Template Dissemination Service
FIX is a template-based protocol. As a result, messages can be interpreted only using a template. Each message contains a unique Template ID that references the template that is necessary to interpret the message.
The Template Dissemination Service features an FTP site to provide the FIX client systems with the active Quotes Direct templates.
Find the templates at: ftp://develop.cqg.com
Because the templates file is unified for both Market Data Quotes Direct and News over Quotes Direct systems, some template elements may apply only to one system and can be safely ignored by the other system clients.
Security Definition Server (SDS)
SDS serves as the main entrance to the Quotes Direct system. It:
•allows the client systems to logon;
•provides the security definitions for enabled contracts upon client’s request;
•provides connection configurations for the Incremental and Snapshot UDP multicast groups, as well as the Replay TCP channels; and
•continues providing new security definitions as they emerge in real-time.
While the connection with SDS is idle, it may drop the connection anytime.
Incremental Feed
The Incremental Feed is a UDP multicast group that is used to disseminate incremental market data using FAST encoded FIX messages. This includes book updates, quotes, trades, and statistics.
Snapshot Feed
The Snapshot Feed is a UDP multicast group that is used to disseminate market data snapshots for all books with any activity since the beginning of the week. A single FIX message includes information about the market state for a given instrument. Snapshots are replayed periodically (in cycles).
Replay Server
The Replay Server provides a way to recover incremental or snapshot data that was corrupted or lost due to network problems.
When the FIX client detects discrepancies in the data received via the UDP Incremental Feed, it establishes a TCP connection with the Replay Server and requests the lost/corrupt data. Once the requested data is sent, the Replay Server terminates the TCP connection.
Only 2000 messages can be requested per session.