FIX Messages

FIX Messages

FIX Messages

Supported Message Types

MessageMsgTypeComments
LogonASent by FIX client to authenticate and establish the FIX session
Heartbeat0Sent by either client or server at preset interval within the working FIX session
Test Request1Sent to force a heartbeat from the opposing application
Resend Request2To request retransmission of messages which were missed
Reject3Response to a message that could not be processed
Sequence Reset4To reset the FIX session sequence number
Logout5To safely disconnect the connected FIX session
Execution Report8Sent whenever the state of the order changes
Order Cancel Reject9Sent if the Order Cancel Request (F) or Order Cancel/Replace Request (G) could not be executed
New Order - SingleDTo submit a new single order
Order Cancel RequestFTo request cancellation of an order
Order Cancel/Replace RequestGTo request modification of an order

Message Header

All messages should contain the following tags in the header:

TagFieldMandatoryDescription
8BeginStringYFIX 4.2
9BodyLengthYSize of the message body in bytes
34MsgSeqNumYMessage sequence number
35MsgTypeYMessage type, should be one of the types supported in this doc
49SenderCompIDYProvided by Alpaca, must be present in all FIX messages. This will be returned as TargetCompID (56) in all FIX messages to clients
52SendingTimeYUTC timestamp of message transmission. Precision supported: Millis, Micros, Nanos
56TargetCompIDYProvided by Alpaca, must be present in all FIX messages. This will be returned as SenderCompID (49) in all FIX messages to clients

Message Trailer

All messages should contain the following tags in the trailer:

TagFieldMandatoryDescription
10CheckSumYLast field in the messages with trailing <SOH>. Value calculated by the FIX engine from message data

Logon (A)

TagFieldMandatoryDescription
35MsgTypeYA - For Logon
98EncryptMethodY0 - None, only accepted value
108HeartBtIntYMust be set to 30 for 30 seconds
141ResetSeqNumFlagNY - Resets both sender and target sequence number to 1

Example FIX Message

|8=FIX.4.2|9=73|35=A|34=1|49=SENDER|52=20240524-16:02:42.003|56=ALPACA|98=0|108=30|141=Y|10=131|

Heartbeat (0)

Sent by either client or server if no message has been received since the last heartbeat interval. This is also sent in response to a Test Request (1).

TagFieldMandatoryDescription
35MsgTypeY0 - For Heartbeat
112TestReqIDNRequired only when Heartbeat is sent in response to a Test Request (1)

Example FIX Message

|8=FIX.4.2|9=91|35=0|49=SENDER|56=ALPACA|34=2|52=20230330-16:52:321.029|10=049|

Test Request (1)

May be sent by either client or server, to force a Heartbeat (0) from the other party.

TagFieldMandatoryDescription
35MsgTypeY1 - For Test Request
112TestReqIDYIdentifier to be returned in the resulting Heartbeat (0)

Example FIX Message

|8=FIX.4.2|9=91|35=1|49=SENDER|56=ALPACA|34=2|52=20230330-16:52:321.029|112=TEST|10=049|

Resend Request (2)

Sent to request retransmission of messages which were missed.

TagFieldMandatoryDescription
35MsgTypeY2 - For Resend Request
7BeginSeqNoYBeginning sequence number of requested messages
16EndSeqNoYEnding sequence number of requested messages

Example FIX Message

|8=FIX.4.2|9=66|7=9|16=36|34=12|35=2|49=SENDER|52=20230627-14:10:21.769|56=ALPACA|10=126|

Reject (3)

Sent when a message is rejected or cannot be processed by the FIX server.

TagFieldMandatoryDescription
35MsgTypeY3 - For Reject
45RefSeqNumYSequence number of the rejected message
58TextNReason for rejection
371RefTagIDNThe tag number of the FIX field being referenced
372RefMsgTypeNThe MsgType (35) of the FIX message being referenced
373SessionRejectReasonNReject reason codes.
0 - Invalid tag number
1 - Required tag missing
2 - Tag not defined for this message type
3 - Unsupported Message Type
4 - Tag specified without a value
5 - Value is incorrect (out of range) for this tag
6 - Incorrect data format for value
9 - CompID problem
10 - SendingTime accuracy problem
11 - Invalid MsgType

Example FIX Message

|8=FIX.4.2|9=0134|35=3|34=44196|49=ALPACA|56=TARGET|52=20230330-20:18:38.039|58=0005 Tag specified without a value|45=44196|371=11|372=8|373=4|10=092|

Sequence Reset (4)

Sent to reset the incoming sequence number on the other side. The sequence reset should be used only to increase the sequence number. Any request to decrease the sequence number will result in a Reject (3) message.

