Bitfinex FIX Gateway
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README.md

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Bitfinex FIX Gateway

The Bitfinex FIX gateway uses QuickFix/go to implement FIX connectivity. The Bitfinex Go API is used to manage the Bitfinex API websocket connection, which ultimately uses Gorilla.

Build

Go Environment

If one does not already exist, install a Go environment by following these instructions. If GOPATH is set to ~/go and the bfxfixgw repository is cloned to ~/go/src/github.com/bitfinexcom/bfxfixgw, then the following simple go command is all that is needed if issued from the ~/go directory. Both bfxfixgw and fix_client will be installed to ~/go/bin after issuing the command.

Obtain all additional sources, build, and install:

go get ./...

Building Source Changes

Local bfxfixgw source changes can be built by issuing the following commands from the ~/go/src/github.com/bitfinexcom/bfxfixgw directory. The install command will copy the latest version of bfxfixgw and fix_client to ~/go/bin.

Build:

go build ./...

And install binaries:

go install ./...

Configuration

The FIX gateway can operate in order routing mode, market data mode, or both. Order routing & market data FIX endpoints must be separate with distinct session IDs.

Environment

  • DEBUG=1 to enable debug logging
  • FIX_SETTINGS_DIRECTORY=./config to read the configs from the given directory, ./config is the default directory.

Sessions

Sessions must be known to the FIX gateway prior to startup. A FIX gateway can manage any number of sessions. Each FIX session will create 1 websocket proxy connection.

Sequence Numbers

The market data FIX service does not support resend requests or replaying FIX messages. When connecting to the market data FIX endpoint, a FIX initiator must have the correct sequence number, or a lower than expected sequence number.

The order routing service strictly tracks sequence numbers and does support message storage. A FIX initiator can send ResetSeqNumFlag=Y on Logon to reset session sequence numbers.

FIX Configuration Examples

Example service FIX session configuration for a market data service:

[DEFAULT]
SenderCompID=BFXFIX
ResetOnLogon=Y
ReconnectInterval=60
FileLogPath=tmp/md_service/log
SocketAcceptPort=5001
StartTime=00:05:00
StartDay=Sun
EndTime=00:00:00
EndDay=Sun

[SESSION]
TargetCompID=EXORG_MD
BeginString=FIX.4.2
DefaultApplVerID=FIX.4.2
HeartBtInt=30

Example service FIX session configuration for an order routing service:

[DEFAULT]
SenderCompID=BFXFIX
ReconnectInterval=60
FileLogPath=tmp/ord_service/log
FileStorePath=tmp/ord_service/data
SocketAcceptPort=5002
StartTime=00:05:00
StartDay=Sun
EndTime=00:00:00
EndDay=Sun

[SESSION]
TargetCompID=EXORG_ORD
BeginString=FIX.4.2
DefaultApplVerID=FIX.4.2
HeartBtInt=30

Gateway Startup

To startup the gateway in verbose mode (-v) with both order routing and market data endpoints (staging configuration) run the following command:

FIX_SETTINGS_DIRECTORY=~/go/src/github.com/bitfinexcom/bfxfixgw/conf/integration_test/service ~/go/bin/bfxfixgw -v -orders -ordcfg "orders_fix42.cfg" -md -mdcfg "marketdata_fix42.cfg" -rest "https://api.bitfinex.com/v2/" -ws "wss://api.bitfinex.com/ws/2"

Authentication

FIX session information must be obtained prior to a FIX client establishing a connection. The pre-determined TargetCompID, SenderCompID, and FIX version strings should be configured in the FIX client configuration.

Once sessions are configured, a FIX client can authenticate by adding the Bitfinex User ID, API key, and API secret into the FIX 35=A Logon message body:

Field FIX Tag # Description
BfxApiKey 20000 User's API Key
BfxApiSecret 20001 User's API Secret
BfxUserID 20002 User's Bfx ID

Optionally, a user can request all session-level orders be canceled when the FIX session is disconnected by setting the following FIX tag 8013=Y:

Field FIX Tag # Description
CancelOnDisconnect 8013 Cancel session orders on FIX disconnect

Note: FIX clients should use separate API keys for market data and order routing FIX endpoints.


These tags are supported by the gateway's default data dictionary. An example staging logon message (SOH replaced with |):

8=FIX.4.2|9=186|35=A|34=1|49=EXORG_ORD|52=20180416-18:27:47.541|56=BFXFIX|20000=U83q9jkML2GVj1fVxFJOAXQeDGaXIzeZ6PwNPQLEXt4|20001=77SWIRggvw0rCOJUgk9GVcxbldjTxOJP5WLCjWBFIVc|20002=connamara|98=0|108=30|10=117|

Testing using fix_client

The project includes a test client utility called fix_client. fix_client is a simple gateway client that demonstrates a subset of gateway functionality. The client currently supports sending and canceling orders via the gateway. Simply run the client, issue a root command (either nos or cxl), and then provide additional request parameters as prompted.

