FIX 4.2
50requests per rolling second1 per session100messages per second in bursts
FIX 5.0
- 2 logons per second per API key
- 100 requests per second
Your FIX 5 session is disconnected if your messages exceed 200 messages per second
FIX Maximums
- Maximum API keys per session/connection: 1
- Maximum connections per profile: 75. See FIX Best Practices.
- Maximum connections per user across all profiles: 175
- Maximum profiles per user: 100
- Maximum orders per batch message (new and cancelled): 15
How Rate Limits Work
Rate-limiting for both the Exchange REST API and the FIX API use a lazy-fill token bucket implementation. A TokenBucket stores a maximum amount of tokens, which is the burst size, and fills at a given rate called the refresh rate. The bucket starts full, and as requests are received, a token is removed for each request. Tokens are continuously added to the bucket at the refresh rate until full. When a user sends a request, the TokenBucket calculates whether to rate limit the user as follows:- Fill the user’s TokenBucket to a token size based on the following formula:
token_amount = min(burst, previous_token_amount + (current_time - previous_request_time) * refresh_rate) - Remove 1 token if possible, otherwise rate limit the request.
- Repeat Steps 1 and 2 for each subsequent request.
TokenBucket Example
Let’s say you have a TokenBucket with burst = 3 and refresh_rate = 1. The table below represents the state of your token bucket after a series of requests:| Action | Time | Tokens | Notes |
|---|---|---|---|
| Initial State | 0.0 | 3.0 | New TokenBucket is initialized to max capacity (burst) |
| Request 1 | 0.5 | 2.0 | Fill TokenBucket, then remove a token, because we are at max capacity, and subtract 1 token from 3 |
| Request 2 | 0.8 | 1.3 | Fill TokenBucket to 2.3 (min(3, (2 + (.8 - .5) * 1.0)) = min(3, 2.3) = 2.3), then subtract 1 |
| Request 3 | 0.9 | 0.4 | Fill TokenBucket to 1.4 (min(3, (1.3 + (.9 - .8) * 1.0)) = min(3, 1.4) = 1.4), then subtract 1 |
| Request 4 | 1.0 | 0.5 | Fill TokenBucket to 0.5 (min(3, (.4 + (1.0 - .9) * 1.0)) = min(3, 0.5) = 0.5). Ratelimit because we don’t have enough tokens available |
| Request 5 | 1.4 | 0.9 | Fill TokenBucket to 0.9 (min(3, (0.5 + (1.4 - 1.0) * 1.0)) = min(3, 0.9) = 0.9). Ratelimit because we don’t have enough tokens available |
| Request 6 | 1.8 | 0.3 | Fill TokenBucket to 1.3 (min(3, (0.9 + (1.8 - 1.4) * 1.0)) = min(3, 1.3) = 1.3), then remove 1 |
| Request 7 | 5.0 | 2.0 | Fill TokenBucket to 3.0 (min(3, (0.3 + (5.0 - 1.8) * 1.0)) = min(3, 3.5) = 3), since we would “overflow” with our calculations, then subtract 1 |