Short-Pro FIX Specification

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Short-Pro FIX Specification
DIRECT ACCESS SOFTWARE
DAS FIX SPECIFICATION
Short-Pro FIX Specification
Confidential
This document contains confidential and proprietary information of the DAS Inc.
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DIRECT ACCESS SOFTWARE
DAS FIX SPECIFICATION
Contents
Revision History .....................................................................................................................................3
Introduction...........................................................................................................................................3
FIX Versions Supported .........................................................................................................................3
Logon .....................................................................................................................................................3
New Order Definition ............................................................................................................................4
Cancel/Replace Order Definition...........................................................................................................7
Cancel Order Definition .........................................................................................................................8
Order Cancel Reject ...............................................................................................................................8
Execution Report ...................................................................................................................................8
FIX API Configuration (internal use only) ............................................................................................12
FIX API Port setting ......................................................................................................................12
FIX SESSION Configuration ..........................................................................................................12
FIX SESSION Log File ....................................................................................................................13
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DAS FIX SPECIFICATION
Revision History
Author
Date
Notes
Tim
2011-9-14
Add ECN fee tag 9102 to execution report.
Tim
2011-9-19
Update tag 59 mapping: 0->Day, 5->Day+
Tim
2011-11-22
Add Symbol shortlist message (DAS internal usage, not
required for customers except notify specially)
Introduction
The purpose of this document is to describe how DAS FIX API implements various order types,
and functionality unique to the DAS FIX. DAS FIX API is integrated into DAS Order Server
architecture which can process one order in microsecond-level.
FIX Versions Supported
DAS FIX API is compatible with FIX 4.2 and above version.
Logon
Tag
35
98
108
Field
Header
MsgType
EncryptMethod
HeartBtInt
Trailer
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Req'd
Yes
Yes
Yes
Yes
Yes
Comments
MsgType = A
Always unencrypted
Note same value used by both sides
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DAS FIX SPECIFICATION
New Order Definition
This table defines tags and their values to make a new order for FIX API.
Tag
Field
Header
Req'd
Yes
35
Msgtype
Yes
D
11
ClOrdID
Yes
ClOrdID length must not over 20 chars. If more than 20 chars
are set, DOS FIX API will trim to 20 from the beginning.
54
55
65
38
167
200
201
205
202
203
Side
Symbol
SymbolSfx
OrderQty
SecurityType
MaturityMonthYear
PutOrCall
MaturityDay
StrikePrice
CoveredOrUncovered
Yes
Yes
No
Yes
No
No
No
No
No
No
40
44
99
OrdType
Price
StopPx
Yes
No
No
59
TimeInForce
No
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Supported value/Comments
1 = Buy
2 = Sell
5 = Sell short
Required for FUT and OPT
Required for Option
Required for Option
Required for Option
Required for Option
Required for Option
1 = Market
2 = Limit
3 = Stop
4 = Stop limit
5 = Market on close
B = Limit on close
P = Pegged
Required when OrdType = 2, 4, B
Required when OrdType = 3, 4
0 = Day+
1 = Good Till Cancel (GTC) (SmartRoute doesn’t support)
2 = At the Opening (OPG)
3 = Immediate or Cancel (IOC)
5 = Day+
6 = Good Till Date (Tag 126 ExpireTime value should be set)
7 = At the Closing
8 = Day
DIRECT ACCESS SOFTWARE
DAS FIX SPECIFICATION
If this tag is not set, default 0 (Day+) will be used.
126
ExpireTime
No
Required when tag 59 is 6 (Good Till Date).
Format: YYYYMMDD-HH:MM:SS, example: 20101214-15:30:00
18
ExecInst
Yes
1 = Not held
5 = Held
G = All or none - AON
111
1
MaxFloor
Account
No
Yes
If this tag is not set, default max floor is equal to the order
quantity.
Maximum 10 chars. Required for Smart Route.
