NAV

REST API

WebSocket API

Introduction

The WebSocket API provides developers a way to access streaming data from our backend engines.

The URLs are:

Using WebSocket API you can:

  1. Access real time price points for products
  2. Reduce the latency introduced by polling the REST API
  3. Access real time Market updates, Balance Updates & Chart updates

Upon connection, if no message is sent via the WebSocket connection (typically not being subscribed to any instrument) within 60 seconds, the connection will be considered idle and will be dropped.

We currently only allow three concurrent WebSocket connections Any new connection that is made that exceeds this limit will cause the disconnection of the oldest WebSocket connection. For example, in the UAT environment: If client A connects, followed by client B, followed by client C, client A will be disconnected. We encourage WebSocket clients to be configured to automatically reconnect in the event of a disconnection.

The WebSocket API provides developers a way to access streaming data from our pricing engines.

Methods

Method Name Description
login used for authenticating a user to receive user specific tickers
logout used for closing the authenticated session
subscribe used to subscribe specific event see events table below
unsubscribe used for closing existing open subscriptions

Events

Event Code Event Name User Specific (Auth Required) Extra Params
MK Markets
OB Order Books
RT Recent Trades
OT Order Book Totals
CH Charts Intervals: 1, 5, 15 & 60 mins
BL Balances Yes
PO Pending Orders Yes

Authentication

For security reasons, IP whitelisting is required to consume our API and whitelists are different for each environment. To authenticate a request, the token key must be included in its Authorization HTTP header. The key must be prefixed by the string literal “Token ”. For instance:

Authorization: Token 9b44b09199c61bcf9416ad846dd0e4

Once authenticated, you will receive a message containing your tradable instruments.

Using Bearer Token

Request:
    {
       "method":"login",
       "token":"your_bearer_token"
    }

    Response:
    {
       "method":"login",
       "status":"success",
       "message":"Logged in."
    }

To authenticate a request, the bearar token must be included in its Authorization HTTP header.

Using API Keys

// recvWindow: 45 sec
    Request:
    {
        "method": "login",
        "api": {
            "public_key": "api-public-key",
            "timestamp": 1608028160
        },
        "hmac": "computed-hmac-of-only-api-object"
    }

    Response:
    {
       "method":"login",
       "status":"success",
       "message":"Logged in."
    }

Closing Authenticated Session

Request:
    {
        "method":"logout"
    }

    Response:
    {
       "method":"logout",
       "status":"success",
       "message":"Logged out."
    }

Subscribing

The WebSocket API works on a subscription model. After subscribing to an event, you will receive the response with status field set to success. Following the subscription, you will receive updates untill you unsubscribe or close the connection.

Markets

    {
        "method": "stream",
        "event": "MK",
        "data": [
            {
                "base": "XLM",
                "quote": "BTC",
                "price": 600.00000000,
                "change_in_price": 119999900.00000000,
                "prev_price": 0.00050000,
                "base_volume": 29178.00000000,
                "quote_volume": 48.63000000,
                "full_name": "Stellar",
                "low_24hr": 0.00050000,
                "high_24hr": 600.00000000,
                "maker_fee": 1.00000000,
                "taker_fee": 2.00000000,
                "maker_fee_pro": 1.00000000,
                "taker_fee_pro": 2.00000000,
                "min_trade_amount": 0.00000001,
                "min_tick_size": 0.00000001,
                "min_order_value": 0.00000001
            },
            {
                "base": "BCH",
                "quote": "USD",
                "price": 600.00000000,
                "change_in_price": 100.00000000,
                "prev_price": 0.00000000,
                "base_volume": 29172.00000000,
                "quote_volume": 48.62000000,
                "full_name": "BCH",
                "low_24hr": 600.00000000,
                "high_24hr": 600.00000000,
                "maker_fee": 1.00000000,
                "taker_fee": 1.00000000,
                "maker_fee_pro": 1.00000000,
                "taker_fee_pro": 1.00000000,
                "min_trade_amount": 0.00000001,
                "min_tick_size": 0.00000001,
                "min_order_value": 0.00000001
            },
            {
                "base": "BTC",
                "quote": "USD",
                "price": 600.00000000,
                "change_in_price": -94.29588933,
                "prev_price": 10518.73000000,
                "base_volume": 3690.00000000,
                "quote_volume": 6.15000000,
                "full_name": "BTC",
                "low_24hr": 600.00000000,
                "high_24hr": 600.00000000,
                "maker_fee": 1.00000000,
                "taker_fee": 1.00000000,
                "maker_fee_pro": 1.00000000,
                "taker_fee_pro": 1.00000000,
                "min_trade_amount": 0.00000001,
                "min_tick_size": 0.00000001,
                "min_order_value": 0.00000001
            }
        ]
    }

Request

method event
subscribe 'MK'

Example

{ "method": "subscribe", "events": [ "MK" ] }

Order Books

// bid/ask, array of [price,size] 
    {
       "method":"stream",
       "event":"OB.BTC_USD",
       "data":{
          "bids":[
             599.0000000,
             212.2500000
          ],
          "asks":[
             [
                600.00000000,
                125.27000000
             ]
          ]
       }
    }

Request

method event
subscribe 'OB.BTC_USD' OR 'OB.BCH_USD'

Example

{ "method": "subscribe", "events": [ "OB.BTC_USD", "OB.BCH_USD" ] }

Order Books Differential

Stream:
{
    "method": "stream",
    "event": "OD.LTC_BTC",
    "data": {
        "bids": {
            "inserted": [],
            "removed": [],
            "changed": []
        },
        "asks": {
            "inserted": [
                [
                    0.00473426,
                    1.00000000
                ]
            ],
            "removed": [],
            "changed": []
        }
    }
}

Request

method event
subscribe 'OD.LTC_BTC'

Example

{ "method": "subscribe", "events": [ "OD.LTC_BTC" ] }

Recent Trades

// Recent 100 trades, sent every second
    {
       "method":"stream",
       "event":"RT.BTC_USD",
       "data":[
          {
             "order_id": 1607425823,
             "rate": 600.00000000,
             "volume": 0.01000000,
             "execution_side": "BUY",
             "timestamp": "2020-12-08T11:10:23.442Z"
          },
                {
             "order_id": 1607425823,
             "rate": 600.00000000,
             "volume": 0.01000000,
             "execution_side": "BUY",
             "timestamp": "2020-12-08T11:10:23.442Z"
          }
       ]
    }

Request

method event
subscribe 'RT.BTC_USD' OR 'RT.BCH_USD'

Example

{ "method": "subscribe", "events": [ "RT.BTC_USD", "RT.BCH_USD" ] }

Pending Orders

    {
       "method":"stream",
       "event":"PO.ALL",
       "data":[
          {
             "order_id": 123722351,
             "user_id": 102999,
             "base": "ETH",
             "quote": "EUR",
             "rate": 20.00000000,
             "volume": 1.50000000,
             "pending": 1.50000000,
             "type": "LIMIT",
             "tif": "GTC",
             "side": "BUY",
             "timestamp": "2020-12-14T10:12:23.8824761Z"
          }
       ]
    }

    {
       "method":"stream",
       "event":"PO.ETH_EUR",
       "data":[
          {
             "order_id": 123722351,
             "user_id": 102999,
             "base": "ETH",
             "quote": "EUR",
             "rate": 20.00000000,
             "volume": 1.50000000,
             "pending": 1.50000000,
             "type": "LIMIT",
             "tif": "GTC",
             "side": "BUY",
             "timestamp": "2020-12-14T10:12:23.8824761Z"
          }
       ]
    }

Request

method event
subscribe 'PO.BTC_USD' OR 'PO.BCH_USD'

Example

{ "method": "subscribe", "events": [ "PO.BTC_USD", "PO.BCH_USD" ] }

Balances

    {
       "method":"stream",
       "event":"BL",
       "data":{
          "ALGO":{
             "balance":0.0,
             "balance_in_trade":0.0
          },
          "BCH":{
             "balance":0.0,
             "balance_in_trade":0.0
          },
          "BTC":{
             "balance":0.0,
             "balance_in_trade":0.0
          },
                "EUR": {
             "balance": 580.0,
             "balance_in_trade": 270.0
          }
       }
    }

Request

method event
subscribe 'BL'

Example

{ "method": "subscribe", "events": [ "BL" ] }

Charts

// BTC_USD charts for 1 minute interval.
    {
       "method":"stream",
       "event":"CH.BTC_USD.1",
       "data":{
          "time":1607938920000,
          "open":600.00000000,
          "close":600.00000000,
          "high":600.00000000,
          "low":600.00000000,
          "volume":0.00000000
       }
    }

Request

method event
subscribe 'CH.BTC_USD.5' OR 'CH.BCH_USD.15'

Example

{ "method": "subscribe", "events": [ "CH.BTC_USD.5", "CH.BCH_USD.15" ] }

Order Book Totals

{
  "method":"stream",
  "event":"OT.BTC_USD",
  "data":{
    "total_buys_base":0.0,
    "total_buys_quote":0.0,
    "total_sells_base":125.27,
    "total_sells_quote":75162.0
  }
}

Request

method event
subscribe 'OT.BTC_USD' OR 'OT.BCH_USD'

Example

{ "method": "subscribe", "events": [ "OT.BTC_USD", "OT.BCH_USD" ] }

FIX API

Introduction

This API documentation describes FIX 5.0 (SP2) specification for connecting with Modulus Exchange (Spot). After connecting, logging on, and synchronizing sequence numbers, the client can submit orders.

