Strategies over FIX

A strategy or algo can send orders to the OMS over FIX. Every order goes through the same pre-trade checks as an order from the cockpit, is booked by the same order engine, and shows up in the blotter under the strategy’s portfolio. The OMS can stop the strategy at any time without its cooperation.

Each order adds one hop, about 1–5 ms. A strategy that cannot afford that trades from a co-located server instead (not covered here).

Set up a strategy

On the cockpit’s Strategies page, create a strategy:

Field	What it is
Portfolio	The portfolio the strategy trades. Only the strategy trades it: the cockpit can view it, kill and flatten, but not place orders on it.
Owner	The person responsible for the strategy.
Trades as	The principal the strategy’s orders are recorded under. Give it its own principal (type STRATEGY).
SenderCompID / TargetCompID	The strategy’s session identity. The strategy sends with this SenderCompID to this TargetCompID.
Allowed IP addresses	Optional. Comma-separated exact addresses the strategy may connect from; empty means any.
Limits	Max order quantity and notional, max position quantity and notional, price band %.

Then:

1. Reset password. The new password is shown once; the OMS keeps only a hash.
2. Connections. Pick the strategy’s accounts, at most one per broker. An order names the broker it goes to (tag 100), which selects that account.
3. Restart FIX acceptor. Sessions are created when the acceptor starts. A new strategy, or changed CompIDs or IP addresses, need a restart, which logs out every live strategy session. A new password, limit or state applies at once.

The acceptor listens only when [fix_acceptor] is set in the OMS configuration:

[fix_acceptor]
port = 9878
certificate = "/etc/oms/fix.pem"
private_key = "/etc/oms/fix-key.pem"

Session

• FIX 4.4 over TLS, always. Use the certificate above, or trust its CA.
• Logon (35=A): your SenderCompID and TargetCompID, the password in tag 554, and 141=Y (sequence numbers restart at every logon).
• Logon is refused for unknown CompIDs, a wrong password, an address outside the allowed list, a killed strategy, or a second session while one is live. The reason is shown on the Strategies page as the last logon error.
• After a reconnect the OMS resends every execution report you missed while you were logged out, in order.

Messages you send

Message	Tags
New Order Single (35=D)	11 ClOrdID (unique per strategy), 55 Symbol (the broker’s symbol), 100 ExDestination (the broker code, e.g. BINANCE), 54 Side (1 buy, 2 sell), 38 OrderQty, 40 OrdType (1 market, 2 limit), 44 Price (limit), 59 TimeInForce (0 day, 1 GTC, 3 IOC)
Order Cancel Request (35=F)	11 ClOrdID, 41 OrigClOrdID
Order Status Request (35=H)	11 ClOrdID
Security List Request (35=x)	320 SecurityReqID

Modifying a live order (35=G) is not supported: cancel it and send a new one. Any message type not listed here is answered with a Business Message Reject (35=j).

Example, a limit buy of 0.01 BTC on Binance:

35=D|11=arb-0001|55=BTCUSDT|100=BINANCE|54=1|38=0.01|40=2|44=61850|59=1

Messages you receive

Message	When
Execution Report (35=8)	For every step of your orders: new (150=0), fill (150=F, with 32 LastQty and 31 LastPx), cancelled (150=4), rejected (150=8), expired (150=C), and for a status request (150=I). 37 is the OMS order id, 17 an exec id unique in the OMS.
Order Cancel Reject (35=9)	A cancel that cannot be done, with the reason in 58.
Security List (35=y)	Every instrument you may trade: 55 the broker’s symbol, 100 the broker code, 48 the OMS instrument id (22=8).
Business Message Reject (35=j)	An unsupported message or a malformed one, with the reason in 58.

Pre-trade checks

Every check a cockpit order gets, plus the strategy’s own:

• State. A killed strategy can place nothing; a flattened one only orders that reduce a position.
• Limits apply per instrument. The strategy’s limits are the default; a row on the Risk limits page for the strategy’s portfolio and one instrument overrides them.
• Notional is in the instrument’s quote currency. The strategy-wide notional limits only apply to instruments quoted in USD, USDT or USDC; an order on any other quote currency (for example ETHBTC) needs its own per-instrument limit, or it is rejected.
• Price band. A limit price further from the OMS’s live mark than the band is rejected. A market order’s notional is measured at the mark.
• No mark yet. If nothing priced the instrument before, the order waits up to 2 seconds for a first quote, then is checked; with no quote by then it is rejected (no reference price). Instruments no feed prices (today: equities) skip the band.

A rejected order comes back as an Execution Report with 150=8, 39=8 and the reason in 58, for example risk check failed [max_order_notional]: ….

Kill, flatten and disconnects

• Kill (cockpit): the strategy is halted, its REST token stops working, every open order is cancelled through the OMS’s own connections, and its session is logged out. Logons are refused until Enable. Positions are left as they are.
• Flatten (cockpit): everything Kill does, but the strategy may still reduce; then every position is closed with a limit order at the edge of the price band (good till cancelled). Positions with no live price are skipped and listed.
• When your session ends — logout, a dropped connection, missed heartbeats, or an OMS restart — the OMS cancels all your open orders, except Flatten’s.