Operational Notes

FIX session reset schedules

TT FIX Order Routing sessions are persistent by default and reset on Saturdays at 22:00 UTC.

Clients may optionally define a custom daily reset time when configuring a FIX Order Routing session in Setup [link to the Creating FIX Session in Setup section]. The default reset on Saturday at 22:00 UTC will occur in addition to a custom reset schedule defined on the session.

Note If a FIX client remains connected to a FIX session when either the default or custom scheduled reset time occurs, TT’s FIX engine will send a Logout message.

On-demand sequence number resets

By default, message sequence numbers for FIX sessions are reset when TT resets all FIX sessions. Message sequence numbers can also be reset, when desired, by setting Tag 34 (MsgSeqNum) = 1 and Tag 141 (ResetSeqNumFlag) = Y when sending a Logon (A) message.

ClOrdID uniqueness

TT FIX will ensure ClOrdID (tag 11) uniqueness for:

• All orders entered since the last session reset (Saturday @ 22:00 UTC by default or per custom schedule in Setup)
• All GTC / GTDate orders entered in previous sessions that were still working at the start of the current sesssion.

For more information, refer to the ClOrdID tag description in the New Order Single (D) message.

Handling connection problems

If your FIX client application disconnects and subsequently reconnects, TT’s FIX engine will perform an internal recovery process to query our cloud based order book database and will deliver all unsent execution reports by applying an incremental sequence number that picks up where we left off prior to the disconnect. The session recovery process can be considered complete in all cases with a News message [35=B].

This eliminates the requirement for your FIX client application to detect a gap on the session level and request missed execution reports while disconnected. This also allows FIX client applications to failover seamlessly into a different datacenter without sequence number consideration.

Handling missed messages

If your FIX client application disconnects and was unable to process executions prior to the disconnect, TT’s FIX engine supports the standard message replay mechanism specified by the FIX Protocol by honoring Resend Request [2] messages received from FIX client applications.

In extreme cases where your FIX client application unexpectedly disconnected and required intervention on your side to reset sequence numbers that resulted in a subsequent Logon with 141=Y and 34=1, TT’s FIX engine will still perform a session recovery process that will query our cloud based order book database for executions marked as undelivered and apply an incremental sequence number to each message message. In this case, Logon [34=1], missed executions [34=2, 3, etc]. The session recovery process can be considered complete in all cases with a News message [35=B].

In the scenario where although TT delivered all relevant execution reports to your FIX client application, your internal system may have experienced an issue and was unable to process the messaging. TT’s FIX Engine is aware of sent messages, but we are unaware of your application's success or failure to process them. If your FIX client application also required a sequence number reset and cannot request a Resend Request [2] message, executions can be retrieved through our REST API [link to REST].

CME TT Inbound Drop Copy support

In order to add support CME Drop Copy 4.0 in the TT Inbound Drop Copy service, tags 5024 and 5979 have been added to the TT XML schema Service as shown:

<field number='5024' name='StartSequenceNumber' type='SEQNUM' />
<field number='5979' name='RequestTime' type='STRING' />

These tags will not appear in any messages used by TT standard outbound drop copy service or any other customer-facing FIX interfaces.

No customer action is required regarding these tags.

MockOrderFlag

The FIX schema now includes the optional FIX Tag 18001. This optional tag is available in all order and execution report messages. In addition, these tags will not appear in any current messages in production and are reserved for future use.

Routing "Instrument Not Found" Rejects

FIX Order router now routes "Instrument Not Found" rejects to the Drop Copy session. The message appears in Tag 58 (Text) and includes the instrument lookup field (e.g., instrument_id, Name, Alias, RIC_Code, ect.) and value.

If a valid account and user exist on the order, the FIX Order Router will use those values, otherwise, it will use the Error Account + default user.

IFOA Mitigation for FIX Order Routing

The IFOA mitigation system does the following:

• After an IFOA timeout (currently 30 seconds), the account, market, and connection are suspected of having broken/unresponsive components. No new orders are allowed on that tuple until a test request sent for the connection on that account and market is responded to successfully. Blocked tuples are retested periodically.
• Orders on broken routes are queried against Bookie for status periodically until either a definitive status result is received or the order is considered stale by the Order Connector, after which the order is reported dead/rejected.