FIX Drop Copy API

A consolidated private feed of orders and trades across Deribit.

The FIX Drop Copy API provides a complete record of orders and trades. It uses two distinct message types depending on the trade type:

• Execution Reports (35=8) — for orders and trades that occur in the order book.
• Trade Capture Reports (35=AE) — for trades that occur outside the order book.

Report Types

Order book trades: Execution Reports

Execution Reports are sent for all activity that goes through the order book:

Source	Description
Starbase Order Entry	Orders placed via the Starbase Direct Access APIs.
Other Order Entry	Orders placed via other methods: Websocket API, Web UI, mobile app, etc.
Liquidations	Liquidation and rebalancing orders generated by Deribit’s risk system.

Reported trades: Trade Capture Reports

Trade Capture Reports are sent for trades that bypass the order book entirely:

Source	Description
Block Trades	Privately negotiated trades reported to the exchange. Includes Block RFQ.
Position Moves	Transfer of an open position between two accounts under the same main account.

Drop Copy Message Types

Orders

• ExecutionReport <8> | 150=0/4/5: Sent on any new, amended or cancelled order.

Trades

• ExecutionReport <8> | 150=F: Sent on any trade generated by an order.
• TradeCaptureReport <AE>: Sent on any trade not generated by an order (e.g. block trades).

Parties Repeating Group (453)

Tag	Name	FIX Type	Req	Description
453	NoPartyIDs	NumInGroup	Y	Number of PartyIDs in repeating group: 453=5 for all order-status, trade, and drop copy messages.
→ 448	PartyID	String(20)	Y	Party identifier/code
→ 447	PartyIDSource	Char	Y	447 = D (Proprietary)
→ 452	PartyRole	Int	Y	1 - Subfirm Code 4 - Clearing Firm Code 11 - Order Originating Trader 55 - Session ID 3 - Client ID (ITM name used for the order)

The new PartyRole=3 (Client ID) entry carries the name of the ITM (clearing account) that the order actually used. When firm/ITM overrides are enabled on Order Entry, this value reflects the overridden ITM; otherwise it matches the user’s default ITM.

Orders

ExecutionReport <8> | 150=0/4/5

New (150=0), Canceled (150=4), and Replaced (150=5) reports share the same subset of Execution Report tags.

• New (150=0): Confirms a new order in response to any request to generate a new order, such as NewOrderResponse(200) via the SBE Order Entry API. Sent for every new order, even those matched immediately.
• Canceled (150=4): Confirms an order is canceled in response to any request to cancel an order, such as CancelOrderRequest(120) via the SBE Order Entry API or to an unsolicited cancel.
• Replaced (150=5): Confirms order is replaced in response to any request to amend an order such as AmendOrderRequest(110)via the SBE OrderEntry API.

