Locates FIX API specification details the tags and values along with description of values for each field for processing locate requests and acceptances from OMS clients. Clear Street currently utilizes FIX 4.2 format.
Configuring FIX Session
A FIX session is defined as a unique combination of a BeginString (the FIX version number 4.2), a SenderCompID (OMS Client ID as defined by Clear Street), and a TargetCompID.
A FIX session has an active time period during which all data is transmitted. Clear Street currently accepts connections between 3:30 AM EST to 10 PM EST on all business days. Clear Street will act as an acceptor and OMS will be the initiator.
A Logon message (Tag 35=A) must be sent to Clear Street on every business day to indicate the beginning of activity and a Logout message (Tag 35=5)must be sent to Clear Street indicating an end of activity for that day.
Clear Street also recommends exchange of heartbeats every 30 seconds by sending a message with Tag 35=0.
Clear Street expects every message to have a unique continuous sequence number as part of the message with Tag 34. If there are any gaps in sequence numbers, a sequence reset message will be sent to the OMS client with tag 34=4.
All requests must either provide a Symbol (Tag 55) or both IDSource (Tag 22) and SecurityID (Tag 48) to clearly identify a security. IDSource (Tag 22) and SecurityID are marked as conditionally required for this purpose.
We support TLS for securing the data over a FIX session. Please contact [email protected] for exchanging keys with Clear Street and for additional details.
[DEFAULT]
ReconnectInterval=5
SenderCompID=LOCATESCLIENT
HeartBtInt=30
SocketAcceptPort=31234
TargetCompID=CLST
HeartBtInt=30
SocketConnectPort=31234
SocketConnectHost=100.0.0.0
BeginString=FIX.4.2
[SESSION]
StartTime=04:00:00
EndTime=22:00:00
Currently we support two different message flows. All new client implementations should use Preferred Message Flow below.
Preferred Message Flow
We request all new OMSs to follow this message flow
- OMS will send a
Quote Requestmessage to locate securities - Clear Street responds by sending a
Quotemessage with the located securities information including Locate_ID inTag 117. - OMS will send a
New Ordermessage by settingTag 117with the Locate_ID that Clear Street provided. - Clear Street responds by sending an
Execution Reportmessage with status update such as accepted/expired/etc inTag 39 - OMS will send an
Order Cancel Requestmessage if they would like to decline the offer by settingTag 37with the Locate_ID that Clear Street provided. - Clear Street responds with a
Rejectmessage on any validation/formatting errors.
Message List
| Message | Tag 35 | Comments | Direction w.r.t. CLST |
|---|---|---|---|
| Quote Request | R | Request to locate a list of securities | Incoming |
| Quote | S | Response for quote request. Multiple responses are sent depending on the number of quotes requested | Outgoing |
| New Order - Single | D | Request to Accept a single locate | Incoming |
| Order Cancel Request | F | Request to Decline a single locate | Incoming |
| Execution Report | 8 | Status response for a single locate accept/reject message with locate id | Outgoing |
| Reject | 3 | Any validation/authentication errors on the Order requests | Outgoing |
Quote Request
Quote Request is a request sent by OMS for locating multiple securities
8=FIX.4.29=005435=R49=OMSC56=CLSTLOCT34=136052=20220208-21:10:01131=123456783146=2115=ACCOUNTID109=CLST55=IBM38=100054=155=AAPL38=200054=110=106
| Field Name | FIX Tag # | Possible Values | Comments | Example | Format | Length | Required | Repeatable |
|---|---|---|---|---|---|---|---|---|
| Message Type | 35 | Required | Message Type | AlphaNumeric | 1 | Required | No | |
| QuoteReqID | 131 | Unique ID for the Quote | A12345bc | AlphaNumeric | Required | No | ||
| OnBehalfOfCompID | 115 | Account ID from Order | ACCTID | AlphaNumeric | Required | No | ||
| ClientID | 109 | Firm ID/MPID | CLST | AlphaNumeric | Required | No | ||
| NoRelatedSym | 146 | Number of related symbols in this order | 1 | Numeric | Required | No | ||
| Symbol | 55 | Security ticker | AAPL | Alpha | Required | Yes | ||
| IDSource | 22 | 1-CUSIP 2-SEDOL 4-ISIN 8-Exchange Symbol | Security ID type | 1 | Numeric | 1 | Conditionally Required | Yes |
| SecurityID | 48 | Security ID as per IDSrouce tag 22 | 037833100 | AlphaNumeric | 12 | Conditionally Required | Yes | |
| OrderQty | 38 | Number of shares for which quote is being requested | 1000 | Numeric | Required | Yes | ||
| Side | 54 | 1-Buy | Side of Quote | 1 | Numeric | 1 | Optional | Yes |
Quote
Quote is a response sent by Clear Street as a reply to the Quote Request message with Locate ID. There will be one response message for each of the securities requested as part of Quote Request.
