roq-fix-bridge¶

Links¶

FIX Trading Community

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¶

Using Conda

Install

$ mamba install \
  --channel https://roq-trading.com/conda/stable \
  roq-fix-bridge

Configure

$ cp $CONDA_PREFIX/share/roq-fix-bridge/config.toml $CONFIG_FILE_PATH

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ 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¶

Symbols

A list of exchanges and corresponding symbols.

[symbols]

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

 [symbols.deribit]
 regex=".*"

Users

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

[users]

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

Statistics

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¶

Using Flags

$ roq-fix-bridge --help

Common

--config_file: Config file
--client_listen_address: Listen address

OMS

--cancel_on_disconnect (false): Cancel orders on disconnect?
--oms_route_by_strategy (false): Route order updates using strategy_id?

FIX

--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
--fix_disable_req_id_validation (false): Disable request ID validation?

Messaging

--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?

Test

--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¶

Logon (A)

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.

Logout (5)

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

TestRequest (1)

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

Heartbeat (0)

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.

Reject (3)

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

	Tag	Name
✓	45	RefSeqNum
	58	Text
	371	RefTagID
	372	RefMsgType
	373	SessionRejectReason

Server → Client¶

Logon (A)

This message is used to acknowledge successful authentication.

		Tag	Name	Comments
✓		98	EncryptMethod	Only `NONE` (`0`) is supported.
✓		108	HeartBtInt

Logout (5)

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.

TestRequest (1)

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.

Heartbeat (0)

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.

Reject (3)

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¶

SecurityListRequest (x)

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`)

SecurityDefinitionRequest (c)

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.

SecurityStatusRequest (e)

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.

MarketDataRequest (V)

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

TradingSessionStatusRequest (g)

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¶

SecurityList (y)

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

SecurityDefinition (d)

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

SecurityStatus (f)

This message is a reponse to SecurityStatusRequest (e)

	Tag	Name
	324	SecurityStatusReqID
✓	55	Symbol
✓	207	SecurityExchange
	336	TradingSessionID
	326	SecurityTradingStatus

MarketDataSnapshotFullRefresh (W)

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

MarketDataIncrementalRefresh (X)

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

MarketDataRequestReject (Y)

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)

Text

Reason for reject.

TradingSessionStatus (h)

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¶

OrderStatusRequest (H)

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

OrderMassStatusRequest (AF)

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

NewOrderSingle (D)

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

OrderCancelRequest (F)

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

OrderCancelReplaceRequest (G)

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	Some exchanges only accept quantity or price. This field is therefore not required.
		44	Price
✓		54	Side
✓		60	TransactTime
✓		40	OrdType

OrderMassCancelRequest (q)

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¶

ExecutionReport (8)

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

OrderCancelReject (9)

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.

OrderMassCancelReport (r)

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¶

TradeCaptureReportRequest (AD)

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¶

TradeCaptureReport (AE)

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

TradeCaptureReportRequestAck (AQ)

Response

	Tag	Name
✓	568	TradeRequestID
✓	569	TradeRequestType
✓	749	TradeRequestResult
✓	750	TradeRequestStatus
✓	55	Symbol
✓	207	SecurityExchange
	58	Text

Position Management¶

Client → Server¶

RequestForPositions (AN)

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¶

PositionReport (AP)

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¶

BusinessMessageReject (j)

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.

roq-fix-bridge¶

Links¶

Purpose¶

Description¶

Conda¶

Config¶

Flags¶

Session¶

Client → Server¶

Server → Client¶

Market Data¶

Client → Server¶

Server → Client¶

Order Management¶

Client → Server¶

Server → Client¶

Trade Reporting¶

Client → Server¶

Server → Client¶

Position Management¶

Client → Server¶

Server → Client¶

Miscellaneous¶

Server → Client¶

Authentication¶

hmac_sha256¶

hmac_sha256_ts¶

Request ID’s¶

Routing¶

Parameters¶

Enums¶

Side <54>¶

TimeInForce <59>¶

PositionEffect <77>¶

ExecInst <18>¶

Constraints¶

Comments¶

`hmac_sha256`¶

`hmac_sha256_ts`¶