Tag	Name	FIX Type	Req	Description
1	Account	String(16)	Y	Unique ID representing the account.
453	NoPartyIDs	NumInGroup	Y	Represents the Parties repeating group. See Parties Repeating Group (453).
11	ClOrdID	String(36)	Y	Unique client ID representing the order. Must not exceed 36 ascii characters. Client system must maintain uniqueness of this value for the life of the order.
14	CumQty	Int(9)	Y	Cumulated traded quantity throughout lifespan of an order.
17	ExecID	String(40)	Y	Unique exchange ID representing the trade execution.
37	OrderID	String(17)	Y	Unique exchange ID representing the order.
38	OrderQty	Int(9)	Y	Order quantity.
39	OrdStatus	Char(1)	Y	Represents order status, “New”, “Canceled”, or “Replaced”. 0 = New 4 = Canceled 5 = Replaced
40	OrdType	Char(1)	Y	Order type. Market orders are not accepted during opening auction.
41	OrigClOrdID	String(36)	N	Last accepted ClOrdID in the order chain.
44	Price	Price(20)	C	Price per single contract unit. Required for limit or stop-limit orders.
54	Side	Char(1)	Y	Side of order.
55	Symbol	String(24)	Y	Represents details of an instrument. Future Example: EUM20
167	SecurityType	String(6)	N	Represents security type.
59	TimeInForce	Char(1)	N	Represents how long the order remains in effect. Default is 59=0 (TimeInForce=“Day”). For 59=3 (TimeInForce=“FAK”), MinQty can also be specified.
60	TransactTime	UTCTimestamp(21)	Y	Time when the order message was submitted. UTC format YYYYMMDD-HH:MM:SS.ssssss in microseconds. Example: 20091216-19:21:41.109000
99	StopPx	Price(20)	C	Stop price of the order. Required for stop and stop-limit orders.
18	ExecInst	Char	N	The execution instruction flags for the order. Supported values: 6 = Add Liquidity Only (Post Only)
110	MinQty	Int(9)	N	Minimum quantity of an order to be executed. Used only when 59=3 (TimeInForce=“Fill and Kill”).
150	ExecType	Char(1)	Y	Represents execution type, New (150=0), Canceled (150=4), or Replaced (150=5).
151	LeavesQty	Int(9)	Y	Number of contracts remaining for execution.
378	ExecRestatementReason	Int(3)	N	Reason why the order was canceled by the system (e.g., cancel on disconnect, self-match prevention, etc.).
432	ExpireDate	LocalMktDate(8)	C	Order expiration date, or the last day the order could trade.
528	OrderCapacity	Int(1)	C	Pass through field from/when present in NewOrder. Identifies origin of order (i.e., capacity of firm placing the order).
582	CustOrderCapacity	Char(1)	C	Pass through field from/when present in NewOrder. Customer Type Indicator as defined by NFA.
1028	ManualOrderIndicator	Boolean(1)	Y	Represents whether or not the order was generated manually (Y) or automatically (N) with trading software.
1031	CustOrderHandlingInst	String(1)	Y	Source of the original order.
3040	StopLimitPx	Price(20)	C	Limit order price when stop loss is triggered
5979	RequestTime	Int(20)	N	Time when the request was received by the exchange. Integer value representing UTC time in microseconds since epoch.
7928	SelfMatchPreventionID	Int(8)	C	Unique ID (per executing firm) representing two orders that should not match. Required when market participants enable SelfMatch Prevention. Max length is 8 digits.
8000	SelfMatchPreventionStrategy	Char(1)	N	Represents type of cancel instruction when SelfMatch Prevention is triggered. Client systems must also include SelfMatchPreventionID (7928) on the originating message.

Trades

ExecutionReport <8> | 150=F

Sent for trades on orders.

Tag	Name	FIX Type	Req	Description
1	Account	String(16)	Y	Unique ID representing the account.
453	NoPartyIDs	NumInGroup	Y	Represents the Parties repeating group. See Parties Repeating Group (453).
11	ClOrdID	String(36)	Y	Unique client ID representing the order. Must not exceed 36 ascii characters. Client system must maintain uniqueness of this value for the life of the order.
14	CumQty	Int(9)	Y	Cumulated traded quantity throughout lifespan of an order.
17	ExecID	String(40)	Y	Unique exchange ID representing the trade execution.
880	TrdMatchID	String (20)	Y	Unique exchange ID representing a match event that results in multiple executions or trades.
31	LastPx	Price(20)	Y	Price at which order was filled.
32	LastQty	Int(9)	Y	Quantity filled.
37	OrderID	String(17)	Y	Unique exchange ID representing the order.
38	OrderQty	Int(9)	C	Order quantity.
39	OrdStatus	Char(1)	Y	Represents order status, “Partial Fill” (1) or “Complete Fill” (2).
40	OrdType	Char(1)	Y	Order type such as market, limit, etc.
41	OrigClOrdID	String(36)	N	Last accepted ClOrdID in the order chain.
44	Price	Price(20)	C	Price per single contract unit. For Execution Report messages sent in response to Market or Stop orders (with protection), Price is the Protection Price Limit (best available price +/- protection points). If the order is not completely filled, the remaining open quantity rests on the order book at the Protection Price Limit. Note: For spread trade Execution Reports, Price (44) is sent in the Execution Report – Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread.
54	Side	Char(1)	Y	Side of order.
55	Symbol	String(24)	Y	Represents details of an instrument. Future Example: EUM20.
167	SecurityType	String(6)	N	Represents security type.
59	TimeInForce	Char(1)	N	Represents how long the order remains in effect. Default is 59=0 (TimeInForce=“Day”). For 59=3 (TimeInForce=“FAK”), MinQty can also be specified.
60	TransactTime	UTCTimestamp(21)	Y	Time when the order message was submitted. UTC format YYYYMMDD-HH:MM:SS.ssssss in microseconds. Example: 20091216-19:21:41.109000
18	ExecInst	Char	N	The execution instruction flags for the order. Supported values: 6 = Add Liquidity Only (Post Only)
75	TradeDate	LocalMktDate(8)	Y	Indicates date of trade reference in this message in YYYYMMDD format.
150	ExecType	Char(1)	Y	Represents execution type, “Trade” (150=F).
151	LeavesQty	Int(9)	C	Number of contracts remaining for execution after this fill.
393	TotalNumSecurities	Int(3)	N	Number of leg fill acknowledgment messages sent with spread summary. Sent for spread fill messages only.
442	MultiLegReportingType	Int(1)	N	Represents acknowledgment of Outright, Leg of Spread, and Spread.
527	SecondaryExecID	String(40)	C	Unique exchange ID representing link between spread summary fill notice with leg fill notice and trade cancel messages.
528	OrderCapacity	Int(1)	Y	Represents the type of business conducted: 528=0 = Customer/Agency 528=1 = Principal
1028	ManualOrderIndicator	Boolean(1)	Y	Represents whether or not the order was generated manually (Y) or automatically (N) with trading software.
1031	CustOrderHandlingInst	String(1)	Y	Source of the original order.
1057	AggressorIndicator	Char(1)	C	Represents the order as incoming or resting for the match event.
5979	RequestTime	Int(20)	N	Time when the request was received by the exchange. Integer value representing UTC time in microseconds since epoch.
828	TrdType	Int(1)	N	Type of trade. 0 = CLOB trade 1 = Block trade 2 = Liquidation trade

