Summary
The Enterprise Replay Service allows a client to replay messages from any of their venue sessions.
Messages are available for replay immediately after they are sent to the client.
The current week's messages are available for replay. If you reset sequence numbers during the week, you will need to use a time-based query to replay messages from before the reset. It is possible, depending on the nature of the sequence number reset, that after thereset messages will not be available for replay.
- Currently this service is only available to SBE protocol clients.
- Message field information can be found in the SBE schema message definition.
- Only Execution Reports are replayable.
- Only Execution Reports sent to the client from the MarketFactory servers are replayable.
- Supports multiple concurrent connections.
Client Session Management & Logon
Logon to the Replay Service is identical to any other gateway - see https://confluence.marketfactory.com/x/IIFZAg for details.
The Replay Service will never gap fill or require the client to gap fill. It will instead match the expected sequenece numbers provided in the Logon Message.
Any enabled user can be used to access the replay service even if the user is concurrently connected to other services.
| Logon Message Notes. Does not cover all fields - refer to the SBE schema for other notes. | ||
|---|---|---|
| Field | Comments | Example |
| venuename | Replay service identifier provided by MarketFactory. | client_replay |
| nextExpectedMsgSeqNum | The replay service does not track sequence numbers across sessions. It will match the sequence numbers of the client logon message. It is preferred to set the Logon Message msgSeqNum and nextExpectedMsgSeqNum to 1. | 1 |
| sessionType | Must be 'Replay' | Replay |
Logon Example
logonEncoder
.venuename("client_replay")
.username("testuser")
.password("user1password")
.nextExpectedMsgSeqNum(1)
.heartBtInt((short) 30)
.sessionType(SessionType.Replay)
.text("");
Replay Protocol Summary
After a successful logon
1) Submit an ApplicationMessageRequest to start the replay.
2) Receive zero or more ReplayedMessage messages.
3) Receive 1 ApplicationMessageReport message at the end of the replay. Every request will be terminated with an ApplicationMessageReport.
4) To start another replay, stay connected and repeat steps 1-4 above; or disconnect.
- Only one ApplicationMessageRequest can be serviced at a time.
- Only Execution Reports sent to the client from the MarketFactory servers are replayable.
- Once a replay is complete, a new one may be started.
- Do not send a UserRequest message.
| ApplicationMessageRequest Field Notes. Does not cover all fields - refer to the SBE schema for other notes. | ||
|---|---|---|
Field | Comments | Example |
RefApplID | Gateway service name with type to replay message for. Format - venue_name.session_type. | lmax.maker.exchange.Orders |
ApplMessageTypes | Replays original messages with a type matching one of the provided values. Note: Only 'ExecutionReport' is supported and must be included in this field. Any other requested message types will be ignored. | .applMessageTypes().clear().executionReport(true) |
ApplBegSeqNum | Replays original messages with a seqNum greater than or equal to this value. If provided, the ApplEndSeqNum must also be provided. Must be less than the ApplEndSeqNum. Inclusive. | 352 |
ApplEndSeqNum | Replays original messages with a seqNum less than or equal to this value. If provided, the ApplBegSeqNum must also be provided. Must be greater than the ApplBegSeqNum. Inclusive. | 400 |
ApplStartTime | Replays original messages with a sendingTime greater than or equal to this value. If provided, the ApplEndTime must also be provided. Must be less than ApplEndTime. Epoch nanos. | 1625718249000000000 |
ApplEndTime | Replays original messages with a sendingTime less than or equal to this value. If provided, the ApplStartTime must also be provided. Must be greater than ApplStartTime. Epoch nanos. | 1625718259000000000 |
Acceptable ApplicationMessageRequest parameter combinations
- Note: All 4 values must be explicitly set in each request. If not 'Set' to a value then explictily set the appropriate 'Null' Value.
| applBegSeqNum | applEndSeqNum | applStartTime | applEndTime | Query |
|---|---|---|---|---|
| Set | Set | Null | Null | Replay all Execution Reports with sequence numbers equal to and between the provided sequence numbers. |
| Null | Null | Set | Set | Replay all Execution Reports between the provided start and end times. |
| Set | Set | Set | Set | Replay all Execution Reports between both the time and sequence numbers. |
Example ApplicationMessageRequest to start a sequence number based replay.
ApplicationMessageRequest Example
applicationMessageRequestEncoder
.applReqID(System.currentTimeMillis())
.applReqType(ApplReqType.StartRetransmission);
final var noApplIDsEncoder = applicationMessageRequestEncoder.noApplIDsCount(1);
noApplIDsEncoder.next();
noApplIDsEncoder
.refApplID("fidessa_orders.Orders")
.applUsername("Test")
.applMessageTypes().clear().executionReport(true);
noApplIDsEncoder.applBegSeqNum(1);
noApplIDsEncoder.applEndSeqNum(10000);
noApplIDsEncoder.applStartTime(ApplicationMessageRequestEncoder.NoApplIDsEncoder.applStartTimeNullValue());
noApplIDsEncoder.applEndTime(ApplicationMessageRequestEncoder.NoApplIDsEncoder.applEndTimeNullValue());
Example decoding original message in ReplayedMessage - Not Safe for Production
public void onReplayedMessage(MessageHeaderDecoder messageHeader, ReplayedMessageDecoder replayedMessage) {
LOG.info(format("[Replay] Received replayed message [%s %s]", messageHeader, replayedMessage));
final ByteBuffer rawBuffer = ByteBuffer.allocateDirect(16000);
final UnsafeBuffer raw = new UnsafeBuffer(rawBuffer);
replayedMessage.getRawMessage(raw, 0, replayedMessage.rawMessageLength());
final MessageHeaderDecoder header = new MessageHeaderDecoder().wrap(raw, 0);
final int msgId = header.templateId();
switch (msgId) {
case ExecutionReportDecoder.TEMPLATE_ID: {
final ExecutionReportDecoder erd = new ExecutionReportDecoder().wrap(raw, header.encodedLength(), ExecutionReportDecoder.BLOCK_LENGTH, ExecutionReportDecoder.SCHEMA_VERSION);
System.out.println(erd);
break;
}
default: {
System.out.println("Unhandled message: " + msgId);
}
}
Overview
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