FIX Top of Book
Top-of-book bid, offer, and trade data delivered in FIX 5.0 format for straightforward integration with broker-dealer and analytics systems.
Coverage: All U.S. exchange-listed NMS equities available for trading on Blue Ocean ATS. Updates in real time whenever the book or trade price changes during the overnight session.
Technical Overview
Protocol |
FIX 5.0 / FIXT 1.1 Session Layer |
Transport |
TCP (ordered, reliable delivery) |
Session Management |
Heartbeat, Logon, Logout, ResendRequest, SequenceReset, TestRequest |
Application Message |
Top of Book Snapshot with bid price, offer price, and trade price if applicable |
Tag Fields |
8 (BeginString = FIXT.1.1), 35 (MsgType = W Snapshot), 49/56 (SenderCompID / TargetCompID), 52 (SendingTime) |
Replay |
Gap Fill supported through standard ResendRequest logic. |