Re: [Quickfix-developers] MarketDepth validation
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Re: [Quickfix-developers] MarketDepth validation
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From: Dale W. <wil...@oc...> - 2005-07-22 20:10:36
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Oren Miller wrote: > I think the only thing you can do in this situation is to remove > those enums, which would allow any value to come through. Ok. That makes sense. I was going to ask if this would cause problems because symbolic names were not generated for the enums, but it appears that MarketDepth_FULL_BOOK, etc. aren't defined anyway. I thought these were automatically generated from the XML. In any case, removing the enums provides a viable work-around. Thanks, Dale > > --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 >> >> >> >> >> ------------------------------------------------------- >> SF.Net email is sponsored by: Discover Easy Linux Migration Strategies >> from IBM. Find simple to follow Roadmaps, straightforward articles, >> informative Webcasts and more! Get everything you need to get up to >> speed, fast. http://ads.osdn.com/?ad_id=7477&alloc_id=16492&op=click >> _______________________________________________ >> Quickfix-developers mailing list >> Qui...@li... >> https://lists.sourceforge.net/lists/listinfo/quickfix-developers >> >> > -- ----------------------------------------------------- Dale Wilson, Senior Software Engineer Object Computing, Inc. (OCI) http://www.ociweb.com/ http://www.theaceorb.com/ ---------------------------------------------------- |
