This section contains a high level overview of the startup process for the production environment.
Upon startup, the FIX client should perform the following steps:
1. Get the templates from the FTP Template Dissemination Service. Refer to Template Dissemination for more information.
2. Logon to SDS and request the security definitions.
3. Get channel configurations from the corresponding security definition messages.
Pre-Opening Startup
For a startup prior to the weekly market open, all market data (book updates, statistics, quotes, trades). Follow the process below to ensure that all necessary market data is received:
Listen to the Incremental feed for incremental market data and start normal processing.
Late Joiner Startup
For a late joiner startup, follow the process below to ensure that all necessary market data is received:
1. Listen to the Incremental feed for incremental market data. Begin the natural refresh process and begin queuing messages. A natural refresh is when the DOM snapshot is empty and further updates reconstruct the book.
Note: The incremental market data may complete a natural refresh that would construct the current, correct state of a book.
2. Listen to the Snapshots feed for the latest snapshots.
Use the snapshots to construct the book state.
Since the size of the book is not known in this stage, the FIX client cannot determine when the whole book is fully refreshed. Therefore, there is a chance that DOM might not be recovered completely even if all levels were retained during the incremental refreshes.
When the latest snapshots are received, the value for tag 369-LastMsgSeqNumProcessed in the snapshot matches tag 34-MsgSeqNum in the incremental feed message. Also, the value for tag 83-RptSeq in the snapshot matches tag 83-RptSeq in the incremental feed for the same instrument (i.e., the same Security ID).
If the book for an instrument was not completely constructed using natural refresh, then apply the snapshot.
1. Stop listening to the Snapshot feed.
2. Start normal processing.