FIX Messaging Specs
This page describes the implementation of FIX messaging used by the Goldman Sachs RIA Custody Business for the electronic routing of orders for Equity and Mutual Fund products. In addition, the document outlines the messages, product, flow and order types that are supported by Goldman Sachs when trading via FIX, and how they should be indicated.
This document is not intended as a comprehensive guide to implementing the messaging logic of a FIX engine; for that, we recommend using the official specifications from the FPL at https://www.fixtrading.org/.
Requests for new FIX sessions or additional functionality must be approved by a Goldman Sachs business representative prior to any work being started by the Technology division. Please reach out to your local business representative to initiate any requests.
The Goldman Sachs FIX engine supports FIX versions 4.2 & 4.4. While we prefer that clients endeavor to keep to the standard FIX protocol specification, the Goldman Sachs FIX engine can accommodate some customization where appropriate.
Contact Details
GS FIX Support
Americas: gs-ria-fixsupport@gs.com
GS FIX Onboarding
Americas: gs-ria-fixrequests@gs.com
Supported Message Types
The following is a list of message types used by the Goldman Sachs RIA Custody Business FIX Engine.
Inbound: Defined as incoming FIX messages to the broker
Outbound: Defined as outgoing FIX messages sent from the broker
| FIX session level messages | FIX 4.2 & 4.4 |
|---|---|
| Logon (35=A) | ✓ |
| Heartbeat (35=0) | ✓ |
| Test Request (35=1) | ✓ |
| Resend Request (35=2) | ✓ |
| Reject (35=3) | ✓ |
| Sequence Reset (35=4) | ✓ |
| Logout (35=5) | ✓ |
| Inbound FIX application level messages | FIX 4.2 & 4.4 |
|---|---|
| New Order Single (35=D) | ✓ |
| Order Cancel Request (35=F) | ✓ |
| Order Cancel/Replace Request (35=G) | ✓ |
| Allocation (35=J) | ✓ |
| Don’t Know Trade (35=Q) | ✓ |
| Confirmation Acknowledgement (35=AU) | FIX 4.4 only |
| Outbound FIX application level messages | FIX 4.2 & 4.4 |
|---|---|
| Execution Report (35=8) | ✓ |
| Order Cancel Reject (35=9) | ✓ |
| Allocation Acknowledgement (35=P) | ✓ |
| Indication of Interest (IOI) (35=6) | ✓ |
| Confirmation (35=AK) | FIX 4.4 only |
Physical Connectivity
The Goldman Sachs RIA Custody Business supports connectivity via the BT Radianz Managed Service Provider. Managed Service Providers offer guaranteed network bandwidth and dedicated support.
In addition, the Goldman Sachs RIA Custody Business will support connections using the following third-party FIX connectivity hubs:
- FIXLink (SS&C)
- NYFIX (Itiviti/ULLINK)
- FIX Flyer Network
Connection Validation
Source IP Addresses:
Please provide all possible source IP addresses / MSP network identifiers to Goldman Sachs. Goldman Sachs RIA Custody Business has a dedicated network team who will co-ordinate TCP/IP connectivity and network installation with clients or vendors.
FIX version:
The Goldman Sachs RIA Custody Business FIX engine supports FIX versions 4.2 & 4.4. Please discuss your version requirements with the Goldman Sachs RIA Custody Business FIX Onboarding team during certification.
Sender and Target Comp IDs:
The Sender and Target CompIDs must match the agreed values upon login to grant FIX access.
FIX Time Format:
The Goldman Sachs RIA Custody Business FIX engine expects GMT on all time formats within FIX messages as defined within the FIX protocol.
Heartbeat Interval:
The default interval is set to 30 seconds. An alternative interval can be configured if required.
Client Identification
Direct FIX Connections (between a client and Goldman Sachs)
Tag 49 (SenderCompID) is used along with tag 56 (TargetCompID) to uniquely identify a client session. FIX messages should also set a trader name or ID of the person responsible for the flow in tag 50 (SenderSubID). The Tag50 value will generally be returned in tag 57 (TargetSubID) on execution reports.
