FAST service description
Moscow Exchange multicast FAST market data service contains group of the following channels:
FAST channel description:
- Market data group contains system of UDP channels. UDP protocol specifics allow to reduce market data distribution latency as well as duplicated channels minimize risk of message loss.
- Incremental Refresh channel is used to receive current trade information on Moscow Exchange markets.
- Instruments Replay thread transmits messages about all instruments traded on Moscow Exchange.
- Market snapshot channel is used to recover the actual trading state for all instruments.
- Instruments Incremental channels are used to receive margin and price limits data, in case of dynamic intraday changes, as well as receive options volatility and theoretical values.
- Message Replay (TCP- historical) allows to request messages missed in Incremental Refresh channel.
Example of connection and market data transmission through FAST:
- Before trading starts, the system should:
- Connect to the Instruments Replay thread in order to receive the list of all instruments listed on the Moscow Exchange and disconnect when the new tickers are added.
- Connect to the snapshot channel and obtain current market state information, then connect to Incremental Refresh and Instruments Incremental channels and start receiving updates. Unsubscribe from Market Snapshot afterwards.
- In case of late subscription or connection loss and temporary disconnection from Incremental Refresh channel, the system should connect to Market Snapshot channel to receive current market state for all instruments. After information update for all instruments the system should disconnect from Market Snapshot channel and subscribe to Incremental channel for further market data dissemination.
- In case of message loss from the channel the system must use Message Replay channel to request missing data from Incremental channel.
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