BJF FIX API Trader

BJF FIX TRADER
Release notes
Version 1.7, November 2015

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©2015 BJF Trading Group | www.iticsoftware.com
Contents
Revision history................................................................................................................................................................. 3
Introduction ...................................................................................................................................................................... 4
1. Installation steps ........................................................................................................................................................... 5
2 Getting Started............................................................................................................................................................... 8
2.1 Program interface ................................................................................................................................................... 8
2.2 Editing FIX Connection info..................................................................................................................................... 8
2.3. Editing External Connection info.......................................................................................................................... 11
2.4 Connecting to FIX broker....................................................................................................................................... 12
2.5 Logging .................................................................................................................................................................. 13
2.6 Manual Trading ..................................................................................................................................................... 14
2.7 Book information .................................................................................................................................................. 14
3 Using FIX Trader with Metatrader 4 terminal.............................................................................................................. 15
3.1 Offline charts......................................................................................................................................................... 15
3.2 Connecting MT4 to FIX trader............................................................................................................................... 16
3.3 New order detection methods.............................................................................................................................. 17
3.4 Additional information.......................................................................................................................................... 19
3.5 Using EA on offline charts ..................................................................................................................................... 19
4. Socket Commands Format .......................................................................................................................................... 21

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Revision history
Ver 1.7
1. Changed symbols Common Name format from b/q to bq (so now it will be EURUSD instead of EUR/USD).
All direct trading operations from MT4 should use symbol Common Name or will be ignored.
2. Added ability to get information about position, change position S/L and T/P and close the position.
3. Added ability to get all current pending orders.
4. INTEGRAL,CQG and MATCHTRADE fix support.
5. Expert advisors instead of scripts for FIX connection.
Ver 1.8.3
1. ADSS,BBO,CURRENEX,DUKASCOPY,FORTEXFXCM,FXPIG fix support.
2. Added ability to prescribe desirable slippage for limit FOK and IOC orders.
3. Improved stability

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Introduction
FIX Trader software developed by BJF Trading Group is a special tool that allows
traders to apply their favorite MT4 tools and EA’s to work with FIX API market data
and trading sessions. For more details about FIX Trader project please visit
http://offers.fxpartner.net/mt4-fix-api-trading/.

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1. Installation steps
1. Click Next.
2. Click Browse… and select the directory for MT4 terminal that will be used for
sending signals and analyses. Then click Next.

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3. Select the program folder where FIX Trader should be installed and click Next.
Important note: If you installing next instance of the program, please make sure you
install it on the same logic disk (C:, D: etc.)
4. Click Install and wait until the program is installed.

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5. If you run the program immediately after setup is finished, leave “Launch FIX
Trader” checkbox checked. If you need to see manual leave “View FIX Trader
Manual” check box checked. Then click Finish.

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2 Getting Started
2.1 Program interface
Important: To run the program, right click on desktop shortcut “BJF FIX Trader” and
select “Run as administrator”. The other methods of program start can make
application work unproperly.
The The FIX Trader program interface is shown on Fig.1:
Fig.1 . FIX Trader interface: 1 – Connection Status panel; 2 – Market Watch window; 3 –
Manual Trading panel; 4- Book information panel; 5- Logging tabcontrol.
2.2 Editing FIX Connection info.
To start using program, you need to edit your FIX connection parameters. You can do it
by click on menu item “FIX Connection -> Edit”. The window will appear(fig. 2):

