Coinbase Derivatives: Predictions FIX Drop Copy Messages

The Coinbase Derivatives: Predictions FIX Drop Copy API sends you a read-only copy of execution reports and market settlement reports for every order in your firm or FCM over FIX 5.0 SP2.

Drop Copy Message Types

The Coinbase Derivatives: Predictions Drop Copy FIX API supports the following message and execution types. For Logon, heartbeats, sequence recovery, and fill recovery, see Session.

Client Message Types

LastExecIDRequest (35=F1): Requests the last ExecID sent for your scope.
EventResendRequest (35=F3): Requests a resend of fills in an ExecID range.

System Message Types

ExecutionReport (35=8): Order and trade events.
- PendingNew (150=A): Order accepted and held before it is submitted to the book.
- New (150=0): Order submitted to the book.
- Trade (150=F): Complete and partial fills.
- Canceled (150=4): Order canceled by request or by the exchange.
- Expired (150=C): Order expired, including unfilled Fill or Kill orders.
- Rejected (150=8): Order rejected.
MarketSettlementReport (35=UMS): Firm position settlement for an instrument.
LastExecID (35=F2): Response to LastExecIDRequest.
EventResendComplete (35=F4): Sent after the last resent fill.
EventResendReject (35=F5): Rejection of an EventResendRequest.
BusinessMessageReject (35=j): Rejection of a malformed or unsupported application message.

Session Message Types

Logon (35=A), Logout (35=5), Heartbeat (35=0), TestRequest (35=1), ResendRequest (35=2), Reject (35=3), and SequenceReset (35=4). See Session.

The fill recovery messages (35=F1 to 35=F5) are shared with order entry and documented on Session.

Connection

Connect with TargetCompID (56) = CBPMDC and your API key in SenderCompID (49). The API key must have the DROP_COPY permission. Host and port are listed on the Coinbase Derivatives: Predictions Connectivity page. Header fields are on Header/Trailer. Logon, the Logon signature, heartbeats, and sequence recovery are on Session. TransactTime (60) is a UTC timestamp with microsecond precision.

Subscription scope

Each session receives reports for one scope, set by the level of its API key:

API key level	Reports you receive
Firm	Orders, fills, and settlements of your firm.
FCM	Orders, fills, and settlements of every firm that clears through your FCM.

Every connected session in a scope receives the same reports.
Each fill produces separate aggressor and resting reports. You receive each side that belongs to your scope; a trade between two orders in your scope sends you both reports.
Recovery requests (LastExecIDRequest and EventResendRequest) are answered from your scope, not from your session.

The gateway ends a live session when its authorization no longer holds: the API key is disabled or deleted, it loses the DROP_COPY permission, or its firm or FCM is deactivated, deleted, or reassigned. The gateway also ends the session if it sends any message after its authorization is revoked.

Parties repeating group (453)

Every execution report carries five Parties entries, in this order.

Tag	Name	FIX Type	Req	Description
453	NoPartyIDs	NumInGroup	Y	`453=5` on every execution report.
→ 448	PartyID	String	Y	Party identifier for the role in `452`. `unknown` if the value cannot be resolved.
→ 452	PartyRole	Int	Y	`4` = Clearing firm: FCM code. `1` = Executing firm: firm code. `24` = Customer account: sub-account of the order. `11` = Order origination trader: user name of the API key that placed the order. `55` = Session ID: API key that placed the order.

PartyIDSource (447) is not sent.

ExecutionReport (35=8)

Reject reasons map to OrdRejReason (103) and Text (58) the same way as on order entry execution reports.

ExecID (17) is a decimal integer that increases over time across all reports in a scope. Values are not contiguous. The aggressor report of a fill has an even ExecID and the resting report has the next odd value; every other report has an even ExecID.
Prices have 3 decimal places, quantities 2, and fee and payout amounts 6. Insignificant trailing zeroes may be omitted, so 0.55 and 0.550 are the same price.

PendingNew (150=A)

Sent when the exchange accepts an order and holds it before submitting it to the book.