9000
Route
No
100
9001
ExDestination
Exchange
No
No
207
9003
9004
9005
SecurityExchange
Broker Symbol
Post Only
No Route Out
Trailer
No
N
N
N
Yes
If Route is not defined, agreed Route in configure will be used.
The type is string.
Execution destination as defined by institution when
order is entered.
If this tag is not defined, default route will be used.
The symbol's exchange ID. The type is char.
Market used to help identify a security.
If this tag is not defined, Server will lookup local table for
security market.
Y-Post Only
Y-No Route Out
Special notices:
1. For Pegged order type, DOS FIX API will treat it as Primary order automatically no matter what
value in Tag 18.
2. For Market/Limit on close order type (5, B), Time In Force will be ignored no matter what value in
Tag 59.
An example:
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DAS FIX SPECIFICATION
8=FIX.4.2 9=156 35=D 49=SID1 56=DAS 34=2 52=2010072906:18:08 11=S100729000001 54=1 55=MSFT 38=100 40=2 44=25.000000 59=0 60=2010072906:18:08 9000=TEST 9001=Q 10=229
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DAS FIX SPECIFICATION
Cancel/Replace Order Definition
This table defines tags and their values to make a Cancel/Replace order for FIX API.
Tag
35
Field
Header
MsgType
Req'd
Yes
Yes
11
ClOrdID
Yes
41
OrigClOrdID
Yes
ClOrdID length must not over 20 chars. If more than 20 chars are set,
DOS FIX API will trim to 20 from the beginning.
ClOrdID of the previous order (NOT the initial order of the day) when
canceling or replacing an order.
1 = Buy
2 = Sell
5 = Sell short
54
Side
Yes
55
38
Symbol
OrderQty
Yes
Yes
40
44
99
59
18
111
OrdType
Price
StopPx
TimeInForce
ExecInst
MaxFloor
Trailer
Supported value/Comments
G
Yes
No
No
1 = Market
2 = Limit
3 = Stop
4 = Stop limit
5 = Market on close
B = Limit on close
P = Pegged
Price is required when OrdType = 2, 4, B
StopPx is required when OrdType = 3, 4
No
0 = Day
1 = Good Till Cancel (GTC)
2 = At the Opening (OPG)
3 = Immediate or Cancel (IOC)
No
No
Yes
1 = Not held
5 = Held
G = All or none - AON
An example:
8=FIX.4.2 9=174 35=G 49=SID1 56=DAS 34=11 52=2010072906:21:32 11=S100729000004 41=S100729000003 54=1 55=MSFT 38=200 40=2 44=25.000000
59=0 60=20100729-06:21:32 10=086
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DAS FIX SPECIFICATION
Cancel Order Definition
This table defines required tags to cancel an order.
Tag
Field
Header
Req'd
Yes
Supported value/Comments
35
MsgType
Yes
F
11
ClOrdID
Yes
41
OrigClOrdID
Yes
54
38
Side
OrderQty
Trailer
ClOrdID length must not over 20 chars. If more than 20 chars are
set, DOS FIX API will trim to 20 from the beginning.
ClOrdID of the previous order (NOT the initial order of the day)
when canceling or replacing an order.
1 = Buy
2 = Sell
5 = Sell short
Yes
Yes
Yes
Order Cancel Reject
Order Cancel Reject message will be sent when an order cancel or cancel/replace request can’t
be achieved.
Tag
35
11
41
39
Field
Header
MsgType
ClOrdID
OrigClOrdID
OrdStatus
Trailer
Req'd
Yes
Yes
Yes
Yes
No
Yes
Comments
MsgType = 9
ClOrdID of the previous order
(NOT the initial order of the day) when
canceling or replacing an order.
Execution Report
Order acknowledgements, Cancel acknowledgements, Cancel-Replace acknowledgements
(Pending Cancel-Replacement), Fills and Rejects are all sent using the Execution report
message type.
