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Using callbacks during the recovery.

The recovery process is started when there is inconsistent Market Data for a particular Instrument. At the start of the recovery process, the following callback is fired:


 

Code Block
languagecpp
titleB2BITS_SpectraApplicationListeners.h
/// Fired when recovery is started 
/// @param subsItem Description of the instrument 
virtual void InstrumentListener::onRecoveryStarted( SpectraSubscriptionItem const& subsItem );
 


During the recovery onSnapshot and onIncriment callbacks are fired to provide a user with the most recent Market Data that the Adapter has and the data can be applied:

...

The Market Data for an instrument can be considered as actual only after onRecoveryStopped callback:


 

Code Block
languagecpp
titleB2BITS_SpectraApplicationListeners.h
/// Fired when recovery is ended
/// @param subsItem Description of the instrument
/// @param reason Reason of recovery
virtual void InstrumentListener::onRecoveryStopped( SpectraSubscriptionItem const& subsItem, RecoveryReason reason );

It means that the recovery process has been done and Market Data is in a consistent state.

How MOEX Spectra Market Data Adapter reacts on Sequence Reset message

The new type of messages (a message 'Sequence Reset') was introduced in Spectra FAST protocol specification v 1.4.2. 

MOEX Spectra Market Data Adapter handles Sequence Reset message in the following way:

  1. A Sequence Reset message received in Incremental feed initiates recovery mechanism for all subscribed instruments. 
    In this case, callbacks Spectra::InstrumentListener::onRecoveryStarted() and Spectra::InstrumentListener::onBookReset() are fired.

  2. Sequence filtering mechanism isn't applied to Sequence Reset messages. 
    Therefore, OnRecoveryStarted and OnBookReset callbacks would be fired for each sequence reset message (i.e. twice due to A-B arbitrage).