Logon gap -- FIX v4.0

Imported from previous forum

We’re run into the following scenario for which I’ve been unable to find a recommended solution:

  • Initiator (I) sends order (msg seq #100)
  • Acceptor (A) sends ACK (msg seq #450)

Line drops between Initiator and Acceptor

  • ‘A’ sends execution on order (msg seq #451)

Line is re-established

  • ‘I’ sends logon request (msg seq #101)
  • ‘A’ sends logon ACK (msg seq #452)

Initiator was expecting msg seq #451.

  • ‘I’ sends resend for 451 to 99999 (msg seq #102)
  • ‘A’ sends msg seq #451 (execution)
  • ‘A’ sends msg seq #452 (sequence reset)

The Initiator ignored the logon ACK because it was out of order. It therefore thinks the Acceptor has started sending regular traffic before the logon ACK.

How should this situation be properly handled?

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David R. Felton
Knight Capital Markets LLC
dfelton@knighttrading.com