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DAS FIX SPECIFICATION
Tag
35
37
17
11
41
20
150
39
55
54
44
151
14
6
38
32
31
9100
9101
9102
60
Field
MsgType
Req'd
Yes
Comments
MsgType = 8
OrderID
ExecID
ClOrdID
Yes
Yes
Yes
OrderID is required to be unique for each chain of orders.
Must be unique for each Execution Report message
OrigClOrdID
ExecTransType
No
Yes
ExecType
OrdStatus
Symbol
Side
Price
LeavesQty
CumQty
AvgPx
OrderQty
Last Shares
Last Price
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Liquidity Indicator
Execution Type
ECN Fee
Transact Time
Yes
Optional
Yes
Yes
Conditionally required for response to an electronic Cancel
or Cancel/Replace request (ExecType=PendingCancel,
Replaced, or Canceled). ClOrdID of the previous order
(NOT the initial order of the day) when canceling or
replacing an order.
Describes the type of execution report. Same possible values as
OrdStatus.
Describes the current state of a CHAIN of orders
Amount of shares open for further execution.
Currently executed shares for chain of orders.
Quantity of shares bought/sold on this fill
Price Of Last Fill
Trade specific. A – Add Liquidity; R – Remove Liquidity; X – Route
Out
Trade specific. Specific indicator for trade’s type.
For fill report, this field is ECN fee charged for this fill.
Following are execution report FIX message examples.
Order acknowledgements (Order Accept):
8=FIX.4.2 9=174 35=8 49=DAS 56=SID1 34=73 52=2010072906:51:56 17=5 37=2 11=S100729000005 54=1 20=0 150=0 39=0 6=25.000000 38=100 44=25.0000
00 59=0 151=100 14=0 55=MSFT 60=20100729-06:51:56 10=186
Order Rejected:
8=FIX.4.2 9=193 35=8 49=DAS 56=SID1 34=94 52=2010072906:59:30 17=13 37=0 11=S100729000011 54=1 58=Route
disable! 20=0 150=8 39=8 6=31.000000 38=100 44=31.000000 59=0 151=100 14=0 55=MSFT 60=
19700101-00:00:00 10=168
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Pending Cancel:
8=FIX.4.2 9=191 35=8 49=DAS 56=SID1 34=76 52=2010072906:52:58 17=6 37=2 11=S100729000006 41=S100729000005 54=1 20=0 150=6 39=6 6=25.000000
38=100 44=25.000000 59=0 151=100 14=0 55=MSFT 60=20100729-06:51:56 10=027
Canceled:
8=FIX.4.2 9=201 35=8 49=DAS 56=SID1 34=77 52=2010072906:52:58 17=7 37=2 11=S100729000006 41=S100729000005 54=1 58=Canceled 20=0 150=4 39=4
6=25.000000 38=100 44=25.000000 59=0 151=0 14=0 55=MSFT 60=20100729-06:52:58 10=109
Pending Cancel/Replace:
8=FIX.4.2 9=191 35=8 49=DAS 56=SID1 34=83 52=2010072906:55:32 17=9 37=3 11=S100729000008 41=S100729000007 54=1 20=0 150=E 39=E 6=25.000000
38=100 44=25.000000 59=0 151=100 14=0 55=MSFT 60=20100729-06:55:18 10=060
Replaced:
8=FIX.4.2 9=209 35=8 49=DAS 56=SID1 34=84 52=2010072906:55:32 17=10 37=3 11=S100729000008 41=S100729000007 54=1 58=Replaced 20=0 150=5 39=
5 40=2 6=25.000000 38=200 44=25.000000 59=0 151=200 14=0 55=MSFT 60=2010072906:55:32 10=226
Partially Filled:
8=FIX.4.2 9=200 35=8 49=DAS 56=SID1 34=105 52=2010072907:01:56 17=21 37=5 11=S100729000014 54=1 20=0 150=1 39=1 6=29.000000 31=29.000000 32=
900 38=2000 44=29.000000 59=0 151=200 14=1800 55=MSFT 60=20100729-07:01:56 10=113
Filled:
8=FIX.4.2 9=198 35=8 49=DAS 56=SID1 34=106 52=2010072907:01:57 17=22 37=5 11=S100729000014 54=1 20=0 150=2 39=2 6=29.000000 31=29.000000 32=
200 38=2000 44=29.000000 59=0 151=0 14=2000 55=MSFT 60=20100729-07:01:57 10=023
Symbol Shortable Info
Tag
35
55
9200
9201
9202
9203
9204
Field
MsgType
Symbol
Flag
Issue Market
Short Size
Yesterday Close Price
Long Margin Rate
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Req'd
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Tyoe
Comments
MsgType = s
String
DWORD
BYTE
DWORD
double
DWORD
0x1: Shortable
0x2: Marginable
0x8: Shortable List 1
0= default; 100 means 100%, 60 means 60% cash
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DAS FIX SPECIFICATION
requirement.
