Order Feed Message Stream Integrity

Abstract

Systems, methods, and computer-readable storage media are provided for improving order feed message stream integrity. Certain embodiments provide a method including sending, by a computing device, a first data message; sending a first stop message; clearing a message stream state; and sending a second data message. The first data message includes data related to an order for a tradeable object, a first sequence number with a value of a predefined initial sequence number, and a first phase number. The second data message includes data related to an order, a second sequence number with a value of the predefined initial sequence number, and a second phase number, wherein the second phase number is different than the first phase number. The message stream state is associated with the order.

1 . (canceled) 
     
     
         2 . A method including:
 receiving, by a computing device, a new message, wherein the new message includes a message phase number and a message sequence number, wherein the new message is part of a message sequence, wherein each message in the message sequence has the same phase number, wherein the message sequence ends with a stop message;   determining, by the computing device, an expected phase number for the new message;   determining, by the computing device, an expected sequence number for the new message;   comparing, by the computing device, the message phase number to the expected phase number;   comparing, by the computing device, the message sequence number to the expected sequence number; and   reporting, by the computing device, a lost message when at least one of (a) the message phase number and the expected phase number and (b) the message sequence number and the expected sequence number do not match.   
     
     
         3 . The method of  claim 2 , wherein the expected phase number is the same as a previous phase number for a previous message when the previous message was not a stop message. 
     
     
         4 . The method of  claim 2 , wherein the expected phase number is the same as the message phase number when the previous message was a stop message. 
     
     
         5 . The method of  claim 2 , wherein the expected sequence number is based on a previous sequence number for a previous message. 
     
     
         6 . The method of  claim 5 , wherein the expected sequence number is determined by incrementing the previous sequence number. 
     
     
         7 . The method of  claim 2 , wherein the expected sequence number is the same as a previous sequence number for a previous data message when the new message is a heartbeat message. 
     
     
         8 . The method of  claim 2 , wherein the expected sequence number is the same as a previous sequence number for a previous data message when the new message is a stop message. 
     
     
         9 . The method of  claim 2 , further including
 processing, by the computing device, data in the new message when the new message is a data message.   
     
     
         10 . The method of  claim 2 , further including:
 clearing, by the computing device, message stream state when the new message is a stop message, wherein the message stream state includes information particular to a message stream, wherein the message stream is a logical communications channel for related messages.   
     
     
         11 . A computer readable medium having stored therein instructions executable by a processor, including instructions executable to:
 receive a new message, wherein the new message includes a message phase number and a message sequence number, wherein the new message is part of a message sequence, wherein each message in the message sequence has the same phase number, wherein the message sequence ends with a stop message;   determine an expected phase number for the new message;   determine an expected sequence number for the new message;   compare the message phase number to the expected phase number;   compare the message sequence number to the expected sequence number; and   report a lost message when at least one of (a) the message phase number and the expected phase number and (b) the message sequence number and the expected sequence number do not match.   
     
     
         12 . The computer readable medium of  claim 11 , wherein the expected phase number is the same as a previous phase number for a previous message when the previous message was not a stop message. 
     
     
         13 . The computer readable medium of  claim 11 , wherein the expected phase number is the same as the message phase number when the previous message was a stop message. 
     
     
         14 . The computer readable medium of  claim 11 , wherein the expected sequence number is based on a previous sequence number for a previous message. 
     
     
         15 . The computer readable medium of  claim 14 , wherein the expected sequence number is determined by incrementing the previous sequence number. 
     
     
         16 . The computer readable medium of  claim 11 , wherein the expected. sequence number is the same as a previous sequence number for a previous data message when the new message is a heartbeat message. 
     
     
         17 . The computer readable medium of  claim 11 , wherein the expected sequence number is the same as a previous sequence number for a previous data message when the new message is a stop message. 
     
     
         18 . The computer readable medium of  claim 11 , further including instructions executable to:
 process data in the new message when the new message is a data message.   
     
     
         19 . The computer readable medium of  claim 11 , further including instructions executable to:
 clear message stream state when the new message is a stop message, wherein the message stream state includes information particular to a message stream, wherein the message stream is a logical communications channel for related messages.