Updated February 19, 2019 Abstract
4/4/2019 FXCM–FIX–BSIUpdated February 19, 2019AbstractThis document provides information and resources that explain how FXCM implements andintegrates the FIX Protocol specification for the FXCM Trading applications and interfaces.References1. Financial Information Exchange Protocol (FIX) Version 4.4 with Errata 20030618[www.fixprotocol.org]HistoryFebruary 19, 2019 Update Market Data Incremental ‘X’ message specificationMarch 12, 2014 Update order status gridFebruary 4, 2014 Update Order TypesMarch 15, 2013 Add GTD time in forceMarch 6, 2012 Add appendix for high volume trade confirmationAugust 30, 2011 Add OTOCO ContingencyType for field 1385 of value 102August 2, 2010 Add ELS/OTO/LTE/STE/ST order typesJune 16, 2010 Remove FXCMSymMarginRatio (FXCM 06)April 14, 2010 Add FOK, NetQuantity, MarginRatio, Updated flow diagramsMay 22, 2009 add MinQuantity,FXCMTradingStatus1 of 85
4/4/2019 FXCM–FIX–BSIContentFXCM – FIX Introduction . 41.1. Overview . 4FXCM tradable quoting model . 5Order processing details . 8Contingency orders overview: . 15Contingency Type enumeration . 21Add a list of entry orders to a new OCO Contingency group . 22Remove a single entry order from an existing OCO Contingency group . 23Add a single entry order to an existing OCO Contingency group . 24Add a single entry order to a new OCO Contingency group . 25FIX Application messages . 251.2. Overview . 254.1.1. Trading Session Status and Securities (System parameters and. 27instruments). 274.1.2. Execution Report (Orders). 284.1.3. Position Report (Positions) . 284.1.4. Collateral Report (Accounts) . 294.1.5. Order Maintenance Requests . 294.1.6. Negative Responses . 301.3. Message structure . 301.3.1. Custom Fields. 311.3.2. Common Components . 331.3.3. Business Message Reject . 351.3.4. User Request . 361.3.5. User Response . 361.3.6. Email. 361.3.7. Quote. 371.3.8. Quote Response . 371.3.9. Market Data – Snapshot / Full Refresh . 381.3.10.Market Data – Incremental Refresh . 381.3.11.MarketDataRequest . 391.3.12.Security Status Request . 401.3.13.Security Status . 401.3.14.Security List . 411.3.15.Security List Request . 411.3.16.Trading Session Status Request . 421.3.17.Trading Session Status . 421.3.18.New Order – Single . 431.3.19.New Order – List. 451.3.20.Execution Report . 461.3.21.Order Cancel/Replace Request . 492 of 85
4/4/2019 FXCM–FIX–BSI1.3.22.Order Cancel Request . 491.3.23.Order Cancel Reject . 501.3.24.Order Mass Status Request . 501.3.25.Request For Positions . 511.3.26.Order Status Request . 521.3.27.Request for Positions Ack . 521.3.28.Position Report . 531.3.29.Collateral Report . 541.3.30.Collateral Inquiry . 541.3.31.Collateral Inquiry Ack . 55Example JavaAPI Usage . 55Example FIX Messages . 601.4. New Order. 601.4.32.New Order – Single (MsgType D Stop Entry) . 601.4.33.New Order – Single (MsgType D Update Limit Entry) . 611.4.34.New Order – Single (MsgType D Delete Limit Entry) . 621.4.35.New Order – Single (MsgType D Previously Quoted Order) . 621.4.36.New Order – Single (MsgType D Market Order). 631.4.37.New Order – Single (MsgType D Stop Order Existing Position) . 631.4.38.New Order – Single (MsgType D Limit Order Existing Position) . 641.5. Order Cancel . 646.2.1. Order Cancel Request (MsgType F Remove Stop/Limit Order) . 646.2.2. Order Cancel/Replace Request (MsgType G Update Stop Order) . 656.2.3. Order Cancel/Replace Request (MsgType G Update Limit. 65Order) . 65Example FIX Connection Initialization Sequence . 667.1. Logon . 667.2. UserRequest . 667.3. TradingSessionStatusRequest . 667.4. SecurityListRequest . 677.5. CollateralInquiry. 677.6. MarketDataRequest . 677.7. OrderMassStatusRequest . 687.8. RequestForPositions. 687.9. RequestForPositions. 69Appendix . 706.1. Trading Session Status Parameters . 706.2. How to place different order types . 716.3. Procedure for handling trade confirmations during high-volume trading . 766.4. Market Data and Order Sessions. 843 of 85
