

--fix_md_full_size (262144)

Pre-allocate

--fix_md_inc_size (262144)

Pre-allocate

--fix_sec_list_grp_size (32768)

Pre-allocate

--fix_bids_asks_size (262144)

Pre-allocate

--fix_debug (false)

Debug fix messages?

--fix_log_path

Filename for logging fix messages

--init_missing_md_entry_type_to_zero (false)

Initialize missing MDEntryType to zero?

--execution_report_using_base_currency (false)

Use base currency for execution report?

--exchange_time_as_sending_time (false)

Use exchange time for sending time (tag 52)?

--top_of_book_from_market_by_price (false)

Use market by price as the source for top of book?

--block_client_on_not_ready (false)

Block client from logon when account not ready?

--terminate_on_timeout (false)

Terminate on order-ack timeout?

--terminate_on_stream_disconnect (false)

Terminate on stream disconnect?

--terminate_on_disconnect (false)

Terminate on gateway disconnect?

--silence_non_final_order_ack (false)

Silently drop non-final order-ack’s?

--skip_order_download (false)

Skip downloaded orders?

--disconnect_client_on_stale_market_data_stream (false)

Disconnect client(s) when market data streams are disconnected?

--trade_summary_try_non_empty (false)

Test #1

--trade_summary_try_value (0)

Test #2

--strict_checking (false)

Hard failure on assertions

--test_md_entry_position_no (false)

Populate md_entry_position_no? (only for limited depth)

--test_default_decimal_digits (12)

Default number of decimals

--test_request_latency (false)

Log request round-trip latencies?

Session#

Client → Server#

This message must be the first message sent by a connecting client session and is used to authenticate that client. See Authentication for further details.

Tag

Name

Comments

98

EncryptMethod

Only NONE (0) is supported.

108

HeartBtInt

96

RawData

See Authentication for further details.

141

ResetSeqNumFlag

Only YES (Y) is supported.

553

Username

See Authentication for further details.

554

Password

See Authentication for further details.

This message can be used by either side to initiate orderly session shutdown. The other side should respond with a Logout (5) message and then disconnect.

Tag

Name

Comments

58

Text

This message can be sent by either side to verify the connection. The frequency must have been communicated through the Logon (A) messages.

Tag

Name

Comments

112

TestReqId

Either side must send this message as a response to a received TestRequest (1) message.

Tag

Name

Comments

112

TestReqId

Value must be copied from a received TestRequest (1) message.

Either side may send this message when a session-level rule has been violated.

Tag

Name

Comments

45

RefSeqNum

58

Text

371

RefTagID

372

RefMsgType

373

SessionRejectReason

Server → Client#

This message is used to acknowledge successful authentication.

Tag

Name

Comments

98

EncryptMethod

Only NONE (0) is supported.

108

HeartBtInt

This message can be used by either side to initiate orderly session shutdown. The other side should respond with a Logout (5) message and then disconnect.

Tag

Name

Comments

58

Text

Reason for the logout.

This message can be sent by either side to verify the connection. The frequency must have been communicated through the Logon (A) messages.

Tag

Name

Comments

112

TestReqId

Value to be echoed.

Either side must send this message as a response to a received TestRequest (1) message.

Tag

Name

Comments

112

TestReqId

Value is copied from a received TestRequest (1) message.

Either side may send this message when a session-level rule has been violated.

Tag

Name

Comments

45

RefSeqNum

Sequence number causing the reject.

58

Text

Reason for the reject.

371

RefTagID

Tag causing the reject.

372

RefMsgType

Message causing the reject.

373

SessionRejectReason

Market Data#

Client → Server#

This message is used the request a list of securities.

Tag

Name

Comments

320

SecurityReqId

See Request ID’s for further details.

559

SecurityListRequestType

Only ALL_SECURITIES (4) is supported.

55

Symbol

207

SecurityExchange

263

SubscriptionRequestType

Possible values

  • SNAPSHOT: (0)

  • SNAPSHOT_UPDATES: (1)

  • UNSUBSCRIBE: (2)

This message is used to request a security definition.

Tag

Name

Comments

320

SecurityReqId

See Request ID’s for further details.

321

SecurityRequestType

Unused.

55

Symbol

207

SecurityExchange

263

SubscriptionRequestType

Only SNAPSHOT (0) is supported.

This message is used to request current trading status for a security.

Tag

Name

Comments

324

SecurityStatusReqId

See Request ID’s for further details.

55

Symbol

207

SecurityExchange

263

SubscriptionRequestType

Only SNAPSHOT (0) is supported.

This message is used to request market data.

Tag

Name

Comments

262

MdReqId

See Request ID’s for further details.

263

SubscriptionRequestType

Possible values

  • SNAPSHOT: (0)

  • SNAPSHOT_UPDATES: (1)

  • UNSUBSCRIBE: (2)

264

MarketDepth

265

MDUpdateType

Only INCREMENTAL_REFRESH (1) is supported.

266

AggregatedBook

267

NoMdEntryTypes

269

MDEntryType

146

NoRelatedSym

55

Symbol

207

SecurityExchange

This message is used the request market status.

Tag

Name

Comments

335

TradSesReqID

See Request ID’s for further details.

336

TradingSessionID

263

SubscriptionRequestType

Only SNAPSHOT (0) is supported.

Server → Client#

This message is a response to SecurityListRequest (x)

Tag

Name

Comments

320

SecurityReqId

322

SecurityResponseID

560

SecurityRequestResult

Possible values

  • VALID (0)

  • INVALID_OR_UNSUPPORTED (1)

146

NoRelatedSym

55

Symbol

207

SecurityExchange

This message is a reponse to SecurityDefinitionRequest (c)

Tag

Name

Comments

320

SecurityReqId

322

SecurityResponseID

323

SecurityResponseType

Possible values

  • ACCEPT_SECURITY_PROPOSAL_AS_IS (0)

  • REJECT_SECURITY_PROPOSAL (5)

55

Symbol

231

ContractMultiplier

207

SecurityExchange

336

TradingSessionID

562

MinTradeVol

969

MinPriceIncrement

This message is a reponse to SecurityStatusRequest (e)

Tag

Name

Comments

324

SecurityStatusReqID

55

Symbol

207

SecurityExchange

336

TradingSessionID

326

SecurityTradingStatus

This message is used for snapshot when market data have been requested.

Tag

Name

Comments

262

MDReqID

55

Symbol

207

SecurityExchange

268

NoMdEntries

269

MDEntryType

Possible values

  • BID (0)

  • OFFER (1)

270

MDEntryPx

271

MDEntrySize

272

MDEntryDate

273

MDEntryTime

336

TradingSessionID

346

NumberOfOrders

290

MDEntryPositionNo

This message is used for incremental updates when market data have been subscribed.

Tag

Name

Comments

262

MdReqId

268

NoMdEntries

279

MDUpdateAction

Possible values

  • NEW (0)

  • CHANGE (1)

  • DELETE (2)

269

MDEntryType

Possible values

  • BID (0)

  • OFFER (1)

  • TRADE (2)

55

Symbol

207

SecurityExchange

270

MDEntryPx

271

MDEntrySize

272

MDEntryDate

273

MDEntryTime

336

TradingSessionID

346

NumberOfOrders

290

MDEntryPositionNo

This message is the response to MarketDataRequest (V) when the request can not be honored.

Tag

Name

Comments

262

MDReqID

281

MDReqRejReason

Possible values

  • UNKNOWN_SYMBOL (0)

  • UNSUPPORTED_SUBSCRIPTION_REQUEST_TYPE (4)

  • UNSUPPORTED_MD_UPDATE_TYPE (6)

  • UNSUPPORTED_MD_ENTRY_TYPE (8)

58

Text

Reason for reject.

This message is a response to TradingSessionRequest (g).

Tag

Name

Comments

335

TradSesReqID

336

TradingSessionID

340

TradSesStatus

567

TradSesStatusRejReason

Only sent with reject and then always OTHER (99).

58

Text

Reason for reject.

Order Management#

Client → Server#

This message is used to request order status.

Tag

Name

Comments

37

OrderID

11

ClOrdID

See Request ID’s for further details.

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

790

OrdStatusReqID

See Request ID’s for further details.

1

Account

55

Symbol

207

SecurityExchange

54

Side

This message is used to request the status of orders matching the filters.

Tag

Name

Comments

584

MassStatusReqID

See Request ID’s for further details.

585

MassStatusReqType

Possible values

  • STATUS_FOR_ORDERS_FOR_A_SECURITY (1)

  • STATUS_FOR_ALL_ORDERS (7)

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

1

Account

336

TradingSessionID

55

Symbol

207

SecurityExchange

54

Side

This message is used to send an order request.

Tag

Name

Comments

11

ClOrdID

See Request ID’s for further details.

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

1

Account

18

ExecInst

55

Symbol

207

SecurityExchange

54

Side

60

TransactTime

38

OrderQty

40

OrdType

44

Price

99

StopPx

59

TimeInForce

58

Text

See Parameters for further details.

77

PositionEffect

210

MaxShow

This message is used to cancel an order.

Tag

Name

Comments

41

OrigClOrdID

See Request ID’s for further details.

37

OrderID

11

ClOrdID

See Request ID’s for further details.