Tag	Name	FIX Type	Req	Description
37	OrderID	String	Y	Exchange order ID.
17	ExecID	String	Y	Unique report ID. See ExecutionReport (35=8).
11	ClOrdID	String	Y	Client order ID of the order. Up to 36 characters.
150	ExecType	Char	Y	`A` = Pending new.
39	OrdStatus	Char	Y	`A` = Pending new.
55	Symbol	String	Y	Instrument ticker. `deleted_instrument` if the instrument cannot be resolved.
54	Side	Char	Y	`1` = Buy. `2` = Sell.
40	OrdType	Char	N	`1` = Market. `2` = Limit.
44	Price	Price	C	Order price. Sent when the order has a price.
38	OrderQty	Qty	C	Order quantity.
151	LeavesQty	Qty	Y	Equal to `OrderQty (38)`.
14	CumQty	Qty	Y	`0`
6	AvgPx	Price	N	`0`
59	TimeInForce	Char	N	`1` = Good Till Cancel. `3` = Immediate or Cancel. `4` = Fill or Kill.
18	ExecInst	MultipleCharValue	C	`6` = Post only. `A` = Post only reject. Sent only when set on the order.
7928	SelfMatchPreventionId	Int	C	Self-match prevention ID submitted on the order. Not sent when absent. `0` is a valid value.
8000	SelfMatchPreventionStrategy	Char	C	Effective self-match prevention mode of the order. `N` = Cancel aggressing. `O` = Cancel resting. `Q` = Cancel both. Not sent when the order has no mode.
1028	ManualOrderIndicator	Boolean	Y	`Y` = Manual order. `N` = Automated order, or the flag is unavailable.
60	TransactTime	UTCTimestamp	Y	UTC time of the event, in microseconds.
453	NoPartyIDs	NumInGroup	Y	See Parties repeating group (453).

New (150=0)

Sent when an order is submitted to the book. Carries the same fields as PendingNew (150=A), with these values:

Tag	Name	FIX Type	Req	Description
150	ExecType	Char	Y	`0` = New.
39	OrdStatus	Char	Y	`0` = New.

Trade (150=F)

Sent for each fill. Each fill produces one report for the aggressor order and one for the resting order, which share TrdMatchID (880).

Tag	Name	FIX Type	Req	Description
37	OrderID	String	Y	Exchange order ID.
17	ExecID	String	Y	Unique report ID. Even for the aggressor report, odd for the resting report.
11	ClOrdID	String	Y	Client order ID of the order. Up to 36 characters.
150	ExecType	Char	Y	`F` = Trade.
39	OrdStatus	Char	Y	`1` = Partially filled. `2` = Filled.
55	Symbol	String	Y	Instrument ticker. `deleted_instrument` if the instrument cannot be resolved.
54	Side	Char	Y	`1` = Buy. `2` = Sell.
40	OrdType	Char	N	`1` = Market. `2` = Limit.
44	Price	Price	C	Order price. Sent when the order has a price.
38	OrderQty	Qty	C	Order quantity.
31	LastPx	Price	C	Fill price.
32	LastQty	Qty	C	Fill quantity.
151	LeavesQty	Qty	Y	Quantity remaining after this fill.
14	CumQty	Qty	Y	Total quantity filled on the order, including this fill.
6	AvgPx	Price	N	Volume-weighted average fill price of the order, including this fill.
880	TrdMatchID	String	C	Trade ID. Same on the aggressor and resting reports of one fill.
1057	AggressorIndicator	Boolean	C	`Y` = Aggressor (taker). `N` = Resting (maker).
59	TimeInForce	Char	N	`1` = Good Till Cancel. `3` = Immediate or Cancel. `4` = Fill or Kill.
18	ExecInst	MultipleCharValue	C	`6` = Post only. `A` = Post only reject. Sent only when set on the order.
7928	SelfMatchPreventionId	Int	C	Self-match prevention ID of this report’s order. Not sent when absent.
8000	SelfMatchPreventionStrategy	Char	C	Effective self-match prevention mode of this report’s order. `N` = Cancel aggressing. `O` = Cancel resting. `Q` = Cancel both.
1028	ManualOrderIndicator	Boolean	Y	`Y` = Manual order. `N` = Automated order, or the flag is unavailable.
136	NoMiscFees	NumInGroup	C	`1` when the fill carries a fee, including a zero fee.
→ 137	MiscFeeAmt	Amt	C	Fee in USDC, 6 decimal places. Negative values are maker rebates.
→ 138	MiscFeeCurr	Currency	C	`USDC`
→ 139	MiscFeeType	Int	C	`4` = Exchange fees.
60	TransactTime	UTCTimestamp	Y	UTC time of the fill, in microseconds.
453	NoPartyIDs	NumInGroup	Y	See Parties repeating group (453).