8=FIX.4.29=5935=S34=2851249=CLSTLOCT52=20220208-21:10:45.33656=OMSC131=123456783117=10000155=IBM135=1000133=0.2310=025
| Field Name | FIX Tag # | Possible Values | Comments | Example | Format | Length | Required |
|---|---|---|---|---|---|---|---|
| MsgType | 35 | S | Message Type | S | AlphaNumeric | 1 | Required |
| QuoteReqID | 131 | Unique ID from the Quote Request ReferenceId | AlphaNumeric | Required | |||
| QuoteID | 117 | Unique ID for this quote locate_id | AlphaNumeric | Required | |||
| Symbol | 55 | Security ticker | AAPL | Alpha | Required | ||
| IDSource | 22 | 1-CUSIP 2-SEDOL 4-ISIN 8-Exchange Symbol | Security ID type | 1 | Numeric | 1 | Conditionally Required |
| SecurityID | 48 | Security ID as per IDSrouce tag 22 | 037833100 | AlphaNumeric | 12 | Conditionally Required | |
| OfferSize | 135 | Number of shares that can be offered If availability is less the OrderQty then availability If availability is more than OrderQty then OrderQty 1 if no OrderQty is specified and available 0 if no OrderQty is specified and not available | 1000 | Numeric | Required | ||
| OfferPx | 133 | Offer price for the security requested in cents-per-share | 0.23 | Numeric | Required | ||
| OfferSpotRate | 190 | Offer borrow rate for the security | -40 | Numeric | Optional |
New Order-Single (To Accept an Offer)
New Order-Single is a request sent by OMS to accept a locate that was offered by Clear Street
//Example: Accept
8=FIX.4.29=005435=D49=OMSC56=CLSTLOCT34=136052=20220208-21:10:0111=1234568160=20220208-21:10:00.792109=ACCOUNTID76=USRNM,PSWD1=ACCOUNTID117=10001110=106
| Field Name | FIX Tag # | Possible Values | Comments | Example | Format | Length | Required |
|---|---|---|---|---|---|---|---|
| MsgType | 35 | S | Message Type | D | AlphaNumeric | 1 | Required |
| ClOrdID | 11 | Unique ID for the Order | AlphaNumeric | 25 | Optional | ||
| HandInst | 21 | 1-Auto, Private 2-Auto, Public 3-Manual | Instructions for order handling on Broker trading floor | 1 | Numeric | 1 | Optional |
| Symbol | 55 | Security ticker | AAPL | Alpha | Required | ||
| Side | 54 | 1-Buy 2-Sell 3-Buy Minus 4-Sell Plus 5-Sell Short 6-Sell Short Exempt 7-Undisclosed 8-Cross 9-Cross Short | Side | 1 | Numeric | 1 | Optional |
| TransactTime | 60 | Date+Time in UTC | 20220121-13:27:43.000 | YYYYMMDD-HH:mm:SS:sss | 21 | Required | |
| OrdType | 40 | 1-Market 2-Limit 3-Stop 4-Stop Limit 5-Market On Close 6-With or Without 7-Limit or Better 8-Limit With or Without 9-On Basis A-On Close B-Limit On Close C-Forex C D-Previously Quoted E-Previously Indicated F-Forext F G-Forex G H-Forex H I-Funari P-Pegged | Order Type | 1 | AlphaNumeric | 1 | Optional |
| ClientID | 109 | Firm ID/MPID | CLST | AlphaNumeric | Required | ||
| ExecBroker | 76 | Credential string: username, password | USRNM,PSWD | AlphaNumeric | Optional | ||
| OrderQty | 38 | Number of share ordered | 1000 | Numeric | Optional | ||
| IDSource | 22 | 1-CUSIP 2-SEDOL 3-ISIN 8-Exchange Symbol | Security ID Type | 1 | Numeric | 1 | Conditionally Required |
| SecurityID | 48 | Security ID as per IDSrouce tag 22 | 037833100 | AlphaNumeric | 12 | Conditinally Required | |
| ClearingAccount | 440 | Trader ID | TRDRID | AlphaNumeric | Optional | ||
| Account | 1 | Account ID | ACCTID | AlphaNumeric | Optional | ||
| QuoteID | 117 | Locate_ID | Locate ID | 123456 | AlphaNumeric | Required |
Execution Report (Accept/Reject)
