BlockFills Market Data Connector

BlockFills Data Connector based on FIX protocol.

Features

blockfillsConnector Key

Instrument Types

FX

Asset Class

Crypto

Technology

FIX

Feed Mode

Real-Time

Order Book Update Mode

SnapshotIncremental Updates

Order Book Type

Aggregated

Message Types

✓

Level 1

✓

Level 2

✗

Level 3

✗

Trades

✗

Funding Rates

Configuration

Data Connector Parameters

Parameter	Default Value	Description
Host	N/A	FIX server host.
Port	N/A	FIX server port.
BeginString	FIX4.4	BeginString of FIX session.
SenderCompID	N/A	SenderCompID of FIX session.
TargetCompID	N/A	TargetCompID of FIX session.
User Name	N/A	User name of FIX session.
Password	N/A	Password of FIX session.
Exchange Name	BLOCKFILLS	Exchange name for this session.
Aggregated Book	true	Select this option, if you want to get aggregated book (266=Y). If Aggregated Book option is enabled, only the quote with the maximum size will be added to the order book (according to data provider's specifics). If Aggregated Book option is disabled, all quotes received from data provider will be added to the order book "as is".
Output Book Size	10	Size of the output book.

Symbology

BlockFills market data service supports next naming notation:

Currency pairs in BASE/QUOTE format.

Sample symbols:

Examples
BTC/USD ETH/USD

Logging

To enable dump of RAW FIX messages, use these lines in the <QSHOME>/config/gflog.xml file:

<logger name="deltix.qsrv.hf.plugins.data.commons.fix" level="TRACE">
  <appender-ref ref="safeAppender"/>
</logger>