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move to "How to" for MOEX Spectra MD Adapter
MOEX Market Data Multicast FIX/FAST Platform uses custom UTCTimeOnly, UTCTimestamp format in the FAST messages.
Find more details in official documentation: http://ftp.moex.com/pub/FAST/Spectra e.g. http://ftp.moex.com/pub/FAST/Spectra/docs/spectra_fastgate_en.pdf
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- A Sequence Reset message received in Incremental feed initiates recovery mechanism for all subscribed instruments. In this case, MOEX Spectra Market Data Adapter fires OnRecoveryStarted (link) and the callback OnBookReset (link).
- Sequence filtering mechanism isn't applied to Sequence Reset messages. Therefore, OnRecoveryStarted and OnBookReset would be fired for each sequence reset message and even more than once due to A-B arbitrage.
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Moex MOEX exchange doesn't provide full support of snapshot recovery for trade feeds (only TCP recovery is supported), because of this, the trades will be available only since the application launch, i.e. there is no ability to request historical trades. |