If messages are being routed via a single FIX connection on behalf of different entities within a single parent company, we can use tags 1 (Account), 109 (ClientID), 115 (OnBehalfOfCompID) or other agreed tags to differentiate.
Hub FIX Connections (between a vendor and Goldman Sachs)
If messages are being routed over a shared hub session, tag 115 (OnBehalfOfCompID) should be used to identify the client company – this value will be returned in tag 128 (DeliverToCompID). In this case we ask that a trader name or ID is sent in tag 116 (OnBehalfOfSubID) or in tag 50 (SenderSubID) for client identification. This value can be returned in tag 129 (DeliverToSubID).
For more information on recommended formats, please contact the Goldman Sachs RIA Custody Business FIX Onboarding team.
Client Identification
Goldman Sachs requires vendors to specify the following information on the FIX session (where appropriate).
| FIX Tag | Tag Name | Description |
|---|---|---|
| 8000 | OMS/EMS Name | Vendor to provide the name of the OMS or EMS being used to send orders. |
| 9681 | OMS Version | Vendor to provide the OMS software version that the trader is using to send in orders. For example: "EzeTraderConsole 4.7" |
| 9207 | EMS Version | Vendor to provide the EMS software version that the trader is using to send in orders. For example: "BloombergEMSX 1.0" |
| 9682 | Product Version | Intended Goldman Sachs algo/product version with respect to the broker FIX specification version. For example: "GS Global Eq v1.7". Please reach out to your GS FIX representative for version ID. |
Order and Execution ID Uniqueness
We require that clients send a unique order ID in FIX tag 11 on every order. This value needs to be unique per FIX connection, per day. For connections where multi-day or overnight orders are sent, the value should be kept unique over the lifetime of the order. We recommend that the date is appended to the order ID to remove any ambiguity and improve supportability.
Goldman Sachs generates a unique execution ID sent in FIX tag 17 on every execution report. This value is unique per day across all connections.
Drop Copy
The Goldman Sachs RIA Custody Business does not currently support drop copies for either inbound or outbound flow.
Routing of Equity Orders
Flow Types and Parameters
The Goldman Sachs RIA Custody Business FIX Engine is able to accept GSET Algorithm flow types and currently supports 3 Algo Strategies: SOR, VWAP, and TWAP. Tag 8031 is required and must contain one of these strategy identifiers. Please see Goldman Sachs Electronic Trading (“GSET”) FIX Specification for details on the requirements and capabilities of these algorithms.
Product Identification
The Goldman Sachs RIA Custody Business FIX engine requires tag 55 used in conjunction with tag 65 (when symbol suffix is needed) for product identification. Messages which specify Tags 48/22 will be rejected.
Appendix A: Flow Specific Information
Strategy Types and TIFs
The following is a matrix of the different Order Types and TIFs which are available per Algo Strategy:
Region: US
| Algo Strategy | Side | Order Type (Tag40) | TIF (tag59) | Tag100 | Tag145 | Tag11007 |
|---|---|---|---|---|---|---|
| VWAP TWAP | Buy, Sell, Sell Short, Sell Short Exempt, Buy to Cover | Market, Limit | Day | 6 | N/A | N/A |
| SOR | Buy, Sell, Sell Short, Short Exempt, Buy to Cover | Market, Limit, MOC, LOC, Stop, Stop Limit, Pegged | Day | ; | N/A | N/A |
List ID Program Trading
The Goldman Sachs RIA Custody Business does not currently support Order Lists (FIX msgType 35=E (List)). Order List messages will be rejected.
Execution Venue Reporting
Execution instructions are generally supported but may require additional client-specific configuration. The following tags are supplied in all regions:
- Tag 29 (Last Capacity)
- Tag 30 (Last Market) – MIC values listed here https://www.goldmansachs.com/what-we-do/securities/gset/equities/liquidity-access/accessible-venues.pdf (European Markets)
- Tag 851 (Mapped Liquidity)
Mutual Fund Trading
The Goldman Sachs RIA Custody Business supports buy, sell, and sell-all orders for mutual funds. Buy and sell orders instructions follow standard trading conventions for mutual fund trading via FIX. Buy and Sell orders can be sent either as quantity of shares or by dollar notional quantity. Sell-all orders are denoted by a custom fix tag 5079 with Boolean value set to Y.
