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About Session-Level Messages

About Session-Level Messages

Overview

Session-level messages communicate the state of the connection between a
FIX client and TT FIX.

Supported Messages

The following table describes the session-level FIX messages that TT FIX
currently supports.

Message Purpose
Heartbeat (0) Used to verify communication with TT FIX
Test Request (1) Used to request a heartbeat
Resend Request (2) Used to request a resend of a range of messages
Session-Level Reject (3) Used to return the reason for rejecting an incoming message
Sequence Reset (4) Used to reset the message sequence number or gap fill
Logon (A) Used to establish a connection between a FIX client and TT FIX
Logout (5) Used to terminate a connection between a FIX client and TT FIX

Heartbeat (0) Message

Purpose

Used to verify communication with TT FIX

Message Direction

From TT FIX to FIX client and from FIX client to TT FIX

Tag Directory

Click the links below to navigate to the documentation for that tag.

Message Notes

During periods of inactivity, FIX clients should generate a heartbeat message at regular time intervals. The Heartbeat (0) message is used by a FIX client to monitor the status of the communication link. You specify the heartbeat interval timer in Tag 108 (HeartBtInt) of the Logon (A).

FIX clients should reset the heartbeat interval timer after every transmitted message (not just heartbeats). When either party stops receiving data for the specified heartbeat interval, it should send a Test Request (1) message to verify the connection. The counterparty should send a Heartbeat (0) message in response. If a party receives no Heartbeat (0) message in a reasonable amount of time, the connection should be considered lost.

Test Request (1)

Logon (A) Message

Purpose

Used to establish a connection between a FIX client and TT FIX

Note: Can also be used to submit a FIX Recovery request

Message Direction

From TT FIX to FIX client and from FIX client to TT FIX

FIX Logon Message Version Validation

FIX tags in Logon messages are validated such that any tags not valid for the FIX version of the Logon message will be rejected. For example, if a customer FIX 4.2 Logon message contains a FIX tag that is valid for FIX 4.4 but not FIX 4.2, that logon will be rejected.

Tag Directory

Click the links below to navigate to the documentation for that tag.

Message Notes

The Logon (A) message is used by a FIX client to begin a new or continuean existing session with TT FIX.

Note: When logging in to a Security Definition FIXsession, a FIX client must always set 141=Y and 34=1; otherwise, TT FIXsends a Logout (5) message with the message: “MsgSeqNum must be set to 1if ResetSeqNumFlag is set to Y” in tag 58 (Text).

The following data flow illustrates a typical logon sequence between TTFIX and a FIX client for an order session:

  1. FIX client initiates a socket connection.
  2. FIX client sends a Logon (A) message to TT FIX.
  3. TT FIX receives the FIX client logon message and verifies the following tags in the Logon (A) message against the corresponding parameter values:
    • Tag 56 (TargetCompID) to LocalCompId (in TT User Setup)
    • Tag 96 (RawData) to Password (in TT User Setup)
  4. If any of the following errors occur, TT FIX stops processing the logon attempt, sends the FIX Client a Logout (5) message with the reason for rejection in Tag 58 (Text), and closes the socket connection.
    • These tags do not match for the adapter and the client.
    • TT User Setup does not respond.
    • The TT universal login credentials (tags 49 and 96) are invalid.
  5. Examine the value of Tag 141 (ResetSeqNumFlag).

    If Tag 141 (ResetSeqNumFlag) is set to N, TT FIX compares the value of Tag 34 (MsgSeqNum) in the Logon (A) message against its current sequence number.

    • If MsgSeqNum is less than the expected sequencenumber, TT FIX stops processing the logon attempt, sends a Logout (5)message as its response, and closes the socket connection.
    • If MsgSeqNum is greater than sequence number TT FIXexpected, the logon process continues normally. However, after thelogon process completes, TT FIX sends a Resend Request (2) message.

