FIX

DLTF operates FIX Trading Gateways which allow users to manage orders on their DLTF Account using FIX 4.4 messages.

Connection validation

In order to activate the fix protocol, you need to provide us with the public key of your certificate, which you will use every time you connect to the FIX server. Example of certificate generation:

$ openssl genrsa -out example.key 2048

$ openssl req -new -x509 -sha256 -key example.key -out example.crt -days 3650

In result you will have 2 files: example.key and example.crt. example.key must be used for encrypt TLS connection to FIX server. example.crt must be provided to DLTF for connection validation.

Environments

DLTF operates both Production and Test environments which can be connected to using FIX using the following connection parameters.

DLTF Digital Service	IP/DNS	Port	DLTF CompId	Client CompId	Client SubId
Test	fix.stage.dltm.quanttradingfactory.com	5002	STAGE_DLTF_MD	<check details in client FIX settings>	<check details in client FIX settings>

Messages sizes

Inbound message size limit

The DLTF FIX Trading Gateways have a maximum inbound message limit of 8192 bytes. If a message is received which exceeds this size, the client will be logged off.

Outbound message size

The DLTF FIX Trading Gateway will never publish messages greater than 8192 bytes.

Recovery

The DLTF FIX Market Data Gateways do not support any FIX message recovery.

In the event of the DLTF FIX Market Data Gateway requesting a message re-send, the resent messages will be ignored.

Sequence number on logon

Client must login with the tag 141 (ResetSeqNumFlag) set to 'Y' always.

Compatibility

DLTF aims to maximise compatibility by using standard FIX messages, tags and usage conventions wherever possible.

Periodically, DLTF updates it's FIX specifications in response to changes to the core trading application. Usually these changes are to support additional features and wherever possible this will be achieved through the use of additional messages, tags in existing messages or tag values in existing tags. In order to minimise the impact of these sort of changes, DLTF recommends that the client application accepts messages with unrecognised tags and ignores those tags which it cannot interpret.

DLTF will all endeavor to contact clients prior to change to the FIX API, particularly in the case where a change is breaking (i.e. not additive in nature).

Messages Supported Messages

DLTF supports the following FIX message types.

Type	Name	Description
0	Heartbeat	Message sent during quite intervals on the connection to ensure that connection is still alive.
1	TestRequest	Message used to request a HeartBeat from the counterparty to allow round trip testing of the connection.
2	ResendRequest	Message used to request a replay of messages from the counter party.
3	Reject	Sent in response to a message which is structurally invalid (i.e. invalid or missing tag or ill-formed tag-value).
4	SequenceReset	SequenceReset.
5	Logout	Message used to terminate a FIX connection. Can be sent by the client or the DLTF FIX Gateway.
A	Logon	Message used to establish a connection between a client and the DLTF FIX Gateway.
V	MarketDataRequest	Message sent by the client to request market data.
W	MarketDataSnapshotFullRefresh	Message sent by DLTF containing changes in market data
Y	MarketDataRequestReject	Message sent in response to an invalid Market Data Request.
xt	TraceSubscription

Standard Message Components

StandardHeader

Tag	Tag Name	Description	Required	Data Type
8	BeginString	The FIX version number identifier. Always 'FIX.4.4'	Y	String
9	BodyLength	Length of the FIX Message.	Y	Length
35	MsgType	The type of the message.	Y	String
49	SenderCompID	Identifier for the sender of the message.	Y	String
50	SenderSubID	Sub identifier for the sender of the message.	Y	String
56	TargetCompID	Identifier for the receiver of the message.	Y	String
34	MsgSeqNum	The unique sequence number for the message within current FIX session.	Y	SeqNum
43	PossDupFlag	Always required for retransmitted messages, whether prompted by the sending system or as the result of a resend request. Set to 'Y' if this is a resent message.	N	Boolean
97	PossResend	Never used by DLTF.	N	Boolean
52	SendingTime	Time message was sent.	Y	UTCTimestamp
122	OrigSendingTime	Timestamp when message was originally sent. Required for message resent as a result of a ResendRequest.	N	UTCTimestamp

StandardTrailer

Tag	Tag Name	Description	Required	Data Type
10	CheckSum	Checksum for message contents.	Y	String

