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| ====== Headline ====== | ====== Headline ====== |
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| This document outlines how to use the T4 FIX API 4.0 of Cunningham Trading Systems (CTS). The T4 FIX API conforms to the [http://www.fixprotocol.org|<span style="color:blue;">Financial Information eXchange (FIX) Protocol</span>] with minor improvements and customizations as presented herein. | |
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| <b>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.</b> | |
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| 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. | |
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| <b>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 <i>Message Dictionary</i> 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.</b> | |
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| '''FIX Session''' <br/><br/> | |
| 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 [Logon|<span style="color:blue;">FIX Logon</span>], (administrative and application) message exchanges and a [Logout|<span style="color:blue;">FIX Logout</span>]. Under all circumstances, a FIX session spans over these 3 components. Note, the FIX session does not span over multiple [Logon|<span style="color:blue;">FIX Logons</span>]. 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 [TraderLogon|<span style="color:blue;">Trader Logons</span>]. This feature accommodates multiple Traders/Users under the same physical connection of the FIX Session. | |
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| '''Message Integrity''' <br/><br/> | |
| 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. | |
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| '''Message Structure''' <br/><br/> | |
| 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|<span style="color:blue;">Standard Header</span>] and [Standard Trailer|<span style="color:blue;">Standard Trailer</span>], 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|<span style="color:blue;">Standard Trailer</span>] 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. | |
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| 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. | |
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| 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). | |
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| '''Message Types''' <br/><br/> | |
| For a full explanation of message type dynamics and its corresponding tag dictionary, please click on the links below.<br/><br/> | |
| ((( | |
| <table class="generic"> | |
| <tr class="tableheader"> | |
| <th align="left"><span style="color:green;">ADMINISTRATIVE</span></th> | |
| <th align="left"><span style="color:green;">MARKET DATA</span></th> | |
| <th align="left"><span style="color:green;">SECURITY DEFINITIONS</span></th> | |
| <th align="left"><span style="color:green;">ORDER ROUTING</span></th> | |
| <th align="left"><span style="color:green;">APPLICATION MANAGEMENT</span></th> | |
| </tr> | |
| <tr valign="top" class="tablerow"> | |
| <td> | |
| <br/> | |
| [Logon|<span style="color:blue;">Logon</span>] | |
| <br/><br/> | |
| [Logout|<span style="color:blue;">Logout</span>] | |
| <br/><br/> | |
| [Heartbeat|<span style="color:blue;">Heartbeat</span>] | |
| <br/><br/> | |
| [Test Request|<span style="color:blue;">Test Request</span>] | |
| <br/><br/> | |
| [Resend Request|<span style="color:blue;">Resend Request</span>] | |
| <br/><br/> | |
| [Sequence Reset|<span style="color:blue;">Sequence Reset</span>] | |
| <br/><br/> | |
| [Reject|<span style="color:blue;">Reject</span>] | |
| <br/><br/> | |
| [TraderLogon|<span style="color:blue;">Trader Logon</span>] | |
| <br/><br/> | |
| [TraderLogonResponse|<span style="color:blue;">Trader Logon Response</span>] | |
| <br/><br/> | |
| [TraderLogout|<span style="color:blue;">Trader Logout</span>] | |
| <br/><br/> | |
| [TraderLogoutResponse|<span style="color:blue;">Trader Logout Response</span>] | |
| <br/> | |
| </td> | |
| <td> | |
| <br/> | |
| [MarketData Request|<span style="color:blue;">MarketData Request</span>] | |
| <br/><br/> | |
| [MarketData Snapshot FullRefresh|<span style="color:blue;">MarketData Snapshot FullRefresh</span>] | |
| <br/><br/> | |
| [MarketData Incremental Refresh|<span style="color:blue;">MarketData Incremental Refresh</span>] | |
