T4 FIX API

Modified on 2018/01/19 15:52 by Ryan Byrne (CTS) — Categorized as: Uncategorized

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.

T4 FIX API applications cannot be run simultaneously with our frontend or other applications with the same username. If you are creating an application that needs to be run simultaneously with other applications under the same username then you should use the Microsoft .Net based T4 API as that will allow simultaneous logins from the same physical machine.

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.

Please note that changes in documentation may precede availability of changes in production by a few weeks. Also note that new tags and tag values can be added to the Message Dictionary of FIX messages without prior notification. T4 FIX API applications must be coded with appropriate flexibility (e.g. exception handling) to handle changes in FIX message schemas.

FIX Session

In the following scenarios, the T4 API User (Client) is identified as the” Initiator” while the T4 FIX API (Server) is named the “Acceptor”. Under the FIX API, a FIX session is comprised of a FIX Logon, (administrative and application) message exchanges and a FIX Logout. Under all circumstances, a FIX session spans over these 3 components. Note, the FIX session does not span over multiple FIX Logons. In the T4 FIX API, all (application level) message interactions are governed by the FIX Session Protocol rules as applied to both administrative and application messages. As an option of the FIX API, the FIX Session may also include multiple Trader Logons. This feature accommodates multiple Traders/Users under the same physical connection of the FIX Session.

Message Integrity

The integrity of the FIX messages is of primary importance to maintain a FIX Session under the T4 FIX API. All messages must be well-formed (non-garbled and complete), delineated with the SOH delimiter character (ASCII 001), with no empty tags, carry valid value types and be in 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 signed by the message CheckSum number (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 with minor improvements and customizations. In addition to the mandatory FIX Standard Header and Standard Trailer, messages received through a client connection are required to be fully compliant with the T4 FIX API 'Message Dictionary' (as shown from the 'Message Types' links below). All messages must contain BeginString (Tag 8), BodyLength (Tag 9) and MessageType (Tag 35) as the first 3 tags. The Standard Trailer must also contain a correctly computed CheckSum number (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.

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, all message dictionaries are only provided with the relevant T4 tags.

Under the T4 FIX API, securities are uniquely identified by the specific market of a contract offered by an exchange. As such, Exchanges are identified by an unique Exchange ID in Tag 207 (SecurityExchange). Contracts are characterized by its Contract ID in Tag 55 (Symbol). Markets are identified by an unique Market ID in Tag 48 (SecurityID).

Message Types

For a full explanation of message type dynamics and its corresponding tag dictionary, please click on the links below.

ADMINISTRATIVE	MARKET DATA	SECURITY DEFINITIONS	ORDER ROUTING	APPLICATION MANAGEMENT
Logon Logout Heartbeat Test Request Resend Request Sequence Reset Reject Trader Logon Trader Logon Response Trader Logout Trader Logout Response	MarketData Request MarketData Snapshot FullRefresh MarketData Incremental Refresh MarketData Request Reject	Security Definition Request Security Definition	New Order Single Cancel Replace Request Order Cancel Request Execution Report Order Status Request Cancel Reject New Order List List Cancel Request Order Mass Status Request	Collateral Inquiry Collateral Report

Order Types

The T4 FIX API supports a comprehensive set of Order Types for Order Routing. Please click on the links below for a full explanation and sample messages.

STANDARD	SPECIAL	CONTINGENT (BATCH)
Market Limit Stop Stop Limit Trailing Stop	Complete Volume Immediate And Cancel Good Til Cancel Activation On Market Mode Activation At Time Activation On Price Flatten Join Hit Queue Market If Touched	OCO (One Cancels Other) Automatic OCO (One Cancels Other) Spark Automatic OCO (Multiple Exits)

Note: To complement this current T4 FIX API documentation, the FIX Protocol Version 4.2 standard can be located at the FIX Protocol organization web site.