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Quantitative Finance · Glossário

O que é FIX session, heartbeat, resend request, gap fill?

Também chamado de: FIX session · heartbeat · resend request · gap fill

Definition 15.3 Low-Latency Software · Capítulo 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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