Download

For your convenience, Modulus maintains our custom dictionary in QuickFIX XML form:

Environment File
Production http://api.modulusexchange.com/uploads/FIX50SP2-Dictionary.zip

Connecting

Modulus's primary trading platform and network point of presence (PoP) is housed in the OVH UK data center in London, United Kingdom. Customers can cross connect from their infrastructure or leverage an approved extranet provider to access Modulus production Market Data feeds, and Order Entry sessions.

Steps to get connected to our FIX infrastructure:

Complete Account Verification

If your firm has not done so already, please complete the Institutional Account Verification Process and obtain our FIX server's IP and Port Number while getting your public IP whitelisted.

Get connected

Once on-boarded as a Modulus customer, generate an API key-pair from your account.

Sandbox and Testing

Modulus operates a Sandbox environment which acts as a replica of our production environment. Modulus strongly recommends that all FIX customers create a Sandbox account to test their workflows. Please follow these steps to get a FIX Sandbox environment setup:

SETUP A SANDBOX ACCOUNT

Create a Sandbox account by going to: https://demo.modulusexchange.com

PERMISSION YOUR TEST IP

E-mail deployment@modulus.io and specify the email address used to setup your Sandbox account and the Source IP that you will be using to connect to the FIX Sandbox. We will respond back once the IP addresses have been enabled. We will also provide you with the Sender and Target CompId that should be used to connect to the test environment.

TEST YOUR WORKFLOW THOROUGHLY

Test all messaging workflows specified in our FIX API documentation. (Modulus currently only supports FIX 5.0 (SP2))

Submitting an order

  1. Client sends server → New Order Single Limit message or a New Order Single Market message
  2. Does Modulus accept the order?
    • Yes, order is accepted for initial processing
      1. Server sends client ← an Execution Report <8> for a new order with:
      2. Is the order marketable?
        • Yes, server executes one or more initial fills
        • Server sends client ← an Execution Report <8> for each fill or partial fill (see below for more details)
        • Does the order have remaining quantity?
          • Yes, server puts the remaining quantity on the book
          • No, server closes the order
        • No, server puts the entire quantity of the order on the book
    • No, order is rejected
      • Server sends client ← an Execution Report <8> indicating the order was rejected with:

Submitting a stop limit order

  1. Client sends server → New Order Single Stop Limit message or with OrdType <40> 4 = Stop Limit, and either a StopPx <99> value less than or equal to Price <44> on a Side <54> 1 = Buy, or a StopPx <99> value greater than or equal to Price <44> on a Side <54> 2 = Sell.
  2. Does Modulus accept the order?
    • Yes, order is accepted for initial processing
      1. Server sends client ← an Execution Report <8> for a new order with:
      2. Has a trade occurred that would trigger your stop order?
        • Yes, the stop order triggers and sends client ← an Execution Report <8> message with the child limit order details.
        • No, the stop order stays hidden and resting until a qualifying trade triggers it, or until the order is cancelled.
      3. Is the order marketable?
        • Yes, server executes one or more initial fills
        • Server sends client ← an Execution Report <8> for each fill or partial fill (see below for more details)
        • Does the order have remaining quantity?
          • Yes, server puts the remaining quantity on the book
          • No, server closes the order
        • No, server puts the entire quantity of the order on the book
    • No, order is rejected
      • Server sends client ← an Execution Report <8> indicating the order was rejected with:

When trades occur

In the event of a partial fill, Modulus sends an Execution Report <8> with:

When the order is completely filled, Modulus sends an Execution Report <8> with:

Canceling an order

  1. Client sends an Order Cancel Request
  2. If successful, Modulus responds with an Execution Report <8> with:
  3. If unsuccessful, Modulus responds with an Order Cancel Reject <9> explaining why the request to cancel the order could not be fulfilled.

Canceling all orders

  1. Client sends an Order Mass Cancel Request
  2. Modulus responds with an Order Mass Cancel Report <35> with:

We only support MassCancelRequestType <530> with value 1 = Cancel orders for a security

Requesting order status

  1. Client sends an Order Status Request
  2. Modulus responds with an Execution Report <8> with:

Supported symbols

The following symbols are valid values for a Symbol <55> field.

Symbols are formatted as BTC_USD where prices are in USD and quantities are in BTC.

Precision on the exchange

Quantity and price on incoming orders are strictly held to the minimums and increments on the table shown above.

However, once on the exchange, quantities and notional values may exhibit additional precision down to two decimal places past the "minimum order increment" listed above. For instance, it is possible that a btcusd trade could execute for a quantity of 0.0000000001 (1e-10) BTC. This is due to:

incoming market orders that may result in partial fills fees holds This additional precision is marketable once on the exchange.

Your account balances are maintained to full fractional precision in each currency.

Understanding price and quantity

RAW
8=FIX.5.0.SP2|9=137|35=D|34=2237|49=CLIENT|52=20160218-22:25:24.277|56=Modulus|11=SOME_ORDER|38=5|40=2|44=420.18|54=1|55=BTCUSD|59=1|60=20160218-17:24:15.0.SP253|10=066|
HEADER
        8         BeginString: FIX.5.0.SP2
        9          BodyLength: 137
       34           MsgSeqNum: 2237
       35             MsgType: NewOrderSingle (D)
       49        SenderCompID: CLIENT
       52         SendingTime: 20160218-22:25:24.277
       56        TargetCompID: Modulus
BODY
       11             ClOrdID: SOME_ORDER
       38            OrderQty: 5
       40             OrdType: LIMIT (2)
       44               Price: 420.18
       54                Side: BUY (1)
       55              Symbol: BTCUSD
       59         TimeInForce: GOOD_TILL_CANCEL (1)
       60        TransactTime: 20160218-17:24:15.0.SP253
TRAILER
       10            CheckSum: 066

In a New Order Single , the OrderQty <38> field is denominated in BTC (the quantity currency) and the Price <44> field is denominated in USD (the price currency).

Currency-denominated fields

Message Fields denominated in price currency Fields denominated in quantity currency
New Order Single Price <44> OrderQty <38>
MinQty <110>
Order Cancel Request OrderQty <38>
Execution Report <8> Price <44>
AvgPx <6>
LastPx <31> 		OrderQty <38>
CumQty <14>
LeavesQty <151>
LastQty <32>
IOI <6> StipulationValue <234> when StipulationType <233> is PRICE IOIQty <27>
StipulationValue <234> when StipulationType <233> is MINQTY

FEES

The amount in Commission <12> is denominated in the currency specified by the currency code value in CommCurrency <479>.

Identifiers assigned by Modulus

Tag Name Defined in Description
49 SenderCompID Standard Header Assigned value used to identify the firm sending the message.
  • When message is sent from Modulus to the client, Modulus
  • When message is sent from the client to Modulus, the client identifier, e.g. CLIENT-OE
56 TargetCompID Standard Header Assigned value used to identify the firm sending the message.
  • When message is sent from client to Modulus, Modulus
  • When message is sent from the Modulus to the client, the client identifier, e.g. CLIENT-OE
37 OrderID

Globally unique order identifier assigned by Modulus. This order id is assigned to an individual order for the lifetime of the order. When the order appears in an Execution Report <8> with ExecType <150> = 0 = New and OrdStatus <39> = 0 = New, then the order is on the book. In the case of an order cancel reject, the value of this field is NONE.

17 ExecID Globally unique event identifier assigned by Modulus. In context, this event id may refer to any of the following events:
  • order accepted id when the order is on the book
  • trade id for partial fill or fill
  • order cancellation id
  • order rejection id

Standard header

The Standard Header is required on every message.

PossResend <97> is not supported. Modulus will report the last sequence number that the exchange received in the header of the Logon message. The client should assume that any events that the server requests to be replayed have not been acted upon: see Beginning a session for details.