Configuring fix_client

The fix_client takes a quickfix configuration file located here ~/go/src/github.com/bitfinexcom/bfxfixgw/conf/integration_test/client/orders_fix42.cfg. To successfully connect to BFX using the gateway, you must change the following parameters to match the API access of your account. Please note the security risk of adding credentials to this file in plain text. You may want to remove these values after you are done with testing using fix_client

ApiKey=[User's API Key]  
ApiSecret=[User's API Secret]  
BfxUserID=[User's Bfx ID]  

Running fix_client Example

Here is an example of using fix_client to place a market order. All outgoing and incoming FIX traffic is logged. You can decode the FIX manually or using your favorite FIX parser. Please be careful to avoid sending FIX logs that contain private keys to online parsers. Some logging has been stripped out for clarity and user input is bold.

./fix_client -cfg ../src/github.com/bitfinexcom/bfxfixgw/conf/integration_test/client/orders_fix42.cfg
Enter command:
nos
-> New Order Single
Enter ClOrdID (integer):
1
Enter symbol:
tBTCUSD
Enter order type:
market
Enter qty:
0.05
Enter side:
buy
Options? (hidden, postonly, fok): [FIX Client] MockFix.ToApp (outgoing): 8=FIX.4.2|9=126|35=D|34=547|49=EXORG_ORD|52=20180504-16:45:04.697|56=BFXFIX|11=1|21=3|38=0.0500|40=1|54=1|55=tBTCUSD|60=20180504-16:45:03.518|10=249|
[FIX Client] MockFix.FromApp (incoming): 8=FIX.4.2|9=221|35=8|34=550|49=BFXFIX|52=20180504-16:45:04.804|56=EXORG_ORD|1=connamara|6=0.00|11=1|14=0.0000|17=43a98b1d-0312-41cf-9678-33e268e9bff9|20=3|32=0.0000|37=1149703695|38=0.0500|39=0|40=1|54=1|55=tBTCUSD|59=1|150=0|151=0.0500|10=007|
<2018-05-04 16:45:05.823298994 +0000 UTC, FIX.4.2:EXORG_ORD->BFXFIX, incoming>
[FIX Client] MockFix.FromApp (incoming): 8=FIX.4.2|9=250|35=8|34=551|49=BFXFIX|52=20180504-16:45:05.818|56=EXORG_ORD|1=connamara|6=850.00|11=1|12=0.0001|13=3|14=0.0500|17=1cfb00fc-9ea6-4dca-8d9f-a5cce1cc0959|20=3|31=850.0000|32=0.0500|37=1149703695|38=0.0500|39=2|40=1|54=1|55=tBTCUSD|59=1|150=2|151=0.0000|10=182

Market Data Distribution

The FIX gateway service may be configured to distribute market data. Starting the process with -md will enable market data distribution, configured by the -mdcfg flag.

Examples

Subscribe to tBTCUSD top-of-book Precision0 updates:

8=FIX.4.2|9=111|35=V|34=2|49=EXORG_MD|52=20180417-19:40:17.467|56=BFXFIX|146=1|55=tBTCUSD|262=req-tBTCUSD|263=1|264=1|20003=P0|10=167|

Subscribe to tETHUSD full raw book updates at 25 price levels:

8=FIX.4.2|9=112|35=V|34=3|49=EXORG_MD|52=20180417-19:46:44.594|56=BFXFIX|146=1|55=tETHUSD|262=req-tETHUSD|263=1|264=25|20003=R0|10=248|

Receive FIX 35=W book snapshot (for the first tBTCUSD request):

8=FIX.4.2|9=168|35=W|34=3|49=BFXFIX|52=20180417-19:40:21.294|56=EXORG_MD|22=8|48=tBTCUSD|55=tBTCUSD|262=req-tBTCUSD|268=2|269=0|270=1663.9000|271=0.0400|269=1|270=1670.8000|271=0.1000|10=242|

Receive FIX 35=X market data incremental update (for the first tBTCUSD request):

8=FIX.4.2|9=140|35=X|34=5|49=BFXFIX|52=20180417-19:41:48.474|56=EXORG_MD|262=req-tBTCUSD|268=1|279=2|269=1|55=tBTCUSD|48=tBTCUSD|22=8|270=0.0000|271=1.0000|10=185|

Receive FIX 35=X trade incremental update (for the first tBTCUSD request):

8=FIX.4.2|9=143|35=X|34=5|49=BFXFIX|52=20180417-21:25:27.455|56=EXORG_MD|262=req-tBTCUSD|268=1|279=0|269=2|55=tBTCUSD|48=tBTCUSD|22=8|270=1671.0000|271=0.1000|10=081|

Order Routing

Order routing can be enabled with the -ord and -ordcfg flags on startup.

