Execution Server 4.3 Trade Connector

Features

fix-esConnector Key

Instruments

EQUITYOPTIONFUTUREBONDFXINDEXETFCUSTOM

Request Types

SUBMITCANCELREPLACE

Order Types

MARKETLIMITSTOPSTOP_LIMIT

Time In Force

DAYGTCAT_THE_OPENINGIOCFOKGOOD_TILL_CROSSINGGTDAT_THE_CLOSE

Order ID Mapper

CUSTOM

✓

Order Status Request

✓

Cancel On Disconnect

✗

Commission

✗

Post Only

✓

Fast Cancel

✓

Fast Replace

Notes

Ember Order IDs

ExecutionServer 4.3 requires numeric ClOrdID(11) and OrigClOrdID(41).
Therefore the connector sends order request's sequenceId in these tags.

The actual Ember order IDs are sent in custom tags:

• 1011 - Ember (replacement) order ID.
• 1041 - Ember original order ID (only for replacement request).

Event Exchange

The event exchange is always populated from inbound message (or null if not provided). eventExchange config parameter is ignored.

Order Custom Attributes

NewOrderRequest and ReplaceOrderRequest: All order custom attributes with key greater than or equal to 6000 will be passed in FIX message as custom tags.

Symbology

Schedule

Use the same schedule defined for the FIX Server in ExecutionServer 4.3.

Configuration

Connector settings

Parameter	Default Value	Description
senderSubId		SenderSubID(50). Default trader. The request's TraderID overrides default value if passed.
onBehalfOfSubId		OnBehalfOfSubID(116).
password		Password. Required only if FIX Server is configured with password.
execBrokerId		ExecBrokerId(76). Default target destination.
useAccount	false	When enabled account will be passed to and received from FIX messages
ignoreCurrency	false	When enabled currency will NOT be passed to and received from FIX messages

Supported order attributes

Key	Description
50	SenderSubID(50).
116	OnBehalfOfSubID(116).
76	ExecBrokerId(76). Target destination.
>= 6000	Order custom attributes

Config sample

connectors {
  ES: ${template.connector.fix.es} {
    settings: {
      host = "<HOST>"
      port = <PORT>

      senderCompId = "<SENDER_COMP_ID>"
      targetCompId = "<TARGET_COMP_ID>"

      password = "<PASSWORD>"
      execBrokerId = "<DEFAULT_DESTINATION>"

      # IMPORTANT: should follow FIX Server schedule
      schedule = {
        zoneId = "America/Chicago"

        intervals = [
          {
            startTime = "17:00:00",
            endTime = "16:00:00",
            startDay = SUNDAY,
            endDay = FRIDAY
          }
        ]
      }
    }
  }
}