FIX 报文

来源状态

正文摘录自 postman/Polaris-FIX-Document.postman_collection.json

（Pepperstone Crypto FIX API 机构接入指南）。 本地 ptrader-fix-server 检出目前仅有 README（无 src/）。 字段表在源码核验前视为已发布的客户端契约 — 见 待确认清单。

中英对照

下列协议术语、Tag 表与报文示例保留英文原文（FIX 线路契约）。导航与说明使用中文。

Market data — MarketDataRequest (35=V)

Three modes are supported, selected by SubscriptionRequestType (263). If 263 is omitted, the gateway defaults to snapshot mode.

263	Mode	Server response
0	Snapshot only	One 35=W per requested symbol; the subscription is not retained.
1	Snapshot + updates	One 35=W per symbol, then a stream of 35=X.
2	Unsubscribe	No payload; matching MDReqID is removed.

Required fields

Tag	Field	Req?	Notes
262	MDReqID	Y	Must be unique while the subscription is active.
263	SubscriptionRequestType	Cond.	One of 0 / 1 / 2. Defaults to 0.
264	MarketDepth	N	0 = full book; 1 = top of book; N = top-N levels.
267	NoMDEntryTypes	N	Repeating group of 269. Defaults to {0 BID, 1 OFFER}.
146	NoRelatedSym	Y	Repeating group of 55. At least one entry required.
55	Symbol	Y	Format BASE_QUOTE, e.g. BTC_USDT. Case-insensitive (normalised to upper).

Snapshot example

Inbound · MarketDataRequest (snapshot)

8=FIXT.1.1|9=...|35=V|34=40|49=CLIENT|56=PtradeFIXServer-AU|
262=md-001|263=0|264=10|267=2|269=0|269=1|146=1|55=BTC_USDT|10=...

Outbound · MarketDataSnapshotFullRefresh (35=W)

8=FIXT.1.1|9=...|35=W|34=41|49=PtradeFIXServer-AU|56=CLIENT|
262=md-001|55=BTC_USDT|1187=Y|268=4|
269=0|270=62000.10|271=0.85|290=1|
269=0|270=61999.90|271=2.10|290=2|
269=1|270=62000.80|271=0.50|290=1|
269=1|270=62001.20|271=1.20|290=2|10=...

Snapshot + updates

The gateway re-publishes the entire top-N book on every tick, rather than emitting per-level diffs. This costs a small amount of bandwidth for guaranteed correctness under packet loss.

Outbound · MarketDataIncrementalRefresh (35=X)

8=FIXT.1.1|9=...|35=X|34=52|49=PtradeFIXServer-AU|56=CLIENT|
262=md-sub-001|268=2|
279=0|269=0|55=BTC_USDT|278=md-sub-001-BTC_USDT-0-1|270=62001.20|271=0.40|290=1|
279=0|269=1|55=BTC_USDT|278=md-sub-001-BTC_USDT-1-1|270=62001.80|271=0.30|290=1|10=...

Rejects

The gateway pre-validates requested symbols against the live catalog. The first symbol not in the catalog causes the entire request to be rejected — no subscription state is registered. Reject codes on MDReqRejReason (281):

281	Meaning	Trigger
0	UNKNOWN_SYMBOL	Symbol missing, empty group, or not in the active catalog.
1	DUPLICATE_MDREQID	An active subscription already exists with the same MDReqID.
4	UNSUPPORTED_SUBSCRIPTIONREQUESTTYPE	Missing MDReqID, or 263 value not in {0,1,2}.
6	UNSUPPORTED_MDUPDATETYPE	MDUpdateType (265) present but not 0 or 1.
8	UNSUPPORTED_MDENTRYTYPE	No requested entry types can be served.

Outbound · MarketDataRequestReject (35=Y)

8=FIXT.1.1|9=...|35=Y|34=61|49=PtradeFIXServer-AU|56=CLIENT|
262=md-sub-001|281=0|58=Unknown symbol: NOSUCH_USDT|10=...

NOTE: To unsubscribe, send 35=V with 263=2 and the same MDReqID as the original subscription.

NewOrderSingle (35=D)

WARNING: Supported order types: MARKET (40=1) and LIMIT (40=2) only. STOP, STOP_LIMIT and other conditional types are rejected with ExecutionReport (35=8, 150=8, 39=8, 103=11 UNSUPPORTED_ORDER_CHARACTERISTIC).

Required fields

Tag	Field	Req?	Notes
11	ClOrdID	Y	Client-assigned, unique per account. Reuse triggers a duplicate-order reject; see below.
55	Symbol	Y	Format BASE_QUOTE, e.g. BTC_USDT.
54	Side	Y	1 = BUY, 2 = SELL
40	OrdType	Y	1 = MARKET, 2 = LIMIT
21	HandlInst	Y	Required by FIX dictionary. Typical value 1. Server does not branch on this.
38	OrderQty	Cond.	Required for LIMIT and for MARKET by base quantity. Must be > 0. Mutually exclusive with 152.
152	CashOrderQty	Cond.	Quote-currency amount for MARKET (e.g. "buy 1000 USDT of BTC"). Must be > 0. Not allowed on LIMIT.
44	Price	Cond.	Required for LIMIT; must be > 0. Ignored on MARKET (safe to send 44=0 for Java/proto3 clients).
59	TimeInForce	N	0 = DAY, 1 = GTC (default), 3 = IOC, 4 = FOK
60	TransactTime	Y	UTC YYYYMMDD-HH:MM:SS.sss.

Placement flow

Before acknowledging, the gateway runs:

1. Structural validation — required fields, value ranges, exclusivity of 38/152.
2. Symbol + trading-rule check against the catalog.
3. Duplicate-ClOrdID guard — the id is claimed atomically; a collision returns a reject without touching the incumbent order.
4. Pre-lock of the required balance on the asset service.
5. Publish to the matching engine.

On success, the gateway forwards the matching engine's first ExecutionReport (150=0 NEW, 39=0 NEW). All subsequent lifecycle events (fills, partial fills, cancels, expirations) are driven by the matching engine and arrive as further ExecutionReports.

Inbound · NewOrderSingle (LIMIT BUY)

8=FIXT.1.1|9=...|35=D|34=70|49=CLIENT|56=PtradeFIXServer-AU|
11=cli-10001|55=BTC_USDT|54=1|21=1|38=0.50|40=2|44=62000.00|59=1|60=20260515-09:05:00.000|10=...

Outbound · ExecutionReport (NEW ack)

8=FIXT.1.1|9=...|35=8|34=71|49=PtradeFIXServer-AU|56=CLIENT|
37=1234567|17=exec-...|11=cli-10001|55=BTC_USDT|54=1|40=2|38=0.50|44=62000.00|
150=0|39=0|14=0|151=0.50|6=0|60=20260515-09:05:00.100|10=...

Duplicate ClOrdID

Sending a NewOrderSingle with a ClOrdID already known to the gateway returns:

Outbound · ExecutionReport (duplicate ClOrdID)

8=FIXT.1.1|9=...|35=8|34=72|49=PtradeFIXServer-AU|56=CLIENT|
37=O-cli-10001-...|17=rejected-...|11=cli-10001|55=BTC_USDT|54=1|40=2|
150=8|39=8|14=0|151=0|6=0|103=6|58=Duplicate ClOrdID: cli-10001|10=...

NOTE: The incumbent live order with this ClOrdID is not affected and remains cancellable. Make sure your ClOrdID generator is collision-free per account.

OrderCancelRequest (35=F)

Cancel a working order by referencing its ClOrdID.

