Messages

All FIX messages are equipped with Standard Header and Trailer, below we will describe what is required in them in accordance with FIX 4.4, the standard that we use.

Standard Header

Tag	Name	Description
8	BeginString	FIX.4.4
9	BodyLength	Message length, in bytes, forward to the CheckSum <10> field
35	MsgType	Defines message type
49	SenderCompID	Assigned value used to identify message sender
56	TargetCompID	Assigned value used to identify message receiver
34	MsgSeqNum	Integer message sequence number. Reset on Logon, Logout and Disconnect.
52	SendingTime	Time of message transmission always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Standard Trailer

Tag	Name	Description
10	CheckSum	Three byte, simple checksum. Always the last field in a message, i.e. serves, with the trailing, as the end-of-message delimiter. Always defined as three characters

Logon 35=A

8=FIX.4.4|9=97|35=A|34=1|49=COINAPI|52=20170503-22:00:56.743|56=73034021-THIS-IS-SAMPLE-KEY|98=0|108=1|10=245|

First message sent by the client to CoinAPI FIX Gateway after connection to initiate a FIX session. After successful authorization, server will respond with same message type and start delivering market data messages to you.

Tag	Name	Description
49	SenderCompID	Your API key
56	TargetCompID	COINAPI_V2
108	HeartBtInt	1 (seconds)
98	EncryptMethod	0

Logout 35x5

Message sent by any side to close established session. If received, should be sent back unchanged to confirm session termination.

Security List Request 35=x

Security List Request message is used to request full symbol list or narrowed to specific criteria.

Message to request all symbols:

Tag	Name	Description
320	SecurityReqID	Unique ID of your request, used to link Security List (y) message to the request.
559	SecurityListRequestType	4 = Request all symbols.

Message to request all symbols where our symbol identifier starts with specific string eg. all securities from BITSTAMP exchange to USD.

Tag	Name	Description
320	SecurityReqID	Unique ID of your request, used to link Security List (y) message to the request.
559	SecurityListRequestType	0 = Filter symbols by Symbol (55) or SecurityExchange (207) fields.
55	Symbol	Exact match or regex for the symbol identifier filtering, eg. ^BITSTAMP_(.*)_USD$ or BITSTAMP_SPOT_BTC_USD, have in mind that regex is enabled only if value string starts with ^ or/and ends with $.

Message to request all symbols from specific exchange eg. GEMINI.

Tag	Name	Description
320	SecurityReqID	Unique ID of your request, used to link Security List (y) message to the request.
559	SecurityListRequestType	0 = Filter symbols by Symbol (55) or SecurityExchange (207) fields.
207	SecurityExchange	Exchange identifier used to filter the symbols

Security List 35=y

Response to the Security List Request (x) message.

Tag	Name	Description
320	SecurityReqID	SecurityReqID (320) from Security List Request (x) message.
322	SecurityResponseID	Unique ID of the response message.
560	SecurityRequestResult	Result of the Security List Request. Valid values: 0 = Valid request. 1 = Response is empty. We couldn't find any symbols matching selection criteria. 4 = Data temportantly unavailable. Reserved for unlikely event of issue beyond the client control.
393	TotNoRelatedSym	Total number of symbols in the response.
898	LastFragment	Indicates if this is a last message
146	NoRelatedSym	Specifies the number of repeating symbols (instruments) specified.
=> 55	Symbol	Our Symbol identifier (full list available here)
=> 207	SecurityExchange	Our exchange identifier, eg. BITSTAMP. (full list available here)

Market Data Request 35=V

Market Data Request (V) message is used to request market data.

Tag	Name	Description
262	MDReqId	Must be unique, or the ID of previous Market Data Request (V) to disable if SubscriptionRequestType (263) = Disable previous Snapshot + Updates Request.
263	SubscriptionRequestType	SubcriptionRequestType indicates what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages. Valid values: 0 = Snapshot. We will deliver only one order book snapshot per symbol requested. 1 = Snapshot + Updates (Subscribe). We will deliver the initial snapshot per order book requested and then updates for the order book and trades. 2 = Disable previous Snapshot + Update Request (Unsubscribe).
264	MarketDepth	Depth of market for Book Snapshot, value ignored for trades. Valid values: 0 = Full book 1 = Quotes Other value indicating snapshot limited to provided number of best levels. Use the 0 for the trades as value is required.
265	MDUpdateType	Required if SubscriptionRequestType (263) = Snapshot + Updates (1) and apply only for the orderbook data. Valid values: 0 = Full refresh (Instead of the updates for the order book, each time the snapshot will be delivered. MDMarketDepth need to be in range of <1;20>) 1 = Incremental Refresh (MDMarketDepth must be 0 as incremential refresh is possible only for the full order book, for other use-cases you should set MDUpdateType to 0 (Full Refresh))
267	NoMDEntryTypes	Number of MDEntryType (269) fields requested.
=> 269	MDEntryType	This is a list of all the types of Market Data Type requested. Valid values: 0 = Orderbook bids 1 = Orderbook asks 2 = Trades Only possible combinations here are 012 (Orderbook and Trades), 01 (Orderbook) and 2 (Trades), the client is not allowed to ask only for the one-side of the book.
146	NoRelatedSym	Number of symbols (instruments) requested.
=> 55	Symbol	Exact match or regex for the symbol identifier filtering, eg. ^BITSTAMP_(.*)_USD$ or BITSTAMP_SPOT_BTC_USD, have in mind that regex is enabled only if value string starts with ^ or/and ends with $.

