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Irage FIX Python API Documentation

A. APIs

B. FIX Messages

C.Algo Orders

VWAP Order API Documentation

Overview

Welcome to the Irage FIX Python API Documentation. This document explains how to use the Irage FIX Python API client and describes the FIX messages used by the Irage trading platform. The client encapsulates the FIX protocol details and provides a simple interface for establishing connections and sending orders.

Installation and Dependencies

The client requires: - Python 3.7+ - QuickFIX library (pip install quickfix)

Configuration File

Create a configuration file (e.g., client.cfg) with the following:

[DEFAULT]
ConnectionType = initiator
ReconnectInterval = 2
FileStorePath = store
FileLogPath = log
StartTime = 00:00:00
EndTime = 00:00:00
UseDataDictionary = Y
DataDictionary = spec/FIX42.xml
ValidateUserDefinedFields = N
ValidateFieldsOutOfOrder = N

[SESSION]
BeginString = FIX.4.2
SenderCompID=YOUR_SENDER_ID
TargetCompID = IRZ
HeartBtInt = 30
SocketConnectHost = YOUR_HOST
SocketConnectPort = YOUR_PORT

# Client Authentication Information (Required)
UCC = PARTH
Settlor = TEST6
PANnumber = PARTH123
CpCode = CPCODE6
AuthToken = YOUR_JWT_TOKEN
AuthToken length = LENGTH_OF_TOKEN

Configuration Parameters

Parameter Description
ConnectionType Type of connection (initiator or acceptor).
ReconnectInterval Time in seconds to wait before attempting to reconnect.
FileStorePath Directory to store FIX messages.
FileLogPath Directory to store log files.
StartTime Session start time in HH:MM:SS format.
EndTime Session end time in HH:MM:SS format.
UseDataDictionary Whether to use a data dictionary (Y or N).
DataDictionary Path to the FIX data dictionary file.
ValidateUserDefinedFields Whether to validate custom fields (Y or N).
ValidateFieldsOutOfOrder Whether to allow out-of-order fields (Y or N).
BeginString FIX protocol version (e.g., FIX.4.2).
SenderCompID Sender's unique identifier.
TargetCompID Receiver's unique identifier.
HeartBtInt Heartbeat interval in seconds.
SocketConnectHost Host address of the FIX server.
SocketConnectPort Port number of the FIX server.
UCC Unique Client Code for authentication.
Settlor Settlor name.
PAN Number PAN number of the client.
CpCode Client participant code.
AuthToken JWT authentication token.
AuthToken length Length of the authentication token.

API Methods

Initialization

client = FixClient("client.cfg")

Initializes a new FIX client with the specified configuration file.

  • Parameters:
  • config_file (str): Path to the configuration file

Starting the Client

client.start()

Starts the FIX session and performs the login process. This method blocks until the login is complete or fails.

Returns: None

Raises: - FixClientError: If there's an error starting the session

Example:

try:
    client.start()
    print("Successfully logged in")
except FixClientError as e:
    print(f"Failed to start: {e}")

Response Handling: After successful login, you'll receive a logon response with margin information in the respective logs (refer to logging section):

8=FIX.4.2|9=111|35=A|34=1|49=IRZ|52=20250128-12:30:31.959572800|56=R001-1|1=R001|98=0|108=30|1000=31815520|1001=20000000000000|10=036|

Key fields in the response: - 1000: Margin Utilized - 1001: Margin Allocated

client.send_new_order(order_id, side, ordertype, quantity, price, symbolid, NSEFO)

Sends a new order to the market.

  • Parameters:
  • order_id (str): Unique order identifier
  • side (str): Buy/Sell (1=Buy, 2=Sell)
  • ordertype (str): Order type (1=Market, 2=Limit)
  • quantity (int): Order quantity (raw quantity value, not in lots). Must be a multiple of the contract's lot size
  • price (float): Price at which order is placed
  • symbolid (str): Security identifier
  • NSEFO (str): Exchange destination (e.g., "NSEFO")

Returns: None

Example:

# Send a buy limit order
client.send_new_order("112", "1", "2", 100, 4629535, "35012", "NSEFO")

Response Handling: After sending a new order, you'll receive an execution report in the respective logs (refer to logging section):

8=FIX.4.2|9=285|35=8|49=IRZ|56=R001-1|34=2|52=20250127-13:59:30.64264414|39=0|100=NSEFO|44=4629535|48=35012|38=100|151=100|11=1456|37=101000011|14=0|54=1|55=BANKNIFTY|20=0|150=0|17=0|6=4629535|9010=0|4000=20250127-13:59:30.56993432|4001=20250127-13:59:30.57016567|4002=20250127-13:59:30.64263776|1=R001|10=220|

Modify Order

client.send_modify_order(order_id, origcid, side, ordertype, quantity, price, symbolid, NSEFO)

Modifies an existing order.