TagFieldMandatoryDescription
35MsgTypeY4 - For Sequence Reset
36NewSeqNoYNew sequence number
123GapFillFlagNN - Sequence reset to recover from an out-of-sequence condition, MsgSeqNum(34) is ignored
Y - Gap fill message, MsgSeqNum(34) field must be valid

Example FIX Message

|8=FIX.4.2|9=61|34=12|35=4|36=9|49=SENDER|52=20230627-14:14:51.732|56=ALPACA|10=156|

Logout (5)

May be sent by either client or server, to terminate the session. The other party would respond with a confirming Logout message as an acknowledgement.

TagFieldMandatoryDescription
35MsgTypeY5 - For Logout

Example FIX Message

|8=FIX.4.2|9=56|34=12|35=5|49=SENDER|52=20230627-14:16:50.690|56=ALPACA|10=197|

New Order - Single (D)

Sent by the client to submit a new single order.

TagFieldMandatoryDescription
35MsgTypeYD - For New Order - Single
1AccountYAccount number
11ClOrdIDYUnique identifier of the order assigned by the client (must be no longer than 48 characters)
12CommissionNCommission to collect from the account holder
13CommTypeN1 - per share
2 - percentage, 5% should be represented as .05
3 - absolute
18ExecInstN1 - Not held
5 - Held
21HandlInstY1 - Automated execution with no broker intervention, only accepted value
38OrderQtyNNumber of shares to trade, required if CashOrderQty (152) is not set
40OrdTypeY1 - Market
2 - Limit
3 - Stop
4 - Stop Limit
44PriceNRequired for Limit 40=2 and Stop Limit 40=4 orders
54SideY1 - Buy
2 - Sell
55SymbolYTicker symbol
59TimeInForceY0 - Day (day)
1 - Good Till Cancel (gtc)
2 - At the Opening (opg)
3 - Immediate or Cancel (ioc)
4 - Fill or Kill (fok)
60TransactTimeYUTC timestamp of order creation by client
77OpenCloseNIndicates whether the resulting position from the trade would be an opening or closing position.
O - Open
C - Close
99StopPxNRequired for Stop 40=3 and Stop Limit 40=4 orders
152CashOrderQtyNNotional value to trade, required if OrderQty (38) is not set

Example FIX Messages

|8=FIX.4.2|9=139|1=TEST_ACCOUNT|11=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|34=12|35=D|38=10|40=1|49=SENDER|52=20230613-14:01:37.330|54=1|55=SPY|56=ALPACA|59=1|10=030|
|8=FIX.4.2|9=141|1=TEST_ACCOUNT|11=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|34=12|35=D|40=1|49=SENDER|52=20230613-14:43:47.572|54=1|55=SPY|56=ALPACA|59=0|152=100|10=130|
|8=FIX.4.2|9=149|1=TEST_ACCOUNT|11=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|34=12|35=D|38=10|40=2|44=350.78|49=SENDER|52=20230613-14:45:58.303|54=1|55=SPY|56=ALPACA|59=0|10=005|
|8=FIX.4.2|9=149|1=TEST_ACCOUNT|11=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|34=12|35=D|38=10|40=3|49=SENDER|52=20230613-14:50:51.223|54=1|55=SPY|56=ALPACA|59=0|99=350.78|10=006|
|8=FIX.4.2|9=159|1=TEST_ACCOUNT|11=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|34=12|35=D|38=10|40=4|44=350.78|49=SENDER|52=20230613-15:26:35.992|54=1|55=SPY|56=ALPACA|59=0|99=350.78|10=246|

Execution Report (8)

Sent by the server whenever an order receives an update. Each execution report contains field OrdStatus (39) which is used to convey the current status of the order as understood by Alpaca, as well as fields ExecType (150) and ExecTransType (20) which describe the purpose of the message.

