FIX API

FIX (Financial Information eXchange) is a standard electronic messaging protocol which can be used to place orders, receive order updates and executions, and cancel orders. Our FIX api is based on the FIX 4.2 specification and modeled after FIX implementations of other popular cryptocurrency exchanges.

FIX endpoints: tcp+ssl://fix.lmex.io:9876

Sessions for Spot and Futures are separated.

Rate limit

Rate limit constraints are described below:

When rate limit rule is violated, client's request would be rejected and server returns a Business Message Reject (j).

Messages

FIX protocol uses field separator (character: 0x01) to separate attributes in messages.

Common request attributes

Below attributes are required in every client's request message.

Logon (A)

import org.apache.commons.codec.binary.Hex;
import org.apache.commons.codec.digest.HmacAlgorithms;
import org.apache.commons.codec.digest.HmacUtils;

// initialize String parameters: apiSecret, sendingTime, messageType, messageSeqNum, senderCompID, targetCompID


// compute the SHA384 HMAC using the API secret
final char SOH = 1;
final CharSequence SEPARATOR = Character.toString(SOH);

final String DATARAW = String.join(SEPARATOR, sendingTime, messageType, messageSeqNum, senderCompID, targetCompID);
final String SIGNATURE = Hex.encodeHexString(HmacUtils.getInitializedMac(HmacAlgorithms.HMAC_SHA_384, apiSecret.getBytes()).doFinal(dataRaw.getBytes()));

Sent by the client to initiate a FIX session. Must be the first message sent after a connection is established. Only one session can be established per connection; additional Logon messages are rejected. Client's API Key and secret can be generated from API page in LMEX portal. Create key with permissions to use FIX APIs.

Heartbeat (0)

If client set heartbeat interval to N. We recommend that you send heartbeat approximately every N - 5 seconds to keep connection alive.

Test Request (1)

Logout (5)

Sent by either side to terminate the session. The other side should respond with another Logout message to acknowledge session termination. The connection will be closed afterwards.

New Order Single (D)

Sent by the client to submit a new order. Only Market, Limit orders are currently supported by the FIX API.

If the order is accepted, an ExecutionReport (8) will be returned with ExecType: 0 (New), 1 (Partial fill), 2 (Fill), 4 (Canceled), 7 (Stopped), 8 (Rejected).

Order Cancel Request (F)

Sent by the client to request to cancel an order.

Only one of OrderID (37) and OrigClOrdID (41) should be provided.

If the order is successfully cancelled, an ExecutionReport (8) will be returned. Otherwise, an OrderCancelReject (9) will be returned.

Order Cancel Reject (9)

Sent by the server to notify the client that an OrderCancelRequest (F) failed.

Order Status Request (H)

Sent by the server to notify the client that an OrderCancelRequest (F) failed.

The server will respond with an ExecutionReport (8) with ExecType=I (OrderStatus) with the requested order or orders. Only one of OrderID (37) and OrigClOrdID (41) should be provided. If both OrderId (37) and OrigClOrdID (41) are provided, only OrderId (37) would be applied. When there are no open orders, the server will include Text (58) of "No open orders".

Execution Report (8)

Sent by the server whenever an order receives a fill, whenever the status of an order changes, or in response to a NewOrderSingle (D), OrderCancelRequest (F), or OrderStatusRequest (H) message from the client.

ExecType values

The ExecType (150) field indicates the reason why this ExecutionReport was sent.

Note that every order changed will send a execution report message.

OrdStatus values

Reject (3)

Sent by the server in response to an invalid message.