Re: [Quickfix-developers] Messages not reaching application (MessageCracker) layer

[Rick L. <ric...@gm...>]

What I meant to say below was:

"What appears to be happening, in very rare instances, is I'm not getting
this ExecutionReport for some *orders *"

On Tue, Dec 2, 2008 at 2:07 PM, Rick Lane <ric...@gm...> wrote:

> Greetings,
>
> I've recently discovered a very unsettling bug in my trading platform, and
> I wanted to ask a fairly general question to see if this has bene seen
> anywhere else (I'm assuming it's a bug in *my *code, but it can't hurt to
> ask the group)...
>
> When a New Order Single message is generated by the user, I don't send an
> acknowledgment of that order until I get the ExecutionReport confirming the
> order, in my
>
> onMessage(ExecutionReport message, QuickFix.SessionID session)
>
> MessageCracker message handler.  Whenever I get this confirmation, I add
> this particular order to my database, to my order books, etc.
>
> What appears to be happening, in very rare instances, is I'm not getting
> this ExecutionReport for some fills.  What this means is, my platform
> doesn't know the order exists, but it's still working in the Exchange's eyes
> -- so there's not even a way to cancel the order unless I call the exchange
> or use their web-based front-end to cancel the order.
>
> We run some automated trading applications that can have upwards of a *million
> *orders in a given day (constantly adding/pulling orders, etc.) -- and
> this bug occurs, usually, once every two days.  So it's a very low
> percentage of the time.
>
> I've spoken with the exchange, and they are showing that ExecutionReports
> *were *in fact sent (and QuickFix would issue a resend request if the
> message wasn't sent and a subsequent message had a higher sequence number).
> Since this isn't occurring, I'm wondering if there is some way the message
> might be received by the QuickFix layer and just isn't sent up to the
> MessageCracker layer.  I have try-catch blocks in my handler, and no
> exceptions are being thrown, so I don't know how I could be missing this
> acknowledgment.
>
> Has anyone seen anything even remotely similar?
>