1

Account

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

55

Symbol

207

SecurityExchange

54

Side

60

TransactTime

38

OrderQty

This message is used to modify an order.

Tag

Name

Comments

37

OrderID

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

41

OrigClOrdID

See Request ID’s for further details.

11

ClOrdID

See Request ID’s for further details.

1

Account

55

Symbol

207

SecurityExchange

38

OrderQty

44

Price

54

Side

60

TransactTime

40

OrdType

This message is used to cancel orders.

Tag

Name

Comments

11

ClOrdID

See Request ID’s for further details.

530

MassCancelRequestType

Possible values

  • CANCEL_ORDERS_FOR_SECURITY (1)

  • CANCEL_ALL_ORDERS (7)

55

Symbol

207

SecurityExchange

54

Side

60

TransactTime

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

Server → Client#

This message is used to report current status of an order.

Tag

Name

Comments

37

OrderID

11

ClOrdID

41

OrigClOrdID

790

OrdStatusReqID

584

MassStatusReqID

911

TotNumReports

912

LastRptRequested

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

17

ExecID

150

ExecType

39

OrdStatus

636

WorkingIndicator

103

OrdRejReason

1

Account

581

AccountType

55

Symbol

207

SecurityExchange

54

Side

40

OrdType

38

OrderQty

44

Price

99

StopPx

15

Currency

59

TimeInForce

18

ExecInst

32

LastQty

31

LastPx

151

LeavesQty

14

CumQty

6

AvgPx

60

TransactTime

77

PositionEffect

210

MaxShow

58

Text

851

LastLiquidityInd

This message is used when an order cancel request must be rejected.

Tag

Name

Comments

37

OrderID

11

ClOrdID

41

OrigClOrdID

39

OrdStatus

1

Account

434

CxlRejResponseTo

Possible values

  • ORDER_CANCEL_REQUEST (1)

  • ORDER_CANCEL_REPLACE_REQUEST (2)

102

CxlRejReason

Possible values

  • DUPLICATE_CL_ORD_ID (6)

  • OTHER (99)

58

Text

Reason for reject.

This message is used to acknowledge a request to cancel orders.

Tag

Name

Comments

11

ClOrdID

37

OrderID

530

MassCancelRequestType

531

MassCancelResponse

532

MassCancelRejectReason

55

Symbol

207

SecurityExchange

54

Side

58

Text

Reason for reject.

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

Trade Reporting#

Client → Server#

This message is used to request trade capture reports.

Tag

Name

Comments

568

TradeRequestID

See Request ID’s for further details.

569

TradeRequestType

263

SubscriptionRequestType

Possible values

  • SNAPSHOT: (0)

  • SNAPSHOT_UPDATES: (1)

  • UNSUBSCRIBE: (2)

37

OrderID

11

ClOrdID

See Request ID’s for further details.

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

55

Symbol

207

SecurityExchange

Server → Client#

This message is used to report captured trade.

Tag

Name

Comments

571

TradeReportID

568

TradeRequestID

150

ExecType

748

TotNumTradeReports

912

LastRptRequested

17

ExecID

570

PreviouslyReported

55

Symbol

207

SecurityExchange

32

LastQty

31

LastPx

75

TradeDate

60

TransactTime

552

NoSides

54

Side

37

OrderID

11

ClOrdID

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

1

Account

77

PositionEffect

Response

Tag

Name

Comments

568

TradeRequestID

569

TradeRequestType

749

TradeRequestResult

750

TradeRequestStatus

55

Symbol

207

SecurityExchange

58

Text

Position Management#

Client → Server#

This message is used to request position reports.

Tag

Name

Comments

710

PosReqId

See Request ID’s for further details.

724

PosReqType

Only POSITIONS (0) is supported.

263

SubscriptionRequestType

Possible values

  • SNAPSHOT: (0)

  • SNAPSHOT_UPDATES: (1)

  • UNSUBSCRIBE: (2)

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

1

Account

581

AccountType

15

Currency

55

Symbol

207

SecurityExchange

715

ClearingBusinessDate

60

TransactTime

Server → Client#

This message is used to report position updates.

Tag

Name

Comments

721

PosMaintRptID

710

PosReqID

724

PosReqType

Always POSITIONS (0).

263

SubscriptionRequestType

727

TotalNumPosReports

728

PosReqResult

Always VALID (0).

715

ClearingBusinessDate

453

NoPartyIDS

See Routing for further details.

448

PartyID

Strategy ID.

447

PartyIDSource

Only PROPRIETARY_CUSTOM_CODE (D) is supported.

452

PartyRole

Only CLIENT_ID (3) is supported.

