quickfix-developers — QuickFIX developers forum

Re: [Quickfix-developers] No fromApp

[Benjamin B. <bbe...@ca...>]

Sorry,
apparently the trame is bad, i just have an exception.
I can search myself.
Thanks

[Quickfix-developers] No fromApp

[Benjamin B. <bbe...@ca...>]

Hi,

I send a 35=D trame to a quickfixengine, but it didn't pass on the
fromApp method, so it can't crack the message. I know the trame is
received because the onIncoming method log this one.

The Application class work because we pass on the onLogon and onLogout.

If anibody have an idea...

Thanks.

The trame :
(8=FIX.4.2
9=233
35=D
34=64
49=CARAXTEST-ACPT1-INTERFACE-3
52=20070808-13:21:56.677
56=CLIENT1-INT-3
1=aa
11=20070808-15:21:56-ID
15=EUR
21=1
22=4
38=15
40=1
44=10
48=FR0000131906
54=1
55=FR0000131906
59=0
60=20070808-13:21:56.677
75=20070808
100=PA
10=214

Re: [Quickfix-developers] SSL and stunnel help needed

[JohnG <jo...@pu...>]

For the record: 
It turns out that I wasn't having a problem with stunnel. The connection was
being closed purposefully by the receiver.

John
-- 
View this message in context: http://www.nabble.com/SSL-and-stunnel-help-needed-tf4205278.html#a12051120
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[Quickfix-developers] Is Open SSL required for Stunnel

[Naveed A. <na...@nc...>]

Hello
I want to ask a question...
Is it necessary to install Open SSL if I want to use stunnel for secure
tunneling of my Fix Client /Server Communication?

Thanks
-Naveed

[Quickfix-developers] Newbie: Building QuickFIX with Java on Linux

[Ryan J. <rj...@fx...>]

Hello,

I am running Linux (Ubuntu 7.04 Feisty Fawn). My gcc version is 4.1.2,
and java version is 1.6.0. 

I am trying to build QuickFIX with Java. Following the online
documentation, I run:

./bootstrap
./configure --with-java
make

The 'bootstrap' and 'configure' both seem to work. But when I run
'make', it breaks with the following (excerpt of) error message:
...
make[4]: Leaving directory `/home/jaz/quickfix/quickfix/src/java/src'
make[4]: Entering directory `/home/jaz/quickfix/quickfix/src/java'
/bin/bash ../../libtool --tag=CXX   --mode=compile g++ -DHAVE_CONFIG_H
-I. -I../.. -I../../include    -g -O2 -Wall -ansi -Wpointer-arith
-Wwrite-strings     -I/usr/include/libxml2  -I/include -I/include/linux
-MT JVM.lo -MD -MP -MF .deps/JVM.Tpo -c -o JVM.lo JVM.cpp
 g++ -DHAVE_CONFIG_H -I. -I../.. -I../../include -g -O2 -Wall -ansi
-Wpointer-arith -Wwrite-strings -I/usr/include/libxml2 -I/include
-I/include/linux -MT JVM.lo -MD -MP -MF .deps/JVM.Tpo -c JVM.cpp  -fPIC
-DPIC -o .libs/JVM.o
In file included from JVM.cpp:28:
