We can encode {order_id, user_id, strategy_id} in the client_order_id we send to exchange.
However, the FIX protocol requires additionally that we cache routing_id (use by ClOrdID/OrigClOrdID chaining).
We will implement two versions
Persist mapping to cache file. Gateway can re-read a previously cached file and use that to pre-populate mappings.
Multicast SBE encoded OrderAck and OrderUpdate which contains the mapping details. Subscribers will record into a database. Mappings will be downloaded and provided to the gateway as a CSV file.
We can encode
{order_id, user_id, strategy_id}in theclient_order_idwe send to exchange.However, the FIX protocol requires additionally that we cache
routing_id(use byClOrdID/OrigClOrdIDchaining).We will implement two versions
OrderAckandOrderUpdatewhich contains the mapping details. Subscribers will record into a database. Mappings will be downloaded and provided to the gateway as a CSV file.