Re: [Quickfix-developers] FAST FIX

[Brian E. <azz...@ya...>]

Oren -=0A=0AAre you planning to support the CME's networking layer (dual UD=
P streams) in your new FAST engine? I ask because CME has been the primary =
driver for FAST, and that implementation (a SIAC-like UDP networking layer =
coupled with FAST messaging) is probably going to be the first version that=
 hits production.=0A=0ASecond question - which may already have been asked =
and answered somewhere - can QuickFIX handle the CME's broken FIX implement=
ation? They really borked up two aspects:=0A=0A1. They overload the meaning=
 of the SenderCompID. They use it for primary/backup/failover purposes and =
to allow multi-firm routing. It's bizarre - the first three characters of t=
he SenderCompID identify the API "user", the next three identify the firm s=
ubmitting the current order, and the last character indicates which server =
you think you're connecting to - primary or backup (or "N" if you don't car=
e/can't handle failover). The "session" is defined purely in terms of the f=
irst three characters - I can send "ABC123P" and "ABC987B" on the same "ses=
sion". In practice (as we don't use failover), we end up just modifying the=
 "middle" three characters to handle multi-membership routing.=0A=0A2. They=
 don't send all the required fields on fills of spread orders on their "Eag=
le" markets. Instead of sending a "differential" fill or leg fills, they se=
nd a weird combination of a differential fill, followed by two "leg" fills =
that are missing a lot of required FIX fields for execution reports. You're=
 supposed to fill in the missing fields on the legs with data from the diff=
erential.=0A=0ABecause of the above, we run a custom "FIX-like" engine that=
 I wrote to handle their mess. Anyone dealing with CME that has managed to =
get QuickFIX to work with it? I'd imagine unmodified QF would run screaming=
 from their message flow...=0A=0A- Brian Erst=0A=0A----- Original Message -=
---=0AFrom: Oren Miller <or...@qu...>=0ATo: Caleb Epstein <cale=
b.e...@gm...>=0ACc: qui...@li...=0ASent=
: Monday, July 23, 2007 3:05:39 PM=0ASubject: Re: [Quickfix-developers] FAS=
T FIX=0A=0AQuickFIX Documentation: http://www.quickfixengine.org/quickfix/d=
oc/html/index.html=0AQuickFIX Support: http://www.quickfixengine.org/servic=
es.html=0A=0AWe are doing work on FAST, though it will not be using the Qui=
ckFIX  =0AAPI for the reasons you noted.  It will have a new API that is be=
tter  =0Asuited to the task.=0A=0A--oren=0A=0AOn Jul 23, 2007, at 3:02 PM, =
Caleb Epstein wrote:=0A=0A> QuickFIX Documentation: http://www.quickfixengi=
ne.org/quickfix/doc/ =0A> html/index.html=0A> QuickFIX Support: http://www.=
quickfixengine.org/services.html=0A>=0A> On 7/23/07, Shawn Yarbrough <syarb=
ro...@ge...> wrote:=0A>=0A>> I'm searching for information about =
QuickFIX and the new FAST/FIX  =0A>> protocol,=0A>> but I wasn't able to fi=
nd anything on the quickfixengine.org  =0A>> website.  Can=0A>> you tell me=
 anything about this?=0A>=0A> I don't think any work has been done to add F=
AST encoding into  =0A> QuickFIX.=0A>=0A> I believe FAST is still a 'proof =
of concept' and is generally being=0A> used for very high volume, session-l=
ess traffic like market data=0A> feeds.  Are any ECNs using it for order en=
try?  Has anyone gone=0A> through the exercise of mapping (say) the FIX4.4 =
message=0A> specifications to FAST message templates?=0A>=0A> Frankly, if t=
here is no real "session" involved and you're just=0A> consuming market dat=
a, I don't know that QuickFIX would be a=0A> particularly good choice of AP=
Is even if it did have FAST support.=0A> You're probably better off with (s=
ay) the proof-of-concept FAST C=0A> library  available from fixprotocol.org=
/fast.=0A>=0A> -- =0A> Caleb Epstein=0A>=0A> ------------------------------=
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