[Quickfix-users] question handling Quote message

[Doug M. <dou...@gm...>]

I am having trouble parsing a Quote message using a c# version of QuickFix.

An example message I have received is:

8=FIX.4.4
9=207
35=S
49=JTEST1
56=J_UAT_1
34=23
52=20090727-18:58:58
131=0
5271=InstrumentValuationResponse
555=1
600=NG
611=20091200
608=OCXXXX
1188=0.5775604818
7966=0.7208459105
612=4.9
681=1.098108096
1=dm1
10=021



I have the following method for reading the message:

public override void onMessage(QuickFix44.Quote message, SessionID session)
{
            int numLegs = message.getNoLegs().getValue();

            for (uint n = 1; n<=numLegs; n++)
            {

                QuickFix44.Quote.NoLegs group = new
QuickFix44.Quote.NoLegs();
                message.getGroup(n, group);


I correctly determine that the numLegs = 1.  However, when I call
message.getGroup, I get a FieldNotFound exception.

If I am not using a data dictionary, I see the following in my event log:

20090727-18:59:05 : Message 23 Rejected: Conditionally Required Field
Missing:555


Though, the 555 field is in the message.


I suspect the problem has to do with the user defined fields, 1188 and/or
7966.  I tried using a data dictionary, I modified the supplied fix44.xml
dictionary to add fields for 1188 and 7966 and included them in the
InsturmentLeg component.  I also added the 5271 user defined field to the
Quote message in the dictionary.  After those changes, when using the data
dictionary, the Quote message is rejected and I see the following in the
event log:


20090727-18:48:53 : Message 3 Rejected: Tag not defined for this message
type:612

612 is the LegStrikePrice, which should be supported on an InsturmentLeg, so
I'm not sure why that is occuring?

Is there anything else I need to do to handle these user defined fields?  Am
I doing something wrong in the onMessage method?  Or is the message I am
receiving badly formed?  Is there anything else I should try to debug this?

Thanks