FIX Session and Order Gateway

Logon, ordered delivery, execution reports, and gap recovery over a single FIX session

FIX Session and Order Gateway Logon, ordered delivery, execution reports, and gap recovery over a single FIX session Logon 35=A (seq 1) Logon 35=A accepted Heartbeat 35=0 NewOrderSingle 35=D persist inbound seq route order accepted ExecutionReport 35=8 (New) ExecutionReport 35=8 (Fill) ResendRequest 35=2 (gap) read seq range Resend 35=8 PossDup=Y Session Order flow Gap recovery Client · order source · Sequence participant Client order source FIX Engine · session layer · Sequence participant FIX Engine session layer Message Store · seq persistence · Sequence participant Message Store seq persistence Matcher · order book · Sequence participant Matcher order book Legend request return security async trace

Session Layer

  • • Logon negotiates the starting sequence number for each side
  • • Heartbeats prove the link is alive between messages
  • • Ordered, gap-free delivery is the session's core contract

Order Flow

  • • NewOrderSingle 35=D carries the order intent
  • • The engine persists sequence state before routing downstream
  • • ExecutionReport 35=8 reports New then Fill back to the client

Gap Recovery

  • • A missed sequence number triggers a ResendRequest 35=2
  • • The engine replays messages from the durable store
  • • Replayed messages are flagged PossDup=Y to signal duplicates

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