1

Account

581

AccountType

55

Symbol

207

SecurityExchange

15

Currency

730

SettlPrice

731

SettlPriceType

734

PriorSettlPrice

702

NoPositions

703

PosType

753

NoPosAmt

58

Text

Miscellaneous#

Server → Client#

Either side may send this message when an application-level rule has been violated and there are no specific messages available to cmmunicate the failure.

Tag

Name

Comments

45

RefSeqNum

Sequence number causing the reject.

372

RefMsgType

Message causing the reject.

379

BusinessRejectRefID

Request ID (message specific).

380

BusinessRejectReason

58

Text

Reason for the reject.

Authentication#

The simplest version is plain comparison on the password string.

hmac_sha256#

The connecting client must compute a nonce and pass this as Logon.raw_data.

A signature is the base64 encoding of the HMAC/SHA256 digest (using a shared secret). The connecting client must pass this as Logon.password.

hmac_sha256_ts#

This is the same algorithm as hmac_sha256 with the only difference being a millisecond timestamp and a period (.) being prepended to the nonce.

The server side can then extract the timestamp and validate against its own clock.

Request ID’s#

  • Must conform to the character set from web-safe base 64 encoding (a-zA-Z0-9-_{1,24}).

Routing#

The bridge can operate in one of two modes.

Default is routing by account.

Routing by strategy can be enabled by using the --oms_route_by_strategy flag. Party information is then required and expected to identify the strategy.

Parameters#

It is possible to use the text field to pass additional parameters.

For example, the NewOrderSingle request may optionally accept a specific margin_mode.

These parameters are key value pairs, each pair using the assignment operator (=) to separate key and value, pairs separated by semi-colon (code:;).

Enums#

The following defines the maximum set of values allowed. Exchanges / gateways may impose further restrictions.

Side <54>#

  • 1 (BUY)

  • 2 (SELL)

TimeInForce <59>#

  • 0 (GFD)

  • 1 (GTC)

  • 2 (OPG)

  • 3 (IOC)

  • 4 (FOK)

  • 5 (GTX)

  • 6 (GTD)

  • 7 (AT_THE_CLOSE)

  • 8 (GOOD_THROUGH_CROSSING)

  • 9 (AT_CROSSING)

  • A (GOOD_FOR_TIME)

PositionEffect <77>#

  • C (CLOSE)

  • O (OPEN)

ExecInst <18>#

  • 6 (PARTICIPATE_DO_NOT_INITIATE)

  • E (DO_NOT_INCREASE)

  • F (DO_NOT_REDUCE)

  • Z (CANCEL_IF_NOT_BEST)

Constraints#

  • The bridge must register as a regular user to the gateways. The implication is that the bridge only has visibility to that user, i.e. there is no option to see the orders managed by other users. Thus, there is currently no option to implement a true drop-copy solution.

  • The bridge requires each downstream client to be mapped 1:1 with an account. This is currently the only option to route order acks, order updates and trades back to the correct client. Note! The C++ API does support account multiplexing.

  • The universe of {exchange, symbol} is dynamic and can not always be known at the time when a FIX client issues a request. The FIX protocol also does not allow for a client to receive notifications when an exchange hase become ready. Thus, a FIX client must expect rejects (when an {exchange, symbol} combination has not yet become available, for example) and implement a retry policy.

  • Successful FIX client subscriptions will be cached and survive gateway reconnects. This is done because the FIX protocol does not allow for a client to receive notifications when a subscription is broken. Thus, a FIX client must expect stale subscriptions and implement a timeout policy.

  • The FIX protocol requires subsequent order actions to be rejected if a previous request has been rejected. Full support is only possible if the exchanges support it or if the gateways disallow pipelining (sending multiple requests without first waiting for the previous request’s response). A low-latency configuration should allow pipelining (at the gateway level) and the FIX bridge can therefore not be fully FIX compliant (for the reasons just described).

  • Custom order book calculations are supported but constrained to one custom calculation per market data request. It is not possible to overlap custom calculations with regular updates (like top of book or market by price) due to the FIX protocol allowing for any other special identifiers with the full/incremental updates.

Comments#

  • The bridge can operate in one of two modes:

    • Routing by account (the default). In this mode a client connection must map 1:1 with an account. All order updates will be routed based on the account name.

    • Routing by strategy_id (opt-in, used by roq-fix-proxy). In this mode a client connection must dynamically register routes based on strategy_id’s. The route is automatically removed upon seeing the client disconnecting. All order updates will be routed based on the strategy.

  • It is possible to use NewOrderSingle.text to map special fields, e.g.

    • margin_mode=isolated

    • margin_mode=cross

    Note

    This is currently an EXPERIMENTAL feature meant to work around FIX protocol limitations. Choices around the format (key-value pairs, separator, naming conventions, etc.) may still be changed.