fix: encode halt/resume via official SecurityStatus_3 semantics - #588
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fix: encode halt/resume via official SecurityStatus_3 semantics#588pedrosakuma wants to merge 2 commits into
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Halt/resume UMDF encoding previously used out-of-domain marker values (securityTradingEvent=1/2) that are not defined in the vendored B3 market-data schema. This replaces them with the official semantics: - Halt: securityTradingStatus=FORBIDDEN(18), securityTradingEvent=SECURITY_STATUS_CHANGE(101). - Resume: restored pre-halt securityTradingStatus, securityTradingEvent=SECURITY_REJOINS_SECURITY_GROUP_STATUS(102). Also closes the snapshot/recovery gap identified in #583: a late subscriber joining mid-session previously had no way to learn an instrument's current trading status (e.g. FORBIDDEN while halted) from the snapshot channel alone. SnapshotPacketBuilder now always emits a trailing SecurityStatus_3 packet after every snapshot's header/orders packets, using securityTradingEvent=NULL(255) since it's a point-in-time report, not a transition event. ISnapshotBookSource gained GetSecurityTradingStatus(securityId), backed by MatchingEngineSnapshotSource (FORBIDDEN while halted, else the current TradingPhase). Halt state persistence across engine restarts already existed (added in #322 via EngineStateSnapshot.Halts) and required no further changes. Updated all affected wire-encoder and core tests for the new WriteSnapshot/GetPacketCount contract, and added a dedicated HaltedInstrument_TrailingStatusPacket_ReportsForbidden test asserting the FORBIDDEN byte is present on a halted instrument's snapshot. Co-authored-by: Copilot <223556219+Copilot@users.noreply.github.com>
gpt-5.5 review of PR #588 caught: the new trailing snapshot status packet was passing lastRptSeq as SecurityStatus_3.rptSeq, but the vendored schema explicitly documents this field as "Sequence number per instrument update. (Zeroed in snapshot feed)". Fixed to always write rptSeq=0 in the trailing packet, and added a test asserting this holds even when the header's LastRptSeq is non-null. Co-authored-by: Copilot <223556219+Copilot@users.noreply.github.com>
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July 27, 2026 22:36
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Fixes #583
Problem
Halt/resume UMDF encoding used out-of-domain
securityTradingEventmarker values (1/2) not present in the vendored B3 market-data schema (schemas/b3-market-data-messages-2.2.0.xml). Additionally, a late subscriber joining mid-session while an instrument was halted had no way to learn its current trading status from the snapshot channel — only future incrementals carried it.Fix
UmdfFrameBuilder.cs,ChannelDispatcher.Sinks.cs):securityTradingStatus=FORBIDDEN(18),securityTradingEvent=SECURITY_STATUS_CHANGE(101).securityTradingStatus,securityTradingEvent=SECURITY_REJOINS_SECURITY_GROUP_STATUS(102).EngineStateSnapshot.Halts). No changes needed; verified via existing tests.SnapshotPacketBuilder.cs,ISnapshotBookSource.cs,SnapshotRotator.cs): every snapshot now always emits a trailingSecurityStatus_3packet after the header/orders packets, reporting the instrument's current status (FORBIDDENif halted, else currentTradingPhase) withsecurityTradingEvent=NULL(255)since it's a point-in-time report, not a transition event.Testing
WriteSnapshot/GetPacketCountcontract (trailing packet always present).HaltedInstrument_TrailingStatusPacket_ReportsForbidden(SnapshotRotatorTests.cs) — dedicated round-trip test asserting a halted instrument's snapshot trailing packet reportsFORBIDDEN.dotnet format --verify-no-changesclean.No changes to
schemas/or generated SBE bindings — this only fixes usage of already-defined official enum values.