TagFieldMandatoryDescription
35MsgTypeY8 - For Execution Report
1AccountYAccount number
6AvgPxYAverage price of all fills on this order
11ClOrdIDYUnique identifier of the order as assigned by the client
12CommissionNMonetary commission value charged on a fill/partial fill
14CumQtyYFilled quantity on the order
15CurrencyNAccount base currency, default USD
17ExecIDYUnique identifier of the execution assigned by Alpaca
19ExecRefIDNExecID (17) of the original execution being canceled or corrected when 20=1 or 20=2
20ExecTransTypeYTransaction type.
0 - New
1 - Cancel
2 - Correct
30LastMktNMarket of execution for this fill
31LastPxNPrice of this fill
32LastSharesNQuantity traded on this fill
37OrderIDYUnique identifier of the order assigned by Alpaca
38OrderQtyNEither CashOrderQty (152) or OrderQty (38) is provided
39OrdStatusYIdentifies current status of order.
0 - New
1 - Partially filled
2 - Filled
3 - Done for day
4 - Canceled
5 - Replaced
6 - Pending Cancel
8 - Rejected
A - Pending New
C - Expired
E - Pending Replace
40OrdTypeN1 - Market
2 - Limit
3 - Stop
4 - Stop Limit
41OrigClOrdIDNClOrdID (11) of the original order in cancel and cancel/replace requests
44PriceNSent when specified on the order
54SideY1 - Buy
2 - Sell
55SymbolYTicker symbol
58TextNContains reject reason when 150=8
59TimeInForceNSame as specified on the order.
0 - Day (day)
1 - Good Till Cancel (gtc)
2 - At the Opening (opg)
3 - Immediate or Cancel (ioc)
4 - Fill or Kill (fok)
60TransactTimeNServer time in UTC when execution occurred, nanoseconds precision
99StopPxNSent when specified on the order
150ExecTypeYDescribes the type of execution report.
0 - New
1 - Partial fill
2 - Fill
3 - Done for day
4 - Canceled
5 - Replaced
6 - Pending Cancel, ack for Order Cancel Request (F)
8 - Rejected
A - Pending New
C - Expired
E - Pending Replace, ack for Order Cancel/Replace Request (G)
151LeavesQtyYUnfilled quantity on the order. When order is closed (filled, done for day, canceled, replaced, rejected, expired) value could be 0
152CashOrderQtyNEither CashOrderQty (152) or OrderQty (38) is provided. Specifies the notional amount conveyed on the order

Example FIX Messages

|8=FIX.4.2|9=216|1=TEST_ACCOUNT|17=694bc450-3ca6-461e-8566-f977dcec9e2d|34=12|35=8|37=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|39=A|40=1|49=ALPACA|52=20230615-18:14:29.702|54=1|55=SPY|56=SENDER|59=0|60=20230615-18:14:29.702|150=A|151=10|10=088|
|8=FIX.4.2|9=216|1=TEST_ACCOUNT|17=694bc450-3ca6-461e-8566-f977dcec9e2d|34=12|35=8|37=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|39=0|40=1|49=ALPACA|52=20230615-18:14:45.263|54=1|55=SPY|56=SENDER|59=0|60=20230615-18:14:45.263|150=0|151=10|10=054|
|8=FIX.4.2|9=251|1=TEST_ACCOUNT|6=350.78|14=5|15=USD|17=694bc450-3ca6-461e-8566-f977dcec9e2d|31=350.78|32=5|34=12|35=8|37=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|39=1|40=1|49=ALPACA|52=20230615-18:15:00.622|54=1|55=SPY|56=SENDER|59=0|60=20230615-18:15:00.622|150=1|151=5|10=185|
|8=FIX.4.2|9=253|1=TEST_ACCOUNT|6=350.78|14=10|15=USD|17=694bc450-3ca6-461e-8566-f977dcec9e2d|31=350.78|32=10|34=12|35=8|37=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|39=2|40=1|49=ALPACA|52=20230615-18:15:21.920|54=1|55=SPY|56=SENDER|59=0|60=20230615-18:15:21.920|150=2|151=0|10=024|
|8=FIX.4.2|9=216|1=TEST_ACCOUNT|17=694bc450-3ca6-461e-8566-f977dcec9e2d|34=12|35=8|37=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|39=E|40=1|49=ALPACA|52=20230615-18:26:53.971|54=1|55=SPY|56=SENDER|59=0|60=20230615-18:26:53.971|150=E|151=10|10=112|
|8=FIX.4.2|9=256|1=TEST_ACCOUNT|17=694bc450-3ca6-461e-8566-f977dcec9e2d|34=12|35=8|37=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|39=5|40=1|41=56fcd203-7a97-430d-b14c-b0d9a7f59f2f|49=ALPACA|52=20230615-18:15:38.108|54=1|55=SPY|56=SENDER|59=0|60=20230615-18:15:38.108|150=5|151=10|10=144|
|8=FIX.4.2|9=216|1=TEST_ACCOUNT|17=694bc450-3ca6-461e-8566-f977dcec9e2d|34=12|35=8|37=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|39=6|40=1|49=ALPACA|52=20230615-18:24:50.191|54=1|55=SPY|56=SENDER|59=0|60=20230615-18:24:50.191|150=6|151=10|10=060|
|8=FIX.4.2|9=216|1=TEST_ACCOUNT|17=694bc450-3ca6-461e-8566-f977dcec9e2d|34=12|35=8|37=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|39=4|40=1|49=ALPACA|52=20230615-18:17:45.813|54=1|55=SPY|56=SENDER|59=0|60=20230615-18:17:45.813|150=4|151=10|10=070|
|8=FIX.4.2|9=227|1=TEST_ACCOUNT|17=694bc450-3ca6-461e-8566-f977dcec9e2d|34=12|35=8|37=c5bfc5f6-163d-450e-bb4a-fb25188cde8e|39=8|40=1|49=ALPACA|52=20230615-18:15:51.825|54=1|55=SPY|56=SENDER|59=0|60=20230615-18:15:51.825|103=Price too low|150=8|10=191|

Order Cancel Request (F)

Sent by the client to request cancellation of an order.