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Fig.2. Editing FIX Connection parameters (Market Data)
First you need to select your FIX connection provider from the list near FIX Broker label.
If the provider you need is not in the list please send an email to
support@iticsoftware.com.
On the Market data connection parameters tab(fig. 2) you need to specify the Market
Data connection parameters mailed to you by your FIX connection provider. Please pay
attention if you provider uses SSL or not. Also if you need to store in log all FIX
quotes/market data refresh messages for some reasons, check Full log checkbox.
On the Trading connection parameters tab(fig. 3) you need to specify the Trading
connection parameters mailed to you by your FIX connection provider. Please pay
attention if you provider uses SSL or not and if you need to provide user account for
trading.
On the Symbols tab (fig.4) you need to add the instrument you will use within the
program. To add new symbol, click Add button. The blank row in the grid will appear. In
the column Common name type or select from the list the common name of the symbol
you want to use. Once you leave the cell, all the other information in a row should be
filled automatically. FIX Name is the name of the subscription symbol for your particular
FIX provider. As different FIX providers use their own lot mapping, we introduced Lots

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Multiplier column. When the order is translated by socket connection from MT4 or
other homemade program, the value of lot for FIX order command will be multiplied by
this value. In Digits column is stored the information how much digits is supported by
your FIX provider for this particular symbol. If your FIX provider (like LMAX) requires
security ids for symbol, in SymbolId column you need to specify that special Symbol ID
or otherwise keep in this column just different values (like 1,2,3 etc. by default).
Fig.3 Editing FIX Connection parameters (Trading connection)
Fig.4 Editing FIX Connection parameters (Symbols)

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2.3. Editing External Connection info
After you finished with FIX credentials, it is time to set up your External connection
parameters. You can do it by clicking menu item “External Connection -> Edit”. The next
dialog will appear (fig. 5):
Fig. 5 External connection setting dialog (MT4 options)
On tab MT4 options you need to specify parameters that will be used for storing
information for MT4 offline charts. Please specify in MT4 Terminal Path the path to the
MT4 terminal you will use. In History files path please specify path to MT4 active account
history folder (the value will be set automatically after you finish editing MT4 terminal
path, but may need manual editing), including end slash.
NOTE: Please check if in the History folder of MT4 terminal except folders default,
deleted, downloads, mailbox, signals, symbolsets there is only one folder with the
same name as your MT4 active account server name. If there is more than one folder,
please remove unnecessary folders and all files with extension “hst” in that one folder
you kept.
If your MT4 broker uses additional prefixes/postfixes for symbols (as in the example on
fig. 5, LMAX uses .lmx postfix), put them in Symbol prefix / Symbol postfix fields. Save
market data checkbox is introduced for clients that will use multiply program instances

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for the same terminal, so keep this checkbox checked only for one program instance to
avoid file i/o conflicts. In the group Symbols – Timeframes you can select what symbols
and what timeframes you need to store for offline charts. To add a timeframe, select it
from the combobox with timeframes list or type timeframe manually if you need custom
timeframes (like M2, H3 etc.) and then click Add-> button.
On tab Command socket options you need to specify the parameters that will be used
for interaction with external connections via socket (fig. 6). Command socket port is the
TCP port that FIX Trader program will use to receive trading commands commands(note:
should be different for each program instance). Events socket port is the TCP port that
program will use to send quotes, connection status and orders execution results (note:
should be different for each program instance). Open buy orders / Open sell orders
indicates if the current instance of the program is allowed to transfer buy / sell orders to
FIX provider.
Fig. 6. External connection settings (Command socket options)
2.4 Connecting to FIX broker.
Connection status panel (see fig.1) displays information about current connection state
of FIX Market Data, FIX Trading and Command Socket and Events Socket sessions.