Tag Name Req Description
8 BeginString Y Identifies the beginning of new message and protocol version. Always the first tag in the message.
Valid value:
  • 5.0.SP2
9 BodyLength Y Message length, in bytes, forward to the CheckSum <10> field. Always the second tag in the message.
35 MsgType Y Defines message type. Always the third tag in the message.
34 MsgSeqNum
49 SenderCompID Y Assigned value used to identify the firm sending the message.
43 PossDupFlag N* Indicates possible retransmission of message with this sequence number.
Valid value:
  • Y = Possible duplicate
  • N = Original transmission
*Required for a re-transmitted message.
52 SendingTime Y Time of message transmission (always expressed in UTC).
56 TargetCompID Y Assigned value used to identify the firm receiving the message.
115 OnBehalfOfCompID N* Assigned value used to identify firm originating message if the message was delivered by a third party such as an OMS or OEMS: required when an OMS/OEMS submits or cancels orders on behalf of another Modulus account.
  • Not used or supported in Market Data or single party Order Entry or Drop Copy
  • Third party order entry header usage as follows:
122 OrigSendingTime N* Original time of message transmission (always expressed in UTC) when transmitting orders as the result of a resend request.

*Required for a re-transmitted message.

Standard Trailer

The Standard Trailer is required on every message.

Tag Name Req Description
10 CheckSum Y Three byte, simple checksum. Always the last tag in the message.

Session-Level Messages

Establishing a connection

  1. Client sends server → Logon <A> message
  2. Is client ResetSeqNumFlag <141> to Y?

3. Success! Your FIX connection is established.

When can sequence numbers be reset?

Modulus runs the server side of the FIX connection ("acceptor"). Modulus never resets sequence numbers on the server side during the logon workflow unless the client explicitly requests it.

The client ("initiator") can reset sequence numbers during Logon <A> by setting ResetSeqNumFlag <141> to Y.

Modulus recommends that client consider configuring the FIX initiator to automatically reset sequence numbers under the following conditions:

While synchronizing sequence numbers after a replay, the client may send a Sequence Reset <4> with GapFillFlag <123> = Y in lieu of a replay.

Ending a connection

The client may send the server an optional Logout <5> message but the exchange will not interpret its absence as being an abnormal condition.

Under certain conditions, the server may send the client a Logout <5> message where the Text <58> field contains the reason, such as scheduled maintenance.

Logon <A>

The Logon <A> message must be the first message sent by the application requesting to initiate a FIX session. The Logon <A> message authenticates an institution establishing a connection to Modulus.

Upon receipt of a Logon <A> message, Modulus will authenticate the institution requesting connection by validating Username <553> , SenderCompID <49> and TargetCompID <56> identifying the institution. The server will then issue a Logon <A> message as acknowledgment that the connection request has been accepted. The acknowledgment Logon can also be used by the institution to validate that the connection was established with the correct party. If validation fails, the connection will be dropped without a Reject <2>.

Tag Name Req Description
Standard Header Y MsgType = A
141 ResetSeqNumFlag N Should be set to `Y` when the client wants to indicates that the both sides of the FIX session should reset sequence numbers.
98 EncryptMethod Y Modulus does not support encryption.
Valid value:
  • 0 = None
108 HeartBtInt Y Heartbeat interval in seconds.
Valid value:
  • 30 = 30 seconds
Standard Trailer Y

Heartbeat <0>

The Heartbeat <0> monitors the status of the communication link and identifies when the last of a string of messages was not received. The only supported heartbeat interval, as specified by the Logon <A> message, is 30 seconds.

When either end of a FIX connection has not sent any data for HeartBtInt <108> seconds, it will transmit a Heartbeat <0> message. When either end of the connection has not received any data for ( HeartBtInt <108> + "some reasonable transmission time") seconds, it will transmit a Test Request <1> message. If there is still no Heartbeat <0> message received after ( HeartBtInt <108> + "some reasonable transmission time") seconds then the connection should be considered lost and corrective action be initiated.

Note that a Test Request <1> message can still be sent independent of the value of the HeartBtInt <108>, which will force a Heartbeat <0> message.

Heartbeats issued as the result of Test Request <1> must contain the TestReqID <112> transmitted in the Test Request <1> message. This is useful to verify that the Heartbeat <0> is the result of the Test Request <1> and not as the result of a regular timeout.

Tag Name Req Description
Standard Header Y MsgType = 0
112 TestReqID N* Required when the heartbeat is the result of a Test Request <1> message
Standard Trailer Y

Test Request <1>

The Test Request <1> message forces a heartbeat from the opposing application. The Test Request <1> message checks sequence numbers or verifies communication line status. The opposite application responds to the Test Request <1> with a Heartbeat <0> containing the TestReqID <112>.

The TestReqID <112> verifies that the opposite application is generating the heartbeat as the result of Test Request <1> and not a normal timeout. The opposite application includes the TestReqID <112> in the resulting Heartbeat <0>. Any string can be used as the TestReqID <112> (one suggestion is to use a timestamp string).

Tag Name Req Description
Standard Header Y MsgType = 0
112 TestReqID Y Identifier included in Test Request <1> message to be returned in resulting Heartbeat <0>
Standard Trailer Y

Resend Request <2>

The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

The resend request can be used to request a single message, a range of messages or all messages subsequent to a particular message.

Note: the sending application may wish to consider the message type when resending messages; e.g. if a new order is in the resend series and a significant time period has elapsed since its original inception, the sender may not wish to retransmit the order given the potential for changed market conditions. (The Sequence Reset <4> - Gap Fill message is used to skip messages that a sender does not wish to resend.)

Note: it is imperative that the receiving application process messages in sequence order, e.g. if message number 7 is missed and 8-9 received, the application should ignore 8 and 9 and ask for a resend of 7-9, or, preferably, 7-0 (0 represents infinity). This latter approach is strongly recommended to recover from out of sequence conditions as it allows for faster recovery in the presence of certain race conditions when both sides are simultaneously attempting to recover a gap.

Tag Name Req Description
Standard Header Y MsgType = 2
7 BeginSeqNo Y
16 EndSeqNo Y
Standard Trailer Y

Reject <3>

Modulus sends a Reject <3> message when a message is received but cannot be properly processed due to a session-level rule violation. A reject is typically a serious error in the trading application's session logic.

Tag Name Req Description
Standard Header Y MsgType = 3
45 RefSeqNum Y MsgSeqNum <34> of the rejected message.
58 Text N Explanation for rejection
371 RefTagID N The tag number of the FIX field being referenced.
372 RefMsgType N The MsgType <35> of the rejected message.
373 SessionRejectReason N Code to identify the reason for the Reject <3> 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
  • 10 = SendingTime <52> accuracy problem
  • 11 = Invalid MsgType <35>
Standard Trailer Y

Sequence Reset <4>

The Sequence Reset <4> message is used in response to a Resend Request <2> message when one or more messages must be skipped over for the following reasons:

Modulus does not support Reset mode ( GapFillFlag <123> not present or equal to N).

Tag Name Req Description
Standard Header Y MsgType = 4
36 NewSeqNo Y New sequence number. The receiver should expect this to be the sequence number of the following message.
123 GapFillFlag Y Indicates that the sender is skipping messages rather than resending them.

Valid values:
  • Y = Gap Fill message
Standard Trailer Y

Logout <5>

The Logout <5> message initiates or confirms the termination of a FIX session.

Tag Name Req Description
Standard Header Y MsgType = 5
58 Text N Reason for logging out.
Standard Trailer Y

Exchange-Bound Messages

Symbol List Request

A Symbol List Request returns a Symbol List response containing the symbols traded on the exchange.

See Examples: Request for the symbol list for sample requests and responses.

Tag Name Req Description
Standard Header Y MsgType = X
320 SecurityReqID Y Unique identifier of this request.
559 SecurityListRequestType Y The type/criteria of the request.

Valid values:
  • 2 = Limit
Standard Trailer Y

Symbol List <y>

A Symbol List is the response containing the list of symbols specified in a Symbol List Request .

See Examples: Request for the symbol list for sample requests and responses.

Tag Name Req Description
Standard Header Y MsgType = y
320 SecurityReqID Y Unique identifier of the Symbol List Request that solicited this response.
322 SecurityResponseID Y Identifier for this message.
560 SecurityRequestResult Y The result of this request.

Valid values:
  • 0 = Valid Request
  • 2 = Invalid Request
146 NoRelatedSym Y Specifies the number of returned symbols.
55 Symbol Y Market data symbol requested. See Symbol List for a list of supported symbols.
Standard Trailer Y

Market Data Request <V>

Subscribes the current session to a Market Data - Snapshot/Full Refresh followed by zero or more Market Data - Incremental Refresh messages.

See Examples: Market Data Requests for sample requests and responses.

Tag Name Req Description
Standard Header Y MsgType = V
262 MDReqID Y Unique identifier of the market data request. Uniqueness must be guaranteed by the institution for the duration of the connection to the market data channel.
263 SubscriptionRequestType Y Indicates what type of response is expected.

Valid values:
  • 1 = Snapshot + Updates (Subscribe)
264 MarketDepth Y Depth of the book to receive snapshot and updates for.

Valid values:
  • 0 = Full Book
  • 1 = Top of Book
267 NoMDEntryTypes Y Number of MDEntryType <269> fields requested.
269 MDEntryType Y Type of market data entry to receive snapshots and updates for.