| <br/><br/> | |
| [MarketData Request Reject|<span style="color:blue;">MarketData Request Reject</span>] | |
| <br/> | |
| </td> | |
| <td> | |
| <br/> | |
| [Security Definition Request|<span style="color:blue;">Security Definition Request</span>] | |
| <br/><br/> | |
| [Security Definition|<span style="color:blue;">Security Definition</span>] | |
| <br/> | |
| </td> | |
| <td> | |
| <span style="color:red;"> | |
| <br/> | |
| [Order Single|<span style="color:blue;">New Order Single</span>] | |
| <br/><br/> | |
| [Order Cancel ReplaceRequest|<span style="color:blue;">Cancel Replace Request</span>] | |
| <br/><br/> | |
| [Order Cancel Request|<span style="color:blue;">Order Cancel Request</span>] | |
| <br/><br/> | |
| [Execution Report|<span style="color:blue;">Execution Report</span>] | |
| <br/><br/> | |
| [Order Status Request|<span style="color:blue;">Order Status Request</span>] | |
| <br/><br/> | |
| [Cancel Reject|<span style="color:blue;">Cancel Reject</span>] | |
| <br/><br/> | |
| [New Order List|<span style="color:blue;">New Order List</span>] | |
| <br/><br/> | |
| [List Cancel Request|<span style="color:blue;">List Cancel Request</span>] | |
| <br/><br/> | |
| [Order Mass Status Request|<span style="color:blue;">Order Mass Status Request</span>] | |
| <br/> | |
| </span> | |
| </td> | |
| <td> | |
| <span style="color:red;"> | |
| <br/> | |
| [Collateral Inquiry|<span style="color:blue;">Collateral Inquiry</span>] | |
| <br/><br/> | |
| [Collateral Report|<span style="color:blue;">Collateral Report</span>] | |
| <br/> | |
| </span> | |
| </td> | |
| </tr> | |
| </table> | |
| ))) | |
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| '''Order Types''' <br/><br/> | |
| 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. | |
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| ((( | |
| <table class="generic"> | |
| <tr class="tableheader"> | |
| <th align="left"><span style="color:green;">STANDARD</span></th> | |
| <th align="left"><span style="color:green;">SPECIAL</span></th> | |
| <th align="left"><span style="color:green;">CONTINGENT (BATCH)</span></th> | |
| </tr> | |
| <tr valign="top" class="tablerow"> | |
| <td> | |
| <br/> | |
| [Market Order|<span style="color:blue;">Market</span>] | |
| <br/><br/> | |
| [Limit Order|<span style="color:blue;">Limit </span>] | |
| <br/><br/> | |
| [Stop Order|<span style="color:blue;">Stop</span>] | |
| <br/><br/> | |
| [Stop Limit Order|<span style="color:blue;">Stop Limit</span>] | |
| <br/><br/> | |
| [Trailing Stop Order|<span style="color:blue;">Trailing Stop</span>] | |
| <br/> | |
| </td> | |
| <td> | |
| <br/> | |
| [Complete Volume Order|<span style="color:blue;">Complete Volume</span>] | |
| <br/><br/> | |
| [Immediate And Cancel Order|<span style="color:blue;">Immediate And Cancel</span>] | |
| <br/><br/> | |
| [GTC Order|<span style="color:blue;">Good Til Cancel</span>] | |
| <br/><br/> | |
| [Activation On Market Mode Order|<span style="color:blue;">Activation On Market Mode</span>] | |
| <br/><br/> | |
| [Activation At Time Order|<span style="color:blue;">Activation At Time</span>] | |
| <br/><br/> | |
| [Activation On Price Order|<span style="color:blue;">Activation On Price</span>] | |
| <br/><br/> | |
| [Flatten Order|<span style="color:blue;">Flatten</span>] | |
| <br/><br/> | |
| [Join Order|<span style="color:blue;">Join</span>] | |
| <br/><br/> | |
| [Hit Order|<span style="color:blue;">Hit</span>] | |
| <br/><br/> | |
| [Queue Order|<span style="color:blue;">Queue</span>] | |
| <br/><br/> | |
| [MarketIfTouched Order|<span style="color:blue;">Market If Touched</span>] | |
| <br/> | |
| </td> | |
| <td> | |
| <span style="color:red;"> | |
| <br/> | |
| [OCO Order|<span style="color:blue;">OCO (One Cancels Other)</span>] | |
| <br/><br/> | |
| [AutoOCO Order|<span style="color:blue;">Automatic OCO (One Cancels Other)</span>] | |
| <br/><br/> | |
| [Spark|<span style="color:blue;">Spark</span>] | |
| <br/><br/> | |
| [AutoOCOM|<span style="color:blue;">Automatic OCO (Multiple Exits)</span>] | |
| <br/> | |
| </span> | |
| </td> | |
| <td> | |
| </tr> | |
| </table> | |
| ))) | |
| </br> | |
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| '''Note''': To complement this current T4 FIX API documentation, the FIX Protocol Version 4.2 standard can be located at the '''[http://www.fixprotocol.org|FIX Protocol organization web site]'''. | |
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