This extension provides a standard, extensible way for throttle parameters to be communicated between the exchange/market and the messaging source.

Exchanges and Markets are subject to large spikes in volume from various Direct Market Access (DMA) sources including ALGOs, Smart Order Routers and other concentrators of order/quoting flow. These spikes in flow can cause the exchanges to slow down dramatically once a certain overall rate of messaging has been reached and sustained for a period of time.

Many exchanges provide “throttle” mechanisms that provide a method of slowing down messages, rejecting messages or disconnecting sessions above a certain rate of messages. A throttle is normally set at level of so many messages per unit of time per a session, on other exchanges an alternative method of number of outstanding requests may be used. Additionally, some exchanges provide the ability to throttle by message type or take action on a message given that the message is throttled.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2011-12-06] Added repository and FIXML Schema.