Fidessa Trade Connector

Features

fix-fidessaConnector Key

Instruments

FUTURE

Request Types

SUBMITCANCELREPLACE

Order Types

MARKETLIMITSTOPSTOP_LIMIT

Time In Force

DAYGTCIOCFOKGTDAT_THE_OPENINGAT_THE_CLOSE

Order ID Mapper

SEQUENCE

✓

Order Status Request

✓

Cancel On Disconnect

✗

Commission

✗

Post Only

✗

Fast Cancel

✗

Fast Replace

Notes

Fidessa Algo FIX Tags

All Fidessa Algo FIX Tags in a range from 7000 to 7999 can be specified as order attributes with the same number. These attributes will be added to a FIX message as is, without any checks and conversions.

Custom text

Custom text can be passed via custom attribute 6058. It will be shipped in Text(58) tag.

Hong Kong Futures Exchange

After hours market

To enter orders that trade in both the main ("T") and after-hours ("T+1") sessions on HKFE, supply the following:

Tag	Description	Value
386	NoTradingSessions	'1'
336	TradingSessionID	'6'

Orders without the above will only trade in the main ("T") trading session.

CME Exchange

SenderSubID(50) — Mandatory for CME exchanges. Any value that identifies who or what sent the order.

Symbology

Exchange ticker notation is used for instruments.

Fidessa requires the exchange MIC code in every order request. If the exchange is not specified in the request, the value from the "Exchange Code" column is used. The default can be overridden via the fidessaExchange custom column.

Only the "Exchange Product Code" security source (SecurityIDSource(22) = 'M') is supported.

Configuration

Connector settings

Parameter	Default Value	Description
fixVersion	FIX42	FIX version. Allowed values: FIX42, FIX44
account		Account(1)
orderFlow		Business flow, which defines default value for Handling Instruction (Tag 21). Valid values are: DMA = '1', Care = '3'
positionEffect		Default value for PositionEffect (Tag 77). Valid values are: Open = 'O', Closed = 'C'
onBehalfOfCompId		Default value for OnBehalfOfCompId(115). Identifier for the originator of an inbound message when acting through a third party (identified by the SenderCompId)
useTrader		Send order's trader in SenderSubId(50)
useAccount	true	Send order's account in Account(1)
idSource	M	Default value for SecurityIDSource(22).

Supported order attributes

Key	Description
1, 6001	Account(1)
58, 6058	Text(58). Order custom value.
21, 6021	HandlInst(21). Instructions for order handling on Broker trading floor. Supported values: '1' = DMA order flow, '3' = Care/DSA order flow.
50, 6050	SenderSubID(50). Identifier for the originating trader.
115, 6115	OnBehalfOfCompID(115). Identifier for the originator of an inbound message when acting through a third party (identified by the SenderCompId)
48, 6048	SecurityID(48). Security Identifier.
22, 6022	SecurityIDSource(22)
107, 6107	SecurityDesc(107). Security description.
77, 6077	PositionEffect(107). Supported values: 'O' = Open, 'C' = Closed
336, 6336	TradingSessionID(336). Hong Kong Futures Exchange specific tag. Supported values: '6'
1193, 6193	SettlMethod(1193). Required where both cash and physically settled contracts exist and the supplied symbology does not provide this information. Supported values: 'C' = tCash settlement required, 'P' = Physical settlement required
7111	AlgorithmName(7111). Name of the Fidessa Benchmark. Required for DSA order flow. Supported values: '~VWL', '~TWL'
7113	StartTime(7113).
7134	VolumeProfile(7134).
7129	CompletionPrice(7129).
7136	MaximumPercentage(7136).

Config sample

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

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

      account = "<ACCOUNT>"

      orderFlow = "Care or DMA"
      positionEffect = "Open or Closed"
    }
  }
}