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FIX 会话

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。

FIX session

FIX API

Pepperstone Crypto exposes a FIX 5.0 SP2 (over FIXT.1.1) gateway for institutional spot trading. This guide describes the wire contract clients must implement.

FIXT.1.1 FIX 5.0 SP2 Spot Institutional

Overview

The gateway is a FIX acceptor. Your side is the initiator: you open the TCP connection and send the first Logon (35=A). The gateway terminates the FIX session, validates the message dictionary, and forwards application traffic to the spot matching engine and market-data buses.

Supported message types are listed below. Anything not in this table is either rejected at the session layer (35=3) or silently ignored.

Direction MsgType Name Purpose
Inbound A Logon Establish session; carries API key.
Inbound 0 Heartbeat Standard idle heartbeat.
Inbound 1 TestRequest Liveness probe.
Inbound 2 ResendRequest Gap fill from persisted store.
Inbound 3 Reject Client-side session-level reject; server logs and ignores (no retransmit).
Inbound 4 SequenceReset Gap-fill or admin reset; handled natively by QuickFIX/J.
Inbound 5 Logout Ends session; triggers cancel-on-logout.
Inbound D NewOrderSingle Place a MARKET or LIMIT order.
Inbound F OrderCancelRequest Cancel a single working order.
Inbound q OrderMassCancelRequest Cancel all working orders for a symbol.
Inbound V MarketDataRequest Subscribe / snapshot / unsubscribe depth.
Inbound x SecurityListRequest List the active symbol catalog.
Outbound 3 Reject Session-level dictionary reject.
Outbound 4 SequenceReset Gap-fill (skip admin msgs during resend) or admin reset.
Outbound 8 ExecutionReport Order lifecycle events.
Outbound 9 OrderCancelReject Cancel not routable at the gateway.
Outbound j BusinessMessageReject Business-layer reject (e.g. rate limit).
Outbound r OrderMassCancelReport ACK of mass-cancel request.
Outbound y SecurityList Symbol catalog response.
Outbound W MarketDataSnapshotFullRefresh Full top-N book snapshot.
Outbound X MarketDataIncrementalRefresh Per-tick top-N rebroadcast + trades.
Outbound Y MarketDataRequestReject Business-layer reject for MD subscription.

Connection

The gateway is exposed over plain TCP. TLS is terminated at the network edge; the exact endpoints for each environment (UAT / production) are delivered as part of your onboarding package.

Connection parameters

Setting Value Notes
BeginString (8) FIXT.1.1 Session-layer dictionary.
DefaultApplVerID (1137) 9 (FIX.5.0SP2) Application-layer dictionary.
Server SenderCompID (49) / your TargetCompID (56) PtradeFIXServer-<SITE> Site suffix is environment-specific (e.g. PtradeFIXServer-AU). Exact value provided at onboarding.
Your SenderCompID (49) / server TargetCompID (56) Allocated per client Provisioned during onboarding.
EncryptMethod (98) 0 (None) Confidentiality is handled at the transport layer.
HeartBtInt (108) 30s recommended The gateway honours whatever value you send on Logon.
Trading window 24 × 7 UTC Maintenance windows announced separately.

Session lifecycle

Logon (35=A)

The first message after the TCP handshake must be Logon. The gateway checks:

  1. Username (553) is present and non-empty — it carries your API key.
  2. The API key is validated against the central authentication service. If it is disabled, not institutional, or unknown, the Logon is rejected.
  3. If HeartBtInt (108) is supplied, that value is used for the session.
  4. If ResetSeqNumFlag (141) = Y is supplied, sequence numbers are reset both ways.

No password is transmitted on the FIX wire. Your API key is bound to the trusted source IP allocated at onboarding.

Inbound · Logon 

8=FIXT.1.1|9=...|35=A|34=1|49=CLIENT|56=PtradeFIXServer-AU|52=20260515-09:00:00.000|
98=0|108=30|141=Y|553=<your_api_key>|1137=9|10=...

Outbound · Logon (accepted) 

8=FIXT.1.1|9=...|35=A|34=1|49=PtradeFIXServer-AU|56=CLIENT|52=20260515-09:00:00.100|
98=0|108=30|1137=9|10=...

Heartbeat & TestRequest

Standard FIX semantics. When the link is idle for longer than the negotiated HeartBtInt, both peers exchange Heartbeat (35=0). Either side may send a TestRequest (35=1) with a TestReqID (112); the counterparty must reply with a Heartbeat echoing the same 112.

Timing rules (enforced by QuickFIX/J):

  • If the link is idle for HeartBtInt seconds, send an unsolicited Heartbeat.
  • If nothing is received for HeartBtInt × 1.2 seconds, the engine sends a TestRequest.
  • If the TestRequest is not answered within another HeartBtInt × 1.2 seconds, the session is dropped as unresponsive.

Outbound · Heartbeat (idle) 

8=FIXT.1.1|9=…|35=0|34=42|49=PtradeFIXServer-AU|56=CLIENT|
52=20260515-09:00:30.000|10=…

Inbound · TestRequest 

8=FIXT.1.1|9=…|35=1|34=101|49=CLIENT|56=PtradeFIXServer-AU|
52=20260515-09:00:36.000|112=probe-42|10=…

Outbound · Heartbeat (TestRequest response) 

8=FIXT.1.1|9=…|35=0|34=43|49=PtradeFIXServer-AU|56=CLIENT|
52=20260515-09:00:36.001|112=probe-42|10=…

ResendRequest (35=2)

Because the gateway persists messages (PersistMessages=Y), standard gap-fill / resend is fully supported by the QuickFIX/J engine — the application layer is not involved. BeginSeqNo (7) is the first missing sequence number; EndSeqNo (16) = 0 means "up to infinity".

