FXSpotStream Market Data Connector
Data connector based on FXSpotStream FIX protocol.
Configuration
Data Connector Parameters
| Parameter | Default Value | Description |
|---|---|---|
| Host | N/A | FIX server host. |
| Port | N/A | FIX server port. |
| BeginString | FIX.4.4 | BeginString of FIX session. |
| SenderCompID | N/A | SenderCompID of FIX session. |
| TargetCompID | N/A | TargetCompID of FIX session. |
| Use SSL | false | Enable to use SSL. |
| Exchange Name | FXSS | Exchange name for this session. |
| Snapshots Only | false | Specifies the type of Market Data update. Check this box to get all L2 data with snapshot messages only. Otherwise will be incremental messages. |
| Limit Orders Case | false | If you want to use limit orders, you'll need to set this option. |
| Market Depth | 0 | Depth of market for FXSpotStream book snapshot or increment. 0 means full book depth. |
| Party IDs | N/A | Field should contain PartyIDs using # delimiter. E.g. JPMC#BAML. |
| Requested Sizes | N/A | Field should contain sizes of the quotes using # delimiter. E.g. 1000000#3000000. Required for Full Amount mode. |
| Output Book Size | 20 | Size of the output book. 0 means unlimited. |
| Snapshot Interval | 10S | This property sets an interval in seconds between periodical Level2 snapshots which sent to Aggregator. Snapshots will be generated as soon as this threshold is exceeded AND the next increment message arrives. Conversely, snapshots are NOT generated every period if no data is coming in. Default value is 10 seconds. |
| Start Time | 17:00:00 | Start time of the session in the 24-hours format (HH:MM:SS). Default value is 17:00:00. |
| Start Day | SUN | Day of week of session start. Default value is SUN. |
| End Time | 17:00:00 | End time of the session in the 24-hours format (HH:MM:SS). Default value is 17:00:00. |
| End Day | FRI | Day of week of session end. Default value is FRI. |
| Time Zone | America/New_York | Time zone of start/end session time. Default value is America/New_York. |
Symbology
FXSpotStream market data service supports the following instrument types:
Foreign exchange (FX) currency pairs (e.g., EUR/USD).
FXSpotStream follows the International Organization for Standardization (ISO) currency pair symbol convention of CCY1/CCY2. Rates are expressed as one unit of a quoted or Base currency (CCY1) in units of the quoting or Counter currency (CCY2). E.g., EUR/USD rate = 1.2000 means 1.2000 units of USD per one unit of EUR.
Supported symbol notations:
| Symbols | Symbols | Symbols |
|---|---|---|
| Symbol Type | Symbol Notation | Examples |
| Currency | <Base Currency>/<Counter Currency> | EUR/USD, USD/JPY, GBP/USD |