Instrument

Tag	Tag Name	Description	Required	Data Type
48	SecurityID	Must contain the DLTF orderbook id.	Y	String
22	SecurityIDSource	Must contain the value '8' (Exchange Symbol)	Y	String

InstrmtMDReqGrp

Tag	Tag Name	Description	Required	Data Type
146	NoRelatedSym	Specifies the number of repeating symbols specified.	Y	NumInGroup
Instrument			Y

MDReqGrp

Tag	Tag Name	Description	Required	Data Type
267	NoMDEntryTypes	Number of MDEntryType (269) fields requested.	Y	NumInGroup
269	MDEntryType	Type Market Data entry. DLTF supported values: 0 = Bid 1 = Offer DLTF only allows subscription to both bid and ask at the same time. If only 0 or 1 is specified individually for a Market Data Request, then the request will be rejected.	Y	char

MDFullGrp

Tag	Tag Name	Description	Required	Data Type
268	NoMDEntries	Number of entries in Market Data message.	Y	NumInGroup
269	MDEntryType	Type Market Data entry.DLTF supported values: 0 = Bid 1 = Offer	Y	char
270	MDEntryPx	Price of the Market Data Entry.	N	Price
271	MDEntrySize	Quantity or volume represented by the Market Data Entry.	N	Qty
272	MDEntryDate	Date of Market Data Entry. This tag will only be present on the first entry in the repeating group.	N	UTCDateOnly
273	MDEntryTime	Time of Market Data Entry. This tag will only be present on the first entry in the repeating group.	N	UTCTimeOnly

Message Descriptions

Heartbeat

Message sent during quite intervals on the connection to ensure that connection is still alive.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 0
112	TestReqID	Required when the heartbeat is the result of a Test Request message.	N	String
StandardTrailer			Y

TestRequest

Message used to request a HeartBeat from the counterparty to allow round testing trip of the connection.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 1
112	TestReqID	Identifier included in Test Request message to be returned in resulting Heartbeat	Y	String
StandardTrailer			Y

ResendRequest

Message used to request a replay of messages from the counter party.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 2
7	BeginSeqNo	Message sequence number of first message in range to be resent	Y	SeqNum
16	EndSeqNo	Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo (7) = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = “0” (representing infinity).	Y	SeqNum
StandardTrailer			Y

Reject

Sent in response to a message which is structurally invalid (i.e. invalid or missing tag or ill-formed tag-value).

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 3
45	RefSeqNum	MsgSeqNum of rejected message	Y	SeqNum
371	RefTagID	The tag number of the FIX field being referenced.	N	int
372	RefMsgType	The MsgType of the FIX message being referenced.	N	String
373	SessionRejectReason	Code to identify reason for a session-level Reject message.	N	int
58	Text	Where possible, message to explain reason for rejection	N	String
StandardTrailer			Y

SequenceReset

SequenceReset

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 4
123	GapFillFlag	Indicates that the Sequence Reset message is replacing administrative or application messages which will not be resent. Valid values: Y = Gap Fill message, MsgSeqNum field valid N = Sequence Reset, ignore MsgSeqNum	N	Boolean
36	NewSeqNo	New sequence number	Y	SeqNum
StandardTrailer			Y

Logout

Message used to terminate a FIX connection. Can be sent by the client or the DLTF FIX Gateway.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= 5
58	Text	If DLTF logs out a client this may contain a text description for the reason for the logout.	N	String
StandardTrailer			Y

Logon

The Logon message must be the first message Client sends after establishing a TCP connection on the port agreed upon with DLTF. Client must wait for a Logon from DLTF before sending other messages and beginning gap fill operations.

Password is represented as ed25519 signature of [payload].

Payload is composed of the following fields:

MsgSeqNum SENDERCOMPID TARGETCOMPID API_KEY NONCE

The nonce is integer (recommend to use nanoseconds timestamp), always increasing value.

