Re: [Quickfix-developers] isCorrectCompID

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Oren -

Just to make you aware, CME really does violence to the whole SenderCompID tag. When they created their new FIX gateway a few years back, they removed just about all the routing intelligence that had been built into the old one. Due to this fact, they ended up needing a field that would allow both the failover routing (that whole "U" versus "P" thing) as well as multi-clearing firm support (for instance, one of my clients clears under 5-6 different clearing firm numbers due to a number of acquisitions over the years). 

Rather than putting that into a user defined field as they should have done (or better still, Sender/TargetSubID), they used SenderCompID to handle it. You have a "master" session that you login with, but after that, the SenderCompID is split into three parts: a session identifier (3 chars), a clearing firm number (3 numbers) and a failover indicator ("U", "P" or "N"). As long as your session id (first 3 chars) doesn't change and your firm number (second 3 chars) is registered, you can modify things to your hearts content. 

It's the only way for big firms to enter orders using a single login. While it ridiculously breaks FIX semantics for no good reason, it's far preferable to other exchanges (Liffe/CBOT, I'm looking at you) that require separate logins for each clearing firm number.

We run our own custom-developed FIX engine just for CME because it's such an odd duck, FIX-wise. I like to think of it as "FIX inspired", rather than true FIX.

- Brian Erst
Thynk Software, Inc.

----- Original Message ----
From: Oren Miller <or...@qu...>
To: "Jain, Anil" <Ani...@rb...>; rho <tia...@ya...>; qui...@li...
Sent: Wednesday, May 10, 2006 12:32:58 PM
Subject: Re: [Quickfix-developers] isCorrectCompID

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Well, the CME made the choice to break FIX compatibility by sending multiple 
comp ids on a single session.  Adding pattern matching or regex comparisons 
to compids adds a lot of complexity with no real tangible benefit.  The same 
goes for systems that choose to send some fields with no data.  Our solution 
is going to be to turn turn off that validation for all fields in those 
cases.  We don't intend on writing a validation system that will do that 
validation for some fields and not for others.  The added effort and 
complexity is just not worth it.

These are basic rules of the fix protocol.  By breaking this rule, the CME 
is essentially saying that this rule does not apply.  Turning off the 
validation is the simplest and most universal solution to the problem.  If 
the CME has a habit of sending you messages from other sessions, then there 
is a bigger problem they need to address.

--oren

----- Original Message ----- 
From: "Jain, Anil" <Ani...@rb...>
To: "Oren Miller" <or...@qu...>; "rho" <tia...@ya...>; 
<qui...@li...>
Sent: Wednesday, May 10, 2006 12:18 PM
Subject: RE: [Quickfix-developers] isCorrectCompID

I do not understand your suggestion to make it configurable.
The validation, if it is needed, must be there, now that a pattern needs to 
be validated, rather than a static data.
But, then neither have I used CME fault tolerance, nor I have sufficient QF 
experience to encounter a failed validation in general.

Anil Jain

-----Original Message-----
From: qui...@li...
[mailto:qui...@li...]On Behalf Of
Oren Miller
Sent: Wednesday, May 10, 2006 1:02 PM
To: rho; qui...@li...
Subject: Re: [Quickfix-developers] isCorrectCompID

QuickFIX Documentation: 
http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Yeah, this is just a quick workaround.  In the end we will probably need to
add another validation config setting such as ValidateSenderCompID.

--oren

----- Original Message ----- 
From: "rho" <tia...@ya...>
To: <qui...@li...>
Sent: Wednesday, May 10, 2006 11:53 AM
Subject: Re: [Quickfix-developers] isCorrectCompID

> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
> The easy way to fix it is to modify the function one way or another. But
> that
> would mean a change of the quickfix library. I tried not to change the
> quickfix library.
>
> --
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