Valid values:
  • 0 = Bid
  • 1 = Offer
146 NoRelatedSym Y Number of symbols requested.
55 Symbol Y Market data symbol requested. See Symbol List for a list of supported symbols.
Standard Trailer Y

Market Data - Snapshot / Full Refresh <W>

The initial response to a Market Data Request is a full snapshot of current state followed by multiple Market Data - Incremental Refresh messages.

Tag Name Req Description
Standard Header Y MsgType = W
262 MDReqID Y This message is in response to the Unique identifier of the Market Data Request .
55 Symbol Y Symbol of market data entry.
268 NoMDEntries Y Number of entries in this message.
269 MDEntryType Y Type of market data update.

Valid values:
  • 0 = Bid
  • 1 = Offer
270 MDEntryPx Y Price of market data entry.
271 MDEntrySize Y Quantity of market data entry.
Standard Trailer Y

Market Data - Incremental Refresh <X>

The initial response to a Market Data Request is a full snapshot of current state followed by multiple incremental update messages.

See Examples: Market Data Responses for examples of bids, offers events.

Tag Name Req Description
Standard Header Y MsgType = X
262 MDReqID Y This message is in response to the Unique identifier of the Market Data Request .
268 NoMDEntries Y Number of entries in this message.
279 MDUpdateAction Y Type of market data update.

Valid values:
  • 0 = New
  • 1 = Change
  • 2 = Delete
269 MDEntryType Y Type of market data entry.

Valid values:
  • 0 = Bid
  • 1 = Offer
55 Symbol Y Symbol of market data entry.

Required when MDEntryType is not `3 = Index Value`
270 MDEntryPx Y Price of market data entry.
271 MDEntrySize N* Quantity of market data entry.

Required when MDEntryType is not `3 = Index Value`
Standard Trailer Y

Market Data Request Reject <Y>

Tag Name Req Description
Standard Header Y MsgType = X
262 MDReqID Y Unique identifier of the market data request being rejected.
281 MDReqRejReason N Reason why Market Data Request was rejected.

Valid values:
Standard Trailer Y

New Order Single <D> (LIMIT)

To submit a new limit order to Modulus, send a New Order Single message with OrdType Limit.

Modulus will respond to a New Order Single message with an Execution Report <8>.

Tag Name Req Description
Standard Header Y MsgType = D
11 ClOrdID Y Unique identifier of the order as assigned by the institution. Uniqueness must be guaranteed by the institution for the duration of the connection to the order entry channel.
38 OrderQty Y Decimal quantity. Full quantity will be visible on the book.
40 OrdType Y Order type.

Valid values:
  • 2 = Limit
44 Price Y Decimal price.
54 Side Y Side of the order.

Valid values:
  • 1 = Buy
  • 2 = Sell
55 Symbol Y Ticker symbol of the order. e.g. BTC_USD
59 TimeInForce Y Specifies how long the order remains in effect. Use 7 (At the close) for Auction orders

Valid values:
  • 1 = Good Till Cancel (GTC)
  • 3 = Immediate Or Cancel (IOC)
  • 4 = Fill Or Kill (FOK)
  • 7 = At the Close - Indicates this is an order for an upcoming Auction
60 TransactTime Y Time of order creation (expressed in UTC).
Standard Trailer Y

New Order Single <D> (MARKET)

To submit a new limit order to Modulus, send a New Order Single message with OrdType Market.

Modulus will respond to a New Order Single message with an Execution Report <8>.

Tag Name Req Description
Standard Header Y MsgType = D
11 ClOrdID Y Unique identifier of the order as assigned by the institution. Uniqueness must be guaranteed by the institution for the duration of the connection to the order entry channel.
38 OrderQty Y Decimal quantity. Full quantity will be visible on the book.
40 OrdType Y Order type.

Valid values:
  • 1 = Market
54 Side Y Side of the order.

Valid values:
  • 1 = Buy
  • 2 = Sell
55 Symbol Y Ticker symbol of the order. e.g. BTC_USD
60 TransactTime Y Time of order creation (expressed in UTC).
Standard Trailer Y

New Order Single <D> (STOP LIMIT)

To submit a new limit order to Modulus, send a New Order Single message with OrdType Stop Limit.

Modulus will respond to a New Order Single message with an Execution Report <8>.

Tag Name Req Description
Standard Header Y MsgType = D
11 ClOrdID Y Unique identifier of the order as assigned by the institution. Uniqueness must be guaranteed by the institution for the duration of the connection to the order entry channel.
38 OrderQty Y Decimal quantity. Full quantity will be visible on the book.
40 OrdType Y Order type.

Valid values:
  • 4 = Stop Limit
44 Price Y Decimal price.
99 StopPx Y Decimal price.

StopPx is required when OrdType<40> is 4 = Stop Limit.
  • StopPx needs to be less than or equal to Price when Side <54> is 1 = Buy
  • StopPx needs to be greater than or equal to Price when Side <54> is 2 = Sell
54 Side Y Side of the order.

Valid values:
  • 1 = Buy
  • 2 = Sell
55 Symbol Y Ticker symbol of the order. e.g. BTC_USD
59 TimeInForce Y Specifies how long the order remains in effect. Use 7 (At the close) for Auction orders

Valid values:
  • 1 = Good Till Cancel (GTC)
60 TransactTime Y Time of order creation (expressed in UTC).
Standard Trailer Y

Order Cancel Request <F>

The Order Cancel Request message requests the cancellation of all of the remaining quantity of an existing order.

Modulus cancels order on the basis of the value in the OrigClOrdID <41> field. All other fields are required in the FIX specs but will be disregarded.

Tag Name Req Description
Standard Header Y MsgType = F
11 ClOrdID Y Unique identifier of the order as assigned by the institution. Uniqueness must be guaranteed by the institution for the duration of the connection to the order entry channel.
41 OrigClOrdID Y ClOrdID <11> of the order to cancel. Needs to correspond to a current outstanding order submitted during this trading session.
38 OrderQty Y Quantity in the order referred to by OrigClOrdID <41>
54 Side Y Side of the order.

Valid values:
  • 1 = Buy
  • 2 = Sell
55 Symbol Y Ticker symbol of the order. e.g. BTC_USD
60 TransactTime Y Time of order creation (expressed in UTC).
Standard Trailer Y

Execution Report <8>

Modulus uses the Execution Report <8> message to:

Each execution report contains two fields which are used to communicate both the current state of the order as understood by the exchange ( OrdStatus <39>) and the purpose of the message ( ExecType <150>).

Tag Name Req Description
Standard Header Y MsgType = 8
37 OrderID Y Unique order identifier assigned by Modulus.
11 ClOrdID Y Unique identifier of the order as assigned by the institution.
41 OrigClOrdID N* ClOrdID <11> of the order to cancel. Needs to correspond to a current outstanding order submitted during this trading session.

* Required for a response to an Order Cancel Request .
17 ExecID Y Unique event ID assigned by Modulus.
150 ExecType Y Describes the purpose of the Execution Report.

Valid values:
  • 0 = New
  • F = Trade
  • 4 = Canceled
  • 8 = Rejected
18 ExecInst N Indicates if an order was Maker-or-Cancel.

Valid values:
  • 6 = Participate don't initiate (maker-or-cancel)
39 OrdStatus Y Describes the current order status.

Valid values:
  • 0 = New
  • 1 = Partially filled
  • 2 = Filled
  • 4 = Canceled
  • 8 = Rejected
55 Symbol Y Ticker symbol of the order. e.g. BTC_USD
54 Side Y Side of the order.

Valid values:
  • 1 = Buy
  • 2 = Sell
44 Price N* Limit price of the order.

* Required if ExecType <150> is not `8 = Rejected`.
99 StopPx N* Stop price of the order.

* Required if ExecType <150> is not `8 = Rejected` and responding to a OrdType <40> is `4 = Stop Limit` order entry.
6 AvgPx Y Calculated average price of fills on this order. Zero for order with no fills.
31 LastPx N* Price of the fill. This field is only present when the order is updated due to a match on the exchange.
* Required if ExecType <150> is `F = Trade`.
14 CumQty Y Total quantity of the order that is filled.
38 OrderQty N* Decimal amount of BTC to purchase. The general rule is: OrderQty <38> = CumQty <14> + LeavesQty <151>.

* Required if ExecType <150> is not `8 = Rejected`.
151 LeavesQty Y Quantity <53> open for further execution. If the OrdStatus <39> is `4 = Canceled` or `8 = Rejected` (in which case the order is no longer active) then LeavesQty <151> could be 0, otherwise LeavesQty <151> = OrderQty <38> - CumQty <14>.
32 LastQty N* Quantity of the fill. This field is only present when the order is updated due to a match on the exchange.
* Required if ExecType <150> is `F = Trade`.
103 OrdRejReason N* Reason the order was rejected.