9205
Short Margin Rate
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Yes
DWORD
Same as Long Margin Rate.
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DAS FIX SPECIFICATION
FIX API Configuration (internal use only)
FIX API Port setting
FIX API listening port is set in OM.cfg. Example likes,
FIXAPI: port:
8600
FIX SESSION Configuration
FIX SESSION configuration file name should be “OM_FIXAPI.cfg” (pay attention to underline). It should
be put to the same location with OM.exe.
OM_FIXAPI.cfg can contain multi-sessions. Each session is composed with below parameters.
Session Parameters
‫טבלה מעוצבת‬
Mandatory
Meaning
SendComID
YES
Defines the client's SendComID used by FIX message
TargetComID
YES
Defines DAS FIX API ID used by FIX message
ALLOWIPMASK
DEFAULTTRADER
DEFAULTACCOUNT
HEARTBEAT
NO
YES
YES
YES
Defines allowed client's IP to connect DAS FIX API. If this
parameter is not defined, FIX API will not limit client's IP.
Valid trader tracno
Valid account name
default value is 30
ALLOWCANCELREPLAC
E
YES
If set to YES, Cancel/Replace is allowed; or else, this
operation will be rejected.
ROUTE
YES
SendSymbolShortList
No
Define the default router which the order will be sent to. If
user doesn't set a route in new order message, this default
route will be used; or else user defined route will be used.
If set to YES, OrderServer will send symbol shortlist to FIX
client by FIXAPI. This is mainly used to send symbol
shortlist from master OrderServer to Sub-OrderServer
connected by FIXAPI/FIXLIB (DASFIX).
Default value is NO.
Each parameter format is like: para_name:session_name:para_value. A configuration file example:
####SESSION:S1################################
SendComID:
S1:
SID1
TargetComID:
S1:
DAS
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ALLOWIPMASK:
S1:
DEFAULTTRADER:
127.0.0.1
S1:
DEFAULTACCOUNT:
S1:
TRTOM
HEARTBEAT:
S1:
30
ALLOWCANCELREPLACE:
S1:
ROUTE:
TEST
S1:
TOM
YES
########Session:S2###############################
SENDCOMID:
S2:
SID2
TARGETCOMID:
S2:
DAS
#ALLOWIPMASK:
S2:
127.0.0.1
DEFAULTTRADER:
S2:
TOM
DEFAULTACCOUNT:
S2:
TRTOM1
HEARTBEAT:
S2:
30
ALLOWCANCELREPLACE:
S2:
ROUTE:
TEST
S2:
NO
FIX SESSION Log File
FIX SESSION log file location is defined by parameter “FILEPATH:LOG:D:\temp\” in OM.cfg and with the
subfolder name in date. FIX SESSION log file name format is: FIXAPI_SessionName.log. FIX SESSION log
file logs received/sent FIX messages and order mapping tags.
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