Prime FIX Market Data Client

A Go-based FIX protocol client for receiving real-time and snapshot market data from Coinbase Prime.

Features

• Real-time Market Data: Subscribe to live trades, order book updates, and OHLCV data
• Snapshot Data: Get point-in-time snapshots of trades, order books, and OHLCV data
• SQLite Storage: All market data is stored in a local SQLite database for analysis
• CLI Interface: Interactive command-line interface with tab completion
• Multiple Data Types: Supports trades, bids/offers, and OHLCV (Open, High, Low, Close, Volume)

Prerequisites

• Go 1.23.2 or higher
• Coinbase Prime account with FIX API access
• Valid API credentials (Access Key, Signing Key, Passphrase, Service Account ID, Portfolio ID)

Installation

1. Clone the repository
2. Install dependencies:

   go mod tidy

3. Build the application:

   go build -o fix-md-client ./cmd

Configuration

Create a fix.cfg file in the project root with your FIX session configuration. Use fix.cfg.example as a template:

cp fix.cfg.example fix.cfg
# Edit fix.cfg with your service account ID

TLS Setup (Optional)

Coinbase Prime FIX supports native TLS, so no stunnel or proxy is required.

To generate a local CA certificate bundle from your system trust store, run:

security find-certificate -a -p /System/Library/Keychains/SystemRootCertificates.keychain > ~/system-roots.pem

Then edit your fix.cfg file to replace YOUR_SSL_CA_FILE_PATH with the path to your CA file and YOUR_SENDER_COMP_ID with your actual service account ID:

SSLCAFile=/Users/yourname/system-roots.pem
SenderCompID=YOUR_SVC_ACCOUNT_ID

Environment Variables

Set the following environment variables with your Coinbase Prime credentials:

export PRIME_ACCESS_KEY="your-access-key"
export PRIME_SIGNING_KEY="your-signing-key" 
export PRIME_PASSPHRASE="your-passphrase"
export PRIME_SVC_ACCOUNT_ID="your-service-account-id"
export PRIME_TARGET_COMP_ID="COIN"
export PRIME_PORTFOLIO_ID="your-portfolio-id"

Alternatively, copy .env.example to .env and fill in your credentials:

cp .env.example .env
# Edit .env with your actual credentials

Usage

Run the application:

# Option 1: Run directly (no build needed)
go run cmd/main.go

# Option 2: Run compiled binary
./fix-md-client

Available Commands

Market Data Request

md <symbol1> [symbol2 symbol3 ...] [flags...]

Subscription Types:

• --snapshot - Get a one-time snapshot
• --subscribe - Subscribe to real-time updates
• --unsubscribe - Stop real-time updates

Depth Control (for order books):

• --depth 0 - Full order book (all available price levels)
• --depth 1 - Top of book L1 (best bid + best offer only)
• --depth N - LN book (best N bids + best N offers, e.g., L5, L10, L25) Automatically includes both bids and offers

Data Types:

• --trades - Trade executions
• --o - Opening price
• --c - Closing price
• --h - High price
• --l - Low price
• --v - Trading volume

Unsubscribe Commands

unsubscribe <symbol|reqId>

Unsubscribe Options:

• unsubscribe BTC-USD - Cancel ALL active subscriptions for BTC-USD
• unsubscribe md_1234567890 - Cancel specific subscription by reqId
• unsubscribe --reqid md_123 - Cancel specific subscription (explicit flag)

Auto-detection: Inputs starting with "md_" are treated as reqIds, otherwise as symbols.

Other Commands

• status - Show active subscriptions with reqIds (live streams only)
• help - Display help information
• version - Show version
• exit - Quit application

Example Commands

# Trade snapshot (100 most recent trades)
md BTC-USD --snapshot --trades

# Full order book snapshot (all available levels)
md BTC-USD --snapshot --depth 0

# First level order book snapshot (best bid + best offer)
md BTC-USD --snapshot --depth 1

# First 10 levels order book snapshot (best 10 bids + 10 offers)
md BTC-USD --snapshot --depth 10

# Subscribe to live trades
md BTC-USD --subscribe --trades

# Subscribe to live Level 5 order book (5 bids + 5 offers)
md BTC-USD --subscribe --depth 5

# OHLCV snapshot
md ETH-USD --snapshot --o --c --h --l --v

# Subscribe to live candle updates (allow 30s for connection to establish)
md BTC-USD --subscribe --o --c --h --l --v

# Multi-symbol examples
md BTC-USD ETH-USD --snapshot --trades            # Multiple symbol trade snapshot
md BTC-USD ETH-USD SOL-USD --snapshot --depth 1   # Top of book for 3 symbols
md BTC-USD ETH-USD --subscribe --trades           # Live trades for multiple symbols