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To connect all the sessions, click on menu item “FIX Connection -> Connect”. If you have
provided the correct FIX credentials, FIX Market Data and Trading sessions should be
established in a couple of seconds and show “Connected” status. If during a long time
period status is still “Disconnected”, than you need to perform next steps:
1) Study input parameters for FIX very carefully to make sure you entered the same
values as provided by your broker.
2) If you are sure with 1, than check if your firewall is not blocking external connections
to server and port of your FIX provider.
3) Check if your VPS provider is not blocking your external connections to server and
port of your FIX provider
4) Contact your FIX provider and ask if the IP you are trying to connect from is
whitelisted.
5) If steps 1,2,3,4 are passed and you can telnet your FIX provider, please contact us at
support@iticsoftware.com for further assistance.
2.5 Logging
In the Logging tabcontrol (see fig. 1) has 5 tabs, that contains logs for different events.
Activity log tab contains information about general application performance (session
connection/disconnections, order submission, common errors etc.).
Market data log tab contains send/received messages via FIX market data session.
Trading log tab contains send/received messages via FIX order session.
NOTE: Heartbeat messages are not stored in logs for do not overload application
memory.
Socket connection log tab contains messages received/send by command socket
from/to MT4 terminal or other external connection.
Filled orders tab contains grid with the information about the orders that were filled by
FIX provider (Order Id, Order side, Order lots, Order symbol, price at what order was
filled and fill time).
You can extract the information from logs to text buffer or file. To select the lines you
need to extract, press Shift (to select consecutive lines ) or Ctrl (to select non –
consecutive lines). To select all the lines, select first line in the log and press

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Ctrl+Shift+End. Then right click on the log and select Copy if you want to copy selected
lines to buffer or Save if you want to save them to file.
2.6 Manual Trading
FIX Trader allows to submit orders manually and simple position control with Manual
Trading panel (see fig. 1).
To place the order manually, please select the symbol in Symbol combobox. Then please
select order type (for now only market orders are supported for manual trading). In Lots
field please specify the desired order value.
If you need position control, before placing the order, please check Algorithmic trading
checkbox. That will enable all necessary input fields.
In S/L field you need to specify initial stop loss distance (in pips) from the position
average fill price. To move s/l to breakeven price (if it is possible) click .
In T/P field you need to specify take profit distance (in pips) from the position average
fill price. To move t/p to breakeven price (if it is possible) click
To enable trailing stops, you need to put values in Trailing Stop and Trailing Step fields.
A Trailing Stop trails (moves) a stop in your favor by a specific distance as long as the
market is moving in a favorable direction. Trailing Stop trail your stop by a fixed amount
of pips (Trailing Stop) as the market moves in your favor. This results in a slower trailing
stop that waits for a certain number of pips (Trailing Step) to be accrued before moving
that amount of pips. For example, let’s say we had an initial -100 pip stop loss, that we
set to trail with a Trailing Step of 10 and Trailing Stop 50. Our stop will stay at -100 until
the price moves in our favor a full 10 pips. Once +10 pips of floating profit is reached on
the trade, our fixed-step stop would jump from -100 to -40. Our stop would then stay at
-40 until the price moved in our favor another 10 pips (then it will be set to -30).
In the Risk field please specify the balance percent you want to risk from your current
balance ( should be input in Account Balance field) and your initial S/L value.
2.7 Book information
FIX Trader allows to see full book information via Book Information panel (see fig. 1). To
enable full book display, select symbol in Symbol field and check Show books. The
maximum supported depth is 8 levels.

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3 Using FIX Trader with Metatrader 4 terminal
3.1 Offline charts
Once the FIX Trader connected to FIX providers server and MT4 parameters are
prescribed (see section 2.3 ), the FIX Trader starting to fill the information in files that
can be used to display “offline charts”. Despite the confusing word ”offline”, that charts
can be used for online data representation and trading.
To start working the offline chart, please open your MT4 terminal and click menu item
“File -> Open offline”. You will see the next dialog (fig.7):
Fig.7 Selecting symbol and timeframe for offline chart
Please select the symbol and timeframe (from that one you provided in section 2.3 ) and
click Open.
IMPORTANT NOTE: If you want to use chart not just for indicative purposes but also for
transferring the orders opened by the EA you place on this chart to FIX Trader, press F8
on chart (or right click and select Properties), and on the tab Common uncheck
checkbox “Offline chart” (fig.8).