TagFieldMandatoryDescription
35MsgTypeYF - For Order Cancel Request
1AccountYAccount number
11ClOrdIDYUnique identifier of cancel request assigned by the client
41OrigClOrdIDYClOrdID (11) of the order to be canceled as assigned by the client
54SideYAs specified on the order to be canceled
55SymbolYAs specified on the order to be canceled
60TransactTimeYUTC timestamp when cancel request was initiated

To acknowledge this message, an Execution Report (8) with 150=6 is sent immediately followed by an Execution Report (8) with 150=4 or an Order Cancel Reject (9) message. Sometimes an Order Cancel Reject (9) message might be sent directly without sending an Execution Report (8) with 150=6.

Example FIX Messages

|8=FIX.4.2|9=190|35=F|34=5|49=SENDER|52=20240524-16:02:44.709|56=ALPACA|1=account1|11=b165965d-0c9d-467e-a174-ee30f3fe6dbe|41=b5db0b8e-bbc1-4906-aff8-c58d18ba3398|54=1|55=AAPL|60=20240524-16:02:44.709206406|10=226|

Order Cancel Reject (9)

Sent by the server if the Order Cancel Request (F) or Order Cancel/Replace Request (G) message could not be honored. Some common reject scenarios include:

  • when order is already filled or closed
  • when a previous Order Cancel Request (F) or Order Cancel/Replace Request (G) is pending for this order
TagFieldMandatoryDescription
35MsgTypeY9 - For Order Cancel Reject
1AccountYAccount number
11ClOrdIDYUnique identifier of cancel or cancel/replace request as assigned by the client
37OrderIDYUnique identifier of the order as assigned by Alpaca for which the cancel or cancel/replace request was rejected
39OrdStatusYOrder status after this cancel reject is applied
41OrigClOrdIDYClOrdID (11) of the order for which the cancel or cancel/replace request was rejected
58TextNReject reason
102CxlRejReasonNCode to identify reason for cancel rejection.
0 - Too late to cancel
1 - Unknown order
2 - Broker Option
3 - Order already in Pending Cancel or Pending Replace status
434CxlRejResponseToY1 - Response to Order Cancel Request (F)
2 - Response to Order Cancel/Replace Request (G)

Example FIX Messages

|8=FIX.4.2|9=220|35=9|34=18|49=ALPACA|52=20240524-16:02:46.215|56=SENDER|1=account1|11=a7860828-4dc5-4f8f-bfb1-8fbca8855c88|37=f50af678-bba4-44ea-9b23-0fc452ed4921|39=6|41=2c017b79-a843-4146-a2b7-3bf83af89482|58=TOO_LATE_TO_CANCEL|434=1|10=116|
|8=FIX.4.2|9=198|35=9|34=45|49=ALPACA|52=20240524-16:16:59.085|56=SENDER|1=account1|11=5cdf9082-067b-4497-a90c-f5e8c666409b|37=UNKNOWN|39=8|41=c7feaf5a-54d2-458d-8ab2-9b2f337a28ec|58=replace pending for order|434=2|10=179|

Order Cancel/Replace Request (G)

Sent by the client to request modification of an order.

TagFieldMandatoryDescription
35MsgTypeYG - For Order Cancel/Replace Request
1AccountYAccount number
11ClOrdIDYUnique identifier of the replacement order assigned by the client (must be no longer than 48 characters)
21HandlInstY1 - Automated execution with no broker intervention, only accepted value
38OrderQtyNModified quantity for the order
40OrdTypeYAs specified on the original order
41OrigClOrdIDYClOrdID (11) of the order to be modified as assigned by the client
44PriceNModified price for the order
54SideYAs specified on the original order
55SymbolYAs specified on the original order
59TimeInForceNModified time in force for the order
60TransactTimeYUTC timestamp when cancel/replace request was initiated
99StopPxNModified stop price for the order

Example FIX Messages

|8=FIX.4.2|9=212|35=G|34=21|49=SENDER|52=20240524-16:16:58.956|56=ALPACA|1=account1|11=45169819-088a-4089-9758-f28e830e95f0|21=3|40=2|41=f001f209-2c3e-42e3-9ab1-10e74ee39fe5|44=1.50000|54=1|55=AAPL|60=20240524-16:16:58.956849295|10=173|