    If Tag 141 (ResetSeqNumFlag) is set to Y, TT FIX expects the value of Tag 34 (MsgSeqNum) in the Logon (A) message to be 1.

    • If Tag 34 is not 1, TT FIX stops processing the logon attempt, sends aLogout (5) message, and closes the connection.
    • Otherwise, the logon process continues normally.
  6. TT FIX sends a Logon (A) message to the FIX client.

Logout (5) Message

Purpose

Used to terminate a connection between a FIX client and TT FIX

Message Direction

From TT FIX to FIX client and from FIX client to TT FIX

Tag Directory

Click the links below to navigate to the documentation for that tag.

Message Notes

The Logout (5) message is used by a FIX client or TT FIX to terminate their connection.

FIX clients can use Tag 18000 (ForceLogout) to determine whether they should try to reconnect to TT FIX automatically. If TT FIX forced the logout, manual intervention is likely needed before another attempt will succeed.

Logon (A)

News (B) Message

Purpose

Used to send an informational message

Message Direction

From TT FIX to FIX client

Tag Directory

Click the links below to navigate to the documentation for that tag.

Message Notes

The News (B) message is used by a TT FIX to indicate that a FIX client login and order book download have completed and that the FIX client can begin sending order routing or order-releated messages.

FIX Market Data sessions now receive the News (B) message with Tag 58 equal to “Recovery is Complete”. TT strongly recommends you configure your FIX Market Data client to wait until receiving this message before submitting any requests.

Related Information

New Order Single (D)

Order Cancel Request (F)

Order Cancel/Replace Request (G)

Order Status Request (H)

Resend Request (2) Message

Purpose

Used to reset the message sequence number or gap fill

Message Direction

From TT FIX to FIX client and from FIX client to TT FIX

Tag Directory

Click the links below to navigate to the documentation for that tag.

Message Notes

The Resend Request (2) message is used to specify a range of messages to
resend. Both TT FIX and FIX clients can send this message.

Related Information

Logon (A)

Sequence Reset (4)

Sequence Reset (4) Message

Purpose

Used to reset the message sequence number or gap fill

Message Direction

From TT FIX to FIX client and from FIX client to TT FIX

Tag Directory

Click the links below to navigate to the documentation for that tag.

Message Notes

The Sequence Reset (4) message is used to reset the message sequence number when the FIX client and TT FIX message sequence numbers do not match. If the message omits Tag 123 (GapFillFlag), the value of Tag 36 (NewSeqNo) indicates the new starting sequence number.

If a FIX client or TT FIX needs to skip messages that would be included in a resend request, it sets Tag 123 (GapFillFlag) to Y, and the value of Tag 36 (NewSeqNo) represents the sequence number of the next message to be transmitted.

Note: Non-gap fill resets should be used only to when the sequence number differences cannot be resolved.

For more information about sequence resets and gap fills, refer to the FIX specification.

Related Information

Logon (A)

Resend Request (2)

Session-Level Reject (3)

Purpose

Used to return the reason for rejecting an incoming message

Message Direction

From TT FIX to FIX client and from FIX client to TT FIX

Tag Directory

Click the links below to navigate to the documentation for that tag.

Message Notes

The Session-Level Reject (3) message is used in response to a message that is received but cannot be properly processed due to a session-level rule violation.

Test Request (1) Message

Test Request (1) Message

Purpose

Used to request a heartbeat

Message Direction

From TT FIX to FIX client and from FIX client to TT FIX

Tag Directory

Click the links below to navigate to the documentation for that tag.

Message Notes

A Test Request (1) message is used to force the counterparty to respond with a Heartbeat (0) message to validate the state of the connection between a FIX client and TT FIX.

When either party stops receiving data for the specified heartbeat interval, it should send a Test Request (1) message. The counterparty should send a Heartbeat (0) message in response. If a party does not receive a Heartbeat (0) message in a reasonable amount of time, the connection should be considered lost.

Related Information

Heartbeat (0)

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