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4.4 Changes
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Re: 24 Hr Mkts
Mark Thomson / LC
22 Sep 2008 6:41PM ET Thanks Greg,
That's very helpful. I have a further question regarding wether I should let the client reset sequence numbers ( via the logon msg ) or I identify a window of opportunity.
My market trades 24/5 and there is effectively no period when trading is not available.
Hence I only have a few options:
1. Have an agreed time ( agreed by the client ) that sequence numbers will be reset. Disconnect the client, perform housekeeping and reset sequence numbers ( on a per session basis ) and wait for client to reconnect
2. Allow the client to reset their sequence numbers at any time of the trading day ( as long as it's done once per trading day ) via the re-issue of a logon message.
In terms of simplicity Option 1 would be my pick. But it is likely my clients will wish to use option 2.
In either case do i need to make sure my housekeeping is completed quickly ? I think there might be an issue if in the option 2 case I take more than a few seconds to complete any housekeeping
> Hi Mark,
>
> My advice is based on pragmatism based on several years supporting
> clients trading global 24 hour Futures + FX markets, rather than strict
> adherence to the FIX spec regarding 24 hour support.
>
> You are quite correct to reset sequence numbers daily. Even resetting
> weekly leads to a lot of bloat and it makes things more difficult to
> identify all messages for a single day in the event of requiring
> replays, etc.
>
> Identify a nominal end of day. For most markets, this is just after 5pm
> New York time when trade dates roll from T to T+1 for overnight
> sessions. For 24 hour trading in Australia this is 5pm Sydney time.
>
> Use this to determine a suitable time for resetting sequence numbers or
> any maintenance time that you require. A simple sequence number reset
> between counterparties requires no down time but might cause a race
> condition if there is clock skew between counterparties. If you need to
> drop and reconnect sessions then try to set the window to as small a
> time as possible. I suggest that one party has a slightly smaller window
> defined so that when the other party reconnects, the first party is
> ready to receive the new session. Use this time to perform your
> maintenance such as reloading configurations, rolling log files, etc.
>
> You will find that most listed markets will have a small window
> themselves where products do not trade. On some bigger markets there
> might be staggered trading sessions across multiple products that make
> it difficult to find a time to recycle when nothing trades. Again, be
> pragmatic and identify the major products that you *must* be available
> for. If everything trades 24 hour (like global FX markets) then be
> pragmatic and go for the time when liquidity is lowest, again typically
> just after 5pm New York.
>
> One final point. Watchout for any persistence issues across a session
> recycle. You obviously don't want to lose control of an order working
> across a recycle. This is generally not an issue with commercial FIX
> engines but it is worth testing this scenario before going fully live.
>
> Hope this helps.
>
> Regards,
>
> - Greg
>
>
>
>
> > Is anyone able to provide some advice as to servicing a 24hr market.
> >
> > At present we are planning on ensuring our FIX implementation follows
> > the 24hr sequence reset rules as specified in the FIX Spec Vol 2
> > Session Protocol section.
> >
> > In my case the client is the initiator and I am the acceptor.
> >
> > I have a few questions:
> >
> > 1. In the 24hr case, should NextExpectedMsgSeqNum be used to ensure
> > there are no race conditions between when the recommended test
> > request / heartbeat is sent and then the logon msg ( with
> > ResetSeqNumFlag=Y ) is sent?
> >
> > 2. If we need to do some house keeping around the session reset ( e.g
> > archive old orders, roll logs , clear some caches etc ), would it
> > be ok to perform these tasks following the successful logon msg (
> > with ResetSeqNumFlag=Y ) from the client.
> >
> > 3. In fact in the 24hr environment, what is the recommended approach
> > to handle session housekeeping ( We need to do this so will don't
> > bloat out a system with large numbers of old orders living until
> > the whole system does a weekly reset for example)
> >
> > Any comments appreciated?
24 Hr Mkts Mark Thomson / LC 22 Sep 2008 3:27AM ET Re: 24 Hr Mkts
Mark Thomson / LC 22 Sep 2008 6:41PM ET
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