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The MFTradingHandler interface specifies callbacks for each message type generated by an MFTradingSession object.


Sequence Numbers

  • These message types have sequence numbers from the server: OrderCancelReject, ExecutionReport
  • Sequence numbering starts at 0
  • Set your NextExpectedMsgSeqNum in the TradingSessionStatusRequest message
  • If you detect a gap in sequence numbers the appropriate action is to disconnect and reconnect. Use the TradingSessionStatusRequest message
    to send your NextExpectedMsgSeqNum and get a replay of any missed message(s).

Replay

  • Note: The ResendRequest message is deprecated. Clients should not send it. This message only exists in the mfproto-trading.xml schema. The published APIs do not provide the ability to send this message.
  • To get a replay of a missed message or messages - disconnect and reconnect. Then use the TradingSessionStatusRequest message to send your NextExpectedMsgSeqNum and get a replay of any missed message(s). 
    • If your NextExpectedMsgSeqNum is greater than the server has sent - you will receive a TradingSessionStatus message with a TradingSubscriptionStatus=messageNextExpectedMsgSeqNumTooHigh
    • If your NextExpectedMsgSeqNum is less than the server has sent - you will get a replay starting at that message to the end of available messages
    • If your NextExpectedMsgSeqNum is equal to the what the server has then you are in sync and no replay will happen.