Data Model: YU10-fix-ingress
FIX ↔ internal field mapping
| FIX tag | Field | Internal | Rule |
|---|
| 11 | ClOrdID | ledger key (with session) | Required; duplicate per session → rejected (FR-FIX10) |
| 49 | SenderCompID | session → accountId | Resolved at logon via FIX_SESSION_ACCOUNTS; Account(1) if present must equal the mapped account or the order is rejected |
| 55 | Symbol | securityId | Resolved through the existing symbol table; unknown symbol → application rejection (ER Rejected) |
| 54 | Side | side | 1=Buy, 2=Sell; others → session Reject |
| 38 | OrderQty | qty | Positive integer; else session Reject |
| 44 | Price | limitPx | Required (OrdType(40)=2 limit only); fixed-point conversion identical to the REST path |
| 60 | TransactTime | ; | Accepted, not carried (event time is assigned at sequencing, as for REST) |
| FIX tag | Field | Internal | Rule |
|---|
| 41 | OrigClOrdID | ledger lookup → orderRef | Unknown → OrderCancelReject(9) with CxlRejReason |
| 11 | ClOrdID | ledger key for the cancel itself | Duplicate rule applies |
| 49 | SenderCompID | ownership check | Session's account must own the order or OrderCancelReject |
Inbound OrderStatusRequest (35=H) → read-model lookup (no ring publish)
| FIX tag | Field | Rule |
|---|
| 11/41 | (Orig)ClOrdID | ledger lookup → orderRef → in-memory read model → ExecutionReport with ExecType(150)=I |
Outbound ExecutionReport (35=8) from output events
| Output event | ExecType(150) / OrdStatus(39) | Notes |
|---|
| ORDER_ACCEPTED | 0 New / 0 New | |
| ORDER_PARTIALLY_FILLED | F Trade / 1 Partially filled | LastQty(32), LastPx(31) from the fill |
| ORDER_FILLED | F Trade / 2 Filled | |
| ORDER_CANCELED | 4 Canceled / 4 Canceled | |
| ORDER_REJECTED | 8 Rejected / 8 Rejected | Risk reason in Text(58) (e.g. POSITION_LIMIT, CREDIT_LIMIT, PRICE_COLLAR) |
| ORDER_NOT_FOUND (from cancel) | → OrderCancelReject (35=9) | CxlRejReason(102)=1 unknown order |
Every outbound report carries ClOrdID(11), OrderID(37)=internal orderRef, Symbol(55),
Side(54), LeavesQty(151), CumQty(14), AvgPx(6).
Correlation ledger record (append-only, on PVC)
Fixed-length binary record, little-endian, in ${FIX_DATA_DIR}/clordid-ledger.dat:
| Offset | Field | Type |
|---|
| 0 | sessionKey hash | int64 (FNV-1a of SenderCompID:TargetCompID) |
| 8 | inputSeq | int64 |
| 16 | orderRef | int32 |
| 20 | clOrdIdLen | int16 |
| 22 | clOrdId | UTF-8, max 64 bytes, zero-padded |
| 86 | pad | 2 bytes (88-byte record) |
Written before ring publish; forced with the same amortized-batch discipline as the journal;
rehydrated fully at startup into the in-memory maps ((session, clOrdId) → inputSeq/orderRef
for duplicates and cancels; inputSeq → (session, clOrdId) for the report handler).
Session configuration
| Env | Meaning |
|---|
FIX_ACCEPTOR_PORT | Acceptor TCP port (default 18130) |
FIX_SESSION_ACCOUNTS | COMPID:accountId[,…]; the complete set of CompIDs allowed to log on |
FIX_DATA_DIR | FIX store + ledger directory (default /var/lib/traderx-lmax/fix) |
FIX_TARGET_COMP_ID | Server CompID (default TRADERX) |
QuickFIX/J session settings live in fix/acceptor.cfg generated from these envs at startup:
FIX.4.4, file store + file log under FIX_DATA_DIR, PersistMessages=Y, heartbeat 30s.
No changes
InputEvent, OutputEvent, RestingOrder, the journal record, the replication record, the
snapshot format, and every database table are unchanged by this state.