Valid values:
  • 1 = Unknown symbol
  • 2 = Exchange closed for scheduled maintenance
  • 3 = Order exceeds limit
  • 13 = Incorrect quantity
  • 99 = Other
* Required if ExecType <150> is `8 = Rejected`.
58 Text N* Reason the order was rejected or canceled.

* Required if OrdRejReason <103> is 99 = Other, or if OrdStatus <39> is 4 = Canceled and ExecType <150> is 4 = Canceled.
59 TimeInForce Y Specifies how long the order remains in effect.

Valid values:
  • 1 = Good Till Cancel (GTC)
  • 3 = Immediate Or Cancel (IOC)
  • 4 = Fill Or Kill (FOK)
  • 7 = At the Close - Indicates this is an order for an upcoming Auction
60 TransactTime Y Time the transaction represented by this Execution Report <8> occurred (expressed in UTC).
Standard Trailer Y

Order Cancel Reject <9>

Modulus sends an Order Cancel Reject <9> message when the exchange receives an Order Cancel Request message which cannot be honored because:

Tag Name Req Description
Standard Header Y MsgType = 9
11 ClOrdID Y Unique identifier of the order as assigned by the institution.
37 OrderID Y Unique identifier for the order as assigned by Modulus. Uniqueness is guaranteed for the trading session. The value is `NONE` for unknown orders.
39 OrdStatus Y Identifies the current status of order. The status is `8 = Rejected` if the order is unknown.

Valid values:
  • 0 = New
  • 1 = Partially filled
  • 2 = Filled
  • 4 = Canceled
  • 8 = Rejected
41 OrigClOrdID Y ClOrdID <11> of the order to cancel. Needs to correspond to a current outstanding order submitted during this trading session.
60 TransactTime Y Time of order creation (expressed in UTC).
102 CxlRejReason N Code to identify reason for cancel rejection.

Valid values:
  • 0 = Too late to cancel
  • 1 = Unknown order
  • 3 = Order already in Pending Cancel or Pending Replace status
  • 6 = Duplicate ClOrdID <11> received
434 CxlRejResponseTo Y Indicates the type of request that the message is in response to.

Valid values:
Standard Trailer Y

Examples

Market Data Requests

These are some examples of FIX market data requests. These requests only need to be made once per session to setup a FIX connection for market data.

Notes:

SubscriptionRequestType <263> = 1 SNAPSHOT_PLUS_UPDATES allows the sender to subscribe to the data feed and receive updates.

REQUEST FOR TOP OF BOOK (BIDS)

This is a request for the Top of Book BTCUSD bids:

RAW
8=FIXT.1.1|9=114|35=V|34=2|49=TRADEBOTMD002|52=20180425-17:51:40.000|56=Modulus|262=2|263=1|264=1|265=0|146=1|55=BTCUSD|267=1|269=0|10=016|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 114
       34                     MsgSeqNum: 2
       35                       MsgType: MarketDataRequest (V)
       49                  SenderCompID: TRADEBOTMD002
       52                   SendingTime: 20180425-17:51:40.000
       56                  TargetCompID: Modulus
BODY
      262                       MDReqID: 2
      263       SubscriptionRequestType: SNAPSHOT_PLUS_UPDATES (1)
      264                   MarketDepth: TOP_OF_BOOK (1)
      265                  MDUpdateType: FULL_REFRESH (0)
    NoRelatedSym: count = 1
           55                        Symbol: BTCUSD
    NoMDEntryTypes: count = 1
          269                   MDEntryType: BID (0)
TRAILER
       10                      CheckSum: 016

and the corresponding response:

RAW
8=FIXT.1.1|9=114|35=V|34=2|49=TRADEBOTMD002|52=20180425-17:51:40.000|56=Modulus|262=2|263=1|264=1|265=0|146=1|55=BTCUSD|267=1|269=0|10=016|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 114
       34                     MsgSeqNum: 2
       35                       MsgType: MarketDataRequest (V)
       49                  SenderCompID: TRADEBOTMD002
       52                   SendingTime: 20180425-17:51:40.000
       56                  TargetCompID: Modulus
BODY
      262                       MDReqID: 2
      263       SubscriptionRequestType: SNAPSHOT_PLUS_UPDATES (1)
      264                   MarketDepth: TOP_OF_BOOK (1)
      265                  MDUpdateType: FULL_REFRESH (0)
    NoRelatedSym: count = 1
           55                        Symbol: BTCUSD
    NoMDEntryTypes: count = 1
          269                   MDEntryType: BID (0)
TRAILER
       10                      CheckSum: 016

Market Data Responses

These are some examples of FIX market data sent from ModulusMKT to TESTMKT001 with price, liquidity, and trade information. Note that this is public data, so no assumption about the trade’s counterparty should be made.

FULL SNAPSHOT

The initial response to a Market Data Request is a Market Data - Snapshot / Full Refresh message containing a full snapshot of current state.

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 19924
       34                     MsgSeqNum: 4
       35                       MsgType: MarketDataSnapshotFullRefresh (W)
       49                  SenderCompID: ModulusMKT
       52                   SendingTime: 20180121-03:48:39.102
       56                  TargetCompID: TESTMKT001
BODY
       55                        Symbol: ETHBTC
      262                       MDReqID: 39
    NoMDEntries: count = 685
          269                   MDEntryType: BID (0)
          270                     MDEntryPx: 0.00001
          271                   MDEntrySize: 10111
        ----
...
        ----
          269                   MDEntryType: BID (0)
          270                     MDEntryPx: 0.08989
          271                   MDEntrySize: 8.918
        ----
          269                   MDEntryType: BID (0)
          270                     MDEntryPx: 0.0899
          271                   MDEntrySize: 8.8828
        ----
          269                   MDEntryType: OFFER (1)
          270                     MDEntryPx: 0.09032
          271                   MDEntrySize: 45.134
        ----
          269                   MDEntryType: OFFER (1)
          270                     MDEntryPx: 0.09049
          271                   MDEntrySize: 1.2
        ----
...
        ----
          269                   MDEntryType: OFFER (1)
          270                     MDEntryPx: 1000.00000
          271                   MDEntrySize: 3
TRAILER
       10                      CheckSum: 084

ADDING QUANTITY FOR A GIVEN PRICE

This message shows a new bid for 2.8749 ETH priced at 988.88 USD.

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 125
       34                     MsgSeqNum: 5696449
       35                       MsgType: MarketDataIncrementalRefresh (X)
       49                  SenderCompID: ModulusMKT
       52                   SendingTime: 20180123-04:07:42.101
       56                  TargetCompID: TESTMKT001
BODY
      262                       MDReqID: 40
    NoMDEntries: count = 1
           55                        Symbol: ETHUSD
          269                   MDEntryType: BID (0)
          270                     MDEntryPx: 988.88
          271                   MDEntrySize: 2.8749
          279                MDUpdateAction: NEW (0)
TRAILER
       10                      CheckSum: 187

CHANGING QUANTITY FOR A GIVEN PRICE

This message shows a new offer for 0.20503505 BTC available at price 10949.04 USD.

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 131
       34                     MsgSeqNum: 5696384
       35                       MsgType: MarketDataIncrementalRefresh (X)
       49                  SenderCompID: ModulusMKT
       52                   SendingTime: 20180123-04:07:40.057
       56                  TargetCompID: TESTMKT001
BODY
      262                       MDReqID: 38
    NoMDEntries: count = 1
           55                        Symbol: BTCUSD
          269                   MDEntryType: OFFER (1)
          270                     MDEntryPx: 10949.04
          271                   MDEntrySize: 0.20503505
          279                MDUpdateAction: CHANGE (1)
TRAILER
       10                      CheckSum: 199

REMOVING QUANTITY FOR A GIVEN PRICE

This message shows an ETHBTC bid priced at 0.09156 BTC being removed.

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 115
       34                     MsgSeqNum: 5696454
       35                       MsgType: MarketDataIncrementalRefresh (X)
       49                  SenderCompID: ModulusMKT
       52                   SendingTime: 20180123-04:07:42.279
       56                  TargetCompID: TESTMKT001
BODY
      262                       MDReqID: 39
    NoMDEntries: count = 1
           55                        Symbol: ETHBTC
          269                   MDEntryType: BID (0)
          270                     MDEntryPx: 0.09156
          279                MDUpdateAction: DELETE (2)
TRAILER
       10                      CheckSum: 197

TRADES

This message provides information about a new trade and a corresponding offer deletion. This message implies that the incoming order was a bid because the standing offer priced at 10907.54 USD was deleted.