Example:

payload := fmt.Sprintf("%d%s%s%s%d", seqNum, sender, target, pubKeyHex, time.Now().UnixNano()) signatureRaw := ed25519.Sign(privateKey, []byte(payload)) signatureHex := hex.EncodeToString(signatureRaw)

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= A
98	EncryptMethod	Always '0' - None	Y	int
108	HeartBtInt	The maximum time to wait before a Heartbeat message is sent in the absence of other activity on the connection. The same value is used by both parties.	Y	int
141	ResetSeqNumFlag	Indicates both sides of a FIX session should reset sequence numbers	N	Boolean
553	Username	API Token public key in HEX format. This is required on the login message sent by the client	Y	String
554	Password	Signature in HEX format. This is required on the login message sent by the client	Y	String
5025	Nonce	Time in ms since epoch as string. (This will be used in password generation and check)	Y	String
StandardTrailer			Y

MarketDataRequest

Message sent by the client to request market data. An individual request can be made for one or more instruments. Clients should rely on the SecurityID (tag 48) to identify the instrument each request is referencing.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= V
262	MDReqID	Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).	Y	String
263	SubscriptionRequestType	SubcriptionRequestType indicates to the other party what type of response is expected. DLTF supported values: 1 - Snapshot + Updates (Subscribe) 2 - Disable previous Snapshot + Updates Request (Unsubscribe) DLTF does not support 0 - Snapshot	Y	char
264	MarketDepth	Depth of market for Book Snapshot DLTF supported values: 0 = Full Depth (DLTF supports a maximum of 20 levels of depth) 1 = Top of Book 2-20 = Report best N price tiers of data, up to 20 levels.	Y	int
265	MDUpdateType	Required if SubscriptionRequestType = Snapshot + Updates (1).DLTF supported values 0 - Full Refresh.	N	int
266	AggregatedBook	Specifies whether or not book entries should be aggregated. Valid values: Y = one book entry per side per price N = Multiple entries per side per price allowed (Not specified) = broker option	N	Boolean
MDReqGrp			Y
InstrmtMDReqGrp			Y
StandardTrailer			Y

MarketDataSnapshotFullRefresh

Message received by the client showing the current order book. Clients should rely on the SecurityID (tag 48) to identify the instrument each update is referencing.

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= W
262	MDReqID	Conditionally required if this message is in response to a Market Data Request.	N	String
Instrument			Y
MDFullGrp			Y
StandardTrailer			Y

MarketDataRequestReject

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= Y
262	MDReqID	Must refer to the MDReqID of the request.	Y	String
281	MDReqRejReason	Reason for the rejection of a Market Data request.DLTF supported values: 0 = Unknown symbol 1 = Duplicate MDReqID 4 = Unsupported SubscriptionRequestType 5 = Unsupported MarketDepth 6 = Unsupported MDUpdateType 8 = Unsupported MDEntryType	N	char
58	Text	Free format text string (Note: this field does not have a specified maximum length)	N	String
StandardTrailer			Y

TraceSubscription

Tag	Tag Name	Description	Required	Data Type
StandardHeader			Y	MsgType= xt
262	MDReqID	Unique identifier for Market Data Request. MDReqId is restricted to a maximum of 16 lowercase hexadecimal characters [0123456789abcdef] with no leading 0 characters (this is a positive 64bit number represented in hexadecimal excluding 0). Must be unique for all current Market Data Requests. If a new Market Data Request (excluding unsubscribtion requests) is received with the same MDReqId as a current Market Data Request then the new request will be rejected as a duplicate.	Y	String
263	SubscriptionRequestType	Subscription Request Type Valid values: 0 = Snapshot; 1 = Snapshot + Updates (Subscribe); 2 = Disable previous Snapshot + Update Request (Unsubscribe);	Y	char
StandardTrailer			Y

