Spin Servers
A Spin Server is available for each unit. The server allows participants to connect via TCP and receive a spin of all the current open orders on that unit. By using the spin, a participant can get the current CFE book quickly in the middle of the trading session without worry of gap request limits. The Spin Server for each unit is assigned its own address and/or TCP port.
Upon successful login and periodically thereafter, a Spin Image Available message is sent which contains a sequence number indicating the most recent message applied to the book. Using a Spin Request message, a participant may request a spin for the orders up to a sequence number noted within one of the last ten Spin Image Available messages distributed. If the Spin Request message submitted does not present a sequence number that matches one of the last ten Spin Image Available messages distributed, the spin will return orders up to the next closest sequence number reported through a Spin Image Available message that is greater than the sequence number requested.
In the case a Participant sends a sequence number in a Spin Request message that is higher than the sequence number reported by the most recent Spin Image Available message, the next spin image to be generated will be returned when it is available. If the requested sequence number is still higher at that time, an O (Out of Range) error will be generated.
A spin consists only of Add Order message (long and/or short), OOF Symbol Mapping, Complex Instrument Definition Expanded, Trading Status, Settlement, Time Reference, Time, and End of Day Summary messages. Trading Status messages will be sent in spins for all symbols that are not in the initial Halted state, which results in at least one message for every symbol that has not been Halted since system startup. Complex Instrument Definition Expanded messages will be sent for all symbols on the unit, so a spin may be used to get the current list of all instrument definitions. A Time message will be sent as the last message in a spin if the last Time message sent on a spin is older than the last received time from the internal market data producers.
Spins will not contain any message for an order which is no longer on the book. While receiving the spin, the participant must buffer multicast messages received. If the Spin Image Available message sequence number is the participant's reference point, multicast messages with larger sequence numbers should be buffered. If a non- Spin Image Available message sequence number is the participant's reference point which they send in their Spin Request message, they should buffer from that point on, but note that the spin they will receive sequence numbers beyond that point which they may disregard. When a Spin Finished message is received, the buffered messages must be applied to spun copy of the book to bring it current.
Participants can also use the Spin Server to request a spin of all OOF Symbol Mapping and Complex Instrument Definition Expanded messages by sending an Instrument Definition Request message. The Spin Server can only process one spin at a time. Customers will need to wait for a Spin Finished message or Instrument Definition Finished message before submitting another request.
Spin Server Usage Example shows an example flow of messages between a participant and CFE's Option Multicast PITCH feed and Spin Server.
Participants are required to send Heartbeat messages to CFE no less than every 5 seconds, even while a spin response is in progress. Failure to do so is the most common cause of Participant difficulties while processing spin responses, especially during periods of high market activity. CFE recommends that Participants send a heartbeat every second in order to stay well within this heartbeat requirement.