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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى FIX session, heartbeat, resend request, gap fill؟

يُعرف أيضًا باسم: FIX session · heartbeat · resend request · gap fill

Definition 15.3 Low-Latency Software · الفصل 15 — Protocols I: FIX

A FIX session is the bidirectional conversation between two parties identified by their sender and target identifiers, from a logon to a logout, in which each side numbers the messages it sends 1, 2, 3, … and keeps them so that it can send them again. A heartbeat is a message sent when a side has sent nothing for an agreed interval, so that silence can be told from a dead connection. A resend request asks the other side to send again a range of its messages, after a gap in their sequence numbers has been detected. A gap fill is a sequence-reset message, sent in answer to a resend request, that stands for a run of administrative messages that will not be sent again, moving the receiver’s expected sequence number past them.

The build’s golden conversation around its gap. Two of the broker’s messages are lost; the next one reveals the gap, which a resend request closes: the application message comes again marked as a possible duplicate, the heartbeat is replaced by a gap fill, and the message held back is delivered in order. Later the broker asks for ours, and our administrative message is gap-filled in turn.
Figure 15.2. The build’s golden conversation around its gap. Two of the broker’s messages are lost; the next one reveals the gap, which a resend request closes: the application message comes again marked as a possible duplicate, the heartbeat is replaced by a gap fill, and the message held back is delivered in order. Later the broker asks for ours, and our administrative message is gap-filled in turn.
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