  • Parameters:
  • order_id (str): New order identifier (can be same as original)
  • origcid (str): Original order identifier to modify
  • side (str): Buy/Sell (1=Buy, 2=Sell)
  • ordertype (str): Order type (1=Market, 2=Limit)
  • quantity (int): New order quantity (raw quantity value, not in lots). Must be a multiple of the contract's lot size
  • price (float): Price at which order is placed
  • symbolid (str): Security identifier
  • NSEFO (str): Exchange destination (e.g., "NSEFO")

Returns: None

Example:

# Modify an existing order to change the price
client.send_modify_order("112", "112", "1", "2", 100, 4629536, "35012", "NSEFO")

Response Handling: After sending a modify order request, you'll receive an execution report in the respective logs (refer to logging section):

8=FIX.4.2|9=297|35=8|34=2|49=IRZ|52=20250127-14:30:00.414959626|56=R001-1|1=R001|6=4629536|11=6541|14=0|17=0|20=0|37=101000003|38=100|39=5|41=6541|44=4629536|48=35012|54=1|55=BANKNIFTY|100=NSEFO|150=5|151=100|4000=20250127-14:30:00.406215357|4001=20250127-14:30:00.406236307|4002=20250127-14:30:00.414959129|9010=0|10=239|

Cancel Order

client.send_cancel_order(order_id, orig_order_id, side, ordertype, symbolid, NSEFO)

Cancels an existing order.

  • Parameters:
  • order_id (str): Order identifier for this cancel request
  • orig_order_id (str): Original order identifier to cancel
  • side (str): Buy/Sell (1=Buy, 2=Sell)
  • ordertype (str): Order type (1=Market, 2=Limit)
  • symbolid (str): Security identifier
  • NSEFO (str): Exchange destination (e.g., "NSEFO")

Returns: None

Example:

# Cancel an existing order
client.send_cancel_order("112", "112", "1", "2", "35012", "NSEFO")

Response Handling: After sending a cancel request, you'll receive an execution report in the respective logs (refer to logging section):

8=FIX.4.2|9=306|35=8|49=IRZ|56=R001-1|34=2|52=20250127-13:28:57.47541976|39=4|100=NSEFO|44=4629535|48=35012|38=100|151=100|41=1237|11=1237|37=101000009|14=0|54=1|55=BANKNIFTY|20=0|150=4|84=100|103=0|17=0|6=4629535|9010=0|4000=20250127-13:28:57.30488917|4001=20250127-13:28:57.30496289|4002=20250127-13:28:57.47531646|1=R001|10=173|

Logout

client.logout()

Sends a logout message and closes the FIX session.

Returns: None

Example:

# Cleanly close the session
client.logout()

Response Handling: After sending a logout request, you'll receive a logout message in the respective logs (refer to logging section):

8=FIX.4.2|9=075|35=5|49=IRZ|56=12345|34=3|52=20241017-10:59:25.99|58=User initiated Logout|10=15|

Key fields in the response: - 35: Message type (5=Logout) - 58: Text message confirming logout

Stop

client.stop()

Stops the FIX session without sending a logout message. This is called automatically by logout().

Returns: None

Logging

All the messages sent and recieved by client will be stored in the logging path specified in configuration. The file name will be of the following format .

FIX.4.2-{SENDER-COMP-ID}-IRZ.event.current.log

Complete Usage Example

from fix_client import FixClient

# Initialize client
client = FixClient("client.cfg")

try:
    # Start session (login)
    client.start()
    print("Login successful")

    # Send a new order
    client.send_new_order("112", "1", "2", 100, 4629535, "35012", "NSEFO")
    print("Order sent")

    # Wait for order to be processed
    time.sleep(2)

    # Modify the order
    client.send_modify_order("112", "112", "1", "2", 100, 4629536, "35012", "NSEFO")
    print("Order modified")

    time.sleep(2)

    # Cancel the order
    client.send_cancel_order("112", "112", "1", "2", "35012", "NSEFO")
    print("Order cancelled")

    # Logout
    client.logout()
    print("Logged out")

except Exception as e:
    print(f"Error: {e}")
    client.stop()

Irage FIX MESSAGES

Version 1.0

Irage FIX Messages are based on the industry-standard FIX 4.2, with minor modifications to support custom functionality. This document describes the workflow and modifications from standard FIX.