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 166
       34                     MsgSeqNum: 5696411
       35                       MsgType: MarketDataIncrementalRefresh (X)
       49                  SenderCompID: ModulusMKT
       52                   SendingTime: 20180123-04:07:40.740
       56                  TargetCompID: TESTMKT001
BODY
      262                       MDReqID: 38
    NoMDEntries: count = 2
           55                        Symbol: BTCUSD
          269                   MDEntryType: TRADE (2)
          270                     MDEntryPx: 10907.54
          271                   MDEntrySize: 0.00059578
          279                MDUpdateAction: NEW (0)
        ----
           55                        Symbol: BTCUSD
          269                   MDEntryType: OFFER (1)
          270                     MDEntryPx: 10907.54
          279                MDUpdateAction: DELETE (2)
TRAILER
       10                      CheckSum: 209

SHOWING MAKER SIDE FOR TRADES

To enable showing the maker side of trades, create a Market Data Request with custom field EnableMDEntryMakerSide <9003> enabled - see Examples: Request to enable maker side on trades.

This example shows a trade where an incoming offer hit a standing bid at for 0.001 BTC at 7544.94 USD.

RAW
8=FIXT.1.1|9=125|35=X|34=3|49=Modulus|52=20180809-15:59:16.698|56=TRADEBOTMD002|262=2|268=1|279=0|269=2|55=BTCUSD|270=7544.94|271=0.001|9002=1|10=107|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 125
       34                     MsgSeqNum: 3
       35                       MsgType: MarketDataIncrementalRefresh (X)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20180809-15:59:16.698
       56                  TargetCompID: TRADEBOTMD002
BODY
      262                       MDReqID: 2
    NoMDEntries: count = 1
           55                        Symbol: BTCUSD
          269                   MDEntryType: TRADE (2)
          270                     MDEntryPx: 7544.94
          271                   MDEntrySize: 0.001
          279                MDUpdateAction: NEW (0)
         9002              MDEntryMakerSide: BUY (1)
TRAILER
       10                      CheckSum: 107

This example shows a trade where an incoming bid lifted a standing offer at for 0.001 BTC at 7549.89 USD.

RAW
8=FIXT.1.1|9=125|35=X|34=3|49=Modulus|52=20180809-15:59:22.882|56=TRADEBOTMD002|262=2|268=1|279=0|269=2|55=BTCUSD|270=7549.89|271=0.001|9002=2|10=109|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 125
       34                     MsgSeqNum: 3
       35                       MsgType: MarketDataIncrementalRefresh (X)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20180809-15:59:22.882
       56                  TargetCompID: TRADEBOTMD002
BODY
      262                       MDReqID: 2
    NoMDEntries: count = 1
           55                        Symbol: BTCUSD
          269                   MDEntryType: TRADE (2)
          270                     MDEntryPx: 7549.89
          271                   MDEntrySize: 0.001
          279                MDUpdateAction: NEW (0)
         9002              MDEntryMakerSide: SELL (2)
TRAILER
       10                      CheckSum: 109

REJECTED SYMBOL

RAW
8=FIXT.1.1|9=67|35=Y|34=2|49=ModulusMKT|52=20180511-21:37:57.971|56=TESTMKT001|262=badsym|281=0|10=038|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 67
       34                     MsgSeqNum: 2
       35                       MsgType: MarketDataRequestReject (Y)
       49                  SenderCompID: ModulusMKT
       52                   SendingTime: 20180511-21:37:57.971
       56                  TargetCompID: TESTMKT001
BODY
      262                       MDReqID: badsym
      281                MDReqRejReason: UNKNOWN_SYMBOL (0)
TRAILER
       10                      CheckSum: 03

REJECTED MD ENTRY TYPE

RAW
8=FIXT.1.1|9=70|35=Y|34=2|49=ModulusMKT|52=20180511-21:44:14.765|56=TESTMKT001|262=badmd|281=8|10=121|
HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 70
       34                     MsgSeqNum: 2
       35                       MsgType: MarketDataRequestReject (Y)
       49                  SenderCompID: ModulusMKT
       52                   SendingTime: 20180511-21:44:14.765
       56                  TargetCompID: TESTMKT001
BODY
      262                       MDReqID: badmd
      281                MDReqRejReason: UNSUPPORTED_MDENTRYTYPE (8)
TRAILER
       10                      CheckSum: 121

REJECTED SUBSCRIPTION REQUEST

RAW
8=FIXT.1.1|9=67|35=Y|34=2|49=ModulusMKT|52=20180514-13:59:56.187|56=TESTMKT001|262=badsub|281=4|10=048|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 67
       34                     MsgSeqNum: 2
       35                       MsgType: MarketDataRequestReject (Y)
       49                  SenderCompID: ModulusMKT
       52                   SendingTime: 20180514-13:59:56.187
       56                  TargetCompID: TESTMKT001
BODY
      262                       MDReqID: badsub
      281                MDReqRejReason: UNSUPPORTED_SUBSCRIPTIONREQUESTTYPE (4)
TRAILER
       10                      CheckSum: 048

New Order Single

This is a New Order Single (D in MsgType <35>) request:

RAW
8=FIXT.1.1|9=144|35=D|34=2|49=TRADEBOTOE002|52=20180425-17:56:41.000|56=Modulus|11=iWM60sx3dreT9N9yEE|38=1|40=2|44=10000|54=1|55=BTCUSD|59=1|60=20180425-17:56:41|10=073|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 144
       34                     MsgSeqNum: 2
       35                       MsgType: NewOrderSingle (D)
       49                  SenderCompID: TRADEBOTOE002
       52                   SendingTime: 20180425-17:56:41.000
       56                  TargetCompID: Modulus
BODY
       11                       ClOrdID: iWM60sx3dreT9N9yEE
       38                      OrderQty: 1
       40                       OrdType: LIMIT (2)
       44                         Price: 10000
       54                          Side: BUY (1)
       55                        Symbol: BTCUSD
       59                   TimeInForce: GOOD_TILL_CANCEL (1)
       60                  TransactTime: 20180425-17:56:41
TRAILER
       10                      CheckSum: 073

Execution Reports

The following section contains examples of execution reports.

Notes:

ExecType <150> OrdStatus <39>
0 = New
  • 0 = New
  • 1 = Partially filled
  • 2 = Filled
  • 8 = Rejected
F = Trade
  • 1 = Partially filled
  • 2 = Filled
4 = Canceled
  • 4 = Canceled
8 = Rejected
  • 8 = Rejected

EXECUTION REPORT FOR A NEW ORDER

This is an example of an Execution Report <8> in response to TRADEBOTOE002's New Order Single :

RAW
8=FIXT.1.1|9=195|35=8|34=2|49=Modulus|52=20180425-17:56:42.071|56=TRADEBOTOE002|6=0|11=iWM60sx3dreT9N9yEE|14=0|17=335278099|37=335278098|38=1|39=0|44=10000|54=1|55=BTCUSD|59=1|60=20180425-17:56:42.071|150=0|151=1|10=163|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 195
       34                     MsgSeqNum: 2
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20180425-17:56:42.071
       56                  TargetCompID: TRADEBOTOE002
BODY
        6                         AvgPx: 0
       11                       ClOrdID: iWM60sx3dreT9N9yEE
       14                        CumQty: 0
       17                        ExecID: 335278099
       37                       OrderID: 335278098
       38                      OrderQty: 1
       39                     OrdStatus: NEW (0)
       44                         Price: 10000
       54                          Side: BUY (1)
       55                        Symbol: BTCUSD
       59                   TimeInForce: GOOD_TILL_CANCEL (1)
       60                  TransactTime: 20180425-17:56:42.071
      150                      ExecType: NEW (0)
      151                     LeavesQty: 1
TRAILER
       10                      CheckSum: 163

EXECUTION REPORT FOR A FILL

In this scenario, TRADEBOTOE002's order fills at 8400.00. In this case, TRADEBOTOE002 is on the taker side and pays the base fee of 100bps (1.00%). This is an example of an associated execution report:

RAW
8=FIXT.1.1|9=248|35=8|34=3|49=Modulus|52=20180516-22:03:10.031|56=TRADEBOTOE002|6=8400.00|11=af9hLHqlLYAYb3ErKJ|12=8.400000|13=3|14=1|17=336157291|31=8400.00|32=1|37=336157289|38=1|39=2|44=10000|54=1|55=BTCUSD|59=1|60=20180516-22:03:10.030|150=F|151=0|479=USD|851=2|10=116|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 248
       34                     MsgSeqNum: 3
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20180516-22:03:10.031
       56                  TargetCompID: TRADEBOTOE002
BODY
        6                         AvgPx: 8400.00
       11                       ClOrdID: af9hLHqlLYAYb3ErKJ
       12                    Commission: 8.400000
       13                      CommType: ABSOLUTE (3)
       14                        CumQty: 1
       17                        ExecID: 336157291
       31                        LastPx: 8400.00
       32                       LastQty: 1
       37                       OrderID: 336157289
       38                      OrderQty: 1
       39                     OrdStatus: FILLED (2)
       44                         Price: 10000
       54                          Side: BUY (1)
       55                        Symbol: BTCUSD
       59                   TimeInForce: GOOD_TILL_CANCEL (1)
       60                  TransactTime: 20180516-22:03:10.030
      150                      ExecType: TRADE (F)
      151                     LeavesQty: 0
      479                  CommCurrency: USD
      851              LastLiquidityInd: REMOVED_LIQUIDITY (2)
TRAILER
       10                      CheckSum: 116

