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For a given Client and given Whisperer Feed Handler deployment within MarketFactory, each session type will be assigned unique Venue connection credentials (typically TargetCompID and SenderCompID).
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24x5.5 Availability
All session types are maintained directly with an individual Whisperer Feed Handler and operate a weekly schedule . All Feed Handlers are available 24 x 5.5 - the full trading week 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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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).
- sendingTime - nanosecond-precision timestamp indicating when the message left the sender.
- msgSeqNum - this is the standard integer message sequence number. At When first establishing a connection at the start of a session trading week, it should be set to '1', and incremented with every subsequent message sent for the lifetime of the Whisperer SBE4 session.sendingTime - nanosecond-precision timestamp indicating when the message left the senderremainder of the trading week.
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This field should never be reset intra-week, for any session type. If the Client should disconnect from Whisperer during the trading week, they must continue the message sequence. |
Users
Whisperer SBE4 Direct requires the configuration of at least one 'User' to be used for a given Session. In general a single User should be associated with a single Venue/Session, although there is some flexibility as set out below.
Pricing
Venue as CLOB/Maker
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| Venue Type | |||||
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| SessionType | CLOB | Maker | Taker | ||
| Pricing | The client may organise subscriptions across Users as it deems fit.
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The client may organise subscriptions across Users as it deems fit.
| A single User must be defined |
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. This avoids the need for configuration and logic to be maintained within MarketFactory to route each Venue ESP QuoteRequest to specific individual Users. |
| Orders |
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Venue as CLOB/Maker
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| The Whisperer client may distribute Orders across Users as it deems fit. | The Whisperer client may distribute Orders across Users as it deems fit. |
Venue as Taker
A single User must be defined |
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. This avoids the need for configuration and logic to be maintained within MarketFactory to route each Venue |
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ESP Order to specific individual Users. |
| RFS |
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| - | The |
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Whisperer client may distribute RFQ and/or RFS across Users as it deems fit. |
Venue as Taker
A single User must be defined |
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. This avoids the need for configuration and logic to be maintained within MarketFactory to route each Venue RFS/RFQ QuoteRequest to specific individual Users. | |||
| DropCopy | This is a single feed per Venue, delivering trade notifications from the Venue to to the Customer. A single User is defined | ||
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. This avoids 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
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Overview
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