Introduction

To understand how the FIX protocol works, you can start from this wiki page.

Supported FIX versions

Supported FIX versions are:

• FIX4.2

• FIX4.4

If you are using quickfixengine library for the fix implementation, you can use this these two xml specification files:

• QST-MD-FIX4.2.xml

• QST-MD-FIX4.4.xml

Supported protocol versions

Note

Some tags are supported only for a specific protocol version.

Supported protocol versions are:

• API V1.0

• API V2.0

The most important difference between these protocol versions is how we apply the DOM actions on the book, check Calculating entry positions. Another difference for the API V2.0 version of the protocol, is that we provide the maximum market depth of the book for a specific contract, in Security Definition Message and in the Snapshot.

Specific elements that are only supported in the API V2.0 version of the protocol are marked such as this:

Warning

Supported only for clients that use API V2.0 version of the protocol.

Supported requests

Note

If you are using a third-party library for implementing the FIX protocol, eg: quickfix, the session messages and the MsgSeqNum will be automatically implemented.

The list of supported requests is this:

• Heartbeat

• Test Request

• Logout

• Logon

• Market Data Request

• Security Definition

• Security Status Request

Revisions

This subchapter keeps track of the changes done to this documentation over the time.

05/26/2022

• Added support for Fixing Price Timestamp for API V2.0 for tag 272 and 273. Market Data Incremental Refresh (X) message and Market Data Snapshot (W) message.

04/28/2022

• Added support for tags 106, 223, 561, 870, 1194, 1205, 1300 and 1396 in Security Definition (d).

04/15/2022

• Added new values for SecurityType and SecuritySubType.

03/18/2022

• Add support for UnderlyingSecurityID tag 309. See Security Definition (d).

03/07/2022

• Add support for stocks in tag 269 See Market Data Snapshot (W) message, Market Data Incremental Refresh (X) message and Market Data Request (V) Message.

03/04/2022

• Added support for new value( Indicative opening price) of MDEntryType (269) and add Indicative opening price timestamp (tag 272 and 273) supported in API V2.0. Market Data Request (V) Message, Market Data Incremental Refresh (X) message and Market Data Snapshot (W) message.

03/03/2022

• Added support for Prior Settlement timestamp for API V2.0 for tag 272 and 273. Market Data Incremental Refresh (X) message and Market Data Snapshot (W) message.

02/17/2022

• Added notes for expired contracts. See Market Data Request (V) Message.

01/11/2022

• Added support for tag 1022 and 264 for incremental refresh messages. See Market Data Incremental Refresh (X) message.

12/22/2021

• Added supported fix versions.

12/13/2021

• Change the supported value for tag 460 See Component Instrument from QST FIX server response, Market Data Incremental Refresh (X) message and Market Data Snapshot (W) message.

12/06/2021

• Added support for tag 461. See Component Instrument from QST FIX server response.

• Added support for new tags: Symbol (55), SecurityDesc (107), Product (460), SecurityType (167), MaturityMonthYear (200), MaturityDate (541), MaturityDay (205), DeliveryTerm (18211), SecurityExchange (207), ExDestination (100), CFICode (461), Currency (15), supported in API V1.0 Market Data Incremental Refresh (X) message and Market Data Snapshot (W) message and Security Definition (d) (added just SecurityType and DeliveryTerm).

11/19/2021

• Change tag for NoLegs to 555. See Component Instrument from FIX Client.

• Added support for new values of MDEntryType (269) supported in API V2.0 Market Data Request (V) Message, Market Data Incremental Refresh (X) message and Market Data Snapshot (W) message.

11/04/2021

• Interpret tag 48 as internal instrument id if IDSource is missing in the Market Data Request (V) Message. See Component Instrument from FIX Client

11/03/2021

• Added support for fix 4.4.

10/21/2021

• Change the required field from Y to C for tags 167 and 207 in Security Definition Request (c) Message.

09/23/2021

• Added support for new tag in Security Definition Request (c) Message - SubscriptionRequestType (263) supported in API V2.0

09/08/2021

• Added notes and more examples.

09/06/2021

• Added support for new values of MDEntryType (269) supported in API V2.0 Market Data Request (V) Message, Market Data Incremental Refresh (X) message and Market Data Snapshot (W) message.

• Added support for new tag TradeDate (75) supported in API V2.0 Market Data Incremental Refresh (X) message and Market Data Snapshot (W) message.

08/23/2021

• Fixed some examples and also added more.

• Fixes some bugs in our docs.

• Added more informations to some sections.

08/19/2021

• Added support for new values of MDUpdateAction (279) supported in API V2.0 Market Data Incremental Refresh (X) message.

09/14/2020

• Added a note to the Market Data Request (V) Message.

• Added a note to the SubscriptionRequestType (263) field of the Market Data Request (V) Message.

09/08/2020

• Removed unsupported values from SecurityTradingStatus (326) tag.

• The Security Status Request (e) Message is supported only for the clients that use API V1.0 version of the protocol.

• The Market Data Request (V) Message was updated. When a client that use API V2.0 version of the protocol subscribes to market data, it also subscribes to security status. The security status will be sent alongside the Market Data Snapshot (W) message and Market Data Incremental Refresh (X) message.

09/01/2020

• The MDFeedType (1022) and MarketDepth (264) fields from Market Data Snapshot (W) and Security Definition (d) messages were updated.

07/31/2020

• Added support for IncludeNumberOfOrders in market_data request

07/24/2020

• Added supported protocol versions (API V1.0 and API V2.0).

• Added documentation history

• Added support for outright and implied market depth for clients that use API V2.0 version of the protocol in the snapshot message.

07/23/2020

• Added support for outright and implied market depth for clients that use API V2.0 version of the protocol in the security definition message.

• Updated the description of the algorithm for calculating entry positions for clients that use API V2.0 version of the protocol.

07/22/2020

• Initial Version