Transport Protocol (IEX-TP)

Transcription

1 Transport Protocol (IEX-TP) Please contact IEX Market Operations at or or your IEX onboarding contact with any questions. Version: 1.1 Updated: December 22, 2014 IEX Services LLC 7 World Trade Center 30th Floor New York, NY Copyright 2014 IEX Group, Inc. and its subsidiaries. IEX Services LLC Member FINRA/SIPC. All rights reserved. This document may not be modified, reproduced, or redistributed without the written permission of IEX Group, Inc.

2 IEX Transport Protocol (IEX-TP) Specification Overview IEX s Transport Protocol (IEX-TP) is a transport-layer protocol that allows the transmission of data between systems. IEX-TP is available via UDP multicast for efficient and scalable transmission of data messages in a one-to-many scenario. Currently, there is no mechanism for receivers to request missed packets. IEX-TP is not available via TCP, but a lightweight point-to-point protocol will be made available at some undetermined point in the future. UDP Multicast When using IEX-TP via UDP multicast, each outbound segment is transmitted only once per sender regardless of the number of listeners. Multiple messages may also be aggregated into a single segment to reduce network traffic. This document describes the messages sent between an IEX-TP server and its clients. IEX-TP senders transmit segments via UDP multicast to carry the data stream sent to the listeners, and the length of a segment will never exceed the length of the UDP data contents of a packet IEX-TP servers will transmit on pre-assigned multicast groups for each messaging protocol on a network via A/B lines and A/B groups. Receivers must subscribe to either or both of the A/B multicast groups to receive data. Terms Segment A segment is a collection of messages of a specified messaging protocol, framed in such a way as to support reliable delivery. For UDP multicast, a segment is analogous to a packet. Message A message is an atomic piece of application information carried by an IEX-TP segment. The contents of a message are defined by the message protocol in use. Session A session is a sequence of one or more messages in a given protocol delineated by a unique Session ID. Once a session is terminated, no more messages can be sent on that session. Data Types Long: 8 bytes, signed integer Int: 4 bytes, unsigned integer Short: 2 bytes, unsigned integer Byte: 1 byte unsigned integer All fields are in little endian format. Page 2 of 6

3 Outbound Segment Format Outbound segments are sent by sources to listeners. Each segment contains zero or more messages sent to listeners, described by the following IEX-TP Header. Each segment consists of a header and a payload that carries the actual data stream represented as a series of Message Blocks. IEX-TP Header Field Name Offset Length Type Description / Notes Version 0 1 Byte Version of Transport specification (Reserved) 1 1 Reserved byte Message Protocol ID 2 2 Short Unique identifier of the higher-layer protocol Channel ID 4 4 Int Identifies the stream of bytes/sequenced messages Session ID 8 4 Int Identifies the session Payload Length 12 2 Short Byte length of the payload Message Count 14 2 Short Number of messages in the payload Stream Offset 16 8 Long Byte offset of the data stream First Message Sequence Number 24 8 Long Sequence of the first message in the segment Send Time 32 8 Long Send time of segment Total IEX-TP Header length is 40 bytes. See Appendix A for the bitwise representation. Version Version of IEX-TP protocol in use. Message Protocol ID A unique identifier for the specification which describes the messages contained within a segment. Channel ID An identifier for a given stream of bytes/sequenced messages. Messages received from multiple sources which use the same Channel ID are guaranteed to be duplicates by sequence number and/or offset. Session ID Session ID uniquely identifies a stream of messages produced by the System. A given message is uniquely identified within a message protocol by its Session ID and Sequence Number. Stream Offset & Payload Length Stream Offset is a signed binary counter representing the byte offset of the payload in the data stream. Payload Length is an unsigned binary count representing the number of bytes contained in the segment s payload. Note: the Payload Length field value does not include the length of the Transport Header. First Message Sequence Number & Message Count First Message Sequence Number is a signed binary counter representing the sequence number of the first message in the segment. If there is more than one message in a segment, all subsequent messages are implicitly numbered sequentially. Message Count is an unsigned binary count representing the number of Message Blocks in the segment. Send Time The time the outbound segment was sent as set by the sender. The format of the timestamp is a counter of nanoseconds since POSIX (Epoch) time UTC. Page 3 of 6

4 Message Block Format The first field of a Message Block is the two byte Message Length field. The remainder of the Message Block is the variable length Message Data. The first Message Block field, Message Length, will begin after the last byte of the Header. Subsequent Message Blocks will begin after the last byte of the previous Message Block. Message Block Field Name Offset Length Type Description / Notes Message Length 0 2 Short Length of the message Message Data 2 variable The message data Message Length The Message Length is an unsigned binary count representing the number of bytes in a message following the Message Length field. The Message Length field value does not include the two bytes occupied by the Message Length field. The total size of the Message Block is the value of the Message Length field plus two. Message Data The Message Data is the actual data of the message being transmitted by Transport. It is variable length and can be zero length. The meaning of the data is application specific. Heartbeats Heartbeats are sent by the server if no new messages have been sent in the preceding one second for the given protocol. A Heartbeat will contain the next byte within the stream for the Stream Offset, the sequence number of the next message for First Message Sequence Number, and 0 (zero) for both Payload Length and Message Count. Page 4 of 6

5 Appendix A: Bitwise Representation Segment with Two Message Blocks Version (Reserved) Message Protocol ID Channel ID Session ID Payload Length Message Count Stream Offset Stream Offset (cont.) First Message Sequence Number First Message Sequence Number (cont.) Send Time Send Time (cont.) Message Length (Msg Data) B 41-X Message Length (Msg Data) B X-Y Page 5 of 6

6 Appendix B: Document History Version Date Change 1.0 November 3, 2014 Initial document 1.1 December 22, 2014 Fix typos Page 6 of 6