[Quickfix-users] Data Dictionary for CME

[Igor S. <se...@ma...>]

Hi,

Has anyone managed to set up a QuickFIX Data Dictionary for CME Globex that
is OK for trading?

CME does a lot of violations to FIX 4.2 specs.

What I have already met is that CME:
- uses tag NextExpectedMsgSeqNum <789> for Logout <5>
- uses extended set of values for tags OrdRejReason <103> and CxlRejReason
<102> (>= 1000)
- uses tag ExecID <17> for OrderCancelReject <9>
- changes obligatoriness for some fields

I would appreciate a lot if anyone could share a QuickFIX Data Dictionary
ready for use with CME!

Many thanks in advance,
Igor