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| Note | ||
|---|---|---|
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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 when re-establishing the session. |
Users
Whisperer 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.
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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
Session Synchronisation
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If the Client is expecting a sequence number higher than the FH's next-to-be-assigned msgSeqNum, then this is an unrecoverable error and the FH will abort the session with a Logout message.
Tip The Customer should contact MF Support to agree the correct resolution actions. - Otherwise the FH will issue a LogonResponse message containing the next MsgSeqNum[34] value that it expects to receive from the client.
If the Client is expecting a sequence number lower than the FH's next-to-be-assigned msgSeqNum[34], then the message gap is resolved by the FH with SequenceResetGapFill messages and/or the resending of persisted messages as necessary.
Warning Should a client specify a next-expected inbound sequence number too low (e.g. expecting '1' on re-logon just prior to weekly trading session close), then the FH will service most of the range to correct with a SequenceResetGapFill. For the more recent messages that are still persisted, these will be processed as normal.
The FH will not resend a week's worth of persisted messages. Refer to Whisperer Direct - Session Management above more more detail.
The Whisperer Feed Handler signals it's completion of session synchronisation with a TestRequest.
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