Derivatives SBE Session Messages

Session Message Types

Client and server use the following administrative/session messages:

• Logon: Initiates (client) or approves (server) session opening.
• LogonConf: Initiates (client) or approves (server) session opening.
• Heartbeat: Controls the session connection state.
• TestRequest: Controls the session state. Requires Heartbeat reply.
• ResendRequest: Requests missed FIX messages.
• GapFill: Gap Fill, must be used instead of resend of administrative messages.
• Logout: Initiates or approves session closing.
• LoggedOut:
• Reject: For administrative message reject.

Logon

Each client uses an assigned IP address and port to establish a TCP/IP session with the server.

The client initiates a session at the start of each trading day by sending the Logon message within a two heartbeats interval. The client identifies itself with the username field. The server validates the username and password of the client.

two heartbeats interval

If the client does not initiate the session by sending the Logon message within a two heartbeats interval of establishing the session, the connection is dropped by the server.

Field	Name	Type	Length	Description
	Logon	100	81	Sent to initiate connections
1	username	String16	16	Logon username
2	password	String32	32	Logon password
3	resetSeqNum	uint8	1	(1 = true, 0 = false)

LogonConf

Once the client is successfully authenticated, the server responds with a “Logon Confirmations” message.

Field	Name	Type	Length	Description
	LogonConf	200	36	Logon confirmation
1	heartbeatIntervalSeconds	Int32	4	Heartbeat interval in seconds.

Heartbeat

Client and server use the Heartbeat message to exercise the communication line during periods of inactivity and to verify that the interfaces at each end are available.

The heartbeat interval is three seconds. The server sends a Heartbeat anytime it has not transmitted a message during a heartbeat interval. The client is expected to employ the same logic. The servers sends a logout and breaks the TCP/IP connection with the client if it detects inactivity for five heartbeat intervals. The client is expected to employ similar logic if inactivity is detected on the part of the server.

The heartbeat interval is three seconds. The servers sends a logout and breaks the TCP/IP connection with the client if it detects inactivity for five heartbeat intervals.

Field	Name	Type	Length	Description
	Heartbeat	10	40	Connection Heartbeat, may also be sent in response to a TestRequest
1	correlationId	int64	8	Optional id if sent in response to a TestRequest

TestRequest

TestRequest is used to force a heartbeat from the opposing application. The message is useful for checking sequence numbers or verifying communication line status. The opposite application responds to the TestRequest with a Heartbeat.

Field	Name	Type	Length	Description
	TestRequest	11	40	TestRequest to request heartbeat, receiver should respond with Heartbeat message with the provided test request id included
1	correlationId	int64	8	Correlation id to be echoed by receiver

ResendRequest

The client may send a ResendRequest to initiate retransmission of previously sent messages. Like the FIX protocol, GapFill messages are sent in place of admin and missing/unavailable messages.

Field	Name	Type	Length	Description
	ResendRequest	102	40	Resend request.
1	fromSequenceNumber	uint32	4	Sequence number of first message to resend.
2	toSequenceNumber	uint32	4	Sequence number of last message to resend (or 0 to resend all messages from formSequenceNumber).

GapFill

While retransmitting messages in response to a ResendRequest, the server sends GapFill messages in place of admin and missing/unavailable messages.

Field	Name	Type	Length	Description
	ResendRequest	202	40	Resend request
1	newSequenceNumber	uint32	4	Sequence number of the next message to be sent.
2	padding	uint32	4

Logout

The client is expected to terminate each connection at the end of each trading day before the server shuts down. The client terminates a connection by sending the Logout message. The server responds with a Logout message if the client’s request is successful. The client then breaks the TCP/IP connection with the server.

All open TCP/IP connections are terminated by the server when it shuts down (a Logout is sent). Under exceptional circumstances, the server may initiate the termination of a connection during the trading day by sending the Logout message. Either party that wishes to terminate the connection may wait for the heartbeat interval duration before breaking the TCP/IP connection to ensure that the other party received the Logout message.

Field	Name	Type	Length	Description
	Logout	101	96	Logout message to gateway
1	reason	String64	64	Logout reason

LoggedOut

The server sends a LoggedOut message before terminating the connection, either in response to a Logout message from the or for other reasons.

Field	Name	Type	Length	Description
	Logout	201	96	Logout message from gateway to client
1	details	String64	64	Logout details

Reject

The server sends a Reject message in response to a client message which is well-formed but is of unknown type or has an invalid blockLength for the type/version.

Field	Name	Type	Length	Description
	Reject	210	104	Reject message from gateway to client
1	refSequenceNumber	uint32	4	Sequence number of the rejected message from client.
2	reason	int32	4	1 = INVALID_SCHEMA_ID 2 = INVALID_TEMPLATE_ID 3 = INVALID_BLOCK_LENGTH
3	details	String64	64	Logout details