This page sets out the key aspects of establishing and managing sessions between a Whisperer Enterprise Client and a Feed HandlerGateway.

Logon

A FIX session is only fully established when the following stages are complete:

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Otherwise the Logon Service will hand off the connection to the target Feed HandlerGateway. From this point on, the Client is communicating directly with the Feed Handler the Gateway itself,  neither the LogonService, nor any other processes are involved.

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All Whisperer Enterprise messages are exchanged over TCP, with connectivity maintained directly between the Client and Feed Handler and Gateway - so message delivery and ordering are both guaranteed, whilst the socket connection is operating correctly.

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The table below specifies what messages are to be persisted and resent when necessary, as opposed to being gap-filled.

It will be noted that that all  messages that represent stateful events are persisted and resent by the MF Feed Handler MF Gateway - but only these. It is the responsibility of the Client application to determine the appropriate response.

For sequence gaps identified on the outbound Client Session, it is entirely the responsibility of the Client application to determine which Optional  message types are indeed to be persisted for possible resend. This is typically most important for Maker clients accepting or rejecting orders against Taker Venues, but other scenarios may need to be considered.

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User Session Synchronisation

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The MFAPI Client initiates a new session with a Logon message - populating NextExpectedMsgSeqNum which contains the next msgSeqNum value that the Client expects to receive from the Whisperer Feed HandlerGateway. 

The Whisperer Feed Handler Gateway validates the sequence number value as expected by the MFAPI Client as follows:

• If the Client msgSeqNum is lower than the Feed HandlerGateway's expected value, or the Client is expecting a sequence number higher than the Feed HandlerGateway's next-to-be-assigned msgSeqNum, then this is an unrecoverable error and the Feed Handler Gateway will abort the session with a Logout message (using it's next sequence number).

  Tip
  The Customer should contact MF Support Contact to agree the correct resolution actions.

  
  

• Otherwise, the Feed Handler the Gateway will issue a LogonResponse message - populating NextExpectedMsgSeqNum which contains the next msgSeqNum value that it expects to receive from the Client.

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• If the Client is expecting a sequence number lower than the Feed HandlerGateway's next-to-be-assigned msgSeqNum (as used in the preceding Logon response), then the message gap is resolved by the Feed Handler the Gateway with SequenceResetGapFill messages and/or the resending of persisted messages as necessary. The preceding LogonResponse will be gap-filled over. A concluding TestRequest will be issued by the Feed Handler Gateway to confirm the end of the replay.

  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 Feed Handler the Gateway 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 Feed Handler The Gateway will not resend a week's worth of persisted messages. Refer to 63805411 above for more detail

  
  

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• When the MFAPI Client receives the Feed HandlerGateway's LogonResponse message, the Client must behave in a similar manner, based on the returned NextExpectedMsgSeqNum value. Any message gap must be resolved by the Client with SequenceResetGapFill messages and/or the resending of persisted messages as necessary. The preceding Logon must be gap-filled over. The Feed Handler Gateway will issue a concluding TestRequest to confirm the end of the replay.

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• Irrespective of whether repays are required in either direction or not, the Feed Handler Gateway will always issue a further TestRequest to verify overall completion of the session synchronisation. Thus the Client may be expected to respond to one, two or three TestRequest messages in total to successfully Logon.

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Prior to Release 2020.11.16.WE, the Whisperer Enterprise Client synchronisation model mandated that the Client signal its completion of session synchronisation with a TestRequest. On receipt of this TestRequest, the Whisperer Feed Handler would respond with the necessary Heartbeat and then signal its own completion of session synchronisation with a TestRequest in the opposite direction. 

This is now deprecated and the Feed Handler issues all required TestRequest messages.

The Client may of course elect to issue TestRequest message at any time, as part of their own session verification logic.

In the sequence diagram below, the deprecated model is in red, whilst the replacement model is in green.

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Should the Client attempt to establish a second  (additional) session using the same credentials as of a currently-active Client session, then it will be rejected. The original session will be unaffected.

Session Monitoring

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For inbound Heartbeat and TestRequest messages sent by the Client , the Feed Handler the Gateway will allow a fixed maximum allowed message transmission time (MaxTx), currently set to one second, before treating the message as 'missed'. This is used to allow for some degree of hysteresis WRT message delivery latencies.

The Client may specify it's own MaxTx value and logic when monitoring inbound messages sent by the Feed HandlerGateway.

In both cases only the local clock is used as reference.

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Once the Client has successfully established a session with the Whisperer Feed Handler Gateway (i.e. on dispatch of the first Heartbeat message in response to the end of synchronisation TestRequest), subsequent Heartbeat messages are sent by each party as follows:

• The HeartBtInt value is specified by the Client in their Logon message and subsequently used by both sides of the Client Session, i.e. the Feed Handler the Gateway will always use the interval specified by the Client.
• The heartbeat interval timer should be reset after every message is transmitted (not just heartbeats).
• On expiry of the heartbeat interval timer, a Heartbeat message must be sent.

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