Drop Copy - Kraken Developers

The Kraken US Perps drop copy is a FIX 4.4 session that delivers a copy of every Execution Report on your account: acknowledgements, fills, amendments, cancellations, expiries, restatements and status answers. Business messages flow one way, from Kraken to the client. On the drop copy, the Execution Report is identical to the one sent on the Unified FIX v2 order-entry session. InstrumentID (48) carries the venue instrument identifier. For an overview of the US Perps APIs and how to connect, see the US Perps guides.

Protocol


Protocol	FIX 4.4 (`BeginString` = `FIX.4.4`)
Scope	Session layer, standard header and trailer, and the Execution Report

Messages

Session layer (either direction)

Message	MsgType	Description
Logon	`35=A`	Opens the session and agrees the heartbeat interval, sequence-number reset and credentials. Must be the first message after the connection is established.
Logout	`35=5`	Initiates or confirms the end of the session, and carries the reason for a failed logon.
Heartbeat	`35=0`	Keeps the session alive during inactivity, and answers a Test Request.
TestRequest	`35=1`	Probes whether the counterparty is still alive; must be answered with a Heartbeat.
ResendRequest	`35=2`	Asks the counterparty to retransmit a range of messages after a sequence gap.
SequenceReset	`35=4`	Resets the counterparty’s expected sequence number, or stands in for messages that will not be resent.
Reject	`35=3`	Session-level rejection of a message that is malformed or fails field validation.

Execution (Kraken → client)

Message	MsgType	Description
ExecutionReport	`35=8`	The drop copy payload. Reports every change to an order: acknowledgement, fill, amendment, cancellation, expiry, restatement, trade correction, or an answer to a status request.

Every message starts with the standard header and ends with the standard trailer.

Recovery

On reconnect, the feed resumes from where the client stopped, including after a Logon with ResetSeqNumFlag (141)=Y. Execution Reports that are delivered again after a reconnect carry PossResend (97)=Y. What the client should do:

De-duplicate Execution Reports by ExecID (17). A report with PossResend (97)=Y may be one you have already processed.
Do not rely on a sequence-number reset to skip missed reports. The feed resumes from where you stopped even when ResetSeqNumFlag (141)=Y.

US Perps API overview

How order entry, market data and drop copy fit together.

Unified FIX v2

FIX 4.4 order entry for US Perps.

SBE market data

Binary market data: instruments, L3 book, trades and status.

US Perps connectivity

Connectivity and colocation documents.

​Protocol

​Messages

​Session layer (either direction)

​Execution (Kraken → client)

​Recovery

​Related