This page documents Reflector's REST API.


The web server services requests on different threads than those that listen on TCP frames. As a result, some (minimal) amount of synchronization is required. All requests marked as GET either does not synchronize or at most grabs a read lock. Everything else (POST, PUT, DEL) requires scheduling and waiting. The goal is always to minimize the amount of work and synchronization required when servicing TCP frames.

All attempts to change configuration will be acknowledged with a reply with an HTTP status. It will have a ConfigFeedback categorization if actually serviced by the main thread. It may contain more details in the event of a rejection.


HTTP StatusSourceConfig FeedbackDescription
200 OKmain threadSUCCESSconfig change accepted and logged
200 OKbothIDEMPOTENTconfig change accepted without change
400 BAD REQUESTweb server-request malformed
404 NOT FOUNDweb server-entity not found
405 METHOD NOT ALLOWEDweb server-http method/action not allowed
409 CONFLICTmain threadREJECTgeneral reject (unused)
409 CONFLICTmain threadCOLLISIONcollision with existing name/value
409 CONFLICTmain threadNOT_FOUNDname/value not found
409 CONFLICTmain threadUNKNOWN_ACCOUNTaccount lookup failed
409 CONFLICTmain threadTABLE_FULLmemory pool full
409 CONFLICTmain threadHASH_COLLISIONhash value collision
409 CONFLICTmain threadMALFORMED_NAMEmalformed name/identifier
409 CONFLICTmain threadMALFORMED_PASSmalformed password
409 CONFLICTmain threadMALFORMED_DATEmalformed date
409 CONFLICTmain threadTYPE_MISMATCHgeneral category mismatch
409 CONFLICTmain threadSEQ_MISMATCHsequence number mismatch
409 CONFLICTmain threadOUT_OF_RANGEvalue/quantity out of range


Control

There are two types of commands here: state queries and shutdown.

Are You OK?

Environment

State

Update DMS Slack

Shutdown

Abort

Invariants

Show Exchange Codes

Exchange Codes identify either an exchange or a bank. When banks or exchanges provide multiple venues, they are typically combined in one because of convenience. This is reinforced by the fact that Reflector's FIX parser is mostly venue-agnostic. An exception is LMAX, whose FIX.4.4 feed is drastically different from its FIX.4.2 feed.

[ "FIX_360T", "FIX_ADS", "FIX_ANZ", "FIX_BAML", "FIX_Barclays", "FIX_BGC", "FIX_Bloomberg" , "FIX_BNPParibas", "FIX_CIBC", "FIX_Citadel", "FIX_Citi", "FIX_Commerz", "FIX_CreditSuisse" , "FIX_Currenex", "FIX_Deltix", "FIX_Deutsche", "FIX_DMALINK", "FIX_EBS", "FIX_Edgewater" , "FIX_Fastmatch", "FIX_FirstDerivative", "FIX_FlexTrade", "FIX_FXall", "FIX_FXCM" , "FIX_FXSpotStream", "FIX_GainGTX", "FIX_GFX", "FIX_GoldmanSachs", "FIX_GSA", "FIX_HenningCarey" , "FIX_Hotspot", "FIX_HSBC", "FIX_IG", "FIX_Integral", "FIX_ITG", "FIX_JPMorgan", "FIX_KCG" , "FIX_LMAX42", "FIX_LMAX44", "FIX_LumeFX", "FIX_MakoFX", "FIX_MorganStanley", "FIX_Nomura" , "FIX_ParFX", "FIX_Pragma", "FIX_PrimeXM", "FIX_RBC", "FIX_RBS", "FIX_Reuters", "FIX_Saxo" , "FIX_SEB", "FIX_SmartTrade", "FIX_SocGen", "FIX_SolidFX", "FIX_SpotEX", "FIX_StandardChartered" , "FIX_StateStreet", "FIX_SunTrading", "FIX_UBS", "FIX_Virtu", "FIX_Xenfin", "FIX_XTX" ]

Show Currencies

[ "USD", "EUR", "JPY", "GBP", "AUD", "CAD", "CHF", "CNY" , "CNH", "SEK", "MXN", "NZD", "SGD", "HKD", "NOK", "KRW" , "TRY", "INR", "RUB", "BRL", "ZAR", "DKK", "PLN", "TWD" , "THB", "MYR", "HUF", "CZK", "ILS", "SAR", "CLP", "IDR" , "COP", "PHP", "RON", "PEN", "XAG", "XAU", "XPD", "XPT" , "AED", "BHD", "HRK", "ISK", "KWD", "OMR", "RSD", "EGP" ]

Rates

All rates are stored as density per unit of USD, including the USD. Absolutely no concession will be made to the ``traditional" ordering of the currency pairs, apart from the fact that the rate update mechanism will parse it correctly when appropriately labeled. Rates are a global property, no one can have their own rate.

