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Optimize Traffic

To optimize your FIX set up, spread traffic over as many portfolios as possible to minimize order-entry latencies. You should adhere to the following:
  • VAR::FIX_MAX_API_KEYS_PER_SESSION API key per session/connection to guarantee a connection
  • VAR::FIX_MAX_CONNECTIONS_PER_PROFILE maximum connections per profile
  • VAR::FIX_MAX_CONNECTIONS_PER_USER maximum connections per user across all profiles

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Batch Messages

We strongly recommend batch messages for both order entry and cancellation. Batch Requests:
  • Can have up to VAR::FIX_MAX_BATCH_ORDERS orders / cancels per request.
  • Only count for a single message for the purposes of rate limiting.
  • Can be more efficient to process compared to the equivalent individual requests.
Available batch messages are:

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Modify Order Requests

We strongly recommend Modify Order Requests where applicable. Modify Order Requests:
  • Keep your place in the order book queue when size is amended down.
  • Result in 50% fewer messages when compared to canceling an existing order and placing a new one.
  • Reduce your overall rate limit usage when compared to sending a cancellation followed by a new order.
  • Can be more efficient to process compared to the equivalent individual cancel and new order requests.
For rate limits, see FIX API Rate Limits.

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Drop Copy Session

Enabling DropCopyFlag=“Yes” (9406=Y) configures your session to receive execution reports across all active sessions for the same profile. We recommend that you enable DropCopyFlag on a separate, read-only session:
  • Execution latencies are higher for Drop Copy sessions because the same connection handles more read traffic.
  • Multiple Drop Copy sessions produce multiple copies of redundant data.