Connection Flow

For clients to initiate the FIX connection, they first need to obtain an Authorization token, by login in to Irage Authorization Gateway**, which will then provide the necessary auth token.
Currently this can be obtained via the irage python-connect wrapper. (Gateway and login details are shared upon account creation)

After obtaining the authorization token, the client can then initiate the Fix connection, and provide the Logon message as described below.(There are few fields which are custom to the Irage System to be sent in the Logon message).

Once the login is successful, client can then proceed with sending normal order related messages as described in the sections below

Irage FIX Messages

Logon Message

The Logon <A> message authenticates a user establishing a connection to a remote system. The Logon <A> message must be the first message sent by the application requesting to initiate a FIX session.

Below fields have been added to Irage Logon Fix message

Additional Fields for Logon:

Tag Value
96 AuthToken
439 Settlor (clearing/NSE)
1 UCC
9002 PAN Number (Custom Field)
9003 CpCode (BSE)
95 AuthToken length

Sample Message:

8=FIX.4.2|9=121|35=A|34=1|49=12345|52=20240930-08:24:22.507|56=IRZ|95=7|96=nse@123|98=0|108=30|141=Y|439=TEST1|1=R001|9002=Pan|10=156|

Logon Response

The logon response message builds on the original FIX message, with additional fields as mentioned below

Tag Value
1000 Margin Utilized (Custom Field)
1001 Margin Allocated (Custom Field)

Sample Message:

8=FIX.4.2|9=111|35=A|34=1|49=IRZ|52=20250128-12:30:31.959572800|56=R001-1|1=R001|98=0|108=30|1000=31815520|1001=20000000000000|10=036|

Logout Message

The Logout <35=5> message initiates or confirms the termination of a FIX session. Disconnection without the exchange of Logout <35=5> messages should be interpreted as an abnormal condition.

Tag Value
1 UCC

Sample Message:

8=FIX.4.2|9=60|35=5|34=3|49=12345|52=20241017-05:27:23.022|56=IRZ|1=R001|10=124|

Logout Response Message

Below is the logout response message client should receive on successful processing of the message .

Sample Message:

8=FIX.4.2|9=075|35=5|49=IRZ|56=12345|34=3|52=20241017-10:59:25.99|58=User initiated Logout|10=15|

Heartbeat Message

The Heartbeat <35=0> monitors the status of the communication link and identifies when the last of a string of messages was not received. Following field has been added and is mandatory to be sent for our systems

Tag Value
1 UCC

Sample Message:

8=FIX.4.2|9=60|35=0|34=8|49=12345|52=20240930-10:14:51.326|56=IRZ|1=R001|10=127|

New Order Message

While sending a new message , below fields should be used based on necessity. Few of these fields are optionals and have been marked appropriately.

Mandatory Fields:

Tag Value
48 SecurityID
100 ExDestination
1 UCC
11 ClOrdID
55 Symbol (Optional)
54 Side
40 OrdType
38 OrdQty
44 Price
9368 AlgoId (Optional)
9369 AlgoCategory (Optional)
18 ExecInst (Optional)
111 Max single order qty (Optional)
59 TimeInforce (Optional)
168 StartTime (Optional)
126 EndTime (Optional)
211 Price Buffer (Optional)
389 Limit Price Increment (Optional)
9011 MaxTry Order (Optional)
9012 Order Alternative (Optional)
9013 Wait time (Optional)
9014 Order Level (Optional)
9015 Time Interval (Optional)
9010 User Defined OrderTag (It will be echoed)

ExecInst <18> field can be used to provide Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space.

The purpose of this field is to enable clients to be able to provide a execution type e.g. VWAP, TWAP etc. Few of the valid fields for this tag is mentioned below

Code Meaning
9 Stay on bidside
0 Stay on offerside
L Last peg (last sale)
M Mid-price peg (midprice of inside quote)
O Opening peg
P Market peg
W Peg to VWAP

Max single order qty <111> field can be used in conjunction with the ExecInst <18>, to provide the value for the maximum single order quantity to be sent to exchange

Some of the fields added above have special meaning and more details for them have been specified in Appendix.