Execution Report(One Response Message for each item in List of Order Accept/Reject) is a response sent by Clear Street confirming the accept/reject of a locate. There will be one response message for each item if the response is for a list of multiple securities request via New Order - List
8=FIX.4.29=5935=834=2851249=CLSTLOCT52=20220208-21:10:45.33656=OMSC37=20000511=1234567155=IBM54=1109=ACCOUNTID38=100058=THISISASINGLELOCATEACCEPTRESPONSEBYSYMBOL17=20000520=0150=239=21=ACCOUNTID151=014=10006=23.0044=0.2310=025
| Field Name | FIX Tag # | Possible Values | Comments | Example | Format | Length | Required |
|---|---|---|---|---|---|---|---|
| MsgType | 35 | 8 | Message type | 8 | AlphaNumeric | 1 | Required |
| OrderID | 37 | Locate ID | AlphaNumeric | Required | |||
| ClOrdID | 11 | ClOrdID from the New Order message | AlphaNumeric | 25 | Required | ||
| Symbol | 55 | Security ticker | AAPL | Alpha | Required | ||
| Side | 54 | 1-Buy 2-Sell 3-Buy Minus 4-Sell Plus 5-Sell Short 6-Sell Short Exempt 7-Undisclosed 8-Cross 9-Cross Short |
Side | 1 | Numeric | 1 | Required |
| ClientID | 109 | Same as Account ID | CLST | AlphaNumeric | Required | ||
| OrderQty | 38 | Number of share requested | 1000 | Numeric | Required | ||
| IDSource | 22 | 1-CUSIP 2-SEDOL 4-ISIN 8-Exchange Symbol |
Security ID type | 1 | Numeric | 1 | Conditionally Required |
| SecurityID | 48 | Security ID as per IDSource tag 22 | 037833100 | AlphaNumeric | 12 | Conditionally Required | |
| Text | 58 | Any comments by locating broker or indicating partial fills or part of original order | comment | AlphaNumeric | Optional | ||
| ExecID | 17 | Locate ID | Numeric | Required | |||
| ExecTransType | 20 | 0-New 1-Cancel 2-Correct 3-Status |
Transaction type | 0 | Numeric | 1 | Required |
| ExecType | 150 | 0-New 1-Partial Fill 2-Filled 3-Done for Day 8-Rejected B-Calculated/Offered C-Expired |
Type of Execution report | 2 | AlphaNumeric | 1 | Required |
| OrdStatus | 39 | 0-New 1-Partial Fill 2-Filled 3-Done for Day 8-Rejected B-Calculated/Offered C-Expired |
Current status of Order | 2 | AlphaNumeric | 1 | Required |
| Account | 1 | Account ID from Order | ACCTID | AlphaNumeric | Required | ||
| LeavesQty | 151 | Amount of shares open for further execution | Numeric | Required | |||
| CumQty | 14 | Currently executed shares | 1000 | Numeric | Required | ||
| AvgPx | 6 | Calculated average price | 0.23 | Numeric | Required |
Order Cancel Request (To Decline an Offer)
Order Cancel Request is a request sent by OMS to decline a locate that was offered by Clear Street.
//Example: Decline
8=FIX.4.29=005435=F49=OMSC56=CLSTLOCT34=136052=20220208-21:10:0141=1234568137=20000511=123456721=ACCOUNTID109=CLST76=USRNM,PSWD55=IBM54=160=20220208-21:10:00.79238=100058=comment10=106
Reject
Reject is sent by Clear Street where there are any issues with the request messages.
8=FIX.4.29=5935=334=2851249=CLSTLOCT52=20220208-21:10:45.33656=OMSC45=12345691371=158=Order rejected. Missing Account10=025
| Field Name | FIX Tag # | Possible Values | Comments | Example | Format | Length | Required |
|---|---|---|---|---|---|---|---|
| MsgType | 35 | 3 | Message type | 3 | AlphaNumeric | 1 | Required |
| RefSeqNum | 45 | Reference message sequence number | 123456789 | Numeric | Required | ||
| Text | 58 | Reason for reject | Order rejected. Missing field ClOrdID | AlphaNumeric | Required | ||
| RefTagID | 371 | The tag number of the FIX field being referenced | 1 | Numeric | Optional |