# Unsubscribe examples
unsubscribe BTC-USD                    # Cancel ALL BTC-USD subscriptions
unsubscribe md_1757035274634111000     # Cancel specific subscription by reqId
unsubscribe --reqid md_123456789       # Cancel specific subscription (explicit)
md BTC-USD --unsubscribe               # Alternative: cancel ALL BTC-USD subscriptions

# Check active subscriptions
status

Subscription Management

Multiple Subscriptions

You can have multiple active subscriptions per symbol. For example:

md BTC-USD --subscribe --trades              # Live trades (reqId: md_123)
md BTC-USD --subscribe --depth 5             # Live L5 bids+offers (5 bids + 5 offers, reqId: md_456)

Subscription Tracking

• Snapshots (--snapshot) are not tracked (one-time requests)
• Subscriptions (--subscribe) are tracked in the status display
• Each subscription gets a unique reqId for precise control

Unsubscribe Behavior

• Symbol-based: unsubscribe BTC-USD cancels ALL BTC-USD subscriptions
• ReqId-based: unsubscribe md_123 cancels only that specific subscription
• Auto-detection: Inputs starting with "md_" are treated as reqIds

Status Display

FIX-MD> status
Active Subscriptions:
┌─────────────┬──────────────────┬─────────────┬─────────────┬──────────────┬──────────────────┐
│ Symbol      │ Type             │ Status      │ Updates     │ Last Update  │ ReqID            │
├─────────────┼──────────────────┼─────────────┼─────────────┼──────────────┼──────────────────┤
│ BTC-USD     │ Snapshot + Updates │ Active    │ 150         │ 14:23:45     │ ...4111000       │
│             │ Snapshot + Updates │ Active    │ 89          │ 14:23:45     │ ...4222000       │
│ ETH-USD     │ Snapshot + Updates │ Active    │ 45          │ 14:22:10     │ ...4333000       │
└─────────────┴──────────────────┴─────────────┴─────────────┴──────────────┴──────────────────┘

Data Capabilities

Depth Support

• Trades: Always returns ~100 most recent (depth parameter ignored)
• Order Book (bids/offers): Supports L1, L5, L10, L25, etc.
• OHLCV: Always returns ~100 entries (depth parameter ignored)

Subscription Support

• Trades: Supports real-time streaming
• Order Book (bids/offers): Supports real-time streaming
• OHLCV: Supports real-time candle updates

Understanding Market Data

Order Book Depth Subscriptions

When you subscribe to order book depth (e.g., --depth 3), you'll receive incremental updates as market conditions change:

• Depth 3 means "up to 3 best price levels" on each side
• You may not always see exactly 3 bids and 3 offers due to:
  • Price levels being removed when size reaches zero
  • New price levels appearing within the top N levels
  • Market gaps where fewer than N levels exist
• Updates show real-time changes: new levels, size changes, level removals
• Track position numbers to understand level ranking (1=best, 2=second best, etc.)

Snapshot vs Live Data

• Snapshots (--snapshot) - One-time current state, not tracked
• Subscriptions (--subscribe) - Continuous live updates, tracked in status

Data Storage

Market data is stored in marketdata.db (SQLite) with tables for:

• trades - Trade executions with price, size, and timestamps
• order_book - Bid/offer levels with position and depth
• ohlcv - Open, high, low, close, and volume data
• sessions - Request metadata and subscription tracking

Output Format

Snapshot Display

Snapshots are displayed in formatted tables showing all received data.

Streaming Display

Real-time updates are shown as individual lines:

Market Data Incremental for BTC-USD (ReqID: md_1234567890, Entries: 2, Seq: 42)
BTC-USD Trade: 50000.00 | Size: 0.1 | Aggressor: Buy
BTC-USD Trade: 50001.00 | Size: 0.05 | Aggressor: Sell
────────────────────────────────────────────────

BTC-USD Bid: 49995.00 | Size: 1.5 | Pos: 1
BTC-USD Offer: 50005.00 | Size: 2.0 | Pos: 1
────────────────────────────────────────────────