Sample Message:

8=FIX.4.2|9=112|35=D|34=2|49=R001-1|52=20250127-08:27:31.575|56=IRZ|1=R001|11=1456|38=100|40=2|44=4629535|48=35012|54=1|100=NSEFO|10=105|

Modify Order Message

While sending a modify message, client needs to populate the following fields using the OrderCancelReplaceRequest Fix message .

Tag Value
41 OrigClOrdID
11 ClOrdID
55 Symbol (Optional)
54 Side
40 OrdType
38 OrdQty
44 Price
48 SecurityID
1 UCC
100 ExDestination
9010 User Defined OrderTag (Optional, echoed)

Sample Message:

8=FIX.4.2|9=139|35=G|34=2|49=R001-1|52=20250127-08:58:01.925|56=IRZ|1=R001|11=6541|38=100|40=2|41=6541|44=4629536|48=35012|54=1|55=APPL|100=NSEFO|440=R001-1|10=213|

Cancel Order

For canceling an existing order client needs to use OrderCancelRequest FIX message, populated with the following information.

Tag Value
41 OrigClOrdID
11 ClOrdID
48 SecurityID
54 Side
1 UCC
100 ExDestination
40 OrdType

Sample Message:

8=FIX.4.2|9=120|35=F|34=2|49=R001-1|52=20250127-07:56:58.547|56=IRZ|1=R001|11=1237|38=100|40=2|41=1237|44=4629535|48=35012|54=1|100=NSEFO|10=224|

Order Response Message

For a successful message we provide the standard Execution Report message.(Purpose of Execution Report is to send order information to a FIX client, such as confirmations, fills, and unsolicited changes)

The Execution Report <35=8> message is used to:

  • Confirm the receipt of an order
  • Confirm changes to an existing order (i.e. accept cancel and replace requests)
  • Relay order status information
  • Relay fill information on working orders
  • Reject orders
  • Report post-trade fees calculations associated with a trade

Below are some of the response messages using the Execution Report, to communicate the order status.

Tag Value
39 OrdStatus
100 ExDestination
44 Price
48 SecurityID
38 OrderQty
151 LeavesQty
11 ClOrdID
37 OrderID
14 CumQty
54 Side
55 Symbol
20 ExecTransType
150 ExecType
17 ExecID
6 AvgPx
1 UCC
9010 User Defined OrderTag (Optional, echoed)
4000 Timestamp when received by OMS
4001 Timestamp when sent to exchange
4002 Timestamp of response from exchange
4003 Timestamp when sent to client

Sample Message:

Sample Create Order Response:

8=FIX.4.2|9=285|35=8|49=IRZ|56=R001-1|34=2|52=20250127-13:59:30.64264414|39=0|100=NSEFO|44=4629535|48=35012|38=100|151=100|11=1456|37=101000011|14=0|54=1|55=BANKNIFTY|20=0|150=0|17=0|6=4629535|9010=0|4000=20250127-13:59:30.56993432|4001=20250127-13:59:30.57016567|4002=20250127-13:59:30.64263776|1=R001|10=220|

Sample Modify Order Response:

8=FIX.4.2|9=297|35=8|34=2|49=IRZ|52=20250127-14:30:00.414959626|56=R001-1|1=R001|6=4629536|11=6541|14=0|17=0|20=0|37=101000003|38=100|39=5|41=6541|44=4629536|48=35012|54=1|55=BANKNIFTY|100=NSEFO|150=5|151=100|4000=20250127-14:30:00.406215357|4001=20250127-14:30:00.406236307|4002=20250127-14:30:00.414959129|9010=0|10=239|

Sample Cancel Order Response:

8=FIX.4.2|9=306|35=8|49=IRZ|56=R001-1|34=2|52=20250127-13:28:57.47541976|39=4|100=NSEFO|44=4629535|48=35012|38=100|151=100|41=1237|11=1237|37=101000009|14=0|54=1|55=BANKNIFTY|20=0|150=4|84=100|103=0|17=0|6=4629535|9010=0|4000=20250127-13:28:57.30488917|4001=20250127-13:28:57.30496289|4002=20250127-13:28:57.47531646|1=R001|10=173|