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Fig.8 Making offline chart available for trading from EA
3.2 Connecting MT4 to FIX trader
To connect MT4 to FIX Trader for transferring orders to FIX providers, put EA “Fix
Commands Connector EA” on the chart (fig.9). In script inputs, in
port_4_buy_commands/ port_4_sell_commands specify the port on which the running
instance of program is responsible for sending buy/sell orders. If you are using single
instance of the program, this ports should coincide. NewOrderDetectionMethod stands
for the method the new order in terminal will be detected: 0 – for Automatic method
and 1 for Manual method (see section 3.3 for explanations).
To connect MT4 to FIX Trader to receive order execution reports and quotes, put EA “Fix
Events Connector EA” on the chart. In script inputs, in port_4_events specify the port on
which the running instance of program will send quotes and execution reports.
NOTE: For running the connector scripts, you need to select for chart you are planning
to run them on, the symbol that is not used for collecting market data from FIX (see
section 2.3).

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Fig. 9 Launching script to connect to MT4
3.3 New order detection methods
There are two ways for script to detect the new order request appearance. For users,
that do not have source code (mq4 files) of the EA, only Automatic method is
acceptable. In this case the script will catch new order request from terminal as soon as
it appears in terminal info and transfer it to the FIX Trader (please note, that script
catches not order execution event but sending event).
With Manual method in the source code of the EA before OrderSend and OrderClose
commands should be inserted line of the code that creates new Global Variable with the
name that contains information about the orders. The template for the Global Variable
name is (see Table 1 for proper values):
SO_ClientOrderID_OrderSIde_OrderType_OrderLots_OrderSymbol_OrderStopPrice_Ord
erLimitPrice_OrderSlippage_OrderTTL
So, for example, to open new market order to sell 0.1 EURUSD you need to insert next
line before order send command:
GlobalVariableSet("SO_3819696185399_1_1_0.1_EURUSD”,0);
To close that order, you need to insert next line before order close command:
GlobalVariableSet("SO_3819696186899_0_1_0.1_EURUSD”,0);

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To open the new limit order to sell 0.1 EURUSD at 1.42345 you need to insert next line
before order send command:
GlobalVariableSet("SO_3819696185399_1_2_0.1_EURUSD_0_1.42345_0_0”,0);
To open the new stop order to buy 0.1 EURUSD at 1.42345 you need to insert next line
before order send command:
GlobalVariableSet("SO_3819696185399_0_3_0.1_EURUSD_1.42345_0_0_0”,0);
NOTE: Do not delete the created global variables, they will be automatically deleted
from the script when the order command is transferred to FIX Trader.
NOTE: To generate unique ClientOrderId in MQL4 you need to use following code
construction:
MathSrand(GetTickCount());
string ClOrderId = IntegerToString(GetTickCount())+IntegerToString(MathRand());
Once the order is executed and transferred from FIX trader, the new global variable will
appear in format:
RO_ClOrderId_OrderSide_OrderType_OrderLots_OrderSymbol_OrderPrice_StopPrice_Li
mitPrice_OrderStatus_NewClOrderId
where ClOrderId coincides with the ClOrderId that was sent, OrderStatus can have 4
values: 1 – filled; 2 – opened; 3 – rejected; 4 – canceled, NewClOrderId – new client
order Id for order modify command.
To Cancel existing pending order, create a global variable
CO_ClOrderId_OrderSide
To Modify existing pending order, create a global variable
MO_ClOrderId_OrderSide_OrderType_OrderLots_OrderSymbol_StopPrice_LimitPrice
The positions on symbols received from Fix Trader, are stored in the global variables in
format:
SETPOS_Symbol_AvgFillPrice_StopLoss_TakeProfit_OpenTime