4/4/2019 FXCM–FIX–BSIFXCM – FIX Introduction1.1.OverviewPrice takers are allowed to connect their trading systems to FXCM trading systems via FIXengines or Trading SDK java and C libraries. The provided interfaces will be sufficient enoughto build buyer systems that mimic the functionality of the Trading Station. Tools like Market andConditional orders, account, open and closed position screens will be supported in full.In the FXCM business model, there are three sides that participate in business flow: buyer(trader), market (the Trading System) and market maker (FXCM Dealing Desk or third partyTrading System).FXCM trading process is based on the fact that the user role and trading scope are defined onthe Trading System side. Trading Server (the market) sends most of the messages in solicitedmanner to every Trader and Dealer Desk depending on their scope. So the Trader will receiveExecution Reports related to the account that he trades, and related to the Dealing Desk consoleand trading instruments (known in FIX as security) that it handles.The parties of the FXCM System (Trader - Market and Dealing Desk – Market) communicatewith each other through a set of business objects that correspond to a set of FIX applicationmessages as follows:Table 1. Business objects and Fix message TypesBusiness ObjectFix MessageOrderOpen Trade (aka ticket, akaposition)Closed TradeAccountOfferInstrumentSystem ParameterMailNewOrderSingle, ralReportQuote, MarketDataSnapshotFullRefreshSecurity StatusTradingSessionStatus (incorporate whole list of System Parameters)EmailAfter successful logon to the system, any console (both Trader’s and Dealing Desk’s) canobtain the current status of the Market. This includes the current state of the Trading Session,current prices, list of positions, accounts and orders. Also, after logon, it is possible that theconsole will receive email message(s) that were not received during the previous communicationsession. As was mentioned above, no continuous subscription requests are required, and they arenot supported. All of the following updates on business entities will be sent to the console inaccordance with the connected user permissions. However, the messaging framework supports aset of flags to block the distribution of unsolicited messages.4 of 85
4/4/2019 FXCM–FIX–BSIFXCM tradable quoting modelAs one of the largest registered forex brokers, FXCM has access to some of the best pricesavailable for more than two dozen currency pairs. These prices are actual tradable prices; they arebased on real bids and offers currently available.FXCM's No Dealing Desk execution system is designed to show you the best available price tobuy and sell currently available to FXCM from the multiple global banks that feed prices into oursystem. Having multiple prices provided to FXCM by several of the world's largest financialinstitutions means that you will see very tight, variable spreads, with precision down to as much as1/1000th of a cent.The Trader responds to the market with a trading order that could be filled, and the result ofthis trade could affect an end user’s open position blotters and accounts (as per FIX: “continuouslyquoted market messaging scenario”). There could be limitations on quantity or price. ReceivedOrders that are within the limits set by the market will execute against the quote automatically. Ifthe order is outside the limits specified by the market, the order is forwarded to the Dealing Deskto accept, cancel, or re-quote. The purpose of Order Re-quote is to force the Trader to use a recentmarket state. When that is required, the Dealing Desk issues an indicative quote for a particularTrader, and the Trader could respond with an updated order request (or simply cancel the quote).In the same manner, the Dealing Desk issues indicative quotes in response to the Trader’s Requestfor-Quote.This is where FXCM and the FIX “Quote on demand message scenario” differ. FIX requiresthat on-demand quotes are tradable and applied to market; FXCM on-demand quotes areindicative, do not affect the market quotes, and work only for that particular Trader. Request forquote processing is not supported currently with the Buyer Interface, however it is described hereto help exhibit the FXCM System functionality in full.The aforementioned scenarios of the FXCM quoting model are detailed with followingdiagrams.5 of 85
4/4/2019 FXCM–FIX–BSIDealing DeskTrading SystemTraderIssues quote tomaintain the marketInterprets quotes andapplies them to marketQuoteUses market data tomake a pricing aptshotFullRefreshNewOrderSingleExecutionReport (New)ExecutionReport (New)ExecutionReport (Fill)ExecutionReport CollateralReportProcesses ordersMakes tradesFigure 1. Continuously quoted scenario. Market order auto executionUses market datato make a pricing decisionPlaces a condition orderTraderTrading SystemDealing DeskNewOrderSingleExecutionReport (New)ExecutionReport eport (New)ExecutionReport (New)ExecutionReport (Fill)ExecutionReport CollateralReportInterprets quotes andapplies them to market MarketDataSnaptshotFullRefreshIssues quote tomaintain the marketProcesses ordersMakes tradesFigure 2. Continuously quoted scenario. Condition orders6 of 85
