Re: [Quickfix-users] how to configure

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John,
good point. i do have a handler for OrderCancelReject. 
Also, i have a typo in my prev email - the msg i suspect missing is of ExecutionReports, with OrderStatus=6 (39=6), which is "CANCEL PENDING". It has fields about how many shares partially filled and so on.

i am very interested in finding out the details about supposely automatic "resend" request, generated by QuickFix. anyone knows where i can find the details? i do not mind looking into the codes, btw.

thanks,
Dan
----- Original Message ----
From: John Haldi <jh...@ca...>
To: Dan Guo <dua...@ya...>
Sent: Tuesday, March 18, 2008 12:23:09 PM
Subject: RE: [Quickfix-users] how to configure

Before we dig into the nitty gritty, let me ask a stupid question -- akin to "are you sure its plugged in".  My apologies if this is too obvious to warrant asking.

In your app I'm guessing that you use the message cracker, and that you use the overloaded onMessage event to handle ExecutionReports.  If that's the case, do you also have an onMessage handler for OrderCancelReject (MsgType=9)?  And in that handler are you logging to the same place as where you log the ExecReports?

Your scenario is so specific, and OrderCancelRejects sometimes throw people for a loop because they assume that they come back as ExecReports when in fact they are their own message type.  I just want to cover our bases before we look for stranger answers.

    John

-----Original Message-----
From: qui...@li... [mailto:qui...@li...] On Behalf Of Dan Guo
Sent: Tuesday, March 18, 2008 11:55 AM
To: John Haldi
Cc: qui...@li...
Subject: Re: [Quickfix-users] how to configure

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

John,
what occured is this -
1. my app did nto crash or restart. it worked all the way; 2. in my log, i see "Logout"and then "Logon"for the session to my counter-party; 3. after "Logon", i see msgs start to flow back and forth; 4. later, i send an order and shortly later i try to cancel that order.
5. but the order was FILLED before my cancel request and my counter party send me a partial fill with OrdStatus="Cancel rejected"
6. that msg however was nowhere found in my log and i never see it.

This leads to my study. If the msg got lost, my counter-party said i should request for resend.
If "resend" request is automatic, then i should always not miss any msg.

perhaps my counter-party's software was not compatible with QuickFIx's resend-request?

Dan
----- Original Message ----
From: John Haldi <jh...@ca...>
To: Dan Guo <dua...@ya...>
Sent: Tuesday, March 18, 2008 11:41:39 AM
Subject: RE: [Quickfix-users] how to configure

Dan,

When you say that you don't see the missing message in your log, which log are you talking about?  I suspect the following may be happening:

1.  Broker sends message #100
2.  Quickfix gets message #100, and updates its seqnums as it should 3.  Quickfix issues the callback to you (onMessage), saying it got message #100 4.  You code which handles the callback crashes while processing the message, and never gets to its logging code 5.  You restart and quickfix happily thinks it got message #100 since it updated its seqnums to that effect

If you change your app so that it logs the message as the first step in the onMessage handler, and then processes it (and presumably crashes on that message), do you now see it in your log?

Is any of this a plausible scenario based on your app?

  john

-----Original Message-----
From: Dan Guo [mailto:dua...@ya...]
Sent: Tuesday, March 18, 2008 11:34 AM
To: John Haldi; qui...@li...
Subject: Re: [Quickfix-users] how to configure

John,
if resend is automatic (after rejecting out-of-sequence msg), that is perfect for me. now, the question becomes this - what is this "request for a resend of the missing one" you mentioned? ie. the format and all the details. I need ask our counter-party to see if they get it and support it.

this pops up when a session dies in the intraday. later, in my log, i see i never receive a msg, but our counter-party's log indicated they push out that message. this is a very unsettled situation.

thank you or anyone who has more pointers,

Dan

----- Original Message ----
From: John Haldi <jh...@ca...>
To: Dan Guo <dua...@ya...>
Sent: Tuesday, March 18, 2008 11:25:22 AM
Subject: RE: [Quickfix-users] how to configure

quickfix will detect missing seq nums and will actually reject the out of sequence messsage and request a resend of the missing one.  This should be transparent to your app, since it happens under the hood in the quickfix engine (assuming you're using the out of the box quickfix dlls).

The entire purpose of the sequencing protocol is to prevent what you are describing at a messaging level.  Now if your contra is somehow not sending an expected message at the app level, that's a different can of worms....

-----Original Message-----
From: qui...@li... [mailto:qui...@li...] On Behalf Of Dan Guo
Sent: Tuesday, March 18, 2008 11:17 AM
To: qui...@li...
Subject: Re: [Quickfix-users] how to configure

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

Here are my specific questions -
1. i suspect there is lost incoming msg. If that occured, my counter-party required me to request with the missed incoming msg's sequence #. how can i make that happen?
2. i see a file .seqnums. it contains 2 numbers:
          00003434 : 00001234
  i guess the 1st is incoming msg's sequence # and the 2nd is outgoing msg's sequence #.

  if any incoming msg got lost, can quickfix automatically detect the gap and ask for resending from my counter-party? how?

thanks,
Dan

----- Original Message ----
From: Dan Guo <dua...@ya...>
To: qui...@li...
Sent: Tuesday, March 18, 2008 10:47:24 AM
Subject: [Quickfix-users] how to configure

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

I would like to study how to ensure message delivery.  Our counter-party suggested the following -
> You should test your resend capability in our test environment.  Go in
> and send a few orders then disconnect, change the incoming sequence
> number lower and reconnect to see if you receive the missed messages.
> If not then there could be a problem/configuration issues with your
> Fix software.
> Since this is such a fundamental Fix process your software should have
> some documentation concerning it.

can anyone in this forum give me some pointers?

thanks,
Dan

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