Market Data Resubscription After a Feed Disconnect

Invalidate the right state

Record which instruments and subscriptions were active, the last accepted update, the observed gap and the affected consumers. A stale label should change how consumers may use the data under their approved policy, not merely add a warning beside an otherwise unchanged price.

Keep session recovery separate from book recovery. The session can recover messages while the feed's application-level subscription still needs renewal, or a feed can require a fresh baseline after reconnect. Define this behavior from the actual counterparty contract. Do not assume a sequence reset tells you which old price levels remain valid.

Re-establish a baseline and identity

Capture the new request identifier, instrument mapping, depth and update mode. cTrader's FIX specification distinguishes snapshot/full-refresh and incremental messages and defines its entry identifiers and update actions. Its behavior illustrates why a consumer must know whether a message replaces a view or modifies a specific entry.

If the protocol requires a snapshot before deltas, buffer or reject premature deltas according to a bounded recovery design. Do not combine a new bid side with an old ask side simply because both values exist in memory. If identifiers are reused, include the documented subscription or generation boundary so late updates from a prior session cannot corrupt the rebuilt state.

Prove readiness for consumers

Validate instrument identity, expected sides or depth, permissible prices and sizes, freshness and subscription completion. An empty market or legitimately one-sided book needs a defined state; it should not be filled with the previous session's values to make a dashboard look normal.

Test disconnects during a snapshot, repeated snapshots, duplicate updates, an unknown delete and an instrument unavailable after reconnect. Record the exact software and feed configuration. The release decision should say which instruments are ready and which remain blocked or degraded. Market-wide readiness is too broad when only part of the subscription set recovered.

Example: a late delete from an old subscription

In a fictional consumer design, local generation G1 becomes invalid after a disconnect. A new subscription creates G2 and obtains its required baseline. A late delete referencing an old G1 entry then arrives. The consumer applies the feed's documented correlation rules and does not delete an unrelated G2 level merely because the numeric entry ID matches. G1 and G2 are illustrative internal markers, not claimed FIX fields.