The FIX Recovery service lets FIX Order Routing and FIX Drop Copy clients request data for specific time periods and markets using their existing sessions. This service uses FIX messages, Recovery Request (U2) or Logon (A), to submit a request for missing data that might result from a technical issue with a FIX client or a FIX session. FIX Order Routing and FIX Drop Copy clients may request:
Execution Report (8) messages for all order acknowledgements and fills, as well as all Order Cancel Reject (9) messages, sent during the specified time range and market. For this type of request, the FIX client must specify the time period using the StartDate (916) and EndDate (917) tags.
Reconciliation: Only the missed messages for a market sent from the beginning of the session (last session reset time). For this type of request, the FIX client must include the CustomMode (18002) tag.
The FIX Recovery service connects to the existing FIX session but uses a different DNS and port number, as described in Managing FIX sessions. This service uses a non-persistent session that accepts a single Recovery Request (U2) message and then terminates after all responses are sent.
To begin creating a FIX Recovery client application using TT FIX, you will need to:
Note Execution Reports sent during the recovery process include only the final state of any Execution Reports that were restated due to fill confirmation, or the fast fill vs. clearing fill Execution Reports sent for OM markets. Any intermediate states for a given Execution Report are omitted from the recovery feed.
TT FIX Drop Copy includes a “Compliance Feed” option that enables customers to receive a full Order Audit Trail in FIX format for all FIX, screen and algo order flow occurring in the TT system.
When enabled, the Drop Copy server will synthesize in real-time the appropriate new order, cancel/replace, cancel and pending messages, including timestamps for each message accurate to the MIFID II RTS 25 standard, for all executions received on the customer’s Drop Copy feed.
Note If you have Compliance messages enabled for your Drop Copy session, you will also receive these in the FIX recovery.
For the FIX Recovery service, there is a time limitation dependent on the user's total number of accounts.
In general:
Users with less than 250 accounts, the recovery service allows message retrieval up to 720 hours or roughly 30 days.
Users with more than 250 accounts, the recovery service allows message retrieval up to 168 hours or roughly 7 days.
Submitting requests outside of the supported time frame may result in a reject with Tag 58 equal to Start date is earlier than permissible limit of *** hours where *** equals the allotted time period in hours.
You can perform a FIX Recovery using one of the following methods:
Note Reconciliation can be used with the Recovery Request (35=U2) or Logon (35=A) methods.