Common Error Handling

Login Errors

Type Message
Invalid UCC 58=UCC(1) not/wrong provided
Invalid Settlor 58=Wrong settlor(439) Provided: Immediate Disconnect
Invalid PAN 58=Wrong PAN(9002) Provided: Immediate Disconnect
Invalid CpCode 58=Wrong CpCode(9003) Provided: Immediate Disconnect
Invalid Credentials 58=Invalid Credentials
Invalid Credentials Raw Length 58=RawData(95 and 96) not/wrong provided

Order Processing Errors

Common Checks During Create, Update, Cancel

Type Message
Invalid Quantity 58=Qty(38) not/wrong provided
Invalid Exchange Destination 58=EXCHANGE_DESTINATION(100) not/wrong provided
Invalid Price 58=New Order Failed - Reason Code = E_RMS_DPR
Invalid SecurityID 58=securityId(48) not/wrong provided
Invalid Order ID 58=cid(11) not/wrong provided
Invalid Order Type 58=OrdType(40) not/wrong provided
Invalid Side 58=side(54) not/wrong provided

Specific Checks During Order Operations

During Create:

Type Message
Duplicate Order ID 58=NEW REJ: ORDER ALREADY STANDING ON THIS CID

During Update/Cancel:

Type Message
Modify on Same Price/Quantity 58=Rpl Order Failed - Reason Code = REPLACE ON SAME PRICE AND QTY
Modify Order with Side Change 58=MOD/CXL REJ: NO ORDER STANDING ON ORIG_CID(41)
Modify Order with Side Change 58=CANNOT CHANGE SECURITY_ID(48) ON MOD/CXL
Exchange order id mismatch 58=CANNOT CHANGE EXCH_ORDER_ID(37) ON MOD/CXL
Duplicate Order ID 58=MOD/CXL REJ: ORDER ALREADY STANDING ON NEW CID(11)
Side Mismatch 58=CANNOT CHANGE SIDE(54) ON MOD/CXL

Appendix

Fields Description

Authentication & Settlement

AuthToken (Tag 96)

  • Used for authentication purposes.
  • Example -
96=eyJhbGciOiJIUzI1NiIsInR5cCIgOiAiSldUIiwia2lkIiA6ICJkNTQ2M2EwZi01OGI5LTRjMmMtYTI0YS1jZDVmZWQ5NDJlMzYifQ.eyJleHAiOjE3NDAwMjk1MDQsImlhdCI6MTczOTk0MzEwNCwianRpIjoiZWViMDNmNDEtNTY1Ny00MjYzLTg5ZWEtZDg3MmM3ZDIyMTBjIiwiaXNzIjoiaHR0cHM6Ly9hcnJvdy5pcmFnZS5pbjo4NDQzL3JlYWxtcy9JQlNMIiwidHlwIjoiQmVhcmVyIiwiYXpwIjoiSUJTTDkwMDY4Iiwic2lkIjoiZDQ3MWM0ZmUtOTAyMy00MWEzLWFhODItNzc4YmFlMDRmNmUzIiwic2NvcGUiOiJvcGVuaWQgcHJvZmlsZSBlbWFpbCJ9.OzJ_0IQDGWFIH4rxc_xs1B3rTIdkzHSxvfWGmX8yZ6w

Settlor (Tag 439)

  • Represents the entity responsible for settlement.
  • Example 
439=TEST1

UCC (Tag 1)

  • Unique Client Code used for identification.
  • Example 
1=R001

PAN (Tag 9002)

  • Permanent Account Number used for tax and financial transactions.
  • Example 
9002=ABCDEF123456

AuthToken length (Tag 95)

  • Specifies the length of the authentication token.
  • Example 
95=461

Security & Order Identifiers

SecurityID (Tag 48)

  • Identifies the security being traded.
  • Example 
48=35012

ExDestination (Tag 100)

  • Specifies Execution destination as defined by client when order is entered.
  • Example 
100=NSEFO

OrigClordID (Tag 41)

  • ClOrdID <11> of the previous order (NOT the initial order of the day) as assigned by the institution, used to identify the previous order in cancel and cancel/replace requests.
  • Example 
41=1237

ClordID (Tag 11)

  • Unique identifier for Order as assigned by client for each order.
  • Example 
11=1237

Order Details

Side (Tag 54)

  • Indicates the buy or sell side of the order.
  • Valid Values:
Value Meaning
1 BUY
2 SELL

