Multiplexing Guidelines

Whisperer Enterprise requires the configuration of at least one 'User' to be used for a given Session. In general a single User should be associated with a single Venue/Session, although there is some flexibility as set out below.

SessionType	Venue is CLOB	Client is Taker	Client is Maker
Pricing	A single User must be defined and used for all MarketData subscriptions. This ensures consistent latency and throughput characteristics.	A single User must be defined and used for all ESP subscriptions. This ensures consistent latency and throughput characteristics.	A single User must be defined. This avoids the need for configuration and logic to be maintained within MarketFactory to route each Venue ESP QuoteRequest to specific individual Users.
Orders	The Whisperer Client may distribute Orders across Users as it deems fit.	The Whisperer Client may distribute Orders across Users as it deems fit.	A single User must be defined. This avoids the need for configuration and logic to be maintained within MarketFactory to route each Venue ESP Order to specific individual Users.
RFS	-	The Whisperer Client may distribute RFQ and/or RFS subscriptions across Users as it deems fit.	A single User must be defined. This avoids the need for configuration and logic to be maintained within MarketFactory to route each Venue RFS/RFQ QuoteRequest to specific individual Users.
DropCopy	This is a single feed per Venue, delivering trade notifications from the Venue to to the Customer. A single User is defined. This avoids the need for configuration and logic to be maintained within MarketFactory to route trade notifications from the Venue to specific individual users.

Logon

Each individual client User maintains an individual session with the Gateway, and each one must establish a connection to the Venue via a UserRequest as described in Venue Connection Management.

The first user to do this will trigger Whisperer to establish the venue-side session and resolve any session synchronisation issues that arise.

FIX Session Synchronisation with Multiplexed Users

In the event of a Venue FIX Session failure, session synchronisation will be triggered when the first Client User reconnects. Specific implications relating to this are discussed below.

Gateway Detection of Venue Sequence Number Gaps

In this case any resent messages will only be forwarded to the Client when the correct Client User finally reconnects. This implies that state should be persisted across Venue Connections.

Venue Detection of Gateway Sequence Number Gaps

The first Client User to reconnect will trigger FIX message resends from the Gateway to the Venue for all affected Client User Sessions. Any messages sent by the Venue in response will only be forwarded to the Client when the correct Client User finally reconnects.

Client Session Synchronisation

Any Client User messages delivered during Client Session synchronisation will only be forwarded when that User finally reconnects to the Venue. This may be some considerable period after the FIX session has been established, from the Venues perspective. This scenario is thus subject to the same caveats as outlined above.

Logout

Similarly, when Client Users request a disconnection from the Venue via UserRequest (UserRequestType=LogOffUser), it is only the request of the last User that will actually trigger Whisperer to logout from the venue-side session. Any messages received from other client users will be persisted by Whisper until their next venue session is established.

Cancel On Disconnect

Orders may be automatically cancelled in the event of session outages.

Context

A session disconnect may occur in the following contexts:

Between Whisperer and Venue - When the Venue session is lost, Whisperer will notify all Client Users via UserNotification (UserStatus=LoggedOff) as per VenueLogoff details. The Venue will apply any Cancel-on-Disconnect rules applicable for their venue, and cancellations will be delivered along with any other In-flight ExecutionReports, as part of the synchronisation of the re-established session.
Between Client and Whisperer - When a session with an individual Client User is lost, Whisperer will automatically send OrderCancelRequest message for all in-scope active orders, as per the table below. NOTE: If the last Client User is disconnected unexpectedly, currently Whisperer will drop the socket connection to the Venue so as to trigger Venue Cancel-on-Disconnect.

Scope

TimeInForce	Description	Cancel On Disconnect
DAY	Short-lived Orders (single trading day)	YES
GTC	Long-lived Orders (multiple trading days)	NO
IOC	Immediate Orders	NO
FOK	Immediate Orders	NO
GTD	Short-lived Orders (typically single trading day)	YES
GFT	Short-lived Orders (typically single trading day)	YES
GFA	Auction-period Orders (Fixing)	NO
AMO	Auction-period Orders (Market Open)	NO
AMC	Auction-period Orders (Market Close)	NO

Session Sharing (User Multiplexing)