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Page Revision: 2012/09/06 09:09
This document outlines how to use the T4 FIX API 4.0 of Cunningham Trading Systems (CTS). The T4 FIX API conforms to the
Financial Information eXchange (FIX) Protocol with minor improvements and customizations as presented herein.
To develop to the T4 FIX API, you need a dedicated SSL connection to a T4 FIX API server. Your FIX client will negotiate a socket TCP connection and authenticate login parameters. To assist in development, we can provide a FIX Simulator system with market depth and execution 24x5, regardless of real market hours. From the FIX API’s perspective, the FIX Simulator works exactly the same as a live FIX system. Note: Attempting to connect to the T4 FIX API with any other method than through the T4 FIX API is not allowed.
FIX Session
In the following scenarios, the T4 API User (Client) is identified as the” Initiator” while the T4 FIX API (Server) will be named as the “Acceptor”. Under the FIX T4 API, a FIX session is comprised of a FIX
Logon, (administrative and application) message exchanges and a FIX
Logout. Under all circumstance, a FIX session only spans over these 3 components. Note, the T4 FIX API session does not span over multiple logins. All application level transport is governed by the FIX session rules of administrative messages.
Message Integrity
Of primary importance is the integrity of the FIX messages expected by the T4 FIX API. All message must be well-formed (non-garbled and complete), delineated with the SOH delimiter character (ASCII=001) with no empty tags, valid value types and with faithful conformance to the message (Tag) dictionaries of this current documentation. All messages must be delivered in sequential order as specified by the Sequence Number tag (Tag 34). Data integrity must be maintained by the message CheckSum (Tag 10). Unless specified as part of the T4 FIX API dictionaries, custom tags will be ignored and may cause a FIX Session termination. All message traffic is un-encrypted.
Message Structure
All messages (administrative and application) are expected to conform to the FIX 4.2 Tag-Value format. In addition to the mandatory FIX
color|blue|Standard Header and
color|blue|Standard Trailer, messages received through your user connection are expected to be fully compliant to the T4 FIX API tag dictionaries - presented herein. All messages must contain BeginString (Tag 8), BodyLength (Tag 9) and Message Type (Tag 35) as the first 3 tags. The
color|blue|Standard Trailer must also contain a correctly computed CheckSum (Tag 10). Messages deviated from the above will be considered as garbled. Upon the detection of a garbled message, the current FIX Session will be subject to immediate termination. The TCP physical connection will also be dropped.
In the following descriptions, the T4 FIX API user is identified as the” Initiator” (Client) while the T4 FIX API is named as the “Acceptor” (Server). For sample and details of specific FIX messages, please refer to the description of each message type below. Note that the sample FIX messages are provided without the mandatory tags BeginString (Tag 8), MessageType (Tag 35), MessageLength(Tag 9) and CheckSum (Tag 10). For brevity, the message dictionaries are only provided with the relevant tags for the header and trailer.
'Note': To complement this current T4 FIX API documentation, the FIX Protocol Version 4.2 standard can located at the
FIX Protocol organization web site.
Note: In addition to the T4 FIX API, we also provide the .NET T4 API based on Microsoft's .Net Framework 4.0. For further details on the .NET T4 API, please refer to the following link:
For detailed descriptions of the individual classes, methods and properties, please see here.