OrdType (Tag 40)

  • Specifies the type of order (e.g., Market, Limit).
  • Valid Values:
Value Meaning
1 MARKET
2 LIMIT
3 STOP

OrdQty (Tag 38)

  • Defines the quantity of the order.
  • Example 
38=10

Price (Tag 44)

  • Specifies the price at which the order is placed.
  • Example 
44=84451

Execution Details

OrdStatus (Tag 39)

  • Represents the current status of the order.
  • Valid Values:
Value Meaning
0 NEW
1 PARTIALLY FILLED
2 FILLED
3 DONE FOR DAY
4 CANCELLED
5 REPLACED

LeavesQty (Tag 151)

  • Quantity of the order yet to be executed.
  • LeavesQty <151> = OrderQty <38> - CumQty <14>.
  • Example 
11=100

OrderID (Tag 37)

  • Unique identifier assigned to the order by the OMS.
  • Example 
37=101000011

CumQty (Tag 14)

  • Cumulative quantity executed so far.
  • Example 
14=0

ExecTransType (Tag 20)

  • Indicates the transaction type (e.g., New, Cancel, Correct).
  • Valid Values:
Value Meaning
0 NEW
1 CANCEL
2 CORRECT
3 STATUS

ExecType (Tag 150)

  • Describes the specific Execution Report (i.e. Pending Cancel) while OrdStatus <39> will always identify the current order status (i.e. Partially Filled)
  • Valid Values:
Value Meaning
0 NEW
1 REPLACED
2 REPLACED
3 DONE FOR DAY
4 CANCELLED
5 REPLACED

ExecID (Tag 17)

  • Unique identifier for the execution event assigned by the OMS.
  • Example 
17=0

AvgPx (Tag 6)

  • Average price of the executed order.
  • As average price is not been calculated on OMS side , it will always be filled 0.

NewOrderSingle Message - Special Algo Fields

This document provides details on specific FIX fields that have special meaning when used with certain algorithms.

Special Algo Fields

EffectiveTime (Tag 168)

  • Used as Start Time for a particular algo.
  • Format: YYYYMMDD-HH:MM:SS

ExpireTime (Tag 126)

  • Used as End Time for a particular algo.
  • Format: YYYYMMDD-HH:MM:SS

PegDifference (Tag 211)

  • Used for the Price Buffer parameter associated with an algo.

DiscretionOffset (Tag 389)

  • Used for the Limit Price Increment parameter associated with an algo.

MaxTry (Tag 9011)

  • Specifies the maximum number of times an existing order can be modified.
  • Used for the Limit Price max Try parameter in an algo.

Order Alternative (Tag 9012)

  • Used for the Limit Price Alternative, which is specific to some algos.

Valid Values:

Value Meaning
0 MARKET
1 CANCEL
2 PENDING

Wait Time (Tag 9013)

  • Specifies the time in milliseconds to wait before modifying/canceling an order post its update.
  • Used for the Limit Price Wait parameter in an algo.

Order Level (Tag 9014)

  • Used for the Place At parameter in an algo.

Valid Values:

Value Meaning
0 BID
1 ASK
2 LTP
3 BID_2
4 ASK_2

Time Interval (Tag 9015)

  • Specifies the execution time for an algo.
  • Used in conjunction with Start Time (Tag 168).

VWAP Order API Documentation

VWAP Overview

The Volume-Weighted Average Price (VWAP) algorithm is designed to execute orders over a specified time period with the goal of achieving an average execution price close to the volume-weighted average price of the security during that period. This document outlines how to use the VWAP order API, including parameter specifications, limitations, and request/response formats.