4/4/2019 FXCM–FIX–BSIUses market data tomake a pricing decisionTraderMarketDealing DeskMakes pricing decision,Accepts an orderNewOrderSingleExecutionReport (New)ExecutionReport (New)OrderCancelReplaceExecutionReport (New)ExecutionReport (Fill)ExecutionReport CollateralReportProcesses ordersMakes tradesFigure 3. Continuously quoted scenario. Market Order. Dealer intervention TraderMarketDealing DeskSends Quote RequestUses returned quote tofill an order orRejects the quoteMakes pricing decisioQuoteRequestQuoteRequestQuote (Indicative)Quote (Indicative)QuoteResponse (Cancel){OR}NewOrderSingleExecutionReport (New)ExecutionReport (New)ExecutionReport (Fill)ExecutionReport CollateralReportProcesses ordersMakes trades7 of 85
4/4/2019 FXCM–FIX–BSIFigure 4. Quote on-demand scenario. RFQUses market data tomake a pricing decisionDealing DeskMarketTraderNewOrderSingleExecutionReport (New)Makes pricing decisionRequotes an orderExecutionReport (New)OrderCancelRequest (Requote)ExecutionReport (Reject)Quote (Indicative)Quote (Indicative)QuoteResponse (Cancel){OR}NewOrderSingle (same order ID)ExecutionReport (New)Sends Quote RequestUses returned quoteto fill an order orRejects the quoteExecutionReport (Fill)ExecutionReport (New)ExecutionReport CollateralReportProcesses ordersMakes trades Figure 5. Quote on-demand scenario. Market Order RequoteOrder processing detailsSupported Time In Force(59)‘1’ Good Til Cancel (GTC)‘0’ DAY (or session)‘3’ Immediate Or Cancel (IOC)‘4’ Fill Or Kill (FOK)‘6’ Good Till Date (GTD)DescriptionOrders with this time in force will remain open and active until fully executed or canceled bythe client.Orders with this time in force will remain open and active until fully executed or canceled bythe client or the current trading session endsOrders With this time in force will attempt to execute immediately, allowing partial fills.Orders with this time in force will attempt to execute the full quantity immediately with nopartial fills.Orders with this time in force will remain open and active until fully executed or canceled bythe client or expiration date or time is reachedThe FXCM buyer side interface provides support of the following order types:A Market Order is an order to buy or sell immediately at the available price. These orders donot guarantee a price, but they do guarantee the order's execution. One important thing to8 of 85
4/4/2019 FXCM–FIX–BSIremember is that the last-traded price is not necessarily the price at which the market order will beexecuted. A Market Order could be assigned to an existing position; in this case filling of the orderwould close (or partially close) the assigned position. GTC, DAY, GTD, IOC, FOK are allowed.A Stop-Limit Order is an order to buy or sell that acts as range order. If or when the currentmarket price is between the stop (worst) and limit (best) price entered in order submission,execution is possible. GTC, DAY, GTD, IOC, FOK allowed.A Previously Quoted Order is an order to buy or sell immediately with the last-publishedprice or quote. The Quote ID that accompanies the order is used to validate the order price. IOC,FOK allowed.A Limit Order is an order to buy or sell a predetermined amount at a specified price. Thisorder will be filled only when the market price equals the specified limit price or better. Limitorders also
4/4/2019 FXCM–FIX–BSI. 1 of 85 . Updated February 19, 2019. Abstract. . Add appendix for high volume trade confirmation August 30, 2011 Add OTOCO ContingencyType for field 1385 of value 102 August 2, 2010 . 1.3.14. Security List .
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Updated Table 1-1 in Chapter 1; Updated Figure 4-1 and the parameter descriptions in Chapter 4; Updated Table 4-1, Table 4-2, Table 4-3 and Table 4-4 in Chapter 4. 2018.03 V3.0 Updated section 4.1.1; Updated Table 4-1 in Chapter 4. 2018.06 V3.1 Updated Table 4-3 in Chapter 4.2.1. 2019.02 V3.2 Updated the description in Appendix A;
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