Market Data Request Reject 35=Y

Market Data Request Reject (Y) message is used to reject the request for the market data.

Tag	Name	Description
262	MDReqId	MDReqId (262) from Market Data Request (V) message.
281	MDReqRejReason	Reason for the rejection of a Market Data request. Valid values: 0 = Unknown symbol. 4 = Unsupported SubscriptionRequestType (263) 5 = Unsupported MarketDepth (264) 8 = Unsupported MDEntryType (269)
58	Text	Error message

Market Data Incremental 35=X

Market Data - Incremental Refresh (X) message, representing new executed transaction or orderbook update.

Tag	Name	Description
262	MDReqId	MDReqId (262) from Market Data Request (V) message. Used to link request to the Market Data, eg. with your internal identifier.
268	NoMdEntries	Number of trades in the message
=> 279	MDUpdateAction	Type of Market Data update action. Valid values: 0 = New. Used for the trades. 1 = Change. Used for all changes of the order book.
=> 269	MDEntryType	Type of Market Data entry. Valid values: 0 = Bids 1 = Ask/Offer 2 = Trades
=> 278	MDEntryID	Our unique trade identifier in the form of UUIDv4
=> 55	Symbol	Our Symbol identifier (full list available here)
=> 270	MDEntryPx	Entry price
=> 271	MDEntrySize	Entry size in base amount
=> 272	MDEntryDate	Date of the entry reported by the exchange
=> 273	MDEntryTime	Time of the entry reported by the exchange with milliseconds
=> 282	MDEntryOriginator	Used only when MDEntryType (269) is Trade. Aggressor side of the transaction. (BUY/SELL/BUY_ESTIMATED/SELL_ESTIMATED/UNKNOWN)

Possible MDEntryOriginator values

If exchange has not reported who the aggressor side of the transaction was, we will classNameify who it most probably was based on current market view.

taker_side	Description
BUY	Exchange has reported that transaction aggressor was buying
SELL	Exchange has reported that transaction aggressor was selling
BUY_ESTIMATED	Exchange has not reported transaction aggressor, we estimated that more likely it was buying
SELL_ESTIMATED	Exchange has not reported transaction aggressor, we estimated that more likely it was selling
UNKNOWN	Exchange has not reported transaction aggressor and we have not estimated who it was

tip

To classNameify who the aggressor of the transaction was, we using a proprietary algorithm that extends the method described in the paper "Inferring trade direction from intraday data (1991) by Lee and Ready"

Market Data Snapshot 35=W

Market Data - Snapshot/Full Refresh (W) message, representing orderbook snapshot.

