Is it standard practice to keep a FIX connection connected all day long, or relogin periodically?

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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.

quickfix fix-protocol python
2 Answers

Yes it is common to keep the FIX sessions running for a long time. That should not be an issue.

You can't just shutdown your program your end, as Session-level FIX.Heartbeat(35=0) messages, sent periodically (usually 30s), as meant to keep the underlying TCP connection "open", and check that both ends are still up and running properly.

By the details you gave, if your vendor (which is likely the acceptor side) requests it, it might be because they need to send you messages, with no delay as they occur. If you (the initiator side) are not logged in at that time, they won't be able to send those messages, as they won't be able to initiate a session with you.

The vendor might monitor sessions as well, but as an initiator, it sounds odd. as initiators are waiting for connections. More likely they will monitor unexpected sessions drops.

All in all, it very depends of your vendor anyway, you have to follow what they say...

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