FIX Specification
This document describes the implementation of the FIX 4.2 protocol used by Alpaca to enable order entry via FIX.
Version 1.0.0
Supported Message Types
| Message | MsgType | Description |
|---|---|---|
| Logon | A | Sent by FIX client to authenticate and establish the FIX session |
| Heartbeat | 0 | Sent by either client or server at preset interval within the working FIX session |
| Test Request | 1 | Sent to force a heartbeat from the opposing application |
| Resend Request | 2 | To request retransmission of messages which were missed |
| Reject | 3 | Response to a message that could not be processed |
| Sequence Reset | 4 | To reset the FIX session sequence number |
| Logout | 5 | To safely disconnect the connected FIX session |
| New Order - Single | D | To submit a new single order |
| Execution Report | 8 | Sent whenever the state of the order changes |
| Order Cancel Request | F | To request cancellation of an order |
| Order Cancel/Replace Request | G | To request modification of an order |
| Order Cancel Reject | 9 | Sent if the Order Cancel Request (F) or Order Cancel/Replace Request (G) could not be executed |
Message Header
All messages should contain the following tags in the header:
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 8 | BeginString | Y | FIX.4.2 |
| 9 | BodyLength | Y | Size of the message body in bytes |
| 34 | MsgSeqNum | Y | Message sequence number |
| 35 | MsgType | Y | Message type, should be one of the types supported in this doc |
| 49 | SenderCompID | Y | Provided by Alpaca, must be present in all FIX messages. This will be returned as TargetCompID (56) in all FIX messages to clients |
| 52 | SendingTime | Y | UTC timestamp of message transmission. Precision supported: Millis, Micros, Nanos |
| 56 | TargetCompID | Y | Provided 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:
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 10 | CheckSum | Y | Last field in the messages with trailing <SOH>. Value calculated by the FIX engine from message data |
Logon (A)
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | A - For Logon |
| 98 | EncryptMethod | Y | 0 - None, only accepted value |
| 108 | HeartBtInt | Y | Must be set to 30 for 30 seconds |
| 141 | ResetSeqNumFlag | N | Y - 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).
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | 0 - For Heartbeat |
| 112 | TestReqID | N | Required 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.
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | 1 - For Test Request |
| 112 | TestReqID | Y | Identifier 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.
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | 2 - For Resend Request |
| 7 | BeginSeqNo | Y | Beginning sequence number of requested messages |
| 16 | EndSeqNo | Y | Ending 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.
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | 3 - For Reject |
| 45 | RefSeqNum | Y | Sequence number of the rejected message |
| 58 | Text | N | Reason for rejection |
| 371 | RefTagID | N | The tag number of the FIX field being referenced |
| 372 | RefMsgType | N | The MsgType (35) of the FIX message being referenced |
| 373 | SessionRejectReason | N | Reject 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.
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | 4 - For Sequence Reset |
| 36 | NewSeqNo | Y | New sequence number |
| 123 | GapFillFlag | N | N - 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.
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | 5 - 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.
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | D - For New Order - Single |
| 1 | Account | Y | Account number |
| 11 | ClOrdID | Y | Unique identifier of the order assigned by the client (must be no longer than 48 characters) |
| 12 | Commission | N | Commission to collect from the account holder |
| 13 | CommType | N | 1 - per share 2 - percentage, 5% should be represented as .05 3 - absolute |
| 18 | ExecInst | N | 1 - Not held 5 - Held |
| 21 | HandlInst | Y | 1 - Automated execution with no broker intervention, only accepted value |
| 38 | OrderQty | N | Number of shares to trade, required if CashOrderQty (152) is not set |
| 40 | OrdType | Y | 1 - Market 2 - Limit 3 - Stop 4 - Stop Limit |
| 44 | Price | N | Required for Limit 40=2 and Stop Limit 40=4 orders |
| 54 | Side | Y | 1 - Buy 2 - Sell |
| 55 | Symbol | Y | Ticker symbol |
| 59 | TimeInForce | Y | 0 - Day (day) 1 - Good Till Cancel (gtc) 2 - At the Opening (opg) 3 - Immediate or Cancel (ioc) 4 - Fill or Kill (fok) |
| 60 | TransactTime | Y | UTC timestamp of order creation by client |
| 77 | OpenClose | N | Indicates whether the resulting position from the trade would be an opening or closing position. O - Open C - Close |
| 99 | StopPx | N | Required for Stop 40=3 and Stop Limit 40=4 orders |
| 152 | CashOrderQty | N | Notional 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.
