The Lab

Expand all   Collapse all

Versions Compared

Old Version 5

changes.mady.by.user Unknown User (michael.shapiro)

Saved on

compared with

New Version 6

changes.mady.by.user Unknown User (michael.shapiro)

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.
Comment: Published by Scroll Versions from this space and version 1.1.4

...

  • 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 FIXT.1.1 session 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 CstmApplVerID field. (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 Client messages should match the ordering of fields in the data dictionary.  In particular, Clients must ensure that the first tag of each group is correct and ensure the ordering of nested groups.
  • 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 for  SendingTime & OrigSendingTime in its outbound messages - to a maximum of nanosecond precision.
  • Session Synchronisation - As with the SBE interface, the FIX interface utilises the NextExpectedMsgSeqNum field in the exchanged Logon messages to ensure session synchronisation. ResendRequest messages are not supported.
  • Sequence Numbers - As with the SBE, inbound and outbound sequence numbers are reset on a weekly basis.


Warning
titleCustomised Dictionary

Our data dictionary conforms to the QuickFIX defacto standard, but it should be noted that it also extended so that field definitions may have an additional trs_attrs attribute, for internal usage.

Whilst we have validated that QuickFIX ignores these custom attributes, this may not be the case for other FIX engines.

Should you wish to use this dictionary and encounter any difficulties as a result of these attributes, just delete them.


Message Specification

Standard Header

...