RE: [Quickfix-developers] Custom message

[Mike S. <MS...@rj...>]

I apologize in advance for the length of this message.

Because one of the exchanges I'm communicating with has custom nonFIX =
message types, I've had to create a custom message type 'CI' within =
QuickFix.  To do this, I created a class calld TraderLoginResponse =
within the fix42 folder of quickfix_net_messages_vs8.  The code for that =
looks like this...

namespace QuickFix42
{

    public class TraderLoginResponse : Message
    {
        public TraderLoginResponse() : base(MsgType()) { }
        static QuickFix.MsgType MsgType() { return new 	=
QuickFix.MsgType("CI"); }

        public void set(QuickFix.Username value)
        { setField(value); }
        public QuickFix.Username get(QuickFix.Username value)
        { getField(value); return value; }
        public QuickFix.Username getUsername()
        {
            QuickFix.Username value =3D new QuickFix.Username();
            getField(value); return value;
        }
        public bool isSet(QuickFix.Username field)
        { return isSetField(field); }
        public bool isSetUsername()
        { return isSetField(553); }

    };

}

I then added the message to my data dictionary.  It looks like this....
<message name=3D"TraderLoginResponse" msgtype=3D"CI" msgcat=3D"admin">
      <field name=3D"Username" required=3D"Y"/>
</message>

I also had to add the field definition for Username to the data =
dictionary.
<field number=3D"553" name=3D"Username" type=3D"STRING"/>

When I get a CI message from the exchange, I'm getting the following =
error.
Message 47 Rejected: Conditionally Required Field Missing

Here is what the CI message looks like
8=3DFIX.4.2?
9=3D74?
35=3DCI?
49=3DXXX?
56=3DXXXX?
34=3D47?
52=3D20060313-18:50:46.462?
57=3DX?
553=3DXXX?
10=3D131?

Fyi....here is my header definition in the data dictionary.
<header>
    <field name=3D"BeginString" required=3D"Y"/>
    <field name=3D"BodyLength" required=3D"Y"/>
    <field name=3D"MsgType" required=3D"Y"/>
    <field name=3D"SenderCompID" required=3D"Y"/>
    <field name=3D"TargetCompID" required=3D"Y"/>
    <field name=3D"DeliverToCompID" required=3D"N"/>
    <field name=3D"MsgSeqNum" required=3D"Y"/>
    <field name=3D"SenderSubID" required=3D"N"/>
    <field name=3D"TargetSubID" required=3D"N"/>
    <field name=3D"PossDupFlag" required=3D"N"/>
    <field name=3D"PossResend" required=3D"N"/>
    <field name=3D"SendingTime" required=3D"Y"/>
    <field name=3D"OrigSendingTime" required=3D"N"/>
  </header>

Does anybody have any ideas as to why I would be getting this message =
and how I can fix it?

Thanks in advance,

Mike

-----Original Message-----
From: Joerg Thoennes [mailto:Joe...@ma...]=20
Sent: Friday, March 10, 2006 11:12 AM
To: Mike Smith
Cc: qui...@li...
Subject: Re: [Quickfix-developers] Custom message

Hi Mike,

> I'm trying to connect to an exchange and they have a custom Trader =
Login
> message with a message type of CG.  Has anybody created a custom =
message
> before?  If so, could you send me a code sample or give me a few tips?

I assume this message is outbound, ie to be sent to the exchange.

The FIX messages for QF are generated by some XSLT and Ruby scripts from =
the FIX data=20
dictionary. You could use these scripts to generate your own messages =
from a modified=20
FIX4*.xml file, but I do not know how much tweaking is still needed to =
do this.

If you just need one message, just copy a small message, ie =
NewOrderSingle and adapt it to=20
your needs. I.e. for java code in =
quickfix/src/java/src/quickfix/fix40/NewOrderSingle.java:

package quickfix.fix40;
import quickfix.FieldNotFound;
import quickfix.Group;
import quickfix.field.*;

public class NewOrderSingle extends Message
{
   public NewOrderSingle()
   {
     getHeader().setField(new MsgType("D"));
   }
   public NewOrderSingle(
     quickfix.field.ClOrdID aClOrdID,
     quickfix.field.HandlInst aHandlInst,
     quickfix.field.Symbol aSymbol,
     quickfix.field.Side aSide,
     quickfix.field.OrderQty aOrderQty,
     quickfix.field.OrdType aOrdType ) {

     getHeader().setField(new MsgType("D"));
     set(aClOrdID);
     set(aHandlInst);
     set(aSymbol);
     set(aSide);
     set(aOrderQty);
     set(aOrdType);
   }

   public void set(quickfix.field.ClOrdID value)
   { setField(value); }
   public quickfix.field.ClOrdID get(quickfix.field.ClOrdID  value)
     throws FieldNotFound
   { getField(value); return value; }

...

Copy this to your code tree and adapt it, eg:

package smith.mike...;
import quickfix.FieldNotFound;
import quickfix.Group;
import quickfix.field.*;

public class CustomMessage extends Message
{
   public CustomMessage()
   {
     getHeader().setField(new MsgType("CG"));
   }
   public CustomMessage(
     quickfix.field.XXX field1, ... ) {

     getHeader().setField(new MsgType("CG"));
     set(field1);
     ...
   }

   public void set(quickfix.field.XXX value)
   { setField(value); }
   public quickfix.field.XXX get(quickfix.field.XXX  value)
     throws FieldNotFound
   { getField(value); return value; }

...

If you have repeating group, this is a bit more complicated.

Now you can say

message =3D new CustomMessage( value1, .... );
Session.sendToTarget( message, sessionId ); ...

If you want to receive such message, you have to update your data =
dictionary to include it
and create your own MessageFactory to tell QF how to messages with =
MsgType=3DCG to a Java=20
object.

Please apply this to C# or C++ analogeously.

Cheers, J=F6rg

--=20
Joerg Thoennes
                                http://macd.com
Tel.: +49 (0)241 44597-24      Macdonald Associates GmbH
Fax : +49 (0)241 44597-10      Lothringer Str. 52, D-52070 Aachen