Hi
Long time reader, first time poster.
We have a week long session with a third party that insists on dropping the
session every night for a couple of hours to run their end of day
processing. During this period we obviously continue to attempt to Logon
until they come back up again. We also send them Exec and TradeCap reports
during this period which are persisted for replay on their reconnect.
However, here we have the issue. This is what happened last night (times are
GMT, though actually pretty unimportant :) ):
1) The third party disconnect at 22:00. Our last sequence number to them was
3457 - a Logon attempt.
2) We send a bunch of Logon attempts which push up the sequence numbers from
our end.
3) We send some Exec and Trade Cap reports from sequence number 3635.
4) They reconnect and Logon at 01:55. They send us a ResendRequest for
sequence numbers 3458 to 0 (all).
8=FIX.4.4 9=85 35=2 34=3260 49=X 52=20091118-01:55:12.647 56=Y 7=3458 16=0
10=255
This is correct.
5) We send them a GapFill SequenceReset for sequence number 3635:
8=FIX.4.4 9=110 35=4 34=3458 43=Y 49=Y 52=20091118-01:55:12 56=X
122=20091118-01:55:12 36=3635 123=Y 10=029
This looks fine to me, to fill the gap of all the Logon requests before we
get the first Exec Report.
6) I would then expect us to resend the exec and trade cap reports. However,
nothing else is resent and the heartbeats continue from 3635.
It appears that the fix engine is sending the Gap Fill and then stopping the
resend processing, even though there are trade messages to be resent.
Is this something that anyone else has witnessed ?
Could it be configuration ? This seems like something that should pretty
obviously be working and so I am confused as to why it isn't
Thanks
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