On receiving a ResendRequest, the gateway replays application messages from disk. Session-level admin messages (Heartbeat, TestRequest, ResendRequest itself, SequenceReset, Logon, Logout) are not replayed — the engine skips them by emitting SequenceReset (35=4) with GapFillFlag (123) = Y covering that range.

Replayed application messages carry PossDupFlag (43) = Y and a OrigSendingTime (122) equal to the original transmission time; treat them as idempotent by MsgSeqNum (34).

Scenario. Client reconnects and continues at 34=210. The gateway's next expected inbound is 200, so it requests messages [200, ∞). Messages 200–204 are session-admin (skipped via gap-fill); 205–209 are ExecutionReports that get replayed as PossDupFlag=Y.

Outbound · ResendRequest 

8=FIXT.1.1|9=…|35=2|34=44|49=PtradeFIXServer-AU|56=CLIENT|
52=20260515-09:05:00.000|7=200|16=0|10=…

Inbound · SequenceReset · gap-fill (client skips admin msgs 200–204) 

8=FIXT.1.1|9=…|35=4|34=200|49=CLIENT|56=PtradeFIXServer-AU|
52=20260515-09:05:00.100|43=Y|123=Y|36=205|10=…

Inbound · ExecutionReport (replayed, PossDupFlag=Y) 

8=FIXT.1.1|9=…|35=8|34=205|49=CLIENT|56=PtradeFIXServer-AU|
52=20260515-09:05:00.200|43=Y|122=20260515-09:03:12.500|
37=1234567|11=cli-10001|55=BTC_USDT|54=1|38=0.50|44=62000.00|
150=F|39=2|14=0.50|151=0|6=62000.00|31=62000.00|32=0.50|60=20260515-09:03:12.500|10=…

SequenceReset (35=4)

Handled natively by the QuickFIX/J session layer. There are two operating modes, distinguished by GapFillFlag (123).

123 Mode Behaviour
Y Gap-fill Emitted as part of a ResendRequest reply to skip admin / non-replayable messages. Sequence-number checking applies: if 34 is out of order, the engine treats it as a real gap-fill within the resend window. This is the safe mode you will always see from the gateway.
N / omitted Admin reset Dangerous. The receiver's next-expected inbound sequence number is force-set to NewSeqNo (36) regardless of gaps. Prefer resetting via Logon with ResetSeqNumFlag (141) = Y; only fall back to admin 35=4 when an operator explicitly coordinates it.

Fields

Tag Field Req? Notes
36 NewSeqNo Y Next expected inbound sequence number on the receiver.
123 GapFillFlag N Y = gap-fill (safe); N / omitted = admin reset.
43 PossDupFlag N Always Y when the message is a gap-fill for a resend window.

Scenario A · gap-fill. During a resend, the gateway needs to skip admin messages 34=200..204 so that the client's next inbound expectation lands on 205. It sends a single SequenceReset with GapFillFlag=Y, MsgSeqNum=200, NewSeqNo=205.

Inbound · SequenceReset · gap-fill 

8=FIXT.1.1|9=…|35=4|34=200|49=CLIENT|56=PtradeFIXServer-AU|
52=20260515-09:05:00.100|43=Y|123=Y|36=205|10=…

Scenario B · admin reset. An operator has coordinated a manual sequence reset on the client side. The client sends a SequenceReset with GapFillFlag=N to force the gateway's next expected inbound to NewSeqNo=1000. Because this is an admin message, MsgSeqNum (34) is ignored — the gateway never treats it as a real gap.

Outbound · SequenceReset · admin reset (rarely used) 

8=FIXT.1.1|9=…|35=4|34=999|49=PtradeFIXServer-AU|56=CLIENT|
52=20260515-10:00:00.000|123=N|36=1000|10=…

Reject (35=3) — session-level

Emitted by the QuickFIX/J engine before a message reaches any application handler when it fails dictionary validation. The gateway runs with strict validation (ValidateIncomingMessage=Y, AllowUnknownMsgFields=N), so anything that violates the FIX 5.0 SP2 dictionary is rejected at the session layer with a MsgSeqNum that still counts. A full breakdown of SessionRejectReason (373) values is in the Reject codes reference.

Reject messages carry:

  • RefSeqNum (45) — the 34 of the offending message
  • RefMsgType (372) — its 35= value (when identifiable)
  • RefTagID (371) — the tag that failed (when applicable)
  • SessionRejectReason (373) — machine-readable reason code
  • Text (58) — human-readable diagnostic

The reciprocal direction is also supported: if the gateway ever sends you a malformed message, you may reply with your own 35=3. The server logs and ignores it — it will not retransmit that message.

Outbound · Reject (unknown tag) 

8=FIXT.1.1|9=…|35=3|34=42|49=PtradeFIXServer-AU|56=CLIENT|
52=20260515-09:00:00.000|45=17|372=D|371=9999|
373=2|58=Tag not defined for this message type: 9999|10=…

Logout (35=5) — cancel-on-logout

IMPORTANT: When you send Logout, the gateway sends a cancel to the matching engine for every working order tracked on that session, then closes the socket. If you want resting orders to survive a reconnect, drop the TCP connection — do not send Logout.

The actual ExecutionReport (ExecType=Canceled) is produced by the matching engine and may arrive after the FIX session closes. Reconcile via your back-office channel after reconnect.