FIX Order Entry

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FIX Order Entry
Use the FIX Order Entry session to submit, manage, and cancel orders.
For assistance or information regarding implementation of the FIX API, please contact [email protected]​
sFOX uses FIX 4.4
Connectivity
Before logging onto a FIX session, you must establish a secure connection to the FIX gateway
Endpoints
Environment
Value
Description
Production
fix.sfox.com:5001
SSL Required
Staging
fix.staging.sfox.com:5001
SSL Required
TCP SSL
If your FIX implementation does not support establishing a native TCP SSL connection with SNI support, set up a local proxy such as stunnel to establish a secure connection to the FIX gateway. Refer to our QuickFIX Integration Guide for details and examples
Standard Header
A standard header is required at the start of each message
Tag
Name
Description
108
HeartBtInt
Must be <= 30 (seconds)
8
BeginString
Must be FIX.4.4
49
SenderCompID
Any value. Must be unique per session
56
TargetCompID
Must be SFOX
​
StartDay
Sunday
​
EndDay
Sunday
​
StartTime
00:00:01
​
EndTime
00:00:00
​
TimeZone
Must be ETC or UTC
Messages
Logon – A
Sent by the client to initiate a session and by the server as an acknowledgement.
Only one session may exist per SenderCompId. Attempting to logon using a SenderCompId of an active session will result in an error.
Tag
Name
Required
Description
554
Password
Y
Your API Key (generate one here)
20040
CancelOnDisconnect
N
String Field: Optionally cancel all orders on disconnect (logout or otherwise). Note: this cancels orders on the entire account.

Y - Cancel on Disconnect
QuickFIX: If you are implementing the FIX protocol using QuickFIX please refer to our QuickFIX Integration Guide​
NewOrderSingle – D
Tag
Name
Required
Description
Default
11
ClOrdID
Y
Client provided order ID, must be unique per-account
​
55
Symbol
Y
Trading pair in lowercase basequote format i.e. btcusd
(see: Security List)
​
54
Side
Y
1: Buy
2: Sell
​
40
OrdType
Y
1: Market
2: Limit
3: Stop
or one of our Algorithm IDs
​
44
Price
Y (excluding Market orders)
Limit Price
​
38
OrderQty
Y
For limit orders, this is the quantity to trade in the base currency. For Market Sell orders, this is the amount in the base currency.
​
152
CashOrderQty
Y (OrdType = 1 AND Side = 1 or OrdType = 3 (stop) AND Side = 1 (buy)
For market buy orders, this is the amount to spend in the quote currency
​
21
HandleInst (custom usage)
N
How to execute the order:
1: Smart
2: NetPrice (default)
3: Enterprise
2
59
TimeInForce
N
The lifetime of the order:
1: good till cancel
3: immediate or cancel
1
20025
Destination (custom)
N
Specific destination:
ox
darkpool
​
​
Tag
Name
Algorithm
Required
Description
Default
20000
StopAmount
308: Trailing Stop
N
The fixed amount to trail the market price by
​
20001
StopPercent
308: Trailing Stop
N
The percentage to trail the market price by (given as a decimal: 10% = 0.1)
​
20010
Interval
307: TWAP
Y
The frequency at which TWAP trades are executed (in seconds)
​
20011
TotalTime
307: TWAP
Y
The maximimum time a TWAP order will stay active (in seconds). Must be >= 15 minutes (900 seconds) and the interval (tag 20010)
​
20020
RoutingOption
301: Gorilla
303: Hare
Y
How SFOX will trade your order, BestPrice or Fast
​
OrderStatusRequest – H
Tag
Name
Required
Description
11
ClOrdID
Y
Original ClOrdID when creating the order
790
OrdStatusReqID
N
Optionally provided value that will be echoed in the response
OrderCancelRequest – F
Tag
Name
Required
Description
11
ClOrdID
Y
Unique ID of the cancel request
41
OrigClOrdID
Y
Original ClOrdID provided when creating the order
OrderCancelReplaceRequest - G
Tag
Name
Required
Description
11
ClOrdID
Y
Client Order ID of this request
41
OrigClOrdID
Y
Client Order ID of the original order
38
OrderQty
N
​
44
Price
N
​
152
CashOrdQty
N
​
20000
StopAmount
N
​
20001
StopPercent
N
​
OrderMassCancelRequest - q
Tag
Name
Required
Description
11
ClOrdID
N
Optional client order id, echoed back in the OrderMassCancelReport
530
MassCancelRequestType
Y
7 - Cancel All Orders (this will attempt to cancel all open orders for the account)
OrderMassCancelReport - r
Tag
Name
Description
37
OrderID
OrderID of this report
11
ClOrdID
ClOrdID provided in the OrderMassCancelRequest, if provided
530
MassCancelRequestType
7 - Cancel All Orders
531
MassCancelResponse
0 - Request Rejected
7 - Cancel All Orders
532
MassCancelRejectReason
99 - Other (if 531 = 0)
533
TotalAffectedOrders
Number of orders that are affected by the request (note: it is not guaranteed all of these orders are canceled, only that a cancel is requested)
58
Text
Optional text to describe the error (if 531 = 0)
ExecutionReport – 8
Tag
Name
Description
37
OrderID
SFOX Assigned Order ID, when rejected this will be 0.
17
ExecID
SFOX Assigned Trade ID, when rejected this will be 0.
11
ClOrdID
Client provided order ID
31
LastPx
Last fill price
32
LastQty
Last fill quantity
60
TransactTime
​
55
Symbol
Trading pair
54
Side
1: Buy
2: Sell
40
OrdType
1: Market
2: Limit
44
Price
Client provided limit price, only if OrdType = 2
150
ExecType
Execution type:
0: New
4: Canceled
8: Rejected
F: Trade
I: Order Status Request
39
OrdStatus
Current status of the order:
0: New
1: Partially Filled
2: Filled
3: Done
4: Canceled
8: Rejected
151
LeavesQty
Amount remaining of the order
14
CumQty
Amount filled so far of the order
6
AvgPx
VWAP
136
NoMiscFees
Number of misc fees
=> 137
MiscFeeAmt
Amount of fees
=> 138
MiscFeeCurr
Fee Currency
OrderCancelReject – 9
Tag
Name
Description
37
OrderID
SFOX Order ID, unless the order is unknown (CxlRejReason = Unknown Order)
11
ClOrdID
Client provided order ID of the cancel request
41
OrigClOrdID
Client provided order ID of the original order (echoed back from the request)
39
OrdStatus
Existing status of the order that could not be canceled
102
CxlRejReason
0: Too Late To Cancel
1: Unknown Order
99: Other (already canceled)
Security List Request - x
Tag
Name
Required
Description
320
SecurityReqID
Y
​
559
SecurityListRequestType
Y
Must be 4 - All Securities
Security List - y
Tag
Name
Description
320
SecurityReqID
SecurityReqID from the SecurityListRequest
322
SecurityResponseID
Unique identifier of the response
560
SecurityRequestResult
This will always be 0 - Valid Request
146
NoRelatedSym
​
-> 55
Symbol
Underlying asset symbol in lowercase basequote format i.e. btcusd
​