FIX: subscribing after reconnection

1

Hi Folks,

My scenario is that my process is taking data from the exchange….so apart from the usual control messages, the data flow is in one direction.

When my process first establishes a FIX session it uses the TradeCaptureReportRequest and MarketDataRequest messages to subscribe to trades and quotes.

My understanding is that if my process loses the connection and then reconnects without resetting the expected incoming and outgoing sequence numbers, then we are still in the same FIX session.

So if we have re-established the same FIX session after a disconnection….do we need to send the TradeCaptureReportRequest and MarketDataRequest messages to subscribe again?…or should the original subscription be persistent across reconnections?

Thanks,

Rog

2

It’s potentially counter-party or even flow specific.

For Market Data sessions you may well find that each connection attempt is treated as a new session (with a reset of sequence numbers). This is because there is usually no desire to re-send historical market data. Hence you’ll probably also have to re-subscribe.

For something less ephemeral where missing data is problematic for trade reporting purposes, it’s more likely the session will be resumed and more likely that the request won’t need to be re-sent.

However, it’s also possible that, in the absence of any unsubscription message flow, that you do need to resend it on login because the counter-party treats a Logout as an unsubscribe.