[Quickfix-developers] Market Data Request is rejected because Symbol field is being dropped

[John D. <jd...@so...>]

Hi there,

The results I'm seeing look like the Symbol field is being dropped
by the FIX engine when sending the MarketDataRequest message from an
initiator to an acceptor.


Here is the relevant source code...

  Message message = new Message();
  Message.Header header = message.getHeader();

  header.setField(new BeginString("FIX.4.2"));
  header.setField(new SenderCompID("AlexInitiator"));
  header.setField(new TargetCompID("AlexAcceptor"));

  header.setField(new MsgType("V"));               //Market_Data_Request...MsgType <35> = V  
  message.setField(new Symbol("SPY"));             //passed to here by local app
  MDReqIDnum = MDReqIDnum + 1;                     //Unique identifier for Market Data Request
  message.setField(new MDReqID(MDReqIDnum.ToString()));
  message.setField(new SubscriptionRequestType('1'));  //Snapshot + Updates (Subscribe)
  message.setField(new MDUpdateType(1));           //0 = Full Refresh, easier to process
                                                   //1 = Incremental Refresh, less bandwidth consumed
  message.setField(new MarketDepth(1));            //Top of Book
  message.setField(new NoMDEntryTypes(2));         //Number of MDEntryType fields requested. Bid and Offer
  message.setField(new MDEntryType('0'));          //Bid
  message.setField(new MDEntryType('1'));          //Offer
  message.setField(new NoRelatedSym(0));           //number of repeating symbols specified.
                                                   //useful with option strike prices, but not used in stocks
    
  Session.sendToTarget(message);  //transmit the message to the other end of link


This is what is seen at toApp
   22:29:47 toApp 8=FIX.4.2
9=119
35=V
34=28
49=AlexInitiator
52=20090624-   
   02:29:47.000
56=AlexAcceptor
55=SPY
146=0
262=32
263=1
264=1
265=1
267=2
269=1
10=133


This is what is seen at fromAdmin
   22:26:54 fromAdmin 8=FIX.4.2
9=133
35=3
34=6
49=AlexAcceptor
52=20090624-
   02:26:56.984
56=AlexInitiator
45=6
58=Tag not defined for this message 
   type
371=55
372=V
373=2
10=188
 FIX.4.2:AlexInitiator->AlexAcceptor

Notice that the symbol is defined at toApp where 55=SPY
but fromAdmin complains 58=Tag not defined for this message type
   371=55    Symbol <tag 55> is unrecognized
   372=V     MsgType = V, MarketDataRequest
   373=2     SessionRejectReason = '2' = Tag not defined for this message type
Notice that tag 55=SPY is not included in fromAdmin.


It looks like toApp sees that I am defining tag 55 = "SPY",
but the FIX engine is dropping that field in the message.
Then the message fails to parse properly and is thus rejected.
Message types other than MarketDataRequest <MsgType = V> which 
involve Symbol field <tag 55> are being sent and received properly.

As a workaround I tried the following variation but got the same results
message.setField(new StringField(55, "SPY"));

The code shown in the "most safe" example does not compile in C#,
else I would be happy to try that style.
The compile error message is: 
Expected ; or = (cannot specify constructor arguments in declaration) 


Has anyone seen this type of problem before where the Symbol field gets dropped from a message?
Do you see anything wrong in the source code?
I'm wondering if my shared code sample would cause the same problem in other 
developers applications or if it is unique to my environment.
Any clues, comments, or code examples would be greatly appreciated.

Thanks,
John Devron