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FIX API

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martin-nginio edited this page Jul 5, 2022 · 2 revisions

Introduction

FIX (Financial Information eXchange) is a standard message protocol used to interact with trading system for placing and cancelling orders. The FIX interface is based on the FIX 4.4 specification.

Please contact the BTC Markets support team and complete the account verification process to gain secure access to the FIX interface.

Connectivity

Clients must establish a secure connection to the FIX gateway in order to establish a session.

Endpoint

tcp+ssl://fix.btcmarkets.net:433

Rate Limit

All requests are limited to 150 calls per 10 seconds per FIX session. An account can establish and maintain a single FIX session only.

FIX Maintenance

FIX engine will go down on daily basis at UTC time 17:00:00 for maintenance and updates.

FIX engine will have a maintenance window daily basis between 5pm UTC to 5:10pm UTC. During this time all sessions will be closed. All clients are required to restart their sessions during this time and reset sequence numbers to 0 and logon again to start a new connection.

Authentication

To establish a FIX connection, an API key must be set up (similar process as required for the REST API). This will be the SenderCompID for messages sent by the Client.

Authentication will be verified at logon. The raw data element within the logon message must contain a valid signature, which will be validated by the FIX engine.

The prehash string for the signature input contains the following fields concatenated with an empty string.

seqNum + "A" + apiKey + timestamp

timestamp is taken from the Logon message SendingTime tag (converted to epoch value in milliseconds).

The following steps demonstrate how to convert the prehash string to a signature:

const msg = seqNum+'A'+apiKey+timestamp
var buffer = Buffer.from(apiPrivateKey, 'base64');
var hmac = crypto.createHmac('sha512', buffer);
const signature = hmac.update(preHashString).digest('base64');

FIX API Client Libraries

If you are starting to develop your FIX client application, the following code samples can be useful. These demonstrate authentication and the ability to place and cancel orders:

Java

Node

FIX Workflow Steps

  • Connection
  • Logon and Authentication
  • Synchronizing sequence numbers
  • Place or cancel orders

FIX Naming Convention vs REST API

BTC Markets has implemented common messaging and naming conventions used by other crypto exchanges, while also ensuring compatibility with the REST API. The table below shows the FIX and corresponding REST API names.

FIX Name REST API
Symbol marketId
OrdType type
OrderQty amount
ClOrdID clientOrderId
SelfTradePrevention selfTrade
ExecInst postOnly
LeavesQty openAmount

FIX Messages

Message Type Overview

All messages have an attribute called MsgType which represents the type of message to be communicated with the FIX engine.

Messages from Client to Server

Message type Identifier
Logon A
Heartbeat 0
Test Message 1
Logout 5
New Single Order D
Cancel Order F
Order Status H

Messages from Server to Client

Message type Identifier
Logon A
Heartbeat 0
Test Message 1
Logout 5
Order Execution Report 8
Order Cancel Reject 9

Common Message Header

All messages must include the following header:

Tag Name Description
8 BeginString Must be FIX.4.4
9 BodyLength Length of the message body in bytes
8 MsgType e.g. D
49 SenderCompID API key (similar API keys used for REST APIs)
56 TargetCompID Must be BTCM (for messages from the client)
34 MsgSeqNum FIX Sequence Number
52 SendingTime Sender time
10 CheckSum FIX computed checksum

Data dictionary

Side

Value Description
1 BUY
2 SELL

OrdType

Value Description
1 Market
2 Limit
3 Stop
4 Stop Limit

TimeInForce

Value Description
1 Good Till Cancel (GTC)
3 Immediate or Cancel (IOC)
4 Fill Or Kill (FOK)

ExecInst

Value Description
6 Post only order

SelfTradeProtection

Value Description
P Prevent self trade
A Allow self trade

ExecType

Value Description
0 New
4 Cancelled
8 Rejected
F Trade
I Order Status
L Triggered Order

OrdStatus

Value Description
0 New
1 Partially Filled
2 Filled
4 Canceled
8 Rejected

OrdType

Value Description
1 Market
2 Limit
3 Stop
4 Stop Limit

OrdRejReason

Value Description
101 INPUT_ERROR
102 AUTH_ERROR
103 SERVER_ERROR
104 THROTTLED
105 INSUFFICIENT_FUNDS
99 OTHER

CxlRejReason

Value Description
0 TOO_LATE_TO_CANCEL
1 UNKNOWN_ORDER
101 INPUT_ERROR
102 AUTH_ERROR
103 SERVER_ERROR
104 THROTTLED
99 OTHER

Logon (A)

The Logon message is sent by the Client to initiate a FIX session. Logon must be the first message immediately after the connection is established. Only one FIX session can be established per connection, and any additional Logon messages will be rejected. A corresponding Logon message will be returned to the Client.

