Goldman Sachs Futures Trade Connector
Features
fix-goldmanfutConnector KeyNotes
Response Timeout
On UAT, the logon response may be delayed by more than 5 seconds.
If connection issues occur, set logonTimeout (in milliseconds) to at least 10,000 ms (10 seconds recommended).
Client Order ID
The length of ClOrdID(11) must not exceed 25 characters.
The orderMapperType setting controls the value passed in ClOrdID(11):
SEQUENCE— Default. The request's sequence (Int64).COMPOSITE— Formed as{SOURCE_ID}${EMBER_ORDER_ID}.
Important: When using the COMPOSITE option, the combined length of {SOURCE_ID}${EMBER_ORDER_ID} must not exceed 25 characters.
ClOrdID(11) and OrigClOrdID(41) values are returned in order events in custom order attributes:
6011- ClOrdID(11)6041- OrigClOrdID(41)
Symbology
Goldman Sachs supports the following symbologies in SecurityID(48), with the corresponding identifier in IdSource(22):
- RIC (22=5)
- RIC Root (22=5), plus maturity date (Tag200)
- Bloomberg Codes (22=A)
Instrument identity is defined via SecurityID(48) and IDSource(22).
| Tag | Column | Required? | Description |
|---|---|---|---|
SecurityID(48) | goldmanfutSymbol | Yes | |
SecurityExchange(207) | GenericInstrument.exchangeId | No |
Default IDSource(22) value can be set via connector settings: securityIdSource
Schedule
| Parameter | Value |
|---|---|
| Time Zone | America/New_York |
| Start Day | Sunday |
| Start Time | 17:32:00 |
| End Day | Friday |
| End Time | 17:30:00 |
| Daily Session? | Yes |
Configuration
Connector settings
| Parameter | Default Value | Description |
|---|---|---|
orderMapperType | SEQUENCE | Defines how to form ClOrdID(11). Supported values: COMPOSITE, SEQUENCE. |
account | Account passed in Account(1) tag. | |
useAccount | false | Defines whether or not to use Account from order request for Account(1) tag. |
senderSubId | Trader passed in SenderSubID(50) tag. | |
useTrader | false | Defines whether or not to use TraderId from order request for SenderSubID(50) tag |
onBehalfOfCompId | Used to specify client OBO on service bureau/hub sessions. | |
deliverToCompId | GS will populate in response to requests where OnBehalfOfCompID(128) has been set. | |
securityIdSource | Identifies class or source of SecurityID(48) value. Required if SecurityID(48) is specified. | |
partyIdClientId | Required to be passed to all venues for record keeping and transaction reporting | |
useExchange | false | Defines whether or not to use Exchange from order request for SecurityExchange(207) tag. |
discardOnReconnect | false | Discard open order upon reconnect. |
heartbeatInterval | 60 | Change heartbeat interval. Value set in seconds |
Supported order attributes
| Key | Description |
|---|---|
| 1,6001 | Account(1) - Account mnemonic as agreed between buy and sell sides |
| 18,6018 | ExecInst(18) - Instructions for order handling on exchange trading floor |
| 21,6021 | HandlInst(21) - Instructions for order handling on exchange trading floor |
| 22,6022 | IdSource(22) - Identifies class or source of the SecurityID |
| 54,6054 | Side(54) - Side of order |
| 59,6059 | TimeInForce(59) - Specifies how long the order remains in effect |
| 111,611 | Volume(111) |
| 115,6115 | OnBehalfOfCompID(115) - Assigned value used to identify firm originating message |
| 128,6128 | DeliverToCompID(128) - Assigned value used to identify the firm targeted to receive the message |
| 126,6126 | ExpireTime(126) - If set, End Time >= Target Time. If Start Time set, End Time > Start Time. Should be set as text in format: YYYYMMDD-HH:MM:SS |
| 168,6168 | StartTime(168) - If set, Start Time < Target Time. If End Time set, then Start Time < End Time. Should be set as text in format: YYYYMMDD-HH:MM:SS |
| 775,6775 | BookingType(775) |
| 6013 | PartyIDClientID(20013) |
Config sample
connectors {
GOLDMANFUT : ${template.connector.fix.goldmanfut} {
settings {
host = "<HOST>"
port = <PORT>
senderCompId = "<SENDER_COMP_ID>"
targetCompId = "<TARGET_COMP_ID>"
}
}
}