Exchange FIX Order Entry Messages 4.2

About this API:

• Baseline: FIX 4.2 SP2 specification. Includes tags from later FIX versions plus custom tags in the high number range as allowed by the standard.
• Environments: Production, Sandbox

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Header

A standard header must be present at the start of every message in both directions.

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Logon (A)

Sent by the client to initiate a session and by the server as an acknowledgement. Only one session may exist per connection; sending a Logon message within an established session is an error.

The Logon message sent by the client must be signed for security. The signing method is described in Signing a Message. The prehash string is the following fields joined by the FIX field separator (ASCII code 1):

SendingTime, MsgType, MsgSeqNum, SenderCompID, TargetCompID, Password.

There is no trailing separator. The RawData field should be a base64 encoding of the HMAC signature.

// create a new Logon message
var logon = new Msgs.Logon();
logon.SendingTime = new Date();
logon.HeartBtInt = 30;
logon.EncryptMethod = 0;
logon.passphrase = "...";

var presign = [
  logon.SendingTime,
  logon.MsgType,
  session.outgoing_seq_num,
  session.sender_comp_id,
  session.target_comp_id,
  passphrase,
].join("\x01");

// add the presign string to the RawData field of the Logon message
logon.RawData = sign(presign, secret);

// send the logon message to the server
session.send(logon);

function sign(what, secret) {
  var key = Buffer.from(secret, "base64");
  var hmac = crypto.createHmac("sha256", key);
  return hmac.update(what).digest("base64");
}

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Logout (5)

Sent by either side to initiate session termination. The side which receives this message first should reply with the same message type to confirm session termination.

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New Order Single (D)

Sent by the client to enter an order. Each profile can place a maximum of 500 open orders on a product. Once reached, the profile cannot place any new orders until the total number of open orders is below 500.

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SelfTradePrevention Values

If an order is decremented due to self-trade prevention, an Execution Report is sent to the client with ExecType=D indicating unsolicited OrderQty reduction (i.e., partial cancel).

See the self-trade prevention documentation for more details about this field.

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Time In Force Values

See the Time In Force documentation for more details about these values.

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Errors

If a trading error occurs (for example, the user has insufficient funds), an Execution Report with ExecType=8 is sent back, signifying that the order was rejected.

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Take Profit Stop Loss Orders

See TPSL Orders.

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Limit With Funds Orders

See Limit With Funds Orders.

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New Order Batch (U6)

Sent by the client to create multiple orders. Maximum of 15 orders per message. All orders must have the same symbol.

Each profile can place a maximum of 500 open orders on a product. Once reached, the profile cannot place any new orders until the total number of open orders is below 500. If the total number of open orders in the batch causes the profile to exceed the 500 maximum, the entire batch is rejected.

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Order Cancel Request (F)

Sent by the client to cancel an order.

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Order Status Request (H)

Sent by the client to obtain information about pending and done orders.

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Response

The response to an Order Status Request is an ExecutionReport with ExecType=I. The ExecutionReport contains the ClOrdID if the value is supplied. If the order cannot be found, the ExecutionReport has OrderID=0.

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Order Cancel Batch Request (U4)

Sent by the client to cancel multiple orders. Maximum of 15 orders per message. All orders must have the same symbol.

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Response

When the message is invalid or an unexpected error occurs, an Order Cancel Batch Reject (U5) message is sent. When orders are cancelled, an Execution Report (8) is sent for each order canceled. When Order Cancel Batch Request (U4) is partially rejected (i.e., some orders are filled or already canceled), Order Cancel Reject (9) is sent for each rejected cancel.

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Execution Report (8)

Sent by the server when an order is accepted, rejected, filled, or canceled. Also sent when the user sends an OrderStatusRequest.

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ExecType Values

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New Order Batch Reject (U7)

Sent by the server when a New Order Batch message is rejected.

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Modify Order Request (G)

Supports the Order Replace Request outlined in the FIX protocol. See also: WebSocket Full Channel, Change.

Example FIX Request:

 BeginString=FIX.4.2 BodyLength=265 MsgType=ORDER_CANCEL_REPLACE_REQUEST MsgSeqNum=17 SenderCompID=00000000100000000000000000000003 SendingTime=20220609-04:01:48.757 TargetCompID=Coinbase ClOrdID=907b6ae6-bcbe-441a-b7bb-d932afdb9edb OrderID=71de0cdf-938f-495b-9fad-108837bde704 OrderQty=2 OrdType=LIMIT OrigClOrdID=907b6ae6-bcbe-441a-b7bb-d932afdb9eda Price=100.00 Side=BUY Symbol=ETH-USD TransactTime=20220609-04:01:48.757 CheckSum=107

Example Execution Report:

BeginString=FIX.4.2 BodyLength=253 MsgType=EXECUTION_REPORT MsgSeqNum=18 SenderCompID=Coinbase SendingTime=20220609-04:01:48.766 TargetCompID=00000000100000000000000000000003 ExecID=450d0b12-e994-48de-9f74-0f43c74fd054 ExecTransType=NEW OrderID=71de0cdf-938f-495b-9fad-108837bde704 OrderQty=3 OrdStatus=DONE_FOR_DAY Price=100 Side=BUY Symbol=ETH-USD Text=107:Broker TransactTime=20220609-04:01:48.762 ExecType=DONE_FOR_DAY LeavesQty=0 CheckSum=150

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Guidance

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Queue Priority

• If you increase the quantity, or modify the price (up or down) you lose your place and move to the back of the queue. If you decrease the quantity you keep your place in the queue.