The following table lists Bitfinex order type support in the FIX gateway:

Order Type FIX 4.2
Market
Limit
Stop
Stop Limit
Trailing Stop

Below is a table of various Bitfinex order features and their FIX 35=D NewOrderSingle tags:

Bitfinex Order Feature FIX Tag FIX Tag Value
Hidden DisplayMethod (1084) Undisclosed (4)
Post-Only* ExecInst (18) Participate don't initiate (6)
Fill or Kill TimeInForce (59) Fill or Kill (4)

* Post-Only orders are considered to have a Good-till-Cancel time in force.

For a trailing stop order:

Trailing Stop Feature FIX Tag FIX Tag Value
Order Type OrdType (40) Stop (3) or Stop Limit (4)
Execute as Trailing Peg ExecInst (18) Primary Peg (R)
Trailing Peg Value PegOffsetValue (211) Price*

* The trailing stop price should be in the same units as a Price (44) or StopPx (99).

e.g. For a trailing stop order where the stop should trail the market by $5.25, the following FIX tags should be set:

Field Tag Value
OrdType 40 4
ExecInst 18 R
PegOffsetValue 211 5.25

Examples

Send limit new order single:

8=FIX.4.2|9=142|35=D|34=34|49=EXORG_ORD|52=20180417-22:28:26.326|56=BFXFIX|11=2000|21=3|38=0.1000|40=2|44=20000.0000|54=2|55=tBTCUSD|60=20180417-22:28:26.326|10=208|

Receive FIX 35=8 execution report for working order:

8=FIX.4.2|9=232|35=8|34=38|49=BFXFIX|52=20180417-22:28:26.555|56=EXORG_ORD|1=connamara|6=0.00|11=2000|14=0.0000|17=935a0300-2f34-4908-9e03-6b899f9718c6|20=3|32=0.0000|37=1149698709|38=0.1000|39=0|40=2|44=20000.0000|54=2|55=tBTCUSD|150=0|151=0.1000|10=097|

Send market new order single:

8=FIX.4.2|9=128|35=D|34=39|49=EXORG_ORD|52=20180417-22:30:34.310|56=BFXFIX|11=2002|21=3|38=1.5000|40=1|54=2|55=tBTCUSD|60=20180417-22:30:34.310|10=059|

Receive FIX 35=8 execution report for a partial fill:

8=FIX.4.2|9=249|35=8|34=45|49=BFXFIX|52=20180417-22:30:35.100|56=EXORG_ORD|1=connamara|6=1663.90|11=2002|12=0.1331|13=3|14=0.0400|17=f4d8af6e-04ce-447b-80ed-3e82d1476274|20=3|31=1663.9000|32=0.0400|37=1149698710|38=1.5000|39=1|40=1|54=2|55=tBTCUSD|150=1|151=1.4600|10=163|

Receive the alst FIX 35=8 execution report for a full fill:

8=FIX.4.2|9=249|35=8|34=48|49=BFXFIX|52=20180417-22:30:35.135|56=EXORG_ORD|1=connamara|6=1662.70|11=2002|12=0.3327|13=3|14=1.5000|17=6ee60005-4e99-4e6d-aa51-3aa617489dc7|20=3|31=1663.5000|32=0.1000|37=1149698710|38=1.5000|39=2|40=1|54=2|55=tBTCUSD|150=2|151=0.0000|10=112|

Cancel working limit order:

8=FIX.4.2|9=116|35=F|34=36|49=EXORG_ORD|52=20180417-22:29:11.115|56=BFXFIX|11=2001|41=2000|54=2|55=tBTCUSD|60=20180417-22:29:11.115|10=051|

Receive FIX 35=8 pending cancel acknowledgement:

8=FIX.4.2|9=296|35=8|34=40|49=BFXFIX|52=20180417-22:29:11.290|56=EXORG_ORD|1=connamara|6=0.00|11=2000|14=0.0000|17=d067ff27-4182-454f-8c51-bd08c09b5730|20=3|37=1149698709|38=0.1000|39=6|40=2|44=20000.0000|54=2|55=tBTCUSD|58=Submitted for cancellation; waiting for confirmation (ID: 1149698709).|150=6|151=0.1000|10=112|

Receive FIX 35=8 cancel acknowledgement:

8=FIX.4.2|9=244|35=8|34=41|49=BFXFIX|52=20180417-22:29:11.305|56=EXORG_ORD|1=connamara|6=0.00|11=2000|14=0.0000|17=a674d1b4-214e-408a-8cc1-fa364ecd8d97|20=3|32=0.0000|37=1149698709|38=0.1000|39=4|40=2|44=20000.0000|54=2|55=tBTCUSD|58=CANCELED|150=4|151=0.0000|10=112|