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The value of the global variable represents the position size (value is positive if the
position is long, and negative if the position is short). OpenTIme has aUnix Timestamp
format (integer number of seconds that have elapsed since 00:00:00 Coordinated
Universal Time (UTC), Thursday, 1 January 1970).
To request the position information, you need to create global variable in format:
GETPOS_Symbol_0_0_1
To modify the position, you need to create global variable in format:
GETPOS_Symbol_NewPositionStopLoss_NewPositionTakeProfit_2
To close the position, you need to create global variable in format:
GETPOS_Symbol_0_0_3
3.4 Additional information
Quotes for symbols are also stored in global variables with names
FIXTRADER_SymbolName_Side (Side can take the values BID and ASK). Available
volumes are stored in global variables with names FIXTRADER_SymbolName_VOLSide
(Side can take the values BID and ASK). Last tick times are stored in global variables with
names FIXTRADER_SymbolName_Side_TIME(global variable value is local PC UNIX
time). For the example of usage of global variables please see EA
The Market data Session status and Trading Session status are stored in global variables
Status_MarketData and Status_Trading (value 0 means disconnected and 1 means
connected).
FIX Broker name is stored in global variable FIXBROKER_BrokerName.
Symbol digits are stored in global variables DIGITS_SymbolName.
3.5 Using EA on offline charts
Before placing the EA on offline chart to start trading, please make sure automated
trading is allowed and “Offline chart” checkbox is unchecked (see section 3.1). For
testing you can use the EA NewBarCatcher, that will appear in your MT4 terminal after
program installation. It is very simple EA, its logic is the next: if there is no opened orders
(with particular magic number) on symbol on bar opening, it opens new sell order.
Otherwise, if the orders exists, it closes it. The source code of EA is available as

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illustration to section 3.3. Furthermore, in file FixTraderFunctions.mqh you can find
already realized functions for orders commands via global variables.

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4. Socket Commands Format
It is possible to use FIX Trader with other homemade software products. The exchange
protocol for socket messages is fairy simple and FIX – like. It contains pairs ”tag=value”
separated by “|” character. The correct tags for orders and quotes are listed in the
tables below:
Table 1. Orders command/event
Tag Description Required Type Allowed values
1 Command type Yes integer 1
100 Client order Id Yes string Unique value
101 Order request type Yes integer 1 – market
2 – limit
3 – stop
102 Order side Yes integer 0 – buy
1 - sell
103 Order symbol Yes string
104 Order lots Yes double
105 Order price No double
106 Order stoploss No double
107 Order takeprofit No double
108 Order status No integer 1 – filled
2 – opened
3 – rejected
4 – canceled
5 - replaced
109 Order slippage No double
110 Order TTL No integer
111 New Client OrderId No string Only when 108 = 5
Table 2. New quote event
200 Symbol Yes string
201 BidPrice Yes double
202 AskPrice Yes double
203 BidVolume Yes double
204 AskVolume Yes double

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Table 3. Session status change event
300 Session type Yes integer 0 – market data
1 – orders
301 Session status Yes integer 0 – disconnected
1 – connected
Table 4. General information
400 Information type Yes integer 1 – Broker name
2 – Instrument digits
401 Information value Yes String
200 Symbol No String
Table 5. Order cancel/modification command
1 Command type Yes Integer 5
100 Client order Id Yes string Unique value
101 Order request type Yes integer 1 – market
2 – limit
3 – stop
102 Order side Yes integer 0 – buy
1 - sell
104 Order lots Yes double
105 Order price No double
106 Order stoploss No double
107 Order takeprofit No double
112 Operation Y integer 1 – cancel
2 - modify

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Table 6. Position management command
103 Position symbol Yes string
104 Position size Yes double positive for long
negative for short
zero – position closed
105 Position avg price No double
106 Position stoploss No double
107 Position takeprofit No double
112 Operation Yes integer 1 – get info
2 – modify
3 – close
113 Text message No string
114 Position open time Yes long integer UNIX Timestamp
Table 7. Pending orders management command
101 Order type Yes Integer 2 – limit
3 – stop
112 Operation Yes integer 1 – get info

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