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This is a single feed per Venue, delivering trade notifications from the Venue to to the Customer. A single User is defined, avoiding the need for configuration and logic to be maintained within MarketFactory to route trade notifications from the Venue to specific individual users.
Client Session Management
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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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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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.
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Test Request
TestRequest messages may be issued by either party and under normal circumstances result in a Heartbeat being sent in response, echoing the specified TestRequestID.
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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 must be dropped. |
All messages received by the Whisperer Feed Handler between the exchange of Logout and LogoutResponse messages will result in ErrorReport messages.
ErrorReport
The ErrorReport is a custom, user-defined, message used by the Whisperer Feed Handler to notify the MFSBE4 Client when erroneous messages are received:
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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.
Venue Session Management
Login
Session startup behaviour is standardised across Taker, Maker and CLOB Venue types as follows:
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Session Synchronisation
End of Day Resets
| Note | ||
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Illustrate multiple logon attempts to venue - 5 attempts, one minute interval, then logout to client. Eg Consider Reuters MAPI. |
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