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High Performance Interface WG
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Business level functionality for consideration: ability to define message timeout for latency sensitive messages
Nathan Kidd / NMK Consulting Ltd
12 Jan 2011 9:33AM ET For example, we might want to allow a client application to specify on an order message, that if the message does not reach the matching engine within 15ms of the sending time, the matching engine should discard the message.
It could be seen as a high resolution extension to the current time in force logic, or as a new type of more generic message restriction that can be applied where supported.
Downside is that it would require clocks to be kept tightly in sync. That could possibly be established during session initialisation however....
Business level functionality for consideration: ability to define message timeout for latency sensitive messages
Nathan Kidd / NMK Consulting Ltd 12 Jan 2011 9:33AM ET
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@FIXProtocol
