Re: [Quickfix-developers] MarketDepth validation

[Oren M. <or...@qu...>]

I think the only thing you can do in this situation  is to remove  
those enums, which would allow any value to come through.

--oren

On Jul 22, 2005, at 2:30 PM, Dale Wilson wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
> html/index.html
> QuickFIX FAQ: http://www.quickfixengine.org/wikifix/index.php? 
> QuickFixFAQ
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> 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
>
>
>
>
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