Exchange FIX Best Practices

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Optimize Traffic

To optimize your FIX set up, spread traffic over as many portfolios as possible to minimize order-entry latencies.

You should adhere to the following:

• VAR::FIX_MAX_API_KEYS_PER_SESSION API key per session/connection to guarantee a connection
• VAR::FIX_MAX_CONNECTIONS_PER_PROFILE maximum connections per profile
• VAR::FIX_MAX_CONNECTIONS_PER_USER maximum connections per user across all profiles

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Batch Messages

We strongly recommend batch messages for both order entry and cancellation.

Batch Requests:

• Can have up to VAR::FIX_MAX_BATCH_ORDERS orders / cancels per request.
• Only count for a single message for the purposes of rate limiting.
• Can be more efficient to process compared to the equivalent individual requests.

Available batch messages are:

• New Order Batch (U6)
• Order Cancel Batch Request (U4)
• New Order Batch Reject (U7)
• Order Cancel Batch Reject (U5)

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Modify Order Requests

We strongly recommend Modify Order Requests where applicable.

Modify Order Requests:

• Keep your place in the order book queue when size is amended down.
• Result in 50% fewer messages when compared to canceling an existing order and placing a new one.
• Reduce your overall rate limit usage when compared to sending a cancellation followed by a new order.
• Can be more efficient to process compared to the equivalent individual cancel and new order requests.

For rate limits, see FIX API Rate Limits.

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Drop Copy Session

Enabling DropCopyFlag="Yes" (9406=Y) configures your session to receive execution reports across all active sessions for the same profile.

We recommend that you enable DropCopyFlag on a separate, read-only session:

• Execution latencies are higher for Drop Copy sessions because the same connection handles more read traffic.
• Multiple Drop Copy sessions produce multiple copies of redundant data.