alpaca-fix

FIX (Financial Information eXchange) protocol client for the Alpaca trading platform.

Overview

alpaca-fix provides a FIX protocol implementation for high-frequency trading applications with Alpaca. It supports FIX 4.2 and 4.4 versions for order routing and market data.

Features

FIX Session Management: Session initiation, heartbeat handling, sequence number management
Order Routing: New Order Single, Cancel, Cancel/Replace requests
Execution Reports: Real-time order status updates
Market Data: Market data requests and snapshots
Session Recovery: Automatic sequence number recovery
Message Logging: Configurable FIX message logging

Installation

Add to your Cargo.toml:

[dependencies]
alpaca-fix = "0.1.0"

Usage

use alpaca_fix::{FixClient, FixConfig, FixVersion};
use alpaca_base::Credentials;

#[tokio::main]
async fn main() -> Result<(), Box<dyn std::error::Error>> {
    let credentials = Credentials::from_env()?;
    
    let config = FixConfig::builder()
        .version(FixVersion::Fix44)
        .sender_comp_id("YOUR_SENDER_ID")
        .target_comp_id("ALPACA")
        .host("fix.alpaca.markets")
        .port(5001)
        .build();
    
    let mut client = FixClient::new(credentials, config);
    client.connect().await?;
    
    // Send a new order
    let order = NewOrderSingle::market("AAPL", Side::Buy, 100);
    client.send_order(&order).await?;
    
    Ok(())
}

API Reference

Main Types

FixClient - The primary client for FIX protocol connections
FixConfig - Configuration for FIX sessions
FixVersion - FIX protocol version (4.2, 4.4)

Message Types

Order Messages

NewOrderSingle (MsgType D) - New order request
OrderCancelRequest (MsgType F) - Cancel order request
OrderCancelReplaceRequest (MsgType G) - Modify order request

Execution Messages

ExecutionReport (MsgType 8) - Order execution status
OrderCancelReject (MsgType 9) - Cancel rejection

Market Data Messages

MarketDataRequest (MsgType V) - Request market data
MarketDataSnapshot (MsgType W) - Market data response

Session Messages

Logon (MsgType A) - Session initiation
Logout (MsgType 5) - Session termination
Heartbeat (MsgType 0) - Keep-alive
TestRequest (MsgType 1) - Connection test
ResendRequest (MsgType 2) - Message recovery
SequenceReset (MsgType 4) - Sequence reset

Main Modules

client - FIX client implementation
config - Configuration types
messages - FIX message types
session - Session management
codec - FIX message encoding/decoding

FIX Field Tags

Common FIX tags used:

Tag	Name	Description
8	BeginString	FIX version
9	BodyLength	Message body length
35	MsgType	Message type
49	SenderCompID	Sender identifier
56	TargetCompID	Target identifier
34	MsgSeqNum	Message sequence number
52	SendingTime	Message timestamp
10	CheckSum	Message checksum

Configuration

use alpaca_fix::FixConfig;

let config = FixConfig::builder()
    .version(FixVersion::Fix44)
    .sender_comp_id("YOUR_SENDER_ID")
    .target_comp_id("ALPACA")
    .host("fix.alpaca.markets")
    .port(5001)
    .heartbeat_interval_secs(30)
    .reconnect_enabled(true)
    .reconnect_max_attempts(5)
    .message_logging(true)
    .build();

Changelog

v0.2.0 (latest)

Full TCP connection implementation
Async message sending/receiving
Background heartbeat handling
Automatic test request responses
Session state management
Message channel for incoming messages
Graceful disconnect with logout

v0.1.0

Initial FIX protocol implementation
FIX 4.2 and 4.4 support
Order routing messages
Market data messages
Session management
Message encoding/decoding

Notes

FIX protocol is intended for high-frequency trading applications. Most users should use the REST API (alpaca-http) or WebSocket API (alpaca-websocket) instead.

License

MIT

alpaca-fix 0.2.0