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | 8 - For Execution Report |
| 1 | Account | Y | Account number |
| 6 | AvgPx | Y | Average price of all fills on this order |
| 11 | ClOrdID | Y | Unique identifier of the order as assigned by the client |
| 12 | Commission | N | Monetary commission value charged on a fill/partial fill |
| 14 | CumQty | Y | Filled quantity on the order |
| 15 | Currency | N | Account base currency, default USD |
| 17 | ExecID | Y | Unique identifier of the execution assigned by Alpaca |
| 19 | ExecRefID | N | ExecID (17) of the original execution being canceled or corrected when 20=1 or 20=2 |
| 20 | ExecTransType | Y | Transaction type. 0 - New 1 - Cancel 2 - Correct |
| 30 | LastMkt | N | Market of execution for this fill |
| 31 | LastPx | N | Price of this fill |
| 32 | LastShares | N | Quantity traded on this fill |
| 37 | OrderID | Y | Unique identifier of the order assigned by Alpaca |
| 38 | OrderQty | N | Either CashOrderQty (152) or OrderQty (38) is provided |
| 39 | OrdStatus | Y | Identifies 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 |
| 40 | OrdType | N | 1 - Market 2 - Limit 3 - Stop 4 - Stop Limit |
| 41 | OrigClOrdID | N | ClOrdID (11) of the original order in cancel and cancel/replace requests |
| 44 | Price | N | Sent when specified on the order |
| 54 | Side | Y | 1 - Buy 2 - Sell |
| 55 | Symbol | Y | Ticker symbol |
| 58 | Text | N | Contains reject reason when 150=8 |
| 59 | TimeInForce | N | Same 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) |
| 60 | TransactTime | N | Server time in UTC when execution occurred, nanoseconds precision |
| 99 | StopPx | N | Sent when specified on the order |
| 150 | ExecType | Y | Describes 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) |
| 151 | LeavesQty | Y | Unfilled quantity on the order. When order is closed (filled, done for day, canceled, replaced, rejected, expired) value could be 0 |
| 152 | CashOrderQty | N | Either 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.
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | F - For Order Cancel Request |
| 1 | Account | Y | Account number |
| 11 | ClOrdID | Y | Unique identifier of cancel request assigned by the client |
| 41 | OrigClOrdID | Y | ClOrdID (11) of the order to be canceled as assigned by the client |
| 54 | Side | Y | As specified on the order to be canceled |
| 55 | Symbol | Y | As specified on the order to be canceled |
| 60 | TransactTime | Y | UTC 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/Replace Request (G)
Sent by the client to request modification of an order.
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | G - For Order Cancel/Replace Request |
| 1 | Account | Y | Account number |
| 11 | ClOrdID | Y | Unique identifier of the replacement order assigned by the client (must be no longer than 48 characters) |
| 21 | HandlInst | Y | 1 - Automated execution with no broker intervention, only accepted value |
| 38 | OrderQty | N | Modified quantity for the order |
| 40 | OrdType | Y | As specified on the original order |
| 41 | OrigClOrdID | Y | ClOrdID (11) of the order to be modified as assigned by the client |
| 44 | Price | N | Modified price for the order |
| 54 | Side | Y | As specified on the original order |
| 55 | Symbol | Y | As specified on the original order |
| 59 | TimeInForce | N | Modified time in force for the order |
| 60 | TransactTime | Y | UTC timestamp when cancel/replace request was initiated |
| 99 | StopPx | N | Modified 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|
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
| Tag | Field | Mandatory | Description |
|---|---|---|---|
| 35 | MsgType | Y | 9 - For Order Cancel Reject |
| 1 | Account | Y | Account number |
| 11 | ClOrdID | Y | Unique identifier of cancel or cancel/replace request as assigned by the client |
| 37 | OrderID | Y | Unique identifier of the order as assigned by Alpaca for which the cancel or cancel/replace request was rejected |
| 39 | OrdStatus | Y | Order status after this cancel reject is applied |
| 41 | OrigClOrdID | Y | ClOrdID (11) of the order for which the cancel or cancel/replace request was rejected |
| 58 | Text | N | Reject reason |
| 102 | CxlRejReason | N | Code 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 |
| 434 | CxlRejResponseTo | Y | 1 - 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|
Version History
| Version | Date | Change |
|---|---|---|
| 0.1.0 | 08/05/2024 | Document Creation |
| 0.1.1 | 24/05/2024 | Changed FIX version to FIX.4.2 Removed ApplVerID (1128) from Message Header Added ClOrdID (11) and OrigClOrdID (41) as required in Order Cancel Request (F) and Order Cancel/Replace Request (G) Removed OrderID (37) from Order Cancel Request (F) and Order Cancel/Replace Request (G) Added OrderQty (38) to Order Cancel/Replace Request (G) Updated FIX examples |
| 0.1.2 | 12/06/2024 | Removed Account (1) and RawData (96) from Logon (A) message Added RefTagID (371), RefMsgType (372) and SessionRejectReason (373) to Reject (3) message Added HandlInst (21), TransactTime (60) and OpenClose (77) to New Order - Single (D) Added 1 (per share) as an accepted value for CommType (13) in New Order - Single (D) Updated AvgPx (6) to mandatory in Execution Report (8) Added Commission (12), ExecRefID (19), ExecTransType (20), LastMkt (30), OrderQty (38) and CashOrderQty (152) to Execution Report (8) Removed OrdRejReason (103) from Execution Report (8) Updated possible values for ExecType (150) in Execution Report (8) |
| 1.0.0 | 13/06/2024 | Added Side (54), Symbol (55) and TransactTime (60) to Order Cancel Request (F) Added OrderID (37) to Order Cancel Reject (9) Added HandlInst (21), OrdType (40), Side (54), Symbol (55) and TransactTime (60) to Order Cancel/Replace Request (G) |
Updated 19 days ago