Tags

Tag	Tag Name	Type	Description
1	Account	String	Account mnemonic as agreed between buy and sell sides, e.g. broker and institution or investor/intermediary and fund manager.
6	AvgPx	Price	Not supported by DLTF - always 0
7	BeginSeqNo	SeqNum	Message sequence number of first message in range to be resent
8	BeginString	String	Identifies beginning of new message and protocol version. ALWAYS FIRST FIELD IN MESSAGE. (Always unencrypted). Valid values: * FIX.4.4
9	BodyLength	Length	Message length, in bytes, forward to the CheckSum field. ALWAYS SECOND FIELD IN MESSAGE. (Always unencrypted)
10	CheckSum	String	Three byte, simple checksum (see Volume 2: “Checksum Calculation” for description). ALWAYS LAST FIELD IN MESSAGE; i.e. serves, with the trailing <SOH>, as the end-of-message delimiter. Always defined as three characters. (Always unencrypted)
16	EndSeqNo	SeqNum	Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo (7) = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = “0” (representing infinity).
22	SecurityIDSource	String	Identifies class or source of the SecurityID (48) value. Required if SecurityID is specified. DLTF Supported values are: 8 = Exchange Symbol
34	MsgSeqNum	SeqNum	Integer message sequence number.
35	MsgType	String	Defines message type ALWAYS THIRD FIELD IN MESSAGE. (Always unencrypted) Valid values: *** Note the use of lower case letters *** 0 = Heartbeat 1 = Test Request 2 = Resend Request 3 = Reject 4 = Sequence Reset 5 = Logout A = Logon V = Market Data Request W = Market Data-Snapshot/Full Refresh Y = Market Data Request Reject
36	NewSeqNo	SeqNum	New sequence number
43	PossDupFlag	Boolean	Indicates possible retransmission of message with this sequence number Valid values: Y = Possible duplicate N = Original transmission
45	RefSeqNum	SeqNum	Reference message sequence number
48	SecurityID	String	DLTF Security identifier. Requires SecurityIDSource=8.
49	SenderCompID	String	Assigned value used to identify firm sending message.
50	SenderSubID	String	Assigned value used to sub identify firm sending message.
52	SendingTime	UTCTimestamp	Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as “GMT”)
56	TargetCompID	String	Assigned value used to identify receiving firm.
58	Text	String	Free format text string (Note: this field does not have a specified maximum length)
89	Signature	data	Electronic signature
93	SignatureLength	Length	Number of bytes in signature field.
95	RawDataLength	Length	Number of bytes in raw data field.
96	RawData	data	Unformatted raw data, can include bitmaps, word processor documents, etc.
97	PossResend	Boolean	Indicates that message may contain information that has been sent under another sequence number.Valid Values: Y=Possible resend N=Original transmission DLTF will never populate this tag with any value other than 'N' on messages sent by DLTF. DLTF will ignore this tag on any messages received by DLTF and the treat the message as having been sent with PossResend='N'.
98	EncryptMethod	int	Method of encryption. Valid values: 0 = None / other DLTF does not support encryption at the FIX layer. All messages are sent over an SSL encrypted connection. Supported values:
108	HeartBtInt	int	Heartbeat interval (seconds)
112	TestReqID	String	Identifier included in Test Request message to be returned in resulting Heartbeat
122	OrigSendingTime	UTCTimestamp	Original time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as “GMT”) when transmitting orders as the result of a resend request.
123	GapFillFlag	Boolean	Indicates that the Sequence Reset message is replacing administrative or application messages which will not be resent. Valid values: Y = Gap Fill message, MsgSeqNum field valid N = Sequence Reset, ignore MsgSeqNum
141	ResetSeqNumFlag	Boolean	Indicates that the both sides of the FIX session should reset sequence numbers. Valid values: Y = Yes, reset sequence numbers N = No
146	NoRelatedSym	NumInGroup	Specifies the number of repeating symbols specified.
262	MDReqID	String	Unique identifier for Market Data Request. MDReqId is restricted to a maximum of 16 lowercase hexadecimal characters [0123456789abcdef] with no leading 0 characters (this is a positive 64bit number represented in hexadecimal excluding 0). Must be unique for all current Market Data Requests. If a new Market Data Request (excluding unsubscribtion requests) is received with the same MDReqId as a current Market Data Request then the new request will be rejected as a duplicate.
263	SubscriptionRequestType	char	Subscription Request Type Valid values: 0 = Snapshot; 1 = Snapshot + Updates (Subscribe); 2 = Disable previous Snapshot + Update Request (Unsubscribe);
264	MarketDepth	int	Depth of market for Book Snapshot. DLTF supported values: 0 = Full Depth (DLTF supports a maximum of 20 levels of depth) 1 = Top of Book 2-20 = Report best N price tiers of data, up to 20 levels.
265	MDUpdateType	int	Specifies the type of Market Data update. DLTF supported values: 0 = Full Refresh
266	AggregatedBook	Boolean	Specifies whether or not book entries should be aggregated. Valid values: Y = one book entry per side per price N = Multiple entries per side per price allowed (Not specified) = broker option
267	NoMDEntryTypes	NumInGroup	Number of MDEntryType (269) fields requested.
268	NoMDEntries	NumInGroup	Number of entries in Market Data message.
269	MDEntryType	char	Type Market Data entry. DLTF supported values: 0 = Bid 1 = Offer
270	MDEntryPx	Price	Price of the Market Data Entry.
271	MDEntrySize	Qty	Quantity or volume represented by the Market Data Entry.
272	MDEntryDate	UTCDateOnly	Date of Market Data Entry.
273	MDEntryTime	UTCTimeOnly	Time of Market Data Entry.
281	MDReqRejReason	char	Reason for the rejection of a Market Data request. Valid values: 0 = Unknown symbol 1 = Duplicate MDReqID 2 = Insufficient Bandwidth 3 = Insufficient Permissions 4 = Unsupported SubscriptionRequestType 5 = Unsupported MarketDepth 6 = Unsupported MDUpdateType 7 = Unsupported AggregatedBook 8 = Unsupported MDEntryType 9 = Unsupported TradingSessionID A = Unsupported Scope B = Unsupported OpenCloseSettleFlag C = Unsupported MDImplicitDelete
354	EncodedTextLen	Length	Unused by DLTF. Byte length of encoded (non-ASCII characters) EncodedText (355) field.
355	EncodedText	data	Unused by DLTF. Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Text field.
371	RefTagID	int	The tag number of the FIX field being referenced.
372	RefMsgType	String	The MsgType (35) of the FIX message being referenced.
373	SessionRejectReason	int	Code to identify reason for a session-level Reject message. Valid values: 0 = Invalid tag number 1 = Required tag missing 2 = Tag not defined for this message type 3 = Undefined Tag 4 = Tag specified without a value 5 = Value is incorrect (out of range) for this tag 6 = Incorrect data format for value 7 = Decryption problem 8 = Signature problem 9 = CompID problem 10 = SendingTime accuracy problem 11 = Invalid MsgType 12 = XML Validation error 13 = Tag appears more than once 14 = Tag specified out of required order 15 = Repeating group fields out of order 16 = Incorrect NumInGroup count for repeating group 17 = Non “data” value includes field delimiter (SOH character) 99 = Other
383	MaxMessageSize	Length	Maximum number of bytes supported for a single message.
384	NoMsgTypes	NumInGroup	Number of MsgTypes (35) in repeating group.
385	MsgDirection	char	Specifies the direction of the messsage.Valid values: S = Send R = Receive
464	TestMessageIndicator	Boolean	Not supported by DLTF.
553	Username	String	DLTF username. This is required on the login message sent by the client
554	Password	String	DLTF Password or passphrase. This is required on the login message sent by the client
789	NextExpectedMsgSeqNum	SeqNum	Not supported by DLTF.

