I wrote a program in Python using the quickfix package which connects to a vendor via FIX. We login in the morning, but don't actually send messages through the connection until the end of the day. The issue is, we don't want to keep the program open for the entirety of the day, but would rather relogin in the afternoon when we need to send the messages.
The vendor is requesting we stay logged in for the full duration between our start and stop times specified in our configurations. This is only possible by leaving my program on for the entirety of the day, because if I close it then the messages the vendor sends aren't registered as received by me. I don't send a logout message though.
Is it common practice to write a program to connect via FIX and leave it running for the entire session time? Or is it acceptable to close the program, given I don't send a logout message, and reconnect at a later time in the day?
Any design or best practice advice would be helpful here.
Is it common practice to write a program to connect via FIX and leave it running for the entire session time? Or is it acceptable to close the program, given I don't send a logout message, and reconnect at a later time in the day?
I don't know what others have done, but I used QuickFIX with Python for years and never had any problem running my system all day, OR shutting it down periodically for whatever reason and reconnecting. In the end I wound up leaving the system connected for weeks at a time, since that allowed me to record data.
I would say that the answer to both of your questions is YES. It is common to leave it running. Also, it is acceptable to just close the program.
There can always be edge cases and idiosyncratic features of your implementation and your counterparty, so you should seek to understand more why they have asked you not to disconnect. That sounds very strange to me. Is their FIX engine not capable of something very simple and standard?