Required fields

Tag	Field	Req?	Notes
41	OrigClOrdID	Y	The ClOrdID of the original NewOrderSingle.
11	ClOrdID	Y	A new unique id for this cancel request itself.
55	Symbol	Y	Echo the symbol of the original order.
54	Side	Y	Required by the dictionary; not used for routing.
60	TransactTime	Y	UTC YYYYMMDD-HH:MM:SS.sss

Response semantics

Cancel is asynchronous:

• The gateway does local validation only (order known, state is cancellable, session is authenticated).
• On success, it forwards the request to the matching engine and marks the order PENDING_CANCEL locally. No ExecutionReport is produced synchronously.
• The real ExecutionReport (150=4 Canceled, 39=4 Canceled) arrives once the matching engine confirms.
• If local validation fails, an OrderCancelReject (35=9) is returned synchronously with a specific CxlRejReason (102).

Cancel-reject reasons

102	Meaning	Trigger
1	UNKNOWN_ORDER	OrigClOrdID is missing, or the order is not in the gateway's tracked cache.
0	TOO_LATE_TO_CANCEL	The order is already in a terminal state (FILLED / CANCELED / REJECTED / EXPIRED).
3	ORDER_ALREADY_IN_PENDING_CANCEL_OR_PENDING_REPLACE_STATUS	A previous cancel for the same order is still in flight (double-tap).
99	OTHER	Session not authenticated, or downstream publish failed.

NOTE: OrdStatus (39) on 35=9 mirrors the underlying order's current state, not the rejected cancel: 39=0 if the order is still NEW, 39=2 if FILLED, 39=4 if CANCELED, 39=6 if PENDING_CANCEL, 39=8 only when the order was never known to the gateway.

Inbound · OrderCancelRequest

8=FIXT.1.1|9=...|35=F|34=80|49=CLIENT|56=PtradeFIXServer-AU|
41=cli-10001|11=cli-10001-cxl-1|55=BTC_USDT|54=1|60=20260522-09:06:00.000|10=...

Outbound · ExecutionReport (Canceled, driven by matching engine)

8=FIXT.1.1|9=...|35=8|34=81|49=PtradeFIXServer-AU|56=CLIENT|
37=1234567|17=cxl-...|41=cli-10001|11=cli-10001-cxl-1|55=BTC_USDT|54=1|
150=4|39=4|14=0|151=0|6=0|10=...

Outbound · OrderCancelReject (order already terminal)

8=FIXT.1.1|9=...|35=9|34=83|49=PtradeFIXServer-AU|56=CLIENT|
37=1234567|41=cli-10001|11=cli-10001-cxl-2|39=4|434=1|102=0|
58=Order not cancelable in current state|10=...

11 vs 41 on Canceled ER

On both the synchronous OrderCancelReject and the asynchronous ExecutionReport (150=4):

• 11 ClOrdID — the id of the cancel request itself.
• 41 OrigClOrdID — the id of the original order.

OrderMassCancelRequest (35=q)

Cancel every working order on the session that matches a given symbol (optionally narrowed to one side). The gateway iterates internally, dispatches one cancel per affected order, and enumerates them in the outbound OrderMassCancelReport (35=r) via the NoAffectedOrders (534) repeating group.

Only MassCancelRequestType = 1 (CANCEL_ORDERS_FOR_A_SECURITY) is supported.

Required fields

Tag	Field	Req?	Notes
11	ClOrdID	Y	Echoed back in 35=r as both 11 and 1369 MassActionReportID.
530	MassCancelRequestType	Y	Only 1 supported today.
55	Symbol	Y	Required when 530=1.
54	Side	N	Optional. 1 = BUY, 2 = SELL. Omit to sweep both sides.
60	TransactTime	Y	UTC YYYYMMDD-HH:MM:SS.sss

Response

Outcome	Fields
Accepted	35=r · 531=1 · 533=N · one 534/41/535 entry per affected order
Rejected — unsupported 530	35=r · 531=0 · 532=0 MASS_CANCEL_NOT_SUPPORTED
Rejected — missing Symbol	35=r · 531=0 · 532=1 INVALID_OR_UNKNOWN_SECURITY
Rejected — unsupported Side	35=r · 531=0 · 532=99 OTHER

WARNING: 35=r is an ACK of the mass-cancel request, not of each individual cancel outcome. Every affected order still generates its own ExecutionReport (150=4 Canceled) asynchronously from the matching engine — just like a single 35=F. Use the 534 group to know which OrigClOrdIDs to expect.

