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TODO
1. user sends initiates a transaction after either sending/ receiving a logout.
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This seems to be the same as 1?
Overview
Session Types
Whisperer SBE4 Maintains the following session types:
- Pricing - used for delivery of Market Data from a CLOB Venue, or ESP mass-quotes from a Maker.
- Orders - used for submission and execution of CLOB Venue orders, or trading against ESP Maker liquidity (published on a separate Pricing session).
- RFS - used for the full RFS/RFQ quotation negotiation life cycle between Maker and Taker.
- DropCopy - used for the delivery of post-Trade Straight-Through Processing (STP) trade notifications. Typically this will be
Session Schedule
All session types are maintained directly with an individual Whisperer Feed Handler and operate a weekly schedule commencing on Sunday prior to Asia-open and ending on Friday, NY-close. This is irrespective of the schedule of the Venue itself,
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This field should never be reset intra-week, for any session type. |
Message Header
In addition to the default SBE message header fields (blockLength, templateId, schemaId and version), the MFSBE4 header additionally defines the mandatory population of the following fields:
- messageLength - this is provided to allow verification that the full message has indeed been received (e.g. should it span multiple packets).
- msgSeqNum - this is the standard integer message sequence number. At the start of a session it should be set to '1', and incremented with every subsequent message sent.
- sendingTime - nanosecond-precision timestamp indicating when the message left the sender.
Logon
Session Synchronisation
The Whisperer SBE4 APi utilises the 'new' model of session synchronisation introduced in FIX 4.4. This ensures that each side can expect any sequence number gaps to be filled automatically, eliminating the need for ResendRequest messages - and the problems that historically accompany these.
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After any inbound sequence number gaps have been resolved for the MFAPI Client, it then reciprocates in a similar manner, based on the the next MsgSeqNum[34] value that the Whisperer Feed Handler expects to receive from the client - as specified in it's LogonResponse.
| Warning |
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| The mutual exchange of TestRequest and Heartbeat (response) messages are required as verification that no sequence number gaps remain. The MFAPI client should only proceed after it has received the Heartbeat sent in response to it's own TestRequest. |
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Message Persistence
The table below specifies what messages are to be persisted and resent when necessary, as opposed to being gap-filled:
| Message | Sent By | Received By | Persisted |
|---|---|---|---|
| Logon | Client (Both) | Feed Handler | No |
| LogonResponse | Feed Handler | Client (Both) | No |
| Logout | Client (Both) | Feed Handler | No |
| LogoutResponse | Feed Handler | Client (Both) | No |
| SequenceResetGapFill | Client (Both) | Feed Handler | No |
| Feed Handler | Client (Both) | No | |
| Heartbeat | Client (Both) | Feed Handler | No |
| Feed Handler | Client (Both) | No | |
| TestRequest | Client (Both) | Feed Handler | No |
| Feed Handler | Client (Both) | No | |
| SecurityStatus | Feed Handler | Client (TAKER) | No |
| UserRequest | Client (Both) | Feed Handler | No |
| UserNotification | Feed Handler | Client (Both) | No |
| ErrorReport | Feed Handler | Client (Both) | Yes |
| MarketDataRequest | Client (Both) | Feed Handler | No |
| MarketDataRequestReject | Feed Handler | Client (Both) | No |
| MarketDataIncrementalRefresh | Feed Handler | Client (Both) | No |
| QuoteRequest | Client (TAKER) | Feed Handler | Optional |
| Feed Handler | Client (MAKER) | Yes | |
| QuoteRequestReject | Client (MAKER) | Feed Handler | Optional |
| Feed Handler | Client (TAKER) | Yes | |
| Quote | Client (MAKER) | Feed Handler | No |
| Feed Handler | Client (TAKER) | No | |
| MassQuote | Client (MAKER) | Feed Handler | No |
| Feed Handler | Client (TAKER) | No | |
| QuoteResponse | Client (MAKER) | Feed Handler | Optional |
| Feed Handler | Client (TAKER) | Yes | |
| Client (TAKER) | Feed Handler | Optional | |
| Feed Handler | Client (MAKER) | Yes | |
| NewOrderMultileg | Client (Both) | Feed Handler | Optional |
| Feed Handler | Client (MAKER) | Yes | |
| OrderCancelReplaceRequest | Client (Both) | Feed Handler | Optional |
| OrderCancelRequest | Client (Both) | Feed Handler | Optional |
| OrderCancelReject | Feed Handler | Client (Both) | Yes |
| OrderTimeout | Feed Handler | Client (Both) | Yes |
| ExecutionReport | Client (MAKER) | Feed Handler | Yes |
| Feed Handler | Client (TAKER) | Yes | |
| ExecutionAck | Client (TAKER) | Feed Handler | Optional |
| Feed Handler | Client (MAKER) | Yes |
Logon to Existing Session
Any attempt by the MFAPI client to log on to an existing session will result in the session being aborted.
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| Gliffy Diagram | ||||
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Session Monitoring
Active sessions are monitored at the application level by each party via Heartbeat and TestRequest messages. Indications of problems must result in the monitoring party aborting the session.
The maximum allowed message transmission time (MaxTx) between between the MFAPI Client and the Whisperer Feed Handler is fixed, currently set to one second.
Heartbeats
Once the MFAPI Client has successfully established a session with the Whisperer Feed Handler (i.e. on dispatch of the first Heartbeat message in response to the end of synchronisation TestRequest), subsequent Heartbeat messages are sent by each party at the interval specified by the MFAPI client in it's Logon message.
| Note |
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| Unlike standard FIX sessions, Heartbeat messages must be published as a metronome - no allowance should be made based on whether or not other messages are sent within each interval. |
| Warning |
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| A heartbeat is deemed to have been missed if it is not received within HeartBtInt + MaxTx seconds and must result in the monitoring party issuing a TestRequest. |
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User fails to respond to a testrequest and sends no messages
Same but in the opposite direction.
Test Request
TestRequest messages may be issued by either party and should under normal circumstances result in a Heartbeat being sent in response, echoing the specified TestRequestID.
| Tip |
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TestRequest messages may |
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be used to obtain an approximate indication of message round-trip times between the MFAPI Client and the Whisperer Feed Handler. |
| Warning |
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| If no Heartbeat response is received within HeartBtInt + MaxTx seconds of the issuance of the TestRequest, then the party |
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| must abort the session with a Logout message. |
| Gliffy Diagram | ||||
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ErrorReport
The ErrorReport is a custom, user-defined, message used by the Whisperer Feed Handler to notify the MFAPI Client when erroneous messages are received:
From Client
- At an invalid lifecycle phase.
- Message is not supported by the Venue (e.g. sending a quote to a Maker Venue)
- Message contains invalid data
From Venue
- A FIX Reject or BusinessMessageReject message
Since there are scenarios where ErrorReport messages may not be delivered (e.g. during session abort sequences), these messages are persisted and will be delivered on reconnection.
Logout
| Warning |
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All Logout messages must be echoed with a LogoutResponse. If no LogoutResponse is received within HeartBtInt + MaxTx seconds of the issuance of the Logout, then the session and associated TCP socket connection |
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must be dropped. | ||
| Note | ||
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All messages received by the Whisperer Feed Handler between the exchange of Logout and LogoutResponse messages will result in ErrorReport messages.
Venue Login
Session startup behaviour is standardised across Taker, Maker and CLOB Venue types as follows:
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Overview
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