CQG offers several options for recovering missed messages or synchronizing FIX client systems to the latest state: TCP Replay and Snapshots. Instrument level sequencing and natural refresh can be utilized to supplement the recovery process.
This section contains an overview of the various recovery methods and supplemental methods.
•Recovery Feeds - this section describes the following: TCP Replay, Snapshots, and Instrument Replay
•Using the Incremental Market Data Feed to Determine State - the methods in this section provide supplemental methods to the recovery process, however they are not guaranteed to completely recover missed messages or synchronize client systems to the latest state.
There is also a section that describes at a high level the process to recover in various situations based on the recovery and supplemental methods.
•Recovering Data - Process
Message loss is detected using the decoded FIX message sequence numbers (tag 34-MsgSeqNum). The message sequence number is an incrementing number. If a gap is detected between messages in tag 34-MsgSeqNum, this indicates a message has been missed. It should be assumed at this point that all books maintained in the FIX client system may no longer have the correct, latest state maintained by CQG. Client systems must resynchronize all books to the latest state maintained by CQG, and determine whether any new instrument definitions were published.
Note: During this synchronization process, all books are initially assumed to be in an incorrect state and are recovered during the synchronization process.
The following options are offered by CQG to recover missed messages or synchronize FIX client systems to the latest state:
•TCP Replay Overview
•Snapshots Overview