The scenario you described should not happen. The broker will get all skipped FIX messages once it restores back connection to the exchange.
What exchange?
That's a good one. I'd add Tape Reading And Market Tactics by Humphrey B. Nail
I think you should see "Received logon response" in you log right after you sent logon request (35=A)
Try to remove tag 141 (ResetSeqNumFlag)
In most cases, client side FIX protocol provided by a broker far more reacher than API, and I'm absolutely sure Genesis just converts your API...
If you cannot connect at all, try telnet ADDRESS PORT If your side is connected, double-check sender and target IDS, and login info. The next...
I don't see anything funny here - there are some strategies that count every millisecond, and people pay big bucks to co-locate their boxes. Look...
I use ACTIV Financial and quite happy with them - rock solid API (my ATS is Unix based), extremely accurate data, datacenters in Chicago and NY...
AFAIK, they don't have a data center in NY/NJ, and the number of covered market centers is quite limited.
I've been using C/C++ for two decades, doing trading systems last decade, high-frequency trading systems for the last 5 years for different shops...
You must be kidding me. Faster to develop? This absolutely great philosophy! C# and Java for real-time high frequency trading systems. Hmmm......
Only top of book is protected, and unless you specify otherwise, the rest size would sweep the book. Think about it: why a market center would...
Try it out :) I'd say if NBBO on bid side is on ARCA, by default you'd sweep ARCA book (scenario B) unless you use specific order type...
The clueless one is you that have absolutely no expertise nor experience. Having 13+ years of experience in C++/high-frequency trading systems,...
I hate to state this knowing that Java-lovers would jump after me the very next second, but Java was never intended for any near real-time data...
If you don't want to be disappointed later when you decide to plug-in real tick-by-tick feed instead of 1 second snapshot-based feed, forget about...
Do not mix execution platforms and market data vendors. Very often a black-box setup is FIX connection to a broker and data feed via custom API...
150 messages/sec is a cap at IB Very few data vendors support data dissemination over FIX. FastFIX may be an option though it's not supported...
As I previously stated, it really depends on the nature of your system and the issues you trade. Some systems a fine having snapshot based data,...
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