Capital Markets Adapters 10.11 | Apama Capital Markets Adapters Documentation 10.11 | Apama Base FIX Adapter | FIX service monitors | Client session | FIX_SubscriptionManager | Configuration parameters
 
Configuration parameters
Name
Type
Description
FixChannel
String
Default: "FIX"
The channel to emit upstream events to. See Session configuration.
SubscriptionManager.
RequireSessionStatusOpen
Boolean
Default: False
Whether a FIX session status open message must have been received for the session to be active.
SubscriptionManager.
RequireSessionStatusOpen
SubscriptionManager.
ResubscribeOnConnect
Boolean
Default: False
Whether to re-send all subscription requests to the market in the event of a re-connect
SubscriptionManager.
ResubscribeOnLogon
Boolean
Default: True
Whether to re-send all subscription requests to the market in the event of a re-logon
SubscriptionManager.
DistinctDepthTickRequest
Boolean
Default: True
Whether to send separate depth and tick subscription requests
SubscriptionManager.
MarketDataFullRefresh
Boolean
Default: False
Whether to request full refreshes (snapshots) rather than snapshot + updates
SubscriptionManager.
MarketDataDepthLevel
Integer
Default: 0 (Full Book)
Subscription request depth level
SubscriptionManager.
FieldOmissions
String
Default: ""
Whitespace delimited set of market data entry fields to omit from the output
SubscriptionManager.
ForwardMassQuoteRejectReason
boolean
Default: False
Enable this to forward the QuoteRejectReason from the MassQuoteAcknowledgement message as the reject reason.
SubscriptionManager.
ClearPricesOnSubscribe
Boolean
Default: True
Whether to clear all price data prior to issuing a re-subscription.
SubscriptionManager.
MaxDepthLevels
Integer
Default: 0 (Full Book)
Output depth level
SubscriptionManager.
SecDefRequestTags
String
Default: ""
Whitespace delimited set of tag numbers to request from the data manager (see FIX_DataManager for more details)
SubscriptionManager.
Aggregate
Boolean
Default: False
Whether to aggregate depth entries with the same side and price.
SubscriptionManager.
ReuseRequestID
Boolean
Default: True
Whether to reuse the request id when re-subscribing or generate a new one each time.
SubscriptionManager.     
ReturnZeroPricesOnError
Boolean
Default: True
Whether to return a Depth event with all prices set to zero instead of a DepthError.Note: The default value of this parameter will change to False in future releases.
SubscriptionManager.     
IncludeTimeInRequestID
Boolean
Default: False
Specifies that the session startup time should be pre-pended to market data request identifiers.
SubscriptionManager.
PriceDivisor
Float
Default: 1.0
Specifies a value that prices in the depth events send to applications will be divided by.
SubscriptionManager.
RecordLatency
Boolean
Default: False
Adds support for latency measurement on marketdata messages, stringified timestamp set dictionary is added to com.apama.marketdata events.
SubscriptionManager.
LogLatency
Boolean
Default: False
Print marketdata latency. Also means that RecordLatency will be enabled.
SubscriptionManager.
IgnoreSnapshotOn
Unsubscription
Boolean
Default: True
Ignores any trade message received after unsubscription.
SubscriptionManager.     
SupportZeroQuantities
Boolean
Default: False
Overwrites old quantity if the new quantity is zero
SubscriptionManager.
MDupdateInPlace
Boolean
Default: False
Enables the in-place updating of Market data processing (position based updates are applied in-place).
SubscriptionManager.
SuppressZeroQuantities
Boolean
Default: False
Suppress zero quantity entries from com.apama.marketdata. Depth event.
SubscriptionManager.
MDUpdateActionOrder
Sequence
Default: "1 2 0" (that is, Change, Delete, New)
Sequence of MDUpdateAction values separated by spaces. SubscriptionManager specified UpdateAction order will be used to update marketdata from incremental refresh.
SubscriptionManager.
PublishNonPositivePrices
Boolean
Default: False
Publish zero and negative along with positive prices in Depth.
SubscriptionManager.
SubscriptionKeyTags
String
Default: ""
Specifies that which parameters or tags should be considered for creating the subscription key for Depth/Tick subscriptions. The value to be given as string with elements separated by spaces, for example "22 207" or "". For more about the tags used with this parameter, see SubscriptionKeyTag.
SubscriptionManager.
UseAltSecurityId
Integer
Default: ""
Allows users to put alternative security IDs in the “symbol” field of a market data request and have this mapped to the correct tag on the FIX message (and vice-versa for downstream messages). The value of this should be the number of the FIX tag that the alternative security ID will go in. For more information about this parameter, see UseAltSecurityId note.
SubscriptionManager.
RepeatingGroupTags
String
Default: ""
Repeating groups that are part of outgoing request
SubscriptionManager.
UseDefaultTradeEntryTypes
Boolean
Default: True
Use the default MDEntry type for Trade subscription
SubscriptionManager.
UseDefaultDepthEntryTypes
Boolean
Default: True
Use the default MDEntry type for Depth subscription
SubscriptionManager.
AdditionalMDEntryTypes
String
Default: ""
Additional MDEntryTypes to be sent with Subscribe request
SubscriptionManager.
RequireSessionStatusOpen
Boolean
Default: False
Requires Session State to be open to make subscriptions
SubscriptionManager.
SupportZeroQuantities
Boolean
Default: False
Overwrites old quantity, if the new quantity is Zero
SubscriptionManager.
SupportNonUniqueMDEntryIDs
Boolean
Default: False
Required for exchanges which send same MDEntryID for both BID and Offer Sides
SubscriptionManager.
QuoteExpireTime
Float
Default: 60
Provides the Quote Expiry Time
SubscriptionManager.
