Unified FIX v2

Unified FIX v2 is the FIX 4.4 order-entry interface for Kraken US Perps. It covers the session layer, order entry (new, cancel, amend, mass cancel and status requests) and the execution and reject messages Kraken sends back. 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`)
Messages	15, plus the standard header (9 fields) and trailer (1 field)
Transport	TLS required on all connections
Authentication	API key, HMAC-SHA512 password signature and nonce on Logon
Session rollover	Daily at 22:00 UTC; sequence numbers reset
Cancel-on-disconnect	On by default; done by the FIX gateway; controlled by `CancelOrdersOnDisconnect (8674)`

Messages

Session layer

Message	MsgType	Direction	Description
Logon	`35=A`	Client → Kraken, then Kraken → client	Authenticates the session and sets its parameters. Must be the first message after the TCP connection is established.
Logout	`35=5`	Either direction	Initiates or confirms the end of the session, and carries the reason for a failed logon.
Heartbeat	`35=0`	Either direction	Keeps the session alive during inactivity, and answers a Test Request.
TestRequest	`35=1`	Either direction	Probes whether the counterparty is still alive; must be answered with a Heartbeat.
ResendRequest	`35=2`	Either direction	Asks the counterparty to retransmit a range of messages after a sequence gap.
SequenceReset	`35=4`	Either direction	Resets the counterparty’s expected sequence number, or stands in for messages that will not be resent.

Order entry (Client → Kraken)

Message	MsgType	Description
NewOrderSingle	`35=D`	Submits a new limit or market order.
OrderCancelRequest	`35=F`	Cancels a single working order.
OrderCancelReplaceRequest	`35=G`	Amends the price, quantity or expiry of a working order.
OrderMassCancelRequest	`35=q`	Cancels open orders in bulk.
OrderStatusRequest	`35=H`	Asks for the current state of a single order.

Execution and rejects (Kraken → client)

Message	MsgType	Description
ExecutionReport	`35=8`	Reports every change to an order: acknowledgement, fill, amendment, cancellation, expiry, restatement, or an answer to a status request.
OrderCancelReject	`35=9`	Rejects a single-order cancel. On US Perps cancel business rejects arrive as `35=9` where it is enabled (UAT today; production to be confirmed) and as `35=j` otherwise, so handle both. Amend rejects arrive as `35=j` or `35=3`, never `35=9`.
Reject	`35=3`	Session-level rejection of a message that is malformed or fails field validation.
BusinessMessageReject	`35=j`	Business-level rejection of a message that fails a business rule before it reaches the trading engine.

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

Cancel scope

A single-order cancel (OrderCancelRequest) looks the order up among the orders cached for this SenderCompID, earlier connections included, not only the orders of the current session. Side and Symbol (or InstrumentID) must match the order. OrderMassCancelRequest (35=q) is an engine sweep per instrument and Account on US Perps for MassCancelRequestType (530) = 1 and 7: it cancels every order of that Account on each instrument where this SenderCompID has a cached open order, whoever placed it. Type 6 cancels this connection’s orders one by one. If nothing is cached for the scope, Kraken sends no request and no reply. See Order Mass Cancel Request.

How US Perps differs from Spot and Futures

Some behaviours differ by venue. The table summarises where US Perps differs from Spot and Futures; the message pages give the details. Spot and Futures are shown for comparison only. Items marked “to be confirmed” have not been verified end to end.

Area	US Perps	Spot	Futures
ClOrdID	Positive integer, up to 19 digits	UUIDs (36 characters) accepted	Timestamp-first COMB UUIDv4 required
Cancel business reject	`35=9` where enabled (UAT; production to be confirmed), otherwise `35=j`	`35=j`	`35=j`
Amend reject	`35=j` or `35=3`, never `35=9`	`35=j`	`35=j`; amend is off in production, on in UAT
Matching-engine reject	Execution Report `150=8` / `39=8` with OrdRejReason	Not sent; `35=j`	Not sent; `35=j`
Single-order cancel	Any order cached for the SenderCompID; Side and Symbol or InstrumentID must match	Same cache scope; no Side or Symbol rule	Same as Spot
Mass cancel type `7`	Engine sweep per instrument and Account	Batch of the cached order ids; REST and WebSocket orders not reached	Same as Spot
Order status request	Live cached orders only; others `35=j`, `380=101`	Orders outside the cache are found; `380=101` for unknown orders	Off in production and UAT
ExecInst on amend	Only `P`; leaving it out clears post-only	Only `P`; effect of leaving it out differs by route	Same rule in UAT; amend off in production
GTD	Accepted (`59=6` with `ExpireTime`)	Supported	Supported
DisplayQty	Rejected	Supported	Not read as a size; outcome to be confirmed
EffectiveTime, Margin	Rejected; `Margin=0` accepted with no effect	Supported	Forwarded; to be confirmed
ValidUntilTime	Range-checked only; rejected on amend	Forwarded as a deadline; minimum varies	Forwarded as a deadline; minimum varies
Logon nonce	60 s in UAT; production to be confirmed	Freshness not checked	Freshness not checked
Cancel-on-disconnect	FIX gateway only	Gateway, plus a back-end backstop timer by default	Gateway only (one production deployment also arms the back-end timer)
ExecID	Opaque	Base32 of a ClOrdID-derived value plus a timestamp	Same as Spot
LastLiquidityInd	Tag 851, values `1` and `2`	Tag 5050	Same as Spot
InstrumentID (48)	Accepted on orders; sent on reports when cached	Never sent; ignored outside US Perps	Same as Spot

US Perps API overview

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

Drop Copy

FIX 4.4 copy of every execution report on your account.

SBE market data

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

US Perps connectivity

Connectivity and colocation documents.

Session

Order Entry

Execution & Rejects

Protocol

Messages

Session layer

Order entry (Client → Kraken)

Execution and rejects (Kraken → client)

Cancel scope

How US Perps differs from Spot and Futures

US Perps API overview

Drop Copy

SBE market data

US Perps connectivity

​Protocol

​Messages

​Session layer

​Order entry (Client → Kraken)

​Execution and rejects (Kraken → client)

​Cancel scope

​How US Perps differs from Spot and Futures

​Related

US Perps API overview

Drop Copy

SBE market data

US Perps connectivity

Protocol

Messages

Session layer

Order entry (Client → Kraken)

Execution and rejects (Kraken → client)

Cancel scope

How US Perps differs from Spot and Futures

Related