Client Session Handling

Verify that all Client Timestamps are expressed as UTC in all messages

• 52/SendingTime
• 122/OrigSendingTime (resends only)
• 60/TransactTime (Quote, MassQuote, ExecutionReport)

Logon

Client Logon message contains the correct values for:

• HeartBtInt
• SessionType = RFS
• Username/Password - correct
• VenueName = ?/?

Session Synchronisation

Client Logon next-expected = MF actual

Receive TestRequest, correctly send Heartbeat response.

Client Logon next-expected < MF actual

Correctly handles resent messages and/or SequenceResetGapFill messages.

Receive TestRequest, correctly send Heartbeat response.

Client Logon next-expected > MF actual

Expect disconnect.

MF LogonResponse next-expected = Client actual

Correctly sends TestRequest, wait for response (this is synchronisation complete).

MF LogonResponse next-expected < Client actual

Correctly resends messages and/or SequenceResetGapFill messages.

MF LogonResponse next-expected > Client actual

Correctly disconnects.

Logoff

All client sessions must be terminated gracefully.

Client-Initiated Logoff

Client may only issue Logoff when no Venue session is active.

Client waits for reciprocal Logoff message from MF.

MF-Initiated (e.g. on weekend restart)

Client responds to MF-issued Logoff message with reciprocal Logoff.

Session Monitoring

Client Heartbeats

In the absence of sending other messages, the Client publishes Heartbeat messages at their specified interval (Logon HeartBtInt)

Client Monitoring of MF Messaging

In the event that no message has been received from MF after the HeartBtInt, the Client

• Correctly timesout and sends TestRequest.
• Correctly timesout and sends Logout.
• Correctly timesout and disconnects.

TestRequest Handling

The Client sends a Heartbeat message in response to every MF TestRequest message received.

Venue Connectivity

The sequencing matters. 

UserRequest (LogOnUser)

Client directs MF to connect to Venue.

Message only sent when the client is not currently logged on.

ErrorReport

Client receives MF notification of any connectivity problems and planned next action.

UserNotification (LoggedOn)

Client is notified when Venue connectivity is established.

UserRequest (LogOffUser)

Client directs MF to disconnect from Venue.

Message may be sent:

• When MF is in a connection-attempt cycle, after a prior UserRequest (LogOnUser)
• When client has been notified that they have been logged on via UserNotification (LoggedOn).

UserNotification (LoggedOff)

Maker RFS Workflow

-focus on _outbound_ message correctness.

QuoteRequest

SPT, FWD, NDF, SWP, NDS, BLK, NDB (FXall)
Allocations
Zero net allocs
Buy/Sell/Two-Way
Base/Term ccy qtys
OFF/SEF/MTF

QuoteResponse

Outbound Client > Venue

Rejection (Minimally Credit check failure vs unsupported pair)
Timeout

Quote - as per QuoteRequest, plus
QuoteID Uniqueness
Indicative/Tradeable
Regulatory
SEF
MTF
EDM/IDM - missing, wrong, correct - Client must observe and understand the Venue behaviour for each scenario.
OFF

Inbound Venue > Client

Timeout

Execution Report
Accept
Reject (e.g. Credit Check failure)
Regulatory
SEF
MTF
OFF

https://confluence.marketfactory.com/download/attachments/11568412/RFQ_Test_Cases_Maker_03072019.xlsx
https://confluence.marketfactory.com/download/attachments/11568420/TCPITestCasesv5%200%20-SEF.xlsx

Venue side (private to MF)
Increase our sequence number
Decrease our sequence number
Decrease the sequence number we expect
Increase the sequence number we expect
Test force disconnect & automatic reconnect of session
Test regular disconnect of session