SubscriptionRequestType
Integer
Default: "1"
Provides the Update Mechanism for the subscription (“1” is SNAPSHOT_PLUS_ UPDATES)
SubscriptionManager.
SendQuoteAck
Boolean
Default: False
Send Quote Acknowledgment
SubscriptionManager.
delayBeforeResubscription
Float
Default: 0
Time to wait before sending a subscription request
SubscriptionManager.
UpdateDataWithoutEntryId
Boolean
Default: False
Custom handling for updating Order book when EntryID is not present
SubscriptionManager.
AcceptNonPositivePrices
Boolean
Default: False
Required to support Zero or Negative prices
SubscriptionManager.
ForwardMDReqID
Boolean
Default: False
Forward MDReqID used in subscription along with Depth updates
SubscriptionManager.
UseCurrencyFromSymbol
String
Default: “BASE”
Extract the Currency information from the Symbol. Accepted Values are “BASE” and “TERM”. For more information, see UseCurrencyFromSymbol note.
SubscriptionManager.
ValidateDepthSubError
OnQuoteCancel
Boolean
Default: False
SubscriptionManager sends DepthSubscriptionError with 'fault' as "true" in case of QuoteCancel. This parameter is used in QuoteCancel to send DepthSubscription Error.fault as 'false' which indicates that the subscription may still exist and unsubscribe is necessary.
SubscriptionManager.
TagsToForwardFromExchange
String
Default: ""
List of tags received from exchange to be forward to the user
SubscriptionManager.
ReturnZeroPricesOnError
Boolean
Default: True
Return empty depth/tick on subscription error
SubscriptionManager.
EnableMassQuote
Acknowledgement
Boolean
Default: False
Enable Mass Quote Acknowledgment
SubscriptionManager.
UnsubscribeBeforeSubscribe
Boolean
Default: False
Send an unsubscribe request to the exchange before making a subscribe request
SubscriptionManager.
GenerateInstrumentID
Boolean
Default: False
Lets the adapter generate an instrumentID
SubscriptionManager.
IncludeTimeInRequestID
Boolean
Default: False
Include Time in Request ID
SubscriptionManager.
IgnoreUnexpectedUpdate
Boolean
Default: False
Ignore Unexpected Market Data Update
SubscriptionManager.
UnsubscribeOnQuoteCancel
Boolean
Default: False
Remove subscription when a QuoteCancel is received form exchange
SubscriptionManager.
IgnoreQuoteCancel
OnUnsubscription
Boolean
Default: False
This parameter will handle the QuoteCancel messages received as the response to the Quote Unsubscription.
SubscriptionManager.
ClearAttributesOnSnapshot
sequence
This parameter describes what type of prices/quantities need to be cleared on receiving a snapshot.
It may be either 0 or 1 or 2 .
If you assign value * then BID/OFFER/TRADE/OTHER data is cleared. Defaults to *.
If you assign value 0 then BID data is cleared.
If you assign value 1 then OFFER data is cleared.
If you assign value 2 then TRADE data is cleared.
Any value other than */0/1/2 then no data will be cleared
When the session configuration parameter SubscriptionManager.ReturnZeroPricesOnError is set to true, the adapter will send depth/tick events in place of DepthSubscriptionError/TickSubscriptionError. The extraparam of this depth/tick event will have the following values:
*_ERROR. The error message (corresponds to DepthSubscriptionError.status)
*_FAULT. Flag to indicate whether an unsubscribe is necessary or not (corresponds to DepthSubscriptionError.fault)
SubscriptionKeyTag
The tags specified in the SubscriptionKeyTags configuration parameter are searched in the same order in the extraParams field of com.apama.marketdata.SubscribeDepth()and com.apama.marketdata.SubscribeTick() to create the subscription key. The reference counting and uniqueness of the subscription is based on presence of these tags and values corresponding to these tags. For example, consider the following:
SubscriptionManager.SubscriptionKeyTags = "22 207"
com.apama.marketdata.SubscribeDepth("FIX", "Connection", "SYMBOL",
    {"22":"8", "207":"ABCD", "123":"EFG", "234":"IJK"})
The key prepared is:
SYMBOL:8:ABCD
For the following,
com.apama.marketdata.SubscribeDepth("FIX", "Connection", "SYMBOL",
    {"22":"8", "123":"EFG", "234":"IJK"})
The key prepared is:
SYMBOL:8:
The empty value of the configuration parameter indicates that the key is prepared just from the symbol, so the uniqueness is based on just the symbol.
Note:
The SubscriptionManager.SubscriptionKeyTags configuration parameter is not supported in session reconfiguration, only the initial provided values are used in succeeding re-configurations. Also this parameter has a dependency on the SubscriptionManager.DistinctDepthTickRequest configuration parameter. If both parameters are used in a session configuration event, then for succeeding re-configurations the value of SubscriptionManager.DistinctDepthTickRequest should not be altered.
UseAltSecurityId note
You can set the SubscriptionManager.UseAltSecurityId and OrderManager.UseAltSecurityId configuration parameters to alternate FIX tags; for example:
SubscriptionManager.UseAltSecurityId":"10455"
In this case a market data request can be sent as:
com.apama.marketdata.SubscribeDepth("FIXService", "Transport",
    "AlternateName",{"55":"SYMBOL"})
A NewOrder can be sent as:
com.apama.oms.NewOrder("1040","AlternateName",5.031,"SELL",
    "LIMIT",10,"FIXService","","","Transport","","",{"55":"SYMBOL"})
After these are processed by the respective monitors, the SYMBOL and AlternateName get exchanged and AlternateName will be assigned to tag 10455.