EXECUTION REPORT FOR A PARTIAL FILL

In this example, TRADEBOTOE002 is on the maker side and receives an execution report for an order with an original quantity of 20 BTC that was partially filled for 10 BTC with 10 BTC remaining for a fee of 0.00%:

RAW
8=FIXT.1.1|9=254|35=8|34=5|49=Modulus|52=20180517-15:07:16.894|56=TRADEBOTOE002|6=8338.67|11=1tfX3IJi9HP87dkqlo|12=0.000000|13=3|14=10|17=336933409|31=8338.67|32=10|37=336933405|38=20|39=1|44=8338.67|54=1|55=BTCUSD|59=3|60=20180517-15:07:16.892|150=F|151=10|479=USD|851=1|10=001|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 254
       34                     MsgSeqNum: 5
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20180517-15:07:16.894
       56                  TargetCompID: TRADEBOTOE002
BODY
        6                         AvgPx: 8338.67
       11                       ClOrdID: 1tfX3IJi9HP87dkqlo
       12                    Commission: 0.000000
       13                      CommType: ABSOLUTE (3)
       14                        CumQty: 10
       17                        ExecID: 336933409
       31                        LastPx: 8338.67
       32                       LastQty: 10
       37                       OrderID: 336933405
       38                      OrderQty: 20
       39                     OrdStatus: PARTIALLY_FILLED (1)
       44                         Price: 8338.67
       54                          Side: BUY (1)
       55                        Symbol: BTCUSD
       59                   TimeInForce: IMMEDIATE_OR_CANCEL (3)
       60                  TransactTime: 20180517-15:07:16.892
      150                      ExecType: TRADE (F)
      151                     LeavesQty: 10
      479                  CommCurrency: USD
      851              LastLiquidityInd: ADDED_LIQUIDITY (1)
TRAILER
       10                      CheckSum: 001

EXECUTION REPORT FOR AN ORDER CANCELLATION

In this example, TRADEBOTOE002 receives an execution report, in response to a previously sent Order Cancel Request , indicating that the order with a ClOrdID <11> = GHDzdNUUXaMMDZdfwe was cancelled:

RAW
8=FIXT.1.1|9=220|35=8|34=3|49=Modulus|52=20180425-17:57:59.538|56=TRADEBOTOE002|6=0|11=GHDzdNUUXaMMDZdfwe|14=0|17=335278132|37=335278128|38=1|39=4|41=z35u64KR1gen7f2SpB|44=93392.64|54=2|55=BTCUSD|58=REQUESTED|59=1|60=20180425-17:57:59.537|150=4|151=0|10=254|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 220
       34                     MsgSeqNum: 3
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20180425-17:57:59.538
       56                  TargetCompID: TRADEBOTOE002
BODY
        6                         AvgPx: 0
       11                       ClOrdID: GHDzdNUUXaMMDZdfwe
       14                        CumQty: 0
       17                        ExecID: 335278132
       37                       OrderID: 335278128
       38                      OrderQty: 1
       39                     OrdStatus: CANCELED (4)
       41                   OrigClOrdID: z35u64KR1gen7f2SpB
       44                         Price: 93392.64
       54                          Side: SELL (2)
       55                        Symbol: BTCUSD
       58                          Text: REQUESTED
       59                   TimeInForce: GOOD_TILL_CANCEL (1)
       60                  TransactTime: 20180425-17:57:59.537
      150                      ExecType: CANCELED (4)
      151                     LeavesQty: 0
TRAILER
       10                      CheckSum: 254

In this next example, TRADEBOTOE002 first sent an Order Cancel Request for order 1tfX3IJi9HP87dkqlo that was previously partially filled. This is an execution report for the cancellation of the remaining quantity:

RAW
8=FIXT.1.1|9=238|35=8|34=7|49=Modulus|52=20180517-15:07:16.896|56=TRADEBOTOE002|6=8338.67|11=1tfX3IJi9HP87dkqlo|14=10|17=336933412|37=336933405|38=20|39=4|44=8338.67|54=1|55=BTCUSD|58=BLOCK_TRADE_UNFILLED_QUANTITY|59=3|60=20180517-15:07:16.892|150=4|151=0|10=080|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 238
       34                     MsgSeqNum: 7
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20180517-15:07:16.896
       56                  TargetCompID: TRADEBOTOE002
BODY
        6                         AvgPx: 8338.67
       11                       ClOrdID: 1tfX3IJi9HP87dkqlo
       14                        CumQty: 10
       17                        ExecID: 336933412
       37                       OrderID: 336933405
       38                      OrderQty: 20
       39                     OrdStatus: CANCELED (4)
       44                         Price: 8338.67
       54                          Side: BUY (1)
       55                        Symbol: BTCUSD
       58                          Text: BLOCK_TRADE_UNFILLED_QUANTITY
       59                   TimeInForce: IMMEDIATE_OR_CANCEL (3)
       60                  TransactTime: 20180517-15:07:16.892
      150                      ExecType: CANCELED (4)
      151                     LeavesQty: 0
TRAILER
       10                      CheckSum: 080

EXECUTION REPORT FOR A REJECT

In this scenario, TRADEBOTOE002 sent another New Order Single but this time there is an error: the Symbol <55> field value is invalid.

Because the symbol is invalid, the server rejects the order. This is an example of an associated execution report:

RAW
8=FIXT.1.1|9=237|35=8|34=2|49=Modulus|52=20180516-22:09:05.019|56=TRADEBOTOE002|6=0|11=7v1cs7HFCT2WehadcO|14=0|17=1526508545018|37=0|38=10.4|39=8|44=0.05|54=2|55=ABCDEF|58=Unsupported Symbol value 'ABCDEF'|59=1|60=20180516-22:09:05.018|103=99|150=8|151=0|10=090|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 237
       34                     MsgSeqNum: 2
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20180516-22:09:05.019
       56                  TargetCompID: TRADEBOTOE002
BODY
        6                         AvgPx: 0
       11                       ClOrdID: 7v1cs7HFCT2WehadcO
       14                        CumQty: 0
       17                        ExecID: 1526508545018
       37                       OrderID: 0
       38                      OrderQty: 10.4
       39                     OrdStatus: REJECTED (8)
       44                         Price: 0.05
       54                          Side: SELL (2)
       55                        Symbol: ABCDEF
       58                          Text: Unsupported Symbol value 'ABCDEF'
       59                   TimeInForce: GOOD_TILL_CANCEL (1)
       60                  TransactTime: 20180516-22:09:05.018
      103                  OrdRejReason: OTHER (99)
      150                      ExecType: REJECTED (8)
      151                     LeavesQty: 0
TRAILER
       10                      CheckSum: 090

Order Cancel Request

This is an Order Cancel Request that cancels an order of 1 BTC that was previously entered with an CLOrdID of z35u64KR1gen7f2SpB:

RAW
8=FIXT.1.1|9=147|35=F|34=3|49=TRADEBOTOE002|52=20180425-17:57:59.000|56=Modulus|11=GHDzdNUUXaMMDZdfwe|38=1|41=z35u64KR1gen7f2SpB|54=2|55=BTCUSD|60=20180425-17:57:59|10=185|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 147
       34                     MsgSeqNum: 3
       35                       MsgType: OrderCancelRequest (F)
       49                  SenderCompID: TRADEBOTOE002
       52                   SendingTime: 20180425-17:57:59.000
       56                  TargetCompID: Modulus
BODY
       11                       ClOrdID: GHDzdNUUXaMMDZdfwe
       38                      OrderQty: 1
       41                   OrigClOrdID: z35u64KR1gen7f2SpB
       54                          Side: SELL (2)
       55                        Symbol: BTCUSD
       60                  TransactTime: 20180425-17:57:59
TRAILER
       10                      CheckSum: 185

and its associated Execution Report response:

RAW
8=FIXT.1.1|9=220|35=8|34=3|49=Modulus|52=20180425-17:57:59.538|56=TRADEBOTOE002|6=0|11=GHDzdNUUXaMMDZdfwe|14=0|17=335278132|37=335278128|38=1|39=4|41=z35u64KR1gen7f2SpB|44=93392.64|54=2|55=BTCUSD|58=REQUESTED|59=1|60=20180425-17:57:59.537|150=4|151=0|10=254|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 220
       34                     MsgSeqNum: 3
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20180425-17:57:59.538
       56                  TargetCompID: TRADEBOTOE002
BODY
        6                         AvgPx: 0
       11                       ClOrdID: GHDzdNUUXaMMDZdfwe
       14                        CumQty: 0
       17                        ExecID: 335278132
       37                       OrderID: 335278128
       38                      OrderQty: 1
       39                     OrdStatus: CANCELED (4)
       41                   OrigClOrdID: z35u64KR1gen7f2SpB
       44                         Price: 93392.64
       54                          Side: SELL (2)
       55                        Symbol: BTCUSD
       58                          Text: REQUESTED
       59                   TimeInForce: GOOD_TILL_CANCEL (1)
       60                  TransactTime: 20180425-17:57:59.537
      150                      ExecType: CANCELED (4)
      151                     LeavesQty: 0
TRAILER
       10                      CheckSum: 254

New Market BUY Order

This is an example of a request for a market BUY order.

RAW
8=FIXT.1.1|9=126|35=D|34=2|49=DEV|52=20181023-17:49:51.691|56=Modulus|11=FLWC3iFi6ygIxFSKVY|40=1|54=1|55=BTCUSD|60=20150218-18:45:02.003|152=500.0|10=235|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 126
       34                     MsgSeqNum: 2
       35                       MsgType: NewOrderSingle (D)
       49                  SenderCompID: DEV
       52                   SendingTime: 20181023-17:49:51.691
       56                  TargetCompID: Modulus
BODY
       11                       ClOrdID: FLWC3iFi6ygIxFSKVY
       40                       OrdType: MARKET (1)
       54                          Side: BUY (1)
       55                        Symbol: BTCUSD
       60                  TransactTime: 20150218-18:45:02.003
      152                  CashOrderQty: 500.0
TRAILER
       10                      CheckSum: 235

and the associated Execution Report for a market BUY order.

RAW
8=FIXT.1.1|9=163|35=8|34=2|49=Modulus|52=20181023-17:49:51.943|56=DEV|6=0|11=FLWC3iFi6ygIxFSKVY|14=0|17=43|37=42|39=0|54=1|55=BTCUSD|60=20150218-18:45:02.042|150=0|151=500.0|152=500.0|10=069|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 163
       34                     MsgSeqNum: 2
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20181023-17:49:51.943
       56                  TargetCompID: DEV
BODY
        6                         AvgPx: 0
       11                       ClOrdID: FLWC3iFi6ygIxFSKVY
       14                        CumQty: 0
       17                        ExecID: 43
       37                       OrderID: 42
       39                     OrdStatus: NEW (0)
       54                          Side: BUY (1)
       55                        Symbol: BTCUSD
       60                  TransactTime: 20150218-18:45:02.042
      150                      ExecType: NEW (0)
      151                     LeavesQty: 500.0
      152                  CashOrderQty: 500.0
TRAILER
       10                      CheckSum: 069

New Market SELL Order

This is an example of a request for a market SELL order.

RAW
8=FIXT.1.1|9=126|35=D|34=2|49=DEV|52=20181023-17:49:51.691|56=Modulus|11=YLWC3xFi6ygIxFSKVY|40=1|54=1|55=BTCUSD|60=20150218-18:45:02.003|152=500.0|10=112|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 126
       34                     MsgSeqNum: 2
       35                       MsgType: NewOrderSingle (D)
       49                  SenderCompID: DEV
       52                   SendingTime: 20181023-17:49:51.691
       56                  TargetCompID: Modulus
BODY
       11                       ClOrdID: YLWC3xFi6ygIxFSKVY
       38                      OrderQty: 2.0
       40                       OrdType: MARKET (1)
       54                          Side: SELL (2)
       55                        Symbol: BTCUSD
       60                  TransactTime: 20150218-18:45:02.010
TRAILER
       10                      CheckSum: 112

and the associated Execution Report for a market SELL order.

RAW
8=FIXT.1.1|9=161|35=8|34=2|49=Modulus|52=20181023-20:26:27.359|56=DEV|6=0|11=YLWC3xFi6ygIxFSKVY|14=0|17=43|37=42|38=2.0|39=0|54=2|55=BTCUSD|60=20150218-18:45:02.042|150=0|151=2.0|10=113|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 161
       34                     MsgSeqNum: 2
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20181023-20:26:27.359
       56                  TargetCompID: DEV
BODY
        6                         AvgPx: 0
       11                       ClOrdID: YLWC3xFi6ygIxFSKVY
       14                        CumQty: 0
       17                        ExecID: 43
       37                       OrderID: 42
       38                      OrderQty: 2.0
       39                     OrdStatus: NEW (0)
       54                          Side: SELL (2)
       55                        Symbol: BTCUSD
       60                  TransactTime: 20150218-18:45:02.042
      150                      ExecType: NEW (0)
      151                     LeavesQty: 2.0
TRAILER
       10                      CheckSum: 113

Market Order Fill

This is an example of an Execution Report for a filled market BUY order

RAW
8=FIXT.1.1|9=297|35=8|34=3|49=Modulus|52=20181023-17:49:51.958|56=DEV|6=448.06|11=FLWC3iFi6ygIxFSKVY|12=9.80392156863|13=3|14=1.0940411517|17=44|31=448.06|32=1.0940411517|37=42|39=2|54=1|55=BTCUSD|60=20150218-18:45:02.043|150=F|151=0|152=500.0|479=USD|851=2|10=089|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 297
       34                     MsgSeqNum: 3
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20181023-17:49:51.958
       56                  TargetCompID: DEV
BODY
        6                         AvgPx: 448.06
       11                       ClOrdID: FLWC3iFi6ygIxFSKVY
       12                    Commission: 9.8039215686
       13                      CommType: ABSOLUTE (3)
       14                        CumQty: 1.0940411517
       17                        ExecID: 44
       31                        LastPx: 448.06
       32                       LastQty: 1.0940411517
       37                       OrderID: 42
       39                     OrdStatus: FILLED (2)
       54                          Side: BUY (1)
       55                        Symbol: BTCUSD
       60                  TransactTime: 20150218-18:45:02.043
      150                      ExecType: TRADE (F)
      151                     LeavesQty: 0
      152                  CashOrderQty: 500.0
      479                  CommCurrency: USD
      851              LastLiquidityInd: REMOVED_LIQUIDITY (2)
TRAILER
       10                      CheckSum: 089

Market Order Partial Fill

In the rare case a market order sweeps the book and only partially fills, two Execution Reports will be generated: one describing the partial fill and another cancelling the market order as it was only partially filled.

Here is an example of the partial fill Execution Report.

RAW
8=FIXT.1.1|9=237|35=8|34=3|49=Modulus|52=20181023-18:05:07.978|56=DEV|6=448.06|11=CLWC3iFi6ygIyFSKVY|12=8.9612|13=3|14=1.0|17=44|31=448.06|32=1.0|37=42|39=1|54=1|55=BTCUSD|60=20150218-18:45:02.043|150=F|151=42.9788|152=500.0|479=USD|851=2|10=172|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 237
       34                     MsgSeqNum: 3
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20181023-18:05:07.978
       56                  TargetCompID: DEV
BODY
        6                         AvgPx: 448.06
       11                       ClOrdID: CLWC3iFi6ygIyFSKVY
       12                    Commission: 8.9612
       13                      CommType: ABSOLUTE (3)
       14                        CumQty: 1.0
       17                        ExecID: 44
       31                        LastPx: 448.06
       32                       LastQty: 1.0
       37                       OrderID: 42
       39                     OrdStatus: PARTIALLY_FILLED (1)
       54                          Side: BUY (1)
       55                        Symbol: BTCUSD
       60                  TransactTime: 20150218-18:45:02.043
      150                      ExecType: TRADE (F)
      151                     LeavesQty: 42.9788
      152                  CashOrderQty: 500.0
      479                  CommCurrency: USD
      851              LastLiquidityInd: REMOVED_LIQUIDITY (2)
TRAILER
       10                      CheckSum: 172

and the following Execution Report representing a cancellation of the order.

RAW
8=FIXT.1.1|9=199|35=8|34=4|49=Modulus|52=20181023-18:05:07.984|56=DEV|6=448.06|11=CLWC3iFi6ygIyFSKVY|14=1.0|17=46|37=42|39=4|54=1|55=BTCUSD|58=MARKET_ORDER_SWEPT_BOOK|60=20150218-18:45:02.045|150=4|151=0|152=500.0|10=TRAILER|

HEADER
        8                   BeginString: FIXT.1.1
        9                    BodyLength: 199
       34                     MsgSeqNum: 4
       35                       MsgType: ExecutionReport (8)
       49                  SenderCompID: Modulus
       52                   SendingTime: 20181023-18:05:07.984
       56                  TargetCompID: DEV
BODY
        6                         AvgPx: 448.06
       11                       ClOrdID: CLWC3iFi6ygIyFSKVY
       14                        CumQty: 1.0
       17                        ExecID: 46
       37                       OrderID: 42
       39                     OrdStatus: CANCELED (4)
       54                          Side: BUY (1)
       55                        Symbol: BTCUSD
       58                          Text: MARKET_ORDER_SWEPT_BOOK
       60                  TransactTime: 20150218-18:45:02.045
      150                      ExecType: CANCELED (4)
      151                     LeavesQty: 0
      152                  CashOrderQty: 500.0
TRAILER
       10                      CheckSum: 184