Order State Details

When receiving a Bitfinex Order update object (on, ou, oc), the following tables demonstrate rules for mapping FIX tag 39 OrdStatus:

Order Update Status Mappings

BFX Order State FIX OrdStatus Code Order Status
ACTIVE 0 NEW
EXECUTED 2 FILLED
PARTIALLY FILLED 1 PARTIALLY FILLED
CANCELED 4 CANCELED

Executions are received as te TradeExecution messages and tu TradeUpdate messages. TradeExecution messages come first, but generally omit the order type, original price, fee, and some other fields. The gateway processes tu TradeUpdate messages as executions. When receiving a TradeUpdate, MsgType 8 ExecutionReports are generated following these rules:

  • 1 TradeUpdate message will create 1 ExecutionReport
  • Tag 37 OrderID is derived from the tu server-assigned ID
  • An order's CID is mapped to a tag 11 ClOrdID
  • The gateway maintains an in-memory cache of ClOrdID -> order information, including:
    • Original order details (symbol, account, price, quantity, type, side)
    • Calculated state details (average fill price, total open quantity, total filled quantity)
    • Executions related to the original order
    • Cancel details related to a ClOrdID (original order ID, symbol, account, ClOrdID, and side)
  • When receiving order state updates (rejection, fill, cancel acknowledgement), the cache must be referenced to provide FIX-required details
  • When receiving a TradeUpdate, if cached details indicate the incoming TradeUpdate would fully fill the order, the gateway will publish an ExecutionReport with an OrdStatus of FILLED.

Synthetic Order State Message Mappings

on-req generally maps to PENDING NEW, with an exception for market orders, which do not receive subsequent on ack working messages.

BFX Order Type Incoming BFX Message FIX OrdStatus Code Order Status Notes
EXCHANGE MARKET n (on-req) 0 NEW Market orders do not receive on messages.
EXCHANGE LIMIT n (on-req) 0 PENDING NEW
EXCHANGE LIMIT oc 4 CANCELED oc objects are also received for terminal order states, such as fills, in which case an oc will generate no FIX message
EXCHANGE LIMIT ou Depends on status Depends on status

Troubleshooting

Below are a few common issues with simple procedures to resolve runtime problems:

FIX client won't log on

If the session has been rolled over or restarted, a FIX initiator may have a higher sequence number than its acceptor, which is an error condition. Simply reset the FIX initiator's sequence number (deleting the sequence store file in QuickFIX works) and the initiator should no longer disconnect on logon.

FIX logs on but does not process requests

Ensure the correct endpoint is configured for use. (i.e. MarketDataRequests should be sent to the FIX Market Data endpoint, and NewOrderSingle messages should be sent to the order routing endpoint).

Issues

Average prices & working quantities for out-of-session working orders

Orders placed outside of the FIX trading session may sometimes have incorrect filled quantities (FIX tag 14 CumQty), remaining quantities (FIX tag 151 LeavesQty), and/or average prices (FIX tag 6 AvgPx). The gateway uses an order's individual executions to calculate average prices, filled quantities, and remaining quantities on demand. The gateway does not receive working order execution details in order snapshots on client logon. Therefore, the gateway will attempt to go out-of-band, using the authenticated REST API, to fetch execution details for working orders. Out of band requests use the same API key as the orders websocket connection, and may suffer from internet routing race conditions. Occasionally the order trades endpoint will unexpectedly return an empty set, therefore execution details may not always be available to the gateway.

Internet routing race conditions could be solved with a future enhancement to the gateway to use yet another (third) API key for authenticated out-of-band REST requests.

Execution reports out of order

To preserve fee information, tu API messages are used to populate execution reports. However, the API publishes tu messages out of order, so corresponding ERs may also be out of order.

Immediate or Cancel collapses into Fill or Kill time in force

If an order is sent with an Immediate or Cancel time in force, the order will be mapped as a Bitfinex fill or kill limit order. Corresponding execution reports will indicate the order was placed as a fill or kill limit and not an IOC limit order.

Unsolicited trailing stop Execution Report missing trailing peg

If a trailing stop order was placed outside of the FIX session, a 39=0 NEW Execution Report will be missing the trailing stop peg price. The Bitfinex API currently does not return trailing stop peg prices on order new notification acknowledgements, but instead lists the calculated stop price, which is included in tag 99 StopPx on the 39=0 NEW ExecutionReport. Subsequent ExecutionReports related to the unsolicited trailing stop may also be missing the peg price until the gateway's cache is updated from the Bitfinex API.