Trade over FIX

FIX is the lowest-latency way to trade on the exchange, and the protocol most market makers use. You need a private network connection and FIX credentials first. Access and credentials covers both.

Sessions

A FIX session is a long-lived connection that you log on to once and keep open with heartbeats. You run a separate session for each job:

• Order entry: place, amend and cancel orders with NewOrderSingle, OrderCancelReplaceRequest and OrderCancelRequest. The exchange answers with an ExecutionReport or an OrderCancelReject. See Order entry.
• Market data: read the instrument list with SecurityListRequest and subscribe to the order book with MarketDataRequest. See Market data.
• Drop copy: a read-only copy of every execution on your account, for allocation, compliance and audit. See Drop copy.

Every session starts with a signed Logon. Administrative lists the fields and how to compute the signature.

Order handling

• To reprice a resting order, send OrderCancelReplaceRequest instead of a cancel followed by a new order.
• FIX has no mass cancel. To cancel every open order, call DELETE /v1/cefi/orders/all over REST.
• On an omnibus agency account, allocate fills to your clients from the drop copy session. See Account models.

Next: Trade over REST