Canceled (150=4)

Sent when an order is canceled by a cancel request, a mass cancel, or the exchange. Most fields match PendingNew (150=A); these differ:

Tag	Name	FIX Type	Req	Description
150	ExecType	Char	Y	`4` = Canceled.
39	OrdStatus	Char	Y	`4` = Canceled.
11	ClOrdID	String	Y	For a single `OrderCancelRequest`: the ClOrdID of the cancel request. Otherwise: the ClOrdID of the order.
41	OrigClOrdID	String	C	ClOrdID of the canceled order. Sent only for a single `OrderCancelRequest`; mass-cancel reports omit it.
38	OrderQty	Qty	C	Canceled quantity plus filled quantity.
151	LeavesQty	Qty	Y	`0`
14	CumQty	Qty	Y	Total quantity filled before the cancel.
6	AvgPx	Price	C	`0` when the order had no fills. Not sent when the order had fills.
378	ExecRestatementReason	Int	C	Sent for exchange-initiated cancels. See Cancel reasons.
58	Text	String	Y	Cancel reason name. See Cancel reasons.

Cancel reasons

Text (58)	ExecType (150) / OrdStatus (39)	ExecRestatementReason (378)
`USER_REQUEST`, `USER_MASS_CANCEL`, `CANCEL_PENDING_IOC`	`4` = Canceled	Not sent
`TIME_IN_FORCE`	`C` = Expired	Not sent
`SELF_MATCH_PREVENTION`	`4` = Canceled	`7` = Self-match prevention
`ADMIN_CANCEL`	`4` = Canceled	`105` = Canceled by the exchange
`INSTRUMENT_DETERMINED`, `INSTRUMENT_CLOSED`, `INSTRUMENT_PAUSED`	`4` = Canceled	`2` = Market option
`CLIENT_DISCONNECT`	`4` = Canceled	`1` = Cancel on disconnect

Expired (150=C)

Sent in two cases, both with ExecType (150) = C and OrdStatus (39) = C:

Time in force expiry. Same fields as Canceled (150=4), with Text (58) = TIME_IN_FORCE.
Fill or Kill not filled. Same fields as Rejected (150=8), except OrdRejReason (103) is not sent and Text (58) is FOK_NOT_FILLED, optionally followed by - and details.

Rejected (150=8)

Sent when an order is rejected. Most fields match PendingNew (150=A); these differ:

Tag	Name	FIX Type	Req	Description
150	ExecType	Char	Y	`8` = Rejected.
39	OrdStatus	Char	Y	`8` = Rejected.
151	LeavesQty	Qty	Y	`0`
14	CumQty	Qty	Y	`0`
6	AvgPx	Price	N	`0`
103	OrdRejReason	Int	Y	See OrdRejReason values.
58	Text	String	Y	Reject reason name, optionally followed by `-` and details. Example: `MAX_EXECUTION_COST_EXCEEDED - insufficient liquidity`. `UNKNOWN` if no reason is available.

OrdRejReason values

Text (58) reason	OrdRejReason (103)
`INVALID_INSTRUMENT`	`1` = Unknown symbol
`MAX_ACTIVE_ORDERS_EXCEEDED`, `MAX_ORDER_SIZE_EXCEEDED`, `MAX_EXECUTION_COST_EXCEEDED`	`3` = Order exceeds limit
`DUPLICATE_CLIENT_ORDER_ID`	`6` = Duplicate order
`POST_ONLY_WOULD_CROSS`, `INVALID_TIME_IN_FORCE`	`11` = Unsupported order characteristic
`INVALID_QUANTITY`	`13` = Incorrect quantity
`INVALID_SUBACCOUNT`	`15` = Unknown account
`INVALID_PRICE`	`16` = Price exceeds band
`INVALID_PRICE_TICK`	`18` = Invalid price increment
`INSUFFICIENT_BALANCE`	`25` = Insufficient credit limit
`POSITION_LIMIT_PER_INSTRUMENT_EXCEEDED`	`41` = Exceeded position limit
`INVALID_USER`	`42` = Invalid client
`USER_TRADING_LOCKED`	`43` = Client permission error
`INSTRUMENT_NOT_ACTIVE`	`44` = Not allowed by market state
`REDUCE_ONLY_VIOLATION`	`48` = Reduce only
`SELF_MATCH_PREVENTION`, `SPEED_BUMP_QUEUE_FULL`, `INVALID_FIELD_VALUE`, `UNKNOWN`, any other	`99` = Other

MarketSettlementReport (35=UMS)

Sent for each firm-level instrument settlement in your scope. If the instrument ticker, firm, or FCM cannot be resolved, the report is not sent.

