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Existing client FIX engine and technology can be used with minimal effort, by coding integrating against our Quickfix our Application Quickfix Data Dictionary and the standard FIXT.1.1 Session Data Dictionary.
Use of both interfaces is supported, e.g
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- Session Layer - The Interface uses FIXT.1.1 as the session layer definition. Refer to https://www.fixtrading.org/standards/fix-session-layer/ for further details. Note that no modifications to the standard FIXT1FIXT.1.1 session layer dictionary are required.
- API version - it is the responsibility of the Client to ensure that all FIX messages conform to the schema version of the deployed Bridge. This is provided by Whisperer in every message sent to the Client in the
CstmApplVerIDfield. (e.g.1129=mfsbe4.18459.0.0). Any Client message that that cannot be parsed correctly will be treated as corrupted and result in a session-disconnect. - Tag Order - ordering matters and must exactly match the ordering of fields in the data dictionary.
- Omitted Tags - Fields with default values do not need to be populated - they will automatically be treated as NULL. Empty 'No' and 'Has' groups can be entirely omitted. E.g
NoHops,HasLegNDFFields. - Timestamp Precision - The following Session-level timestamps are published at nanosecond precision in all messages to the Client:
SendingTime,OrigSendingTime,HopArrivalTime&HopNetworkTime. The Client may use any timestamp precision they wish forSendingTime&OrigSendingTimein its outbound messages - to a maximum of nanosecond precision. - Session Synchronisation - As with the SBE interface, the FIX interface utilises the
NextExpectedMsgSeqNumfield in the exchanged Logon messages to ensure session synchronisation.ResendRequestmessages are not supported. - Sequence Numbers - As with the SBE, inbound and outbound sequence numbers are reset on a weekly basis.
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