Virtu VFI Treasury Trade Connector

Features

fix-virtuConnector Key

Instruments

BOND

Request Types

SUBMITCANCELREPLACE

Order Types

LIMIT

Time In Force

DAYIOC

Order ID Mapper

SEQUENCE

✗

Order Status Request

✓

Cancel On Disconnect

✗

Commission

✗

Post Only

✗

Fast Cancel

✗

Fast Replace

Notes

Cancel On Disconnect

Client orders are cancelled on disconnect by default. Clients can request that orders not be cancelled on disconnect by contacting their VFI account representative.

Order Types

VFI supports Limit Orders with TimeInForce (TIF) of Immediate or Cancel (IOC) or Day.

IOC orders will either match against resting orders in the VFI book or be cancelled back to the client; therefore, IOC orders are not eligible to be cancelled or cancel/replaced.

Day orders either match against resting orders in the VFI book or are posted as resting limit orders in the customer’s book.

Symbology

Symbols may include a suffix per VFI specification.
The suffix is defined in the security metadata stream as virtuSymbolSuffix.

Schedule

Time Zone: Etc/UTC

Session	Start Time	Start Day	End Time	End Day
Session 1	19:00	Sunday	17:31	Monday
Session 2	19:00	Monday	17:31	Tuesday
Session 3	19:00	Tuesday	17:31	Wednesday
Session 4	19:00	Wednesday	17:31	Thursday
Session 5	19:00	Thursday	17:31	Friday

Configuration

Connector settings

Parameter	Default Value	Description
clientId		Client ID.
account		Default value for Account(1) tag.
useAccount	false	The flag to define whether to use order account in preference of default account.
discardOnReconnect	false	Discard open order upon reconnect.

Config sample

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

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

      clientId = "<CLIENT_ID>"
      account = "<ACCOUNT>"
    }
  }
}