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OrderQty (38)

• If you send a Modify Order request whose OrderQty (38) is less than the filled size of the order, Coinbase cancels the order and marks it as filled.

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Matching

• If your Modify Order request results in an immediate match and you are both the initiator of the order AND subscribed to the authenticated WebSocket feed, you should receive a change message with "reason": "modify_order".

  After the immediate match, if there is any quantity remaining on the modified order, you should receive a new change message with "reason":"remainder_after_modification" which reports the new / old prices as a result of the Modify Order.

• If you are using the non-authenticated WebSocket feed (as the initiator or not), you should receive a match + done message for the order at the newly modified price.

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Order Cancel Reject (9)

Sent by the server when an Order Cancel Request cannot be satisfied, e.g., because the order is already canceled or completely filled.

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Order Cancel Batch Reject (U5)

Sent by the server when an Order Cancel Batch Request cannot be satisfied, e.g., because a Symbol was not present. This is not sent if no orders can be found.

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Reject (3)

Sent by either side upon receipt of a message which cannot be processed, e.g., due to missing fields or an unsupported message type.

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SessionRejectReason Values

The following values can be sent by the server.

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RFQ Request (AH)

Request For Quote (RFQ) allows liquidity providers to respond and interact with real-time RFQ requests. The RFQ process begins with Quote Request (R).

Request For Quote is enabled for users who have been approved by Coinbase as an RFQ Liquidity Provider. Once approved, clients must send an RFQ Request message (35=AH) after each successful Logon (35=A) message for any session in which you are interested in receiving RFQ requests.

• If this request is acknowledged, and no symbol is specified, this session receives all Quote requests (all assets).
• If this request is acknowledged, and symbol is specified , this session only receives requests for the specific symbols. For instance, in the scenario of subscribing to “BTC-USD,” if the related products are present, quote request message for both “BTC-USD” and “USD-BTC” will be subsequently returned as responses.
• If the session submitting this request is not approved by Coinbase for participating in the RFQ program, this request is rejected with a Business Message Reject (j).

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RFQ Order Protections

RFQ orders are subject to price protection points (PPP) at the time a quote is accepted for execution.

At Execution time:

• If an Order Book is present, RFQs fill at prices up to the PPP from the mid-point price, between the best bid and best offer.

• If an Order Book is not present, PPPs are calculated using the same mid-point price methodology but leveraging PPP settings from the higher of the two USD equivalent Order Books for the given pair (e.g., max PPP setting for SHIB-USD and DOGE-USD for a SHIB-DOGE RFQ).

If a PPP threshold is crossed, a QuoteStatusReport (AI) is sent indicating your Quote has been canceled.

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Quote Request (R)

Quote Request (R) is the start of the RFQ process. Liquidity Providers receive a Quote Request from Coinbase on behalf of a customer looking to participate in an RFQ trade. Any quote response to this request must adhere to the following rules to avoid rejections:

• Message must be well formed and complete (i.e., all required fields present).
• Quote message must be received before the expiration time indicated on Tag=62.

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Quote (S)

Quote in response to a Quote Request that can be submitted up to the ValidUntilTime (Tag=62) specified in the Quote Request message. The Quote can be submitted as either a one-way quote or two-way quote. Only one side is actioned on if participant wins RFQ.

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Quote Status Report (AI)

` Message sent in response to a successful or unsuccessful Quote.

• If the Quote was accepted, QuoteStatus=16 (Active).
• If the Quote was rejected, QuoteStatus=9 (Rejected).
• If the Quote was accepted and selected for execution, QuoteStatus=19 (Pending), and you receive an Execution Report.
• If the Quote was accepted but not selected for execution, QuoteStatus=17 (Canceled).
• If there is no response to a Quote request from Liquidity Providers, QuoteStatus=7 (Expired).

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Resend Request (2)

FIX Resend Requests are sent by the receiving application to initiate the retransmission of messages.

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Guidance

• To successfully use replay functionality, submit a unique senderLocationID when logging on (because you can have multiple connections per API key).

  SenderLocationID <142> identifies the message originator’s location.

• To replay messages from a previous session, include ResetSeqNumFlag=N in your logon message (because, by default, we clear users sessions when logging on). You must also include the same senderLocationID used in the previous session to continue the session.

  ResetSeqNumFlag <141> is a boolean flag that indicates whether or not both sides of the FIX session should reset sequence numbers.

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Sequence Numbers

Each request must be in batches of 2000 messages or less and lookback (the duration we keep messages) is 3 hours. For example, say you received messages in sequence range 4000-10000 within the last 3 hours:

• You can retrieve all messages from 4000 to 10000 by sending 3 requests in batches of 2000.
• You cannot retrieve messages before 4000 because of the 3 hour lookback.

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Sample Ranges

• Request single: BeginSeqNo <7> = EndSeqNo <16>
• Request range: BeginSeqNo <7> = first message in range; EndSeqNo <16> = last message in range
• Request range: BeginSeqNo <7> = first message in range; EndSeqNo <16> = 2000th message from first message (999999 or 0)

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Heartbeat (0)

Sent by both sides if no messages have been sent for (HeartBtInt x 0.75) seconds, as agreed upon during logon. May also be sent in response to a Test Request.

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Test Request (1)

May be sent at any time by either side.