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@kbahatki kbahatki released this 12 Aug 17:52
· 10 commits to main since this release
v12
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Learn about vigilant mode.

What's Changed

  • Introduced Auctions: PreOpen, Intraday, PreClose.
  • During Auction phases, the indicative price, volume, and imbalance are calculated and reported.
  • Introduced the Trade At Last phase.
  • Added Market Data entry type 269 = B (Trade Volume).
  • Reset daily L1 values (Open / High / Low / Close) without auction phases configured — the rollover falls back to the first trade after midnight and the last trade before midnight in the venue's timezone
  • FIX tags OrderQty(38) and AvgPx(6) are now included on every ExecutionReport (35=8). AvgPx is the fill-quantity-weighted running average, rounded to the instrument's price tick precision.
  • Orders terminated only for lack of matching liquidity (Market, IOC, FOK) are reported as Canceled (150=4, 39=4, 151=0) instead of Rejected, with the reason in Text(58).
  • REST API venuestatus response contains:
    • sessionSettings property listing the QuickFIX DEFAULT and SESSION settings
    • sessions property with each session's id, host:port, last-connected time (UTC) and live connection state.
  • New endpoint GET|HEAD /api/venues/{venueId}/sessions/{sessionId}/dataDictionaries returns the session's data dictionaries as a zip attachment.
  • Add an optional seed for reproducible random order generation runs.
  • IOC orders were terminated with a single 150=F, 39=4 report. They now correctly send 150=F | 39=1 followed by 150=4, 39=4.
  • Liquibase and Database Docker images are built for linux/arm64 in addition to linux/amd64 (Apple M-series support).
  • Devcontainer and Visual Studio Code integration are added to ease development.

Full Changelog: v11...v12

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