Tag Name Example Value Description
98 EncryptMethod 0 Must be set to "0" (None). Encryption is not supported
108 HeartBInt 30 Must be set to "30"
96 RawData 8f7e...4783 Signature
95 RawDataLength ... Size of RawData
8013 CancelOrdersOnDisconnect 1 See below

CancelOrdersOnDisconnect

Value Description
0 No orders will be cancelled on disconnect or logout
1 Cancel all orders on disconnect only
2 Cancel all orders on logout only
3 Cancel all orders on disconnect or logout

Logout (5)

Logout message is sent by the Client or Server to close a session gracefully.

Heartbeat (0)

Heartbeat messages can be sent by both the Client and Server if no messages have been sent for 30 seconds (or as agreed at Logon message request).

Tag Name Example Value Description
112 TestReqID TEST Echoed back if responding back to Test Request (1)

Test Request (1)

Test messages can be sent by both the Client or Server.

Tag Name Example Value Description
112 TestReqID TEST Indicates a string that is expected to be echoed back in the next heartbeat

New Single Order Request (D)

New single order messages can be sent by the Client to enter a new single order.

Tag Name Example Value Required Y/N Description
11 ClOrdID order123 Y Client order ID is a string field allowing up 64 characters: a-z, A-Z, 0-9, and standard formats like UUID
55 Symbol BTC-AUD Y
40 OrdType 2 Y See below
38 OrderQty 1.1 Y Order quantity
44 Price 8000 N Limit price - required for OrdType = 2 or 4
99 StopPx 9000 N Stop price - required for OrdType = 3 or 4
54 Side 1 Y See below
59 TimeInForce 1 Y See below
18 ExecInst 6 N See below. Defaults to not post only if not specified
7928 SelfTradePrevention P N See below. Defaults to allow self trade if not specified

Cancel Order Request (F)

A cancel order request can be sent by the Client to cancel an existing order. Either the OrderID or the OrigClordID must be provided

Tag Name Example Value Description
37 OrderID 123456 Order ID for the original order (system generated)
41 OrigClOrdID order123 Original client order ID

Order Status Request (H)

The order status request message can be sent by the Client to get the status of an order. Either the OrderID or the OrigClordID must be provided.

Tag Name Example Value Description
11 ClOrdID order123 Client order ID; must be unique
37 OrderID orderxyz Order ID (system generated)

Order Execution Report (8)

The order execution report message is sent by the Server to report the result of a request from the Client.

Tag Name Example Value Description
11 ClOrdID order123 Client order ID
37 OrderID orderxyz Order ID (system generated)
150 ExecType 0 See below
39 OrdStatus 0 See below
55 Symbol BTC-AUD
54 Side 1 See below
40 OrdType 2 See below
38 OrderQty 1.1 Original order quantity. Only available for ExecType = I
44 Price 8000 Only available for ExecType = I
32 LastQty 0.2 Last quantity traded. Only available for ExecType = F
31 LastPx 100 Last price traded. Only available for ExecType = F
151 LeavesQty 10 Open order quantity
103 OrdRejReason 101 See below. Only available for ExecType = 8
58 Text Invalid market id Free format reject reason text. Only available for ExecType = 8

Order Cancel Reject (9)

The order cancel reject message can be sent by the Server to reject an order cancellation request from the Client. These messages can be sent if the order is already cancelled, filled or does not exist in the system.

Tag Name Example Value Description
37 OrderID 123456 Order ID for the original order (system generated)
41 OrigClOrdID order123 Original client order ID
39 OrdStatus 8 Fixed value
102 CxlRejReason 0 See below
434 CxlRejResponseTo 1 Response to the cancel request; Fixed value
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