Inbound · OrderMassCancelRequest

8=FIXT.1.1|9=...|35=q|34=120|49=CLIENT|56=PtradeFIXServer-AU|
11=mc-001|530=1|55=BTC_USDT|54=2|60=20260522-09:10:00.000|10=...

Outbound · OrderMassCancelReport (accepted)

8=FIXT.1.1|9=...|35=r|34=121|49=PtradeFIXServer-AU|56=CLIENT|
11=mc-001|1369=mc-001|530=1|531=1|55=BTC_USDT|533=2|
534=2|41=cli-10001|535=1234567|41=cli-10002|535=1234568|10=...

ExecutionReport (35=8)

The gateway emits an ExecutionReport for each lifecycle transition of your order.

ExecType (150)	OrdStatus (39)	Meaning
0 NEW	0 NEW	Order accepted by the book.
F TRADE	1 PARTIALLY_FILLED	A partial fill occurred.
F TRADE	2 FILLED	Final fill; the order is closed.
4 CANCELED	4 CANCELED	Cancel confirmed by the matching engine.
C EXPIRED	C EXPIRED	TIF-driven expiration (IOC / FOK unfilled).
8 REJECTED	8 REJECTED	Order rejected; carries OrdRejReason (103).

Common fields

Tag	Field	Notes
37	OrderID	Server-assigned order id. Use it to reconcile against back-office / REST.
17	ExecID	Unique per ExecutionReport message.
11	ClOrdID	Echo of the inbound ClOrdID. On a Canceled ER, this is the cancel-request id; 41 carries the original order id.
55	Symbol	Canonical upper-case symbol id.
14	CumQty	Cumulative filled base quantity.
151	LeavesQty	Remaining open base quantity. Always 0 on terminal status.
6	AvgPx	Average fill price. 0 whenever CumQty = 0.
31 / 32	LastPx / LastQty	Present only on TRADE ERs (150 ∈ {F, 1, 2}).
60	TransactTime	UTC timestamp at emit time.
103	OrdRejReason	Present on rejects. See reject reference below.

Coherence guarantees

On every outbound ExecutionReport, the gateway guarantees the following invariants regardless of upstream behaviour:

• LeavesQty (151) = 0 whenever OrdStatus is terminal (FILLED / CANCELED / REJECTED / EXPIRED).
• AvgPx (6) = 0 whenever CumQty (14) = 0.
• ExecType (150) is coerced to mirror OrdStatus (39) when upstream reports NEW alongside a terminal status (this happens for IOC/FOK orders that don't match anything; you receive a single ER with 150=C, 39=C, not a contradictory pair).
• LastPx (31) / LastQty (32) are stripped on non-TRADE ERs.

You can drive your OMS off (39, 150, 6, 151) without needing to reconcile contradictory upstream signals.

SecurityListRequest (35=x)

Fetch the currently active spot symbol catalog as a single SecurityList (35=y). Useful at session warm-up. Only SecurityListRequestType = 4 (AllSecurities) is supported.

Required fields

Tag	Field	Req?	Notes
320	SecurityReqID	Y	Echoed in the outbound 35=y.
559	SecurityListRequestType	Y	Must be integer 4. Any other value → reject.

Response

560	Meaning	When
0	VALID_REQUEST	Symbols returned in the 146 NoRelatedSym group.
1	INVALID_OR_UNSUPPORTED_REQUEST	559 ≠ 4.
2	NO_INSTRUMENTS_FOUND	Catalog is empty (should not occur under normal operation).

Each entry inside 146 carries the canonical upper-case Symbol (55). Additional instrument metadata (lot size, tick size, etc.) should be fetched from the REST catalog endpoint.

Inbound · SecurityListRequest

8=FIXT.1.1|9=...|35=x|34=130|49=CLIENT|56=PtradeFIXServer-AU|
320=sl-001|559=4|10=...