VWAP Order Parameters

Parameter FIX Tag Description Data Type Required Notes
total_qty 13013 Total quantity to be executed Integer Yes Total number of units to be traded
start_time 13010 Execution start time Time (HH:MM:SS) Yes When the VWAP execution should begin
duration 13011 Duration of VWAP execution Integer Yes Time in seconds for the VWAP execution
symid 13008 Symbol identifier Integer Yes Unique identifier for the trading instrument
side 13009 Order side String/Enum Yes "BUY" or "SELL"
max_order_size 13000 Maximum size for individual orders Integer Yes Limits the size of each child order
start_price_point 13001 Reference price point Integer Yes -1 for Last Traded Price, ≥0 for a specific book level
start_price_side N/A Side for reference price String/Enum Conditional Required when start_price_point ≥ 0. "BID" or "ASK"
price_buffer 13002 Price buffer for quoting Integer Yes In paisa (e.g., +10 means 10 paisa above reference)
min_price_change 13003 Minimum price change for replacement Integer Yes Threshold that triggers order replacement
max_replace_count 13004 Maximum replacement count per order Integer Yes After this limit is reached, order is canceled and a new one is placed
do_after_vwap_run 13005 Action after VWAP completion Integer/Enum Yes 0=Cancel, 1=Market Hit, 2=Keep Standing
min_replace_time_gap 13006 Minimum time between replacements Integer Yes In microseconds
max_outstanding_order 13007 Maximum concurrent orders Integer Yes Limit on number of standing orders at any time
is_ioc 13012 Immediate-Or-Cancel flag Boolean Yes Default is false

Detailed Parameter Descriptions

total_qty

The total number of units to be executed by the VWAP algorithm over the specified duration.

start_time

The time at which the VWAP execution should begin, in HH:MM:SS format.

duration

The time period (in seconds) over which the VWAP algorithm will execute the order.

symid

The unique identifier for the trading instrument (e.g., 58958 for BANKNIFTY25MARFUT).

side

Specifies whether the order is to buy or sell the instrument.

  • BUY: Purchase the specified quantity
  • SELL: Sell the specified quantity

max_order_size

The maximum size for any individual order placed by the VWAP algorithm. This helps manage market impact.

start_price_point

Defines the reference price point for order placement:

  • -1: Use the Last Traded Price (LTP)
  • ≥0: Use a specific book level (e.g., 0 for top of book)

start_price_side

When start_price_point ≥ 0, this parameter specifies which side of the order book to use:

  • BID: Use the bid side of the book
  • ASK: Use the ask side of the book

price_buffer

The price adjustment (in paisa) applied to the reference price when quoting a new order. For example:

  • For a BUY order with a buffer of +5, the price will be LTP + 5 paisa
  • For a SELL order with a buffer of -5, the price will be LTP - 5 paisa

min_price_change

The minimum price movement (in paisa) that will trigger a replacement of an existing order.

max_replace_count

The maximum number of times an order can be replaced before it is canceled and a new order is placed.

do_after_vwap_run

Specifies the action to take after the VWAP execution period ends:

  • 0 (kCancel): Cancel all remaining standing orders
  • 1 (kMarketHit): Aggressively execute any remaining quantity at market price
  • 2 (kKeepStanding): Leave any remaining orders standing in the market

min_replace_time_gap

The minimum time (in microseconds) that must elapse between consecutive order replacements.

max_outstanding_order

The maximum number of orders that can be active in the market simultaneously.

is_ioc

If set to true, orders will be executed with Immediate-Or-Cancel behavior, meaning any portion that cannot be executed immediately will be canceled.

Order Placement

JSON Format Request Example

{
  "order_type": "VWAP",
  "parameters": {
    "total_qty": 30000,
    "start_time": "11:20:00",
    "duration": 10,
    "symid": 58958,
    "side": "BUY",
    "max_order_size": 90,
    "start_price_point": -1,
    "price_buffer": 5,
    "min_price_change": 1,
    "max_replace_count": 5,
    "do_after_vwap_run": 0,
    "min_replace_time_gap": 25000,
    "max_outstanding_order": 3,
    "is_ioc": false
  }
}

FIX Format Request Example

8=FIX.4.2|9=356|35=D|34=124|49=CLIENT|56=SERVER|52=20250225-11:19:45|11=order123|55=BANKNIFTY25MARFUT|54=1|38=30000|40=D|59=0|847=VWAP|13013=30000|13010=11:20:00|13011=10|13008=58958|13009=1|13000=90|13001=-1|13002=5|13003=1|13004=5|13005=0|13006=25000|13007=3|13012=0|10=248|

FIX Tag Mapping

Parameter FIX Tag Values
total_qty 13013 Integer
start_time 13010 Time (HH:MM:SS)
duration 13011 Integer (seconds)
symid 13008 Integer
side 13009 1=BUY, 2=SELL
max_order_size 13000 Integer
start_price_point 13001 Integer (-1 for LTP, ≥0 for book level)
price_buffer 13002 Integer (paisa)
min_price_change 13003 Integer (paisa)
max_replace_count 13004 Integer
do_after_vwap_run 13005 0=Cancel, 1=Market Hit, 2=Keep Standing
min_replace_time_gap 13006 Integer (microseconds)
max_outstanding_order 13007 Integer
is_ioc 13012 0=false, 1=true