Data Types

Data Type	Description
Boolean	char field containing one of two values: 'Y' = True/Yes 'N' = False/No
char	Char value, can include any alphanumeric character or punctuation except the delimiter. All char fields are case sensitive (i.e. l != L).
data	Binary (non-ASCII) data.
int	Sequence of digits without commas or decimals and optional sign character (ASCII characters - and 0 - 9). The sign character utilizes one byte (i.e. positive int is 99999 while negative int is -99999). Note that int values may contain leading zeros (e.g. 00023 = 23).
Length	Representing the length in bytes. Value must be positive.
NumInGroup	Value that represents the number of repeating values in a group.
Price	Value representing a price. Note the number of decimal places may vary.
Qty	Value capable of storing either a whole number (no decimal places) of shares (securities denominated in whole units) or a decimal value containing decimal places for non-share quantity asset classes (securities denominated in fractional units).
SeqNum	Representing a message sequence number. Value must be positive.
String	Alpha-numeric free format strings; can include any character or punctuation except the delimiter. All char fields are case sensitive (i.e. dltf != DLTF).
UTCTimestamp	Representing Time/date combination represented in UTC (Universal Time Coordinated, also known as GMT ) only accepted in this format : YYYYMMDD-HH:MM:SS (whole seconds). For example 20120321-17:15:03.