Show Rates

Update Rates

{ "EUR/USD": 1.03, "JPY/USD": 0.0086, "AUD/USD": 0.75 }

{ "USD/EUR": 0.97, "USD/JPY": 116.27, "USD/AUD": 1.33 }

Trader IPs

Traders can only connect from whitelisted Trader IPs. Trader IP entries consist of 3 fields: origip, natip, and an optional string label. Whenever a TCP connection is refused, whether on account of Trader IP or Venue IP/Port, the Trader IP is added to a list of blocked Trader IPs

Show Whitelisted Trader IPs

Show Blocked Trader IPs

Show Whitelisted Trader IPs by Label

Add Trader IP

Relabel A Trader

Remove Trader IP

Show Sessions related to a Trader IP

Venue IPs

Traders can only connect to whitelisted Venue IP/Port pairs. A venue entry consists of: originalip/port, nattedip/port, exchange_code, and a boolean on whether it is a monitored endpoint. Whenever a TCP connection is refused, whether on account of Trader IP or Venue IP/Port, the Venue IP/Port is added to a list of blocked Venue IP/Ports.

Show Whitelisted Venue IPs

Show Blocked Venue IPs

Show Checked Venue IPs

Show Unchecked Venue IPs

Show Venue IPs by ExchangeCode

Add Venue IP

{ "orig_addr":"1.2.3.4", "nat_addr":"5.6.7.8"
, "orig_port":3000, "nat_port":4000
, "exchange_code" : "FIX_Currenex", "checked" : true
}

Remove Venue IP

Show Sessions related to a Venue IP

Special Routes

Some venues dictate trader ip. This is handled by the `special routes' table. Given an original trader ip and translated venue ip/port, a special route entry provides a custom translated trader ip. The special route system is on an escape hatch for the address translation and not a part of the whitelist system, so both endpoints (trader & venue) still need to be separately whitelisted.

Show All Special Routes


Add Special Route

{ "orig_trader_addr" : "1.2.3.4"
, "nat_trader_addr" : "5.6.7.8"
, "nat_venue_addr" : "10.20.30.40"
, "nat_venue_port" : 1234
}

Remove Special Route

Sessions

A credential uniquely determined by the ordered quadruple : (TraderAddr, TraderPort, VenueAddr, VenuePort). Upon logon confirmation from the venue, a session will either be bound to a credential (if found and permitted to connect) or terminated.

Show All Sessions

Show Recently Terminated Sessions

Show Sessions by IP

Show Sessions by Search Term

Credentials

A credential uniquely determined by the ordered triple : (ExchangeCode, CompID, SubID). Credentials participate in a many-to-many relationship with user groups. Credential type must be one of: {TAKER, MAKER, PASS_TKR, PASS_MKR, COPY, DATA}. 

Credential double-login is an optional feature (empty string disables feature) where the trader is given an alternate password to be used aga upon validation, is overwritten into the real password required by the venue. The two passwords are required to have the same length. 

Account overloading is another optional feature where orders and executions could be routed to different users based on certain fields sent over the wire, usually Account[1].

Show All Credentials

Show Credentials by ExchangeCode

Show Credentials by SessionTypeCode

Show Enabled Credentials

Show Disabled Credentials

Show Active Credentials

Show Overloaded Credentials

Show Credentials by Group

Create Credential

{ "venue" : "FIX_Currenex"
, "comp_id" : "LV-426"
, "sub_id" : "Nostromo"
, "user" : "Ash"
, "type" : "TAKER"
, "enabled" : true
, "zebra_pass" : "crew"
, "venue_pass" : "food"
}



Enable Credential

Disable Credential

Change Credential Password

{ "venue" : "FIX_Currenex"
, "comp_id" : "LV-426"
, "sub_id" : "Nostromo"
, "zebra_pass" : "spaceship"
, "venue_pass" : "xenomorph"
}


Groups

A group represent a pool of risk. Within a group, the actualized outlays of the fills combined with the unactualized outlays of live orders form a Position". Additionally, every group has a set of risk parameters, known asLimits", to which the position is subject.

