fix协议接口示例

国信证券 FIX 网关接口说明

国信证券

FIXGW 接入说明

(2012-03-10)

公司名称 金证股份、国信证券 文档编号

APIFIXGW_201108

04

文档名称 FIX 网关接入说明 文档版本

国信证券 FIX 网关接口说明

状态标识：C – Created A - Added M - Modified D - Deleted

国信证券 FIX 网关接口说明

1 国信证券 FIX 网关交易介绍..................................................................................................5

第二章 FIX 协议简介........................................................................................................................6

1 FIX 协议...................................................................................................................................6

1.1 什么是 FIX 协议...........................................................................................................6

1.2 FIX 的特点....................................................................................................................6

1.3 FIX 协议结构................................................................................................................6

1.4 FIX 信息格式................................................................................................................6

1.5 标准消息头结构...........................................................................................................7

2.4 QuickFIX 编程指南......................................................................................................8

第三章 国信证券 FIX 网关接口说明...............................................................................................8

1 协议说明..................................................................................................................................8

1.1 FIX 版本........................................................................................................................8

1.2 连接模式.......................................................................................................................8

1.3 会话控制.......................................................................................................................9

1.4 帐户模式.......................................................................................................................9

2 消息格式说明..........................................................................................................................9

2.1 会话层消息...................................................................................................................9

2.1.1 登录请求(A)......................................................................................................9

2.1.8 重发请求(2).....................................................................................................14

2.1.9 序号重置(4).....................................................................................................15

2.1.10 心跳测试(1)...................................................................................................15

2.2 应用层消息.................................................................................................................16

2.2.1 单笔委托(D)....................................................................................................16

2.2.2 委托确认，New(8)..........................................................................................17

2.2.3 委托拒绝，Reject(8).......................................................................................17

2.2.4 执行回报(8).....................................................................................................18

2.2.5 撤单请求(F).....................................................................................................19

国信证券 FIX 网关接口说明

2.2.6 撤单确认，PendingCancel(8).........................................................................19

2.2.11 资金股份查询(UAN).....................................................................................23

2.2.12 资金股份查询回报(UAP).............................................................................23

2.2.14 业务消息拒绝(j)............................................................................................25

第四章 附录......................................................................................................................................26

国信证券 FIX 网关接口说明

国信证券的 FIX 网关主要是为其交易系统提供 FIX 协议接入。实现国际标准协议 FIX

 FIX 网关的功能定义:

实现 Fix 协议和证券集中交易系统内部协议（或第三方协议）的转换，转发服务请

求和发送成交回报。在集中交易系统与其它交易系统之间通过 FIX 协议进行互通连

接。提供了如下功能：

 提供 Fix 连接服务

 管理 Fix 连接与会话

 接收和发送 Fix 协议报文

 报文转换

 将 Fix 协议报文转换成柜台接口报文

 其它协议到 Fix 协议