TradeCaptureReportRequest <AD>

By sending a TradeCaptureReportRequest on a drop copy connection, a replay of non-order book trades (block trades, position moves) is triggered as a series of sequential TradeCaptureReport (35=AE) messages. The replay starts from the ExecID specified in the request. Trades are available for a period on a best-effort basis. For a full history of all trades, the Websocket APIs should be utilized.

Tag	Name	FIX Type	Req	Description
568	TradeRequestID	String	Y
569	TradeRequestType	Int	Y	Should always be set to 1
17	ExecID	String(40)	N	All trades with ExecIDs larger than or equal to this value will be resent by Starbase

TradeCaptureReport <AE>

Sent for each non-order book trade (block trade, position move) — both proactively as trades occur and in response to a TradeCaptureReportRequest.

Tag	Name	FIX Type	Req	Description
571	TradeReportID	String	Y	Unique identifier for this trade report
568	TradeRequestID	String	N	Echoed from the originating TradeCaptureReportRequest; absent if unsolicited
150	ExecType	Char(1)	Y	Always F (full and partial fills)
17	ExecID	String(40)	Y	Unique exchange identifier for this execution
570	PreviouslyReported	Boolean(1)	Y	Whether this trade was previously reported to the counterparty. Y = previously reported, N = first report
1003	TradeID	String	Y	Unique identifier for the trade
828	TradeType	Int(1)	Y	Type of trade. 0 = CLOB trade, 1 = Block trade, 2 = Liquidation trade, 3 = Position move
880	TrdMatchID	String(20)	Y	Unique identifier for the match event
1040	BlockID	String	N	Block trade identifier; present for block trades only
32	TradeQuantity	Int(9)	Y	Quantity traded
31	LastPx	Price(20)	Y	Price at which the trade occurred
60	TransactTime	UTCTimestamp(21)	Y	Time of trade in UTC; YYYYMMDD-HH:MM:SS.ssssss
442	MultiLegReportingType	Int(1)	N	Present for trades on multi-leg instruments. 1 = Single-leg trade, 2 = Leg of a multi-leg trade, 3 = Multi-leg trade
55	Symbol	String(24)	Y	Instrument name
54	Side	Char(1)	Y	Side of the trade. 1 = Buy, 2 = Sell
75	TradeDate	LocalMktDate(8)	Y	Trade date in YYYYMMDD format