Outbound · SecurityList (accepted)

8=FIXT.1.1|9=...|35=y|34=131|49=PtradeFIXServer-AU|56=CLIENT|
320=sl-001|322=SLR-...|560=0|393=3|893=Y|146=3|
55=BTC_USDT|55=ETH_USDT|55=SOL_USDT|10=...

NOTE: QuickFIX/J note: the constant SecurityListRequestType.SYMBOL = 0 means "by symbol", not "all". Send the integer 4 on the wire.

Reject codes

Session-level Reject (35=3)

Produced by the QuickFIX/J engine before your message reaches business logic. See also Reject (35=3) in Session lifecycle for the message shape and companion fields.

The full set of SessionRejectReason (373) values the gateway can emit under strict validation is below. In practice you will spend most of your time with 0/1/2/5/11.

373	Meaning	Cause
0	INVALID_TAG_NUMBER	Tag number is not a defined FIX field.
1	REQUIRED_TAG_MISSING	A dictionary-required tag is absent from the message.
2	TAG_NOT_DEFINED_FOR_THIS_MESSAGE_TYPE	Legal tag used on the wrong 35=.
3	UNDEFINED_TAG	Custom / user-defined tag with AllowUnknownMsgFields=N.
4	TAG_SPECIFIED_WITHOUT_A_VALUE	Tag present but value empty.
5	VALUE_IS_INCORRECT	Field value out of the enum defined by the dictionary.
6	INCORRECT_DATA_FORMAT_FOR_VALUE	Value type mismatch (e.g. non-numeric where int is expected, malformed UTC timestamp).
9	COMPID_PROBLEM	SenderCompID (49) or TargetCompID (56) does not match the allow-list for this session.
10	SENDINGTIME_ACCURACY_PROBLEM	SendingTime (52) is too far from the gateway clock (default window is 2 min).
11	INVALID_MSGTYPE	Unknown or unsupported 35= value.
13	TAG_APPEARS_MORE_THAN_ONCE	Same tag appears twice in a single message body.
14	TAG_SPECIFIED_OUT_OF_REQUIRED_ORDER	Header, body, or trailer tag placed in the wrong section.
15	REPEATING_GROUP_FIELDS_OUT_OF_ORDER	Repeating-group entries not delivered in dictionary-declared order.
16	INCORRECT_NUMINGROUP_COUNT_FOR_REPEATING_GROUP	NoXxx count disagrees with the actual number of entries.
18	INVALID_UNSUPPORTED_APPLICATION_VERSION	ApplVerID (1128) negotiation failed (must resolve to FIX 5.0 SP2).
99	OTHER	Catch-all for validation failures not classified above.

Order reject on 35=8

103	Meaning	Cause
0	BROKER_EXCHANGE_OPTION	Generic validation failure (blank ClOrdID, LIMIT missing / non-positive price, LIMIT with 152, etc.).
1	UNKNOWN_SYMBOL	Symbol not in the active catalog.
6	DUPLICATE_ORDER	ClOrdID collides with an order already tracked.
11	UNSUPPORTED_ORDER_CHARACTERISTIC	Unsupported OrdType (e.g. 40=4 STOP_LIMIT) or TimeInForce.
13	INCORRECT_QUANTITY	Missing / non-positive OrderQty, or MARKET with both 38 and 152.
99	OTHER	Balance pre-lock failed, downstream publish failed, or session not authenticated.

Business message reject (35=j)

Emitted when an application message exceeds the per-API-key inbound rate limit. The message carries BusinessRejectReason (380) = 99 (Other) and a Text describing the throttle.

