Re: [Quickfix-developers] System clock issues

[Shane T. <str...@co...>]

John,

It might be worth it to configure QuickFIX with "CheckLatency=N" to remove
time validation, though I don't think this is recommended unless your
counterparty uses local time instead of GMT or something similar.

-- 
Shane Trotter
Connamara Systems, LLC

On Wed, Jul 30, 2008 at 11:07 AM, John Haldi <jr...@ya...> wrote:

> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
> I recently had two different scenarios occur which impacted my quickfix
> implementation, and I thought I'd describe them here in case anybody else
> runs into a similar situation, as well as to inquire if anybody has any
> suggestions on how best to try to handle either situation the next time it
> occurs.
>
> By way of background, we've created an algorithmic high-frequency trading
> system that utilizes the latest out-of-the-box quickfix implementation.  The
> system is written in .NET 2.0.  We have a FIX "router" which is a gateway to
> 2 direct exchanges and 2 brokers (one US, one LatAm).  The router serves
> about 20 client implementations here in the office.  All clients are running
> on Windows XP.
>
> Scenario #1 ("My life in IT would be much easier without Users"):
>
> One of my traders starts screaming that his trading application has gone
> nuts.  Investigation shows that his system clock is not set to the proper
> date.  Further digging reveals that the trader in question was "bored, and
> just playing with the system clock.  Why would that affect our trading
> system?"  Diagnosis:  Quickfix discovered that the date had changed on the
> system clock and reset the daily session, setting incoming and outgoing
> sequence numbers back to 1.  This caused an immediate disconnect from the
> FIX router and subsequent reconnects failed due to sequence number
> mismatches.
>
> From my perspective, quickfix behaved exactly as it should in this
> scenario.  Amusingly enough, the same scenario re-occurred with a different
> trader a few weeks later.  I can't resist sharing the explanation from the
> trader:  "I was online reserving a car for my vacation and when it asked me
> to enter a date for pickup, I thought that was where I should enter it".
> Priceless.
>
> Scenario #2:  ("#^$&# Windows...")
>
> Today one of our traders suddenly experienced a disconnect from our FIX
> router in the middle of a large sequence of trades.  The loss of connection
> was not a welcome event at that moment.  After much digging, we finally
> discovered that Windows had decided on its own to initiate its weekly clock
> sync to internet time.  Because of hardware vagaries, this workstation's
> system time had drifted a little over two minutes since its last sync.  Upon
> resetting the system time, quickfix determined that too much time had
> elapsed during a heartbeat request (send it at 11:06:58 and two seconds
> later get a response but the system time is now 11:09:23) so it initiated a
> disconnect on timeout.  Quickfix then automatically (and successfully) tried
> to log on as determined in my config file settings, but the market had
> slipped on the trades in progress so the experience was considered a big
> problem.
>
> In both cases I believe that quickfix behaved exactly as expected.  I
> suppose the reason I'm writing all this is to see if perhaps anybody has any
> suggestions on 1) how to perhaps handle either of these scenarios more
> gracefully within my code, or 2) how to perhaps try to prevent similar
> situations from occuring from an IT management perspective (workstation
> lockdown, etc.).  If anybody has any thoughts on the topic I'd love to hear
> them.
>
> (And before you suggest it, I asked:  Getting rid of all my users is not an
> option....)
>
> Many thanks,
>
>    John
>
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