LMAX Perpetuals Trade Connector

Features

fix-lmaxfutConnector Key

Instruments

FUTURE

Request Types

SUBMITCANCELREPLACE

Order Types

LIMITMARKET

Time In Force

GTCIOCFOK

Order ID Mapper

COMPOSITE

✓

Order Status Request

✓

Cancel On Disconnect

✗

Commission

✓

Post Only

✓

Fast Cancel

✓

Fast Replace

Notes

Connectivity Options

Clients can connect to the LMAX Perps FIX API through any of the methods outlined below:

• Internet using TLS encryption.
• LMAX Proximity: this service offers the ability to directly cross-connect with LMAX within the Equinix London LD4/5 data centre
• LMAX Proximity Xpress: As an additional service to LMAX Proximity, LMAX Proximity Xpress offers low-latency connectivity to LMAX Perps from AWS and international Equinix data centres.

Trading Bandwidth

The LMAX Perps exchange uses Trading Bandwidth as a venue control mechanism to reject off-market orders. Each symbol is assigned a fixed percentage bandwidth, and LMAX Perps rejects any order whose price deviates beyond this percentage from the prevailing spot reference price.

Post-only orders bypass Trading Bandwidth controls.

Message Recovery

The connector, by default, resets sequence number on each Logon.
But, in general, message recovery is supported and sequence numbers are persisted.

Cancel on Disconnect

LMAX Perps will cancel all resting unfilled orders placed by a FIX session when it is disconnected. A FIX session disconnection occurs when either the Client or LMAX Perps sends a Logout, or if there is a TCP disconnection.

note

Orders that were submitted prior to disconnection but not yet acknowledged may still be executed. It is recommended for clients to manually reconcile the status of each order after each disconnect.

ClOrdID Formatting

The ClOrdID value must adhere to the following specifications:

• Length: Maximum 50 characters
• Character set: ASCII characters 33-126 only (printable characters excluding space)

Replacement

The following conditions apply:

• An order with remaining quantity on the orderbook can be amended by changing its price, quantity and post-only treatment.
• Order priority is not maintained when an order is replaced by a new order.

Post-Only Orders

The LMAX Perps FIX API supports post-only orders, which guarantee that orders only execute when they provide liquidity to the orderbook. When a post-only order's price would immediately match existing orders on the book, two treatment options are available:

• Cancel (default): The order is rejected and cancelled if it would immediately match and remove liquidity.
• Re-price (requires enablement): The order is automatically repriced to one tick away from the current best price on the opposite side of the book, ensuring it adds liquidity.
  • NOTE: This feature must be enabled by LMAX

note

Post-only orders are supported for GTC Limit orders.
Post-Only flag (ExecInst(18)=6) is not inherited and should be set for replace request too.

Symbology

LMAX Perps supports Perpetual Futures on Cryptocurrencies. Typical symbology follows the format CCYCCYPERP, for example BTCUSDPERP and ETHUSDPERP, however different formats may be used in the future to support new products.

Schedule

LMAX Perps supports a continuous session schedule – FIX sessions are not logged out unless there is scheduled maintenance.

Configuration

Connector settings

Parameter	Default Value	Description
username		Username.
password		Password.

Supported order attributes

Key	Description
18	ExecInst(18). Optional. 6 for Post-Only.

Config sample

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

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

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