Response Format

JSON Response Example (Success)

{
  "status": "accepted",
  "order_id": "vwap_123456",
  "message": "VWAP order accepted",
  "timestamp": "2025-02-25T11:19:48.123Z"
}

JSON Response Example (Error)

{
  "status": "rejected",
  "error_code": "INVALID_PARAMETER",
  "message": "Invalid start_time format. Expected HH:MM:SS",
  "timestamp": "2025-02-25T11:19:48.123Z"
}

FIX Response Example (Success)

8=FIX.4.2|9=129|35=8|34=125|49=SERVER|56=CLIENT|52=20250225-11:19:48|11=order123|37=vwap_123456|150=0|39=0|847=VWAP|58=VWAP order accepted|10=165|

FIX Response Example (Error)

8=FIX.4.2|9=143|35=8|34=125|49=SERVER|56=CLIENT|52=20250225-11:19:48|11=order123|37=NONE|150=8|39=8|847=VWAP|58=Invalid start_time format. Expected HH:MM:SS|10=112|

Limitations and Considerations

1.Time Precision: The start_time must be provided in HH:MM:SS format. Orders placed with start times in the past will be rejected.

2.Quantity Constraints:

  • total_qty must be greater than zero and less than the exchange-defined maximum for the symbol
  • max_order_size must be less than or equal to total_qty

  • Error on invalid quantity:

    8=FIX.4.2|9=202|35=U8|49=IRZ|56=R001-1|34=255|52=20250408-14:30:30.768060853|39=8|100=NSEFO|41=01|11=500018|47=1|103=99|9010=ALGO_ORDER|18049=0|4000=1744102830076789666|4003=1744102830076806085|58=Invalid Qty for Vwap Algo|10=246

3.Duration Constraints:

  • Minimum duration: 1 second
  • Maximum duration: 86400 seconds (24 hours)

4.Price Buffer:

  • For BUY orders: Positive values increase the reference price, negative values decrease it
  • For SELL orders: Positive values decrease the reference price, negative values increase it

5.Order State Management:

  • If max_replace_count is reached for an order, it will be canceled and replaced with a new order
  • If market conditions prevent order replacement within min_replace_time_gap, the replacement will be queued

6.Market Hours:

  • VWAP orders can only be executed during regular market hours
  • If the VWAP duration extends beyond market close, the algorithm will complete execution by market close

7.Rate Limiting:

  • Maximum of 10 VWAP orders per second per client
  • Maximum of 100 VWAP orders per day per client

Best Practices

1.Duration Selection:

  • For liquid securities, shorter durations (minutes to hours) are typically sufficient
  • For less liquid securities, longer durations may be necessary to minimize market impact

2.Order Size Management:

  • Set max_order_size to a small percentage of average daily volume to minimize market impact
  • Consider market liquidity when setting max_outstanding_order

3.Price Buffer Management:

  • For highly volatile securities, consider using larger values for min_price_change
  • Adjust price_buffer based on typical bid-ask spreads for the security

4.Post-VWAP Action:

  • Use do_after_vwap_run=0 (Cancel) for time-sensitive orders where partial fills are acceptable
  • Use do_after_vwap_run=1 (Market Hit) when full execution is more important than price
  • Use do_after_vwap_run=2 (Keep Standing) for less time-sensitive orders where price is more important

5.Cancelling or Stopping an Algo:

  • To cancel or stop an algo, send a FIX message with 35=UF and repeat the same ClientID used in the original order
  • Example: 8=FIX.4.2|35=UF|34=125|49=SERVER|56=CLIENT|41=ClientID|11=ClientID

Error Codes

Error Code Description
INVALID_PARAMETER One or more parameters have invalid values
MISSING_PARAMETER One or more required parameters are missing
INSTRUMENT_NOT_FOUND The specified instrument ID does not exist
MARKET_CLOSED The market is currently closed
INSUFFICIENT_BALANCE Insufficient balance to execute the order
RATE_LIMIT_EXCEEDED Client has exceeded the rate limit for VWAP orders
INTERNAL_ERROR An internal server error occurred

Disclaimer

This document is subject to updates. Users should check regularly for changes.