Information

Versions

Document and API version	Date (YYYY-MM-DD)	Changes
0.1	2023-05-05	Basic details and TOP quotes streaming
0.2	2023-05-25	Full book streaming details added
0.3	2023-05-30	NewOrderSingle and ExecutionReport details added
0.4	2023-08-16	MarketDataSnapshotFullRefresh and OrderStatusRequest added. Descriptions improved.
0.5	2023-10-01	OrderCancelRequest, OrderCancelReject messages added, introduced, GoodTillCancel orders allowed.
0.6	2023-10-16	SecurityListRequest, SecurityList, AccountSummary added.

Data Format

Time format: YYYYMMDD-HH:mm:ss.SSS

Rate Limits

For each FIX session, there is message counter which is checking messages number client sent to the server per last second and per last minute. Once one of limits is reached, server will disconnect client session automatically, preventing further logon for 1 minute.

Default limits are 30 messages per second and 100 messages per minute and might be adjusted for each connection individually. Ask your manager to get what limits are set for your sessions.

Connection protocol details

For all connections, server is using FIX v4.4 ( https://www.fixtrading.org/standards/fix-4-4/ ). According to FIX standard, SellSides server is an Acceptor, and client is Initiator. Each client is getting two sessions for corresponding application-level messages:

Market data session: MarketDataRequest, SecurityListRequest (from client to server); MarketDataRequestReject, MarketDataSnapshotFullRefresh, SecurityList (from server to client). Message persistence is always off for this session.

---

Trading session: NewOrderSingle, OrderStatusRequest, OrderCancelRequest (from client to server); ExecutionReport, OrderCancelReject, AccountSummary (from server to client). Message persistence by default is ON, and user is expected to set ResetSeqNumFlag=N in the logon message. By demand, it is possible to turn off message persistence (if client prefers to rely on OrderStatusRequest rather on automatic messages re-sending).