The cut-off time to mutual fund trading is 3:30PM EST. Any mutual fund orders submitted after the cut-off time will be rejected. This cut-off time may be subject to change.
Regulatory Reporting
In pre-approved cases where the Goldman Sachs RIA Custody Business will support the client’s CAT regulatory reporting, the client must provide the order creation timestamp in tag 6869. Tag 60, Transact Time must also be provided. If the client does not need to send the timestamp representing the original order creation timestamp, then tag 6869 is optional.
Allocation FIX Message
In allocation FIX messages (35=J), please note that within the NoOrders repeating group (tag 73), the Goldman Sachs RIA Custody Business expects tag 11 to be the original order ID that is being allocated, as per industry standards.
Pre-Selected High-Touch Order Instructions (tag 58)
Instructions:
- VWAP
- TWAP
- POV (enter % number)
- WUD (WouldAtLimit - enter limit price)
- Market on Open (Must be submitted at least 10 minutes prior to open)
- Market on Close (Must be submitted at least 10 minutes prior to close)
- Call # (enter phone number)
If a user chooses VWAP, they should not have the ability to edit the high-touch order instructions field.
The WUD option should only be allowed if the order is a limit order.
Sample FIX Messages
New Order Single Equity FIX Message Example
8=FIX.4.2|9=294|35=D|34=329|49=TESTSENDER|52=20211112-17:27:57.295|56=UAT|97=N|115=CLIENT|145=1|1=GSAvgPriceAcct12345|11=1388BLKa55ca8dcaaef452fb8551835804d45f1|21=1|38=100|40=1|54=2|55=ABBV|59=0|60=20211112-17:27:56.744|100=;|167=CS|8000=VENDORNAME|9207=1.0|9681=1.0|9682=GS Global Eq v1.7|11007=1|10=125|Equity Allocation FIX Message Example
8=FIX.4.2|9=280|35=J|34=342|49=TESTSENDER|52=20211112-17:36:30.606|56=UAT|97=N|115=CLIENT|6=200.0000|53=10.0|54=1|55=CL|60=20211112-17:36:30.579|70=1388BALeda1f06273db481aa8b9e20f68c69fa4 |71=0|73=1|11=1388BLKeda1f06273db481aa8b9e20f68c69fa4|75=20211112|78=1|79=CLIENTACCOUNT|80=10.0|167=CS|10=069|New Order Single Mutual Fund Buy FIX Message Example
8=FIX.4.2|9=289|35=D|34=319|49=TEST|52=20211123-17:13:55.433|56=UAT|97=N|115=CLIENT|145=1|1=CLIENTACCOUNT|11=1388REB0ac6d8e7cce4465d84b2f23e8701fa51|21=1|40=1|54=1|55=CGMRX|59=0|60=20211123-17:13:53.867|100=;|152=15030|167=MF|8000=VENDORNAME|9207=1.0|9681=1.0|9682=GS Global Eq v1.7|11007=1|10=140|New Order Single Mutual Fund Sell FIX Message Example
8=FIX.4.2|9=291|35=D|34=317|49=TEST|52=20211123-17:13:54.436|56=UAT|97=N|115=CLIENT|145=1|1=CLIENTACCOUNT|11=1388REB7efc385f387f4f099729494678eafd1d|21=1|40=1|54=2|55=FRDPX|59=0|60=20211123-17:13:53.848|100=;|152=8415.85|167=MF|8000=VENDORNAME|9207=1.0|9681=1.0|9682=GS Global Eq v1.7|11007=1|10=199|New Order Single Mutual Fund Sell All FIX Message Example
8=FIX.4.2|9=286|35=D|34=185|49=TEST|52=20211123-15:03:47.810|56=UAT|97=N|115=CLIENT|145=1|1=CLIENTACCOUNT|11=1388REB42d1073f1cf14d76bd07c1c2e2604fdb|21=1|40=1|54=2|55=VSEAX|59=0|60=20211123-15:03:47.687|100=;|167=MF|5079=Y|8000=VENDORNAME|9207=1.0|9681=1.0|9682=GS Global Eq v1.7|11007=1|10=029|Disclaimer
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