Quick reference

You send	Server responds
Logon without 553	35=5 Logout · 58=…
Field value not in FIX dictionary enum	35=3 · 373=5 VALUE_IS_INCORRECT
Unknown tag	35=3 · 373=2 INVALID_TAG_NUMBER
Duplicate ClOrdID on 35=D	35=8 · 150=8, 39=8 · 103=6 DUPLICATE_ORDER
35=D with 40=4 STOP_LIMIT	35=8 · 150=8, 39=8 · 103=11 UNSUPPORTED_ORDER_CHARACTERISTIC
LIMIT missing / non-positive Price	35=8 · 103=0 BROKER_EXCHANGE_OPTION
MARKET with neither 38 nor 152, or both	35=8 · 103=13 INCORRECT_QUANTITY
Cancel of unknown order	35=9 · 434=1 · 102=1 UNKNOWN_ORDER
Cancel of already-terminal order	35=9 · 434=1 · 102=0 TOO_LATE_TO_CANCEL
Double-tap cancel	35=9 · 434=1 · 102=3 PENDING_CANCEL_OR_REPLACE
Duplicate MDReqID	35=Y · 281=1 DUPLICATE_MDREQID
35=V unknown symbol	35=Y · 281=0 UNKNOWN_SYMBOL
35=q with 530 ≠ 1	35=r · 531=0 · 532=0 MASS_CANCEL_NOT_SUPPORTED
35=x with 559 ≠ 4	35=y · 560=1 INVALID_OR_UNSUPPORTED_REQUEST
Rate limit exceeded	35=j · 380=99 · 58=Rate limit exceeded…

Field reference

Essential fields consumed or emitted by the gateway. Anything not listed here is either dictionary-only or ignored by the application layer.

Header

Tag	Field	Notes
8	BeginString	FIXT.1.1
34	MsgSeqNum	Strictly monotonic per direction; persisted.
35	MsgType	See overview table.
49	SenderCompID	Your id inbound; PtradeFIXServer-<SITE> outbound.
52	SendingTime	UTC YYYYMMDD-HH:MM:SS.sss
56	TargetCompID	PtradeFIXServer-<SITE> inbound; your id outbound.
1128	ApplVerID	9 = FIX.5.0SP2
1137	DefaultApplVerID	Set on Logon.

Session admin

Tag	Field	Notes
7	BeginSeqNo	Start of resend range.
16	EndSeqNo	End of resend range (0 = open-ended).
98	EncryptMethod	0 None
108	HeartBtInt	Seconds.
112	TestReqID	Echoed on the answering Heartbeat.
141	ResetSeqNumFlag	Y / N
553	Username	API key. Required on Logon.

Order entry

Tag	Field	Notes
11	ClOrdID	Client-assigned, unique per account.
21	HandlInst	Dictionary requires it; typical value 1.
38	OrderQty	Base quantity. Mutually exclusive with 152 on MARKET.
40	OrdType	1=MARKET · 2=LIMIT
44	Price	LIMIT only. Ignored on MARKET.
54	Side	1=BUY · 2=SELL
55	Symbol	BASE_QUOTE
59	TimeInForce	0=DAY · 1=GTC · 3=IOC · 4=FOK
60	TransactTime	UTC YYYYMMDD-HH:MM:SS.sss
152	CashOrderQty	Quote-currency amount; MARKET only.

Execution report

Tag	Field	Notes
6	AvgPx	0 when CumQty=0.
14	CumQty	Cumulative filled base quantity.
17	ExecID	Unique per ER message.
31 / 32	LastPx / LastQty	TRADE ERs only.
37	OrderID	Server-assigned id.
39	OrdStatus	0NEW · 1PART · 2FILLED · 4CANCELED · 6PENDING_CANCEL · 8REJECTED · CEXPIRED
41	OrigClOrdID	Set on Canceled ER (original order id).
103	OrdRejReason	See reject reference.
150	ExecType	0NEW · 4CANCELED · 8REJECTED · CEXPIRED · FTRADE
151	LeavesQty	0 on terminal status.

Market data

Tag	Field	Notes
262	MDReqID	Unique per active subscription.
263	SubscriptionRequestType	0Snapshot · 1Snapshot+Updates · 2Unsubscribe
264	MarketDepth	0Full · 1Top · NTop-N
269	MDEntryType	0BID · 1OFFER · 2TRADE
270	MDEntryPx	Price per entry.
271	MDEntrySize	Size per entry.
281	MDReqRejReason	See reject reference.
290	MDEntryPositionNo	Depth level, 1-based, per side.