Virtu Frontier Trade Connector

Features

fix-virtueqConnector Key

Instruments

EQUITY

Request Types

SUBMITCANCELREPLACE

Order Types

MARKETLIMITSTOP_LIMITMARKET_ON_CLOSELIMIT_ON_CLOSE

Time In Force

DAYGTCIOCGTDAT_THE_OPENING

Order ID Mapper

SEQUENCE

✗

Order Status Request

✓

Cancel On Disconnect

✗

Commission

✗

Post Only

✓

Fast Cancel

✓

Fast Replace

Notes

Custom Attributes

Use customAttributesSet settings to control what order attributes can be forwarded to FIX messages.
The default value is 6000-7000. The null value means that order attributes will be ignored.

Order Status

Order Status Request is not supported.

Currency

Currency is a required property for both OrderNew and OrderReplace requests.

ExchangeId

ExchangeId is a required property for both OrderNew and OrderReplace requests.

Style value for FAN strategy

Style(6287) is required for the FAN strategy and must be passed via order attributes. Possible values: -1 (Passive), 0 (Neutral), 1 (Aggressive), 2 (Aggressive+).

Symbology

Symbology	Required Fields
Ticker	Symbol + Country or SecurityExchange
RIC	RIC code
SEDOL	Sedol + Currency
CUSIP	CUSIP + Country or SecurityExchange + Currency
ISIN	ISIN + Country or SecurityExchange + Currency

Schedule

Parameter	Value
Time Zone	America/New_York
Start Day	Monday
Start Time	07:00:00
End Day	Friday
End Time	18:00:00
Daily Session?	Yes

Configuration

Connector settings

Parameter	Default Value	Description
securityIdSource	RIC_CODE	Identifies class of alternative SecurityID. Valid values: CUSIP, SEDOL, ISIN_NUMBER, RIC_CODE, EXCHANGE_SYMBOL.
rule80A		Indicates order type upon which exchange Rule 80A is applied. Valid values: AGENCY, PRINCIPAL, RISKLESS.
customAttributesSet	6000-7000	The set of order request attributes which should be passed in FIX message. Format: 18,9000-9500. If null - attributes will not be passed.
useExchange	false	Defines whether or not to use Exchange from request in FIX message as ExDestination(100).

Supported order attributes

Key	Description
47	rule80A(47). Virtu expects that clients will send the correct value on orders. Valid values: A=Agency single order, P=Principal, R=Riskless principal.
57	TargetSubId(57). 57=ALGO (to identify algo orders). 57= PT/HT/LT/ETF/SPECIAL (CARE destination only)
Used to identify specific individual or unit intended to receive message.
100	ExDestination(100). Booking Market for DMA orders.
5700	LocateBroker(5700).
6101	Strategy(6101).This tag is case sensitive. Strategy is expected to be UPPERCASE. Mandatory tag. DMA default value: FAN.

Config sample

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

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

      rule80A = "<RULE80A>"
    }
  }
}