Liquidnet to Reuters Contribution Process

The Reuters FIX client will connect via TCP over the public internet to the Liquidnet FIX server and receive an unsolicited FIX MarketDataSnapshotFullRefresh message for each executed trade, which will be published on Reuters IDN.

Any FIX protocol level can be supported.

For security reasons, rather than having the FIX client connect directly to the FIX server, each side will run an stunnel process which will provide an encrypted TCP connection between the client and server via SSL (Secure Sockets Layer). The stunnel processes will establish an encrypted TCP connection between the FIX client and server systems, and the FIX client and server will connect to their respective local stunnel endpoints, thus establishing a secure connection without need to implement this logic in the client and server applications. See http://www.stunnel.org/ for more information on stunnel.

The Reuters FIX client will authenticate with the FIX server via the FIX Logon message. Authentication data will be encoded in the FIX RawData field. Since the TCP connection is encrypted, user name and password data can be passed in clear text form. The FIX server will authenticate the client and if successful will send back a FIX Logon message with a FIX Signature value that the FIX client will pass back in every subsequent message it send to the server.

Once the client has completed the Logon, it will receive unsolicited FIX MarketDataSnapshotFullRefresh messages from the FIX server, one for each executed trade.

The FIX client will process the FIX MarketDataSnapshotFullRefresh messages and use the following fields to update pages on Reuters IDN: