[Quickfix-developers] MarketDepth validation

[Dale W. <wil...@oc...>]

Hi,
I've run into a problem with Market Data request messages:

Environment: Quickfix ; C++ library V1.10.2; WindowsXP Pro

The FIX 4.2 specification describes MarketDepth (tag 264) as:

Depth of market for Book Snapshot
   Valid values:
      0 = Full Book
      1 = Top of Book
      N>1 = Report best N price tiers of data

In FIX42.xml this is represented as:

    <field number="264" name="MarketDepth" type="INT">
      <value enum="0" description="FULL_BOOK"/>
      <value enum="1" description="TOP_OF_BOOK"/>
    </field>

The problem comes when validating a message that tries to use the "N>1" 
option.  The message is rejected because the value doesn't match one of 
the enumerated ones.  See interpreted logs below for details.

What's the right way to handle this situation?

Dale


==========INCOMING MESSAGE===============
 8=FIX.4.2 |          BeginString = FIX.4.2
     9=129 |           BodyLength = 129
      35=V |              MsgType = MarketDataRequest
      34=2 |            MsgSeqNum = 2
 49=CLIENT |         SenderCompID = CLIENT
52=20050722-14:56:12.000
           |          SendingTime = 20050722-14:56:12.000
56=EXGATEWAY
           |         TargetCompID = EXGATEWAY
----------------------------------------
     146=1 |         NoRelatedSym = 1
55=FTNL20060300
           | ->              Symbol = FTNL20060300
     262=0 |              MDReqID = 0
     263=1 | SubscriptionRequestType = SNAPSHOT_PLUS_UPDATES
    264=10 |          MarketDepth = 10
     265=1 |         MDUpdateType = 1
     266=Y |       AggregatedBook = Y
     267=2 |       NoMDEntryTypes = 2
     269=0 | ->         MDEntryType = BID
     269=1 | ->         MDEntryType = OFFER
----------------------------------------
    10=189 |             CheckSum = 189

==========REPLY==================

 8=FIX.4.2 |          BeginString = FIX.4.2
     9=133 |           BodyLength = 133
      35=3 |              MsgType = Reject
      34=2 |            MsgSeqNum = 2
49=EXGATEWAY
           |         SenderCompID = EXGATEWAY
52=20050722-14:56:12.000
           |          SendingTime = 20050722-14:56:12.000
 56=CLIENT |         TargetCompID = CLIENT
----------------------------------------
      45=2 |            RefSeqNum = 2
58=Value is incorrect (out of range) for this tag
           |                 Text = Value is incorrect (out of range) 
for this tag
   371=264 |             RefTagID = 264
     372=V |           RefMsgType = MarketDataRequest
     373=5 |  SessionRejectReason = 5
----------------------------------------
    10=009 |             CheckSum = 009