Institutional FIX API (4.2 / 4.4 / 5.0 / 5.2)

The GaiaEx Native C++26 Institutional FIX Gateway provides deterministic, ultra-low-latency Order Entry, Real-Time Drop Copy, Position & Order Inquiry, and L1/L2 Market Data streaming over persistent TCP/TLS sessions.

Version Negotiation & Wire Rules

Every FIX session begins with a Logon (35=A) frame authenticated via your GaiaEx API Key (Tag 553), API Secret (Tag 554), and a lowercase hex HMAC-SHA256 signature in RawData (Tag 96).

import hmac, hashlib

def sign_fix_logon(api_secret: str, sending_time: str, seq_num: int, sender_comp_id: str, target_comp_id: str) -> str:
    # Canonical prehash string: SendingTime(52) | MsgType(35) | MsgSeqNum(34) | SenderCompID(49) | TargetCompID(56)
    payload = f"{sending_time}|A|{seq_num}|{sender_comp_id}|{target_comp_id}"
    return hmac.new(api_secret.encode("utf-8"), payload.encode("utf-8"), hashlib.sha256).hexdigest()

Gap Recovery (35=2 & 35=4) & Cancel-on-Disconnect (CoD)

• Inbound Gap Detection: If an incoming message carries MsgSeqNum (34) > ExpectedSeqNum, the gateway immediately emits ResendRequest (35=2, 7=ExpectedSeqNum, 16=0). If MsgSeqNum (34) < ExpectedSeqNum without PossDupFlag (43=Y), the gateway emits Logout (35=5, 1409=6) and closes the socket.
• Outbound Replay: When the client sends ResendRequest (35=2), the gateway replays all application messages (including Drop Copy 35=8 reports) with 43=Y and 122=OrigSendingTime, and coalesces administrative frames into SequenceReset-GapFill (35=4, 123=Y).
• Automatic Cancel-on-Disconnect (CoD): When an Order Management session disconnects, all open resting orders (OrdStatus 39=0) placed on that session are automatically cancelled (150=4, 39=4, 103=3020) and broadcasted in real time to any active Drop Copy session.

NewOrderSingle (35=D)

Amend (35=G), Cancel (35=F), Mass Cancel (35=q), Status (35=H), Positions (35=AN) & Limits (35=XLQ)

Drop Copy provides prime brokers, risk engines, and back-office reconciliation systems with a real-time, read-only stream of all ExecutionReport (35=8) events across both FIX Order Entry sessions and REST/HTTP API orders.

• Universal Subscription Flags: Connect to port 9878 and send Logon (35=A) with 797=Y (CopyMsgIndicator), 9406=Y (DropCopyFlag), or 50=DROPCOPY (SenderSubID).
• Dual-Tag Outbound Stamping: Every Drop Copy 35=8 frame carries 57=DROPCOPY, 797=Y, and 9406=Y, plus full fee/rebate breakdown (381=GrossTradeAmt, 1057=AggressorIndicator, 136=1|137=MiscFeeAmt|138=MiscFeeCurr|139=4, 20000=TradeFeeRebateAmt).
• Strict Read-Only Protection: Any attempt to submit 35=D, 35=F, 35=G, or 35=q on a Drop Copy session is immediately rejected via BusinessMessageReject (35=j, 380=4).
• Sequence Gap Recovery: Outbound Drop Copy reports are persisted in the session sequence store and can be replayed via ResendRequest (35=2) with PossDupFlag (43=Y).

Connect to port 9879 for dedicated Market Data streaming or query instrument specifications via SecurityListRequest (35=x).

• MarketDataRequest (35=V): Send 262=MDReqID, 263=1 (Snapshot + Updates) or 0 (Snapshot), 264=1 (Top of Book) or 20 (Full Depth), and 55=Symbol. Returns MarketDataSnapshotFullRefresh (35=W) followed by MarketDataIncrementalRefresh (35=X). Unknown symbols return MarketDataRequestReject (35=Y, 281=0).
• SecurityListRequest (35=x): Send 320=SecurityReqID and 559=0 (single symbol in 55) or 559=4 (all instruments). Returns SecurityList (35=y) with tick size (969=MinPriceIncrement), min/max order quantity (8000/8001), and decimal precision (8002/8003).
• TradingSessionStatus (35=h): Returns 340=2 (Open 24x7x365) or 340=1 (Halted).

QuickFIX Client Configuration Template (gaiaex_fix.cfg)

[DEFAULT]
ConnectionType=initiator
ReconnectInterval=5
FileStorePath=./store
FileLogPath=./log
StartTime=00:00:00
EndTime=00:00:00
UseDataDictionary=Y
DataDictionary=./fix-dictionary.xml
ValidateUserDefinedFields=N
ValidateFieldsOutOfOrder=N
HeartBtInt=30

[SESSION]
BeginString=FIX.4.4
SenderCompID=INST_CLIENT_OE
TargetCompID=GAIAEX_PROD
SocketConnectHost=10.10.0.51
SocketConnectPort=9878
ResetOnLogon=N

[SESSION]
BeginString=FIX.4.4
SenderCompID=INST_CLIENT_DC
TargetCompID=GAIAEX_PROD
SenderSubID=DROPCOPY
SocketConnectHost=10.10.0.51
SocketConnectPort=9878
ResetOnLogon=N