The MFTradingHandler interface specifies callbacks for each message type generated by an MFTradingSession object.

Sequence Numbers

• These message types have sequence numbers from the server: OrderCancelReject, ExecutionReport
• Sequence numbering starts at 0
• Set your NextExpectedMsgSeqNum in the TradingSessionStatusRequest message
• If you detect a gap in sequence numbers the appropriate action is to disconnect and reconnect. Use the TradingSessionStatusRequest message
  to send your NextExpectedMsgSeqNum and get a replay of any missed message(s).

Replay

• Note: The ResendRequest message is deprecated. Clients should not send it. This message only exists in the mfproto-trading.xml schema. The published APIs do not provide the ability to send this message.
  
• To get a replay of a missed message or messages - disconnect and reconnect. Then use the TradingSessionStatusRequest message to send your NextExpectedMsgSeqNum and get a replay of any missed message(s). 
  • If your NextExpectedMsgSeqNum is greater than the server has sent - you will receive a TradingSessionStatus message with a TradingSubscriptionStatus=messageNextExpectedMsgSeqNumTooHigh
  • If your NextExpectedMsgSeqNum is less than the server has sent - you will get a replay starting at that message to the end of available messages
  • If your NextExpectedMsgSeqNum is equal to the what the server has then you are in sync and no replay will happen.

Order Filled

• When an order is filled you'll receive an ExecutionReport with OrdStatus=Filled and ExecType=Trade. Immediately after you'll receive an extra ExectuionReport with OrdStatus=Filled and ExecType=Restated. This extra message can be ignored - it is there only to represent the Classic API OrderDoneMessage that is sent after the final TradeCaptureMessage and ensure contiguous messaging sequence numbers.