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Comment: Published by Scroll Versions from this space and version 1.1.7

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There are nine possible scenarios as per the table below, all should be verified explicitly:

Client Logon

msgSeqNum

vs. Gateway-expected

Client Logon

NextExpectedMsgSeqNum vs. Gateway-actual

ResponseComment
<<Gateway sends Logout to Client and disconnects.Unrecoverable: Client-actual < Gateway-expected. Gateway to replay.
><Gateway sends Logon response to Client.Logged on to Gateway. Client to replay. Gateway to replay.
=<Gateway sends Logon response to Client.Logged on to Gateway. Client synchronised. Gateway to replay.
<>Gateway sends Logout to Client and disconnects.Unrecoverable: Client-actual < Gateway-expected. Client expected > Gateway-actual.
>>Gateway sends Logout to Client and disconnects.Unrecoverable: Client to replay. Client expected > Gateway-actual.
=>Gateway sends Logout to Client and disconnects.Unrecoverable: Client synchronised. Client expected > Gateway-actual.
<=Gateway sends Logout to Client and disconnects.Unrecoverable: Client-actual < Gateway-expected. Gateway synchronised.
>=Gateway sends Logon response to Client.Logged on to Gateway. Client to replay. Gateway synchronised.
==Gateway sends Logon response to Client.Logged on to Gateway. Client synchronised. Gateway synchronised.

Gateway to Replay

Client correctly handles resent messages and/or SequenceReset(GapFill) messages.

...

Warning
titleExplicit verification required

It is not acceptable to simply ignore these messages.

Refer to ErrorReport Error Handling for context.

Individual Scenarios that need to be verified:

  • Session Level - Informational notification by Whisperer of issues encountered during a UserRequest Logon cycle, and the planned next action.
  • Application Level - Notification of problems identified by Whisperer relating to the client message construction. This implies that there may will be a problem with the current business/trading state, and the Client must take decisive action to correct this.

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  • QuoteIDs  - Uniqueness is verified. The following characters are not allowed: ¬~`_!*,-:=[]/#<>
  • QuoteType - various combinations of Indicative/Tradeable for Bid and/or Offer.
  • ValidUntilTime - the Client should confirm whether this is part of their pricing workflow, or not.
  • Price precision - very important for Fwds. Refer to Prices and QuantitiesDatatypes.
  • Regulatory - All regulatory regimes must be explicitly declared as in or out of scope.
  • In scope regimes must be demonstrated to populate the required reg. fields correctly:
    • MTF - EDM/IDM - missing, wrong, correct - Client must observe and understand the Venue behaviour for each scenario. Refer to Regulatory Fields FAQ.
    • SEF
    • OFF

...

  • QuoteID and QuoteEntryIDs  - Uniqueness is verified. The following characters are not allowed: ¬~`_!*,-:=[]/#<>
  • NoQuoteEntries - Dynamic variation in the number of rungs, and published sides for each rung vs the request.
  • QuoteType - various combinations of Indicative/Tradeable for Bid and/or Offer.
  • ValidUntilTime - the Client should confirm whether this is part of their pricing workflow, or not.
  • Price precision - very important for Fwds. Refer to Prices and QuantitiesDatatypes.
  • Regulatory - All regulatory regimes must be explicitly declared as in or out of scope.
  • In scope regimes must be demonstrated to populate the required reg. fields correctly:
    • MTF - EDM/IDM - missing, wrong, correct - Client must observe and understand the Venue behaviour for each scenario. Refer to Regulatory Fields FAQ.
    • SEF
    • OFF

...

  • QuoteIDs  - Uniqueness is verified. The following characters are not allowed: ¬~`_!*,-:=[]/#<>
  • QuoteType - various combinations of Indicative/Tradeable for Bid and/or Offer.
  • ValidUntilTime - the Client should confirm whether this is part of their pricing workflow, or not.
  • Price precision - very important for Fwds. Refer to Prices and QuantitiesDatatypes.
  • Regulatory - All regulatory regimes must be explicitly declared as in or out of scope.
  • In scope regimes must be demonstrated to populate the required reg. fields correctly:
    • MTF - EDM/IDM - missing, wrong, correct - Client must observe and understand the Venue behaviour for each scenario. Refer to Regulatory Fields FAQ.
    • SEF
    • OFF

...

ESP Workflow

TODO

CLOB

Market Data

The client must be able to demonstrate correct market data processing by provision of their view of a book, after a sequence of MarketDataIncrementalRefresh messages defining:

  • A sequence of New, Change and Delete actions for individual MDEntries.
  • Provision of a Snapshot.

OrderDepth and PriceDepth books must both be correctly processed by the client.

The Client must correctly handle implicit deletes for entries that drop out of the client's subscribed MDBookDepth.TODO

Orders

TODO

Venue-Specific Certification

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