Tag	Name	FIX Type	Req	Description
20105	MarketSettlementReportID	String	Y	Unique report ID, from the same sequence as ExecID (17). Always even.
55	Symbol	String	Y	Ticker of the settled instrument.
453	NoPartyIDs	NumInGroup	Y	`2`
→ 448	PartyID	String	Y	Party identifier for the role in `452`.
→ 452	PartyRole	Int	Y	`4` = Clearing firm: FCM code. `1` = Executing firm: firm code.
21052	SettlementOutcome	Char	Y	`Y` = YES. `N` = NO. `S` = Scalar.
730	SettlementPrice	Price	Y	3 decimal places. `1` = YES, `0` = NO. Any value in between is a scalar outcome.
21053	PositionAggregationMode	Char	Y	Position aggregation mode of the firm. `N` = Net. `G` = Gross.
21054	LongQty	Qty	Y	Firm long quantity settled.
21055	ShortQty	Qty	Y	Firm short quantity settled.
21056	PayoutAmount	Amt	Y	Gross settlement payout in USDC, 6 decimal places: `SettlementPrice × LongQty + (1 − SettlementPrice) × ShortQty`. Never negative. Does not net out what you paid to open the position.
60	TransactTime	UTCTimestamp	Y	UTC time of the settlement, in microseconds.

MarketSettlementReports are not resent. An EventResendRequest returns fills only.

BusinessMessageReject (35=j)

Sent when an application message cannot be processed:

A LastExecIDRequest or EventResendRequest that is structurally malformed, for example a missing required tag or an invalid value format.
A LastExecIDRequest or EventResendRequest sent above the message rate limit. Text (58) = rate throttle.
Any application message type other than LastExecIDRequest (35=F1) and EventResendRequest (35=F3). Text (58) = unsupported drop-copy msgType.

Tag	Name	FIX Type	Req	Description
45	RefSeqNum	SeqNum	N	MsgSeqNum (34) of the rejected message.
372	RefMsgType	String	Y	MsgType (35) of the rejected message.
380	BusinessRejectReason	Int	Y	`0` = Other. Sent for every BusinessMessageReject.
58	Text	String	N	Human-readable reason, for example the invalid tag.

Values specific to Coinbase Derivatives: Predictions

The gateway uses standard FIX 5.0 SP2 tags. The following messages and values are specific to Coinbase Derivatives: Predictions.

Tag or message	Value	Description
MsgType (35)	`UMS`, `F1`, `F2`, `F3`, `F4`, `F5`	MarketSettlementReport and the event resend messages.
ExecInst (18)	`A` = Post only reject	Post-only order that is rejected instead of crossing.
SelfMatchPreventionStrategy (8000)	`N`, `O`, `Q`	Self-match prevention mode of the order.
Tags 20105, 21052 to 21056	See MarketSettlementReport	Settlement report fields.
Tags 22003 to 22006	See EventResendRequest	Event resend fields.

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Coinbase Derivatives: Predictions FIX Drop Copy Messages

Drop Copy Message Types

Connection

Subscription scope

Parties repeating group (453)

ExecutionReport (35=8)

PendingNew (150=A)

New (150=0)

Trade (150=F)

Canceled (150=4)

Cancel reasons

Expired (150=C)

Rejected (150=8)

OrdRejReason values

MarketSettlementReport (35=UMS)

BusinessMessageReject (35=j)

Values specific to Coinbase Derivatives: Predictions

​Drop Copy Message Types

​Connection

​Subscription scope

​Parties repeating group (453)

​ExecutionReport (35=8)

​PendingNew (150=A)

​New (150=0)

​Trade (150=F)

​Canceled (150=4)

​Cancel reasons

​Expired (150=C)

​Rejected (150=8)

​OrdRejReason values

​MarketSettlementReport (35=UMS)

​BusinessMessageReject (35=j)

​Values specific to Coinbase Derivatives: Predictions

Drop Copy Message Types

Connection

Subscription scope

Parties repeating group (453)

ExecutionReport (35=8)

PendingNew (150=A)

New (150=0)

Trade (150=F)

Canceled (150=4)

Cancel reasons

Expired (150=C)

Rejected (150=8)

OrdRejReason values

MarketSettlementReport (35=UMS)

BusinessMessageReject (35=j)

Values specific to Coinbase Derivatives: Predictions