The set of groups organize themselves into trees, giving rise to 2 kinds of nodes: aggregate group & user group. An aggregate group can only contain other groups, and its position reflects the sum of the positions of its children. An user group does not contain other groups, but contains credentials, and its position reflects the sum of the positions of the credentials.

Every group has a integer visibility value, which dictates how far up the chain can the node be visible for.

Positions are stored as an array (indexed by currency) of ordered triples of (Buying, Selling, Filled).

Next, we have trading modes: (NORMAL, DEESCALATION, LOCKED, UNPLUGGED).\ The modes are controlled by 3 flags: (ESCALATION, TRADEABLE, ENABLED).\ When all flags are set, NORMAL mode entails.

There are many types of limits. The first is the primary limit, which must be one of (DownSide, UpSide, Exposure, Displacement), and is used to determine whether an order action increases risk. There are fat-finger checks, such as the submission rate limit, the single limit, and the pending limit. And finally, we have single currency trading permissions and exposure limits.

Show All Groups

Show All Group Names

Show All Group Limits

Show All Group Positions

Retrieve Selected Groups

Create Group

{ "type" : "USER"
, "name" : "Ash"
, "visibility" : 127
, "parent_name" : "Weyland-Yutani"
, "throttle" : 5
, "single" : 10000000
, "pending" : 10000000
, "limit_type" : "DOWNSIDE"
, "position" : 30000000
, "flags" :
    { "ENABLED" : true
    , "TRADEABLE" : true
    , "ESCALATION" : true
    , "THROTTLE": true
    , "SINGLE" : true
    , "POSITION" : true
    , "PENDING" : true
    , "DMS" : false
    }
}


Retrieve a Group

Retrieve a Limit

Retrieve a Position

Retrieve a Component Position

Retrieve a Daily Component Position

Retrieve a Nested Group Hierarchy

Retrieve a Nested Group Name Hierarchy

Rename Group

Re-Tag Group

Move Group

Heartbeat

Update Limit

{ "throttle" : 5
, "single" : 10000000
, "pending" : 10000000
, "limit_type" : "EXPOSURE"
, "credit" : 30000000
, "leverage" : 1
, "flags" :
    { "ENABLED" : false
    , "TRADEABLE" : false
    , "ESCALATION" : false
    , "THROTTLE": false
    , "SINGLE" : false
    , "POSITION" : false
    , "PENDING" : false
    , "DMS" : false
    }
}


Update Currency Limits

{ "currency_control": true
, "ccy_limit_denomination": "NATIVE"
, "USD": 10000000
, "EUR": 10000000
, "GBP": 10000000
, "JPY": 1000000000
}

Update Currency Volatility

{ "USD": 1
, "EUR": 5
, "GBP": 2
, "JPY": 0.5
}

Update Currency Properties

{ "limits":
    { "currency_control": true
    , "ccy_limit_denomination": "RESERVE"
    , "USD": 10000000
    , "EUR": 10000000
    , "GBP": 10000000
    , "JPY": 10000000
    }
, "volatilities":
    { "USD": 1
    , "EUR": 5
    , "GBP": 2
    , "JPY": 0.5
    }
}

Update Currency Baskets

{ "currency_basket_control": true
, "ccy_baskets":
    [ { "name": "G10", "range": "[ USD EUR JPY GBP CHF AUD NZD CAD SEK NOK ]", "limit": 1000000000 }
    , { "name": "Emergent.Markets", "range": "[ BRL RUB INR CNY CNH ]", "limit": 1000000000 }
    ]
}


Ledger

The order/position adjustment mechanism is not meant to be called directly. The only thing that should interface with it should be the database synchronization procedure.

Retrieve Ledger State

Ledger Bind

Ledger Rollover

Ledger Diff

{ "name" : "Hudson"
, "counter" : 1
, "date" : "2017-01-15"
, "venue": "FIX_Currenex"
, "comp_id" : "LV-426"
, "sub_id" : "Nostromo"
, "account": ""
, "USD" : 45000000
, "JPY" : -600000000
, "AUD" : -3000000
, "EUR" : 8000000
, "GBP" : -12000000
, "observed_execs" : [ ]
}


Ledger External Diff

Show Trade Date & Settlement Dates