8=FIX.4.4|9=2814|35=W|34=7|49=COINAPI|52=20170503-22:35:18.590|56=73034021-THIS-IS-SAMPLE-KEY|55=COINBASE_SPOT_BTC_EUR|268=40|269=1|270=1397.84000000|271=0.25620000|272=20170503|273=22:35:18.408|269=1|270=1397.85000000|271=0.24000000|272=20170503|273=22:35:18.408|269=1|270=1397.86000000|271=0.50000000|272=20170503|273=22:35:18.408|269=1|270=1399.96000000|271=0.08000000|272=20170503|273=22:35:18.408|269=1|270=1399.98000000|271=0.11000000|272=20170503|273=22:35:18.408|269=1|270=1399.99000000|271=0.93340628|272=20170503|273=22:35:18.408|269=1|270=1400.0|271=4.37155883|272=20170503|273=22:35:18.408|269=1|270=1401.22000000|271=0.11000000|272=20170503|273=22:35:18.408|269=1|270=1401.23|271=0.01|272=20170503|273=22:35:18.408|269=1|270=1402.12|271=0.10000000|272=20170503|273=22:35:18.408|269=1|270=1402.60000000|271=5.30086000|272=20170503|273=22:35:18.408|269=1|270=1402.68000000|271=0.11000000|272=20170503|273=22:35:18.408|269=1|270=1402.69|271=0.02000000|272=20170503|273=22:35:18.408|269=1|270=1404.0|271=1.0|272=20170503|273=22:35:18.408|269=1|270=1404.01000000|271=0.47000000|272=20170503|273=22:35:18.408|269=1|270=1405.0|271=0.24577401|272=20170503|273=22:35:18.408|269=1|270=1405.07|271=0.01264284|272=20170503|273=22:35:18.408|269=1|270=1405.11|271=0.01943044|272=20170503|273=22:35:18.408|269=1|270=1405.61000000|271=1.68316924|272=20170503|273=22:35:18.408|269=1|270=1405.67000000|271=4.13101588|272=20170503|273=22:35:18.408|269=0|270=1396.00000000|271=0.73076211|272=20170503|273=22:35:18.408|269=0|270=1395.82000000|271=0.31000000|272=20170503|273=22:35:18.408|269=0|270=1395.81000000|271=4.07759372|272=20170503|273=22:35:18.408|269=0|270=1395.47000000|271=0.40000000|272=20170503|273=22:35:18.408|269=0|270=1395.01000000|271=0.56000000|272=20170503|273=22:35:18.408|269=0|270=1395.00000000|271=0.05000000|272=20170503|273=22:35:18.408|269=0|270=1394.34000000|271=0.50000000|272=20170503|273=22:35:18.408|269=0|270=1393.79000000|271=0.02000000|272=20170503|273=22:35:18.408|269=0|270=1393.78000000|271=0.10000000|272=20170503|273=22:35:18.408|269=0|270=1393.50000000|271=0.10000000|272=20170503|273=22:35:18.408|269=0|270=1393.23000000|271=0.13000000|272=20170503|273=22:35:18.408|269=0|270=1393.11000000|271=1.00000000|272=20170503|273=22:35:18.408|269=0|270=1393.02000000|271=0.33524135|272=20170503|273=22:35:18.408|269=0|270=1393.00000000|271=0.50000000|272=20170503|273=22:35:18.408|269=0|270=1392.52000000|271=0.02000000|272=20170503|273=22:35:18.408|269=0|270=1392.51000000|271=0.11000000|272=20170503|273=22:35:18.408|269=0|270=1392.50000000|271=0.10000000|272=20170503|273=22:35:18.408|269=0|270=1392.36000000|271=2.62000000|272=20170503|273=22:35:18.408|269=0|270=1392.31000000|271=0.02000000|272=20170503|273=22:35:18.408|269=0|270=1392.01000000|271=0.41000000|272=20170503|273=22:35:18.408|10=075|

public void OnMessage(QuickFix.FIX44.MarketDataSnapshotFullRefresh msg, SessionID s)
{
    for (int idx = 0; idx < msg.NoMDEntries.getValue(); idx++)
    {
        var level = new QuickFix.FIX44.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
        msg.GetGroup(idx + 1, level);

        Console.WriteLine($"Orderbook {level.MDEntryType} @ {msg.Symbol}:");
        Console.WriteLine($" Date: {level.MDEntryDate}");
        Console.WriteLine($" Time: {level.MDEntryTime}");
        Console.WriteLine($" Px: {level.MDEntryPx}");
        Console.WriteLine($" Size: {level.MDEntrySize}");
    }
}

Tag	Name	Description
55	Symbol	Our Symbol identifier (full list available here)
262	MDReqId	MDReqId (262) from Market Data Request (V) message. Used to link request to the Market Data, eg. with your internal identifier.
268	NoMdEntries	Number of levels in the orderbook.
=> 269	MDEntryType	Type Market Data entry. Valid values: 0 = Bid 1 = Ask/Offer
=> 270	MDEntryPx	Price level of the orderbook level
=> 271	MDEntrySize	Volume resting on this orderbook level
=> 272	MDEntryDate	Date of the orderbook reported by the exchange
=> 273	MDEntryTime	Time of the orderbook reported by the exchange with milliseconds

Heartbeat 35=0

8=FIX.4.4|9=87|35=0|34=13|49=COINAPI|52=20170503-22:21:27.545|56=73034021-THIS-IS-SAMPLE-KEY|10=048|

Message sent by any side after defined amount of seconds in communication silence.

Was this section helpful?

• 1
• 2
• 3
• 4
• 5