Coinbase Derivatives Trade Connector

Features

fix-fairxConnector Key

Instruments

OPTIONFUTURESYNTHETIC

Request Types

SUBMITCANCELREPLACE

Order Types

MARKETLIMITSTOPSTOP_LIMIT

Time In Force

DAYGTCIOCFOKGTD

Order ID Mapper

SEQUENCE

✗

Order Status Request

✓

Cancel On Disconnect

✗

Commission

✓

Post Only

✗

Fast Cancel

✗

Fast Replace

Notes

Data Center Locations

The Coinbase Derivatives trading platform currently operates out of two locations:
Chicago, Illinois and Secaucus, New Jersey.

UAT Connection

UAT connection requires stunnel configuration.

[COINBASEDV]
client = yes
accept = localhost:16110
connect = fix-orders.exchange.fairx.net:6110
verify = 0

Rounding

IMPORTANT

Prices and quantities can be silently rounded if not adjusted to tick size or qty increment.
This can lead to "overfills" and replacement functionality misbehavior.

Trade Busts and Corrects

The Coinbase Derivatives Exchange FIX Order Management API does not distribute unsolicited reports about trade busts and corrections.

Cancel-On-Disconnect

Coinbase Derivatives may optionally configure Cancel-On-Disconnect for orders. Cancel-On-Disconnect applies to DAY orders only (not good-till-cancel orders).

Client Order ID

Client Order ID must not exceed 36 ascii characters.

orderMapperType connector settings controls what value is passed in ClOrdID(11) tag.

SEQUENCE - Default. The request's sequence (Int64).
COMPOSITE - The value will be formed according to pattern: {SOURCE_ID}${EMBER_ORDER_ID}.

note

Be careful with using COMPOSITE option.
The length of {SOURCE_ID}${EMBER_ORDER_ID} should not exceed 36 characters.

Post Only Orders

Post Only orders can be submitted by setting ExecInst(18)=6.
Post Only flag cannot be changed for the replacement - it is inherited from NewOrderSingle(D).

Clearing Account Type

Config	Tag 528	Description
`CUSTOMER`	`A`	Agency. Order placed by customer.
`FIRM`	`P`	Principal. Order placed by the firm.

Order Handling

Config	Tag 1031	Description
`DESK`	`W`	Desk
`ELECTRONIC`	`Y`	Electronic (Default)
`VENDOR_PROVIDED_PLATFORM`	`C`	Vendor provided platform Billed by Executing Broker
`SPONSORED_ACCESS`	`G`	Sponsored Access via exchange API
`ALGO_ENGINE`	`H`	Premium Algorithmic trading provided by executing broker
`OTHER`	`D`	Other

Position Effect

Config	Tag 77	Description
`OPEN`	`O`	Open
`CLOSE`	`C`	Close
`DEFAULT`	`D`	Default

Customer Order Capacity

Config	Tag 582	Description
`CTI_1`	`1`	CTI 1: Transactions initiated and executed by an individual member for his/her own account, for an account he/she controls, or for an account in which he/she has ownership or financial interest.
`CTI_2`	`2`	CTI 2: Transactions executed for the proprietary account of a clearing member or non- clearing member firm.
`CTI_3`	`3`	CTI 3: Transactions where an individual member or authorized trader executes for the personal account of another individual member, for an account the other individual member controls or for an account in which the other individual member has ownership or financial interest.
`CTI_4`	`4`	CTI 4: Any transaction not meeting the definition of CTI 1, 2 or 3. (These should be non-member customer transactions).

Self-Match Prevention

Self-match prevention functionality helps market participants prevent self-trading so that orders for the same account, firm, or group of accounts do not match with each other.

Config Value	Tag 8000 Value	Description
`CANCEL_TAKING`	`N`	Cancel aggressing order
`CANCEL_RESTING`	`O`	Cancel resting order
`CANCEL_BOTH`	`Q`	Cancel both aggressing and resting orders

Symbology

Coinbase Derivatives uses standard futures symbology, e.g. EUM20.

Schedule

Parameter	Value
Time Zone	America/Chicago
Start Day	Friday
Start Time	16:45:00
End Day	Friday
End Time	16:05:00
Daily Session?	No

Configuration

Connector settings

Parameter	Default Value	Description
senderSubId		SenderSubID(50). Unique identifier for the end trader submitting orders, issued by an exchange clearing member firm (clearing member), their contracted vendors, or assignees.
targetSubId		TargetSubID(57). ID of destination exchange system: PROD or TEST.
username		Username.
password		Password.
account		Unique ID representing the account.
useAccount	false	Use order request's account if any.
customerOrderCapacity		Capacity of the customer. Used to indicate the Customer Type Indicator (CTI) Code.
orderHandling		Source of original order.
clearingAccountType		The capacity of the firm placing the order. Valid values: `CUSTOMER`, `FIRM`.
positionEffect		Order position effect. Valid values: `OPEN`, `CLOSE`, `DEFAULT`.
orderMapperType	SEQUENCE	Defines how to form ClOrdID(11). Supported values: `COMPOSITE`, `SEQUENCE`.
useTrader	true	Use request's `Trader ID` (if provided) for `SenderSubID(50)`
selfMatchPreventionInstruction		Defines the strategy of dealing with matching orders if self-match prevention is triggered. Valid values: `CANCEL_RESTING`, `CANCEL_TAKING`, `CANCEL_BOTH`.
selfMatchPreventionId		Required when market participants elect to use the optional self-match prevention functionality.

Supported order attributes

Key	Description
1	Account(1). Unique ID representing the account.
18	ExecInst(18). Valid values: `6` for Post-Only.
50	SenderSubID(50). Unique identifier for the end trader submitting orders, issued by an exchange clearing member firm (clearing member), their contracted vendors, or assignees.
57	TargetSubID(57). ID of destination exchange system: PROD or TEST.
528	OrderCapacity(528). The capacity of the firm placing the order. Valid values: `A` (Customer), `P` (Firm).
582	CustOrderCapacity(582). Capacity of the customer. Used to indicate the Customer Type Indicator (CTI) Code. Valid values: `1`, `2`, `3`, `4`.
1028	ManualOrderIndicator(1028).
1031	CustOrderHandlingInst(1031). Source of original order. Valid values: `W`, `Y`, `C`, `G`, `H`, `D`.
77	PositionEffect(77). Order position effect. Valid values: `O` (Open), `C` (Close), `D` (Default).
8000	SelfMatchPreventionStrategy(8000). Defines the strategy of dealing with matching orders if self-match prevention is triggered. Valid values: `O` (Cancel resting order), `N` (Cancel aggressing order), `Q` (Cancel both).
7928	SelfMatchPreventionID(7928). Required length of the ID is 8 Digits.

Config sample

connectors {
  COINBASEDV: ${template.connector.fix.coinbasedv} {
    settings: {
      host = "<STUNNEL_HOST>"
      port = <STUNNEL_PORT>

      senderCompId = "<SENDER_COMP_ID>"
      targetCompId = COIND

      senderSubId = "<TRADER>" # default trader
      targetSubId = PROD       # PROD or TEST

      username = "<USERNAME>"
      password = "<PASSWORD>"

      customerOrderCapacity = CTI_1
      orderHandling = DESK
      clearingAccountType = CUSTOMER
      positionEffect = DEFAULT
    }
  }
}

AuditLog Generator

AuditLog Generator converts connector logs into an Audit Trail document.

Arg	Arg Short	Required	Description
`--connector`	-c	Yes	Connector ID
`--output-dir`	-o	No	Path where logs will be generated. Default is `$EMBER_WORK/audit`
`--start-date`	-b	No	The date from which files should be accepted. If omitted, the current date applies. Ignored when `--files` is specified. Format: `yyyyMMdd`
`--end-date`	-e	No	The date until which files are accepted. If omitted, the current date applies. Ignored when `--files` is specified. Format: `yyyyMMdd`
`--files`	-f	No	List of files that should be converted.
`--help`	-h	No	Print usage help.

Usage: cb-deriv-audit-log --connector <connector-id> [--start-date <yyyyMMdd>] [--end-date <yyyyMMdd>] [--output-dir <output-dir>]

Docker
Windows

Docker Compose

docker compose exec ember /opt/deltix/ember/lib/custom/tools/cb-deriv-audit-log --connector CBDERIV --start-date 20250218 --end-date 20250227

set EMBER_INSTALL=C:/ember
set EMBER_WORK=C:/ember-work

%EMBER_INSTALL%/lib/custom/tools/cb-deriv-audit-log.bat --connector CBDERIV --start-date 20250218 --end-date 20250227

Features​

Notes​

Data Center Locations​

UAT Connection​

Rounding​

Trade Busts and Corrects​

Cancel-On-Disconnect​

Client Order ID​

Post Only Orders​

Clearing Account Type​

Order Handling​

Position Effect​

Customer Order Capacity​

Self-Match Prevention​

Symbology​

Schedule​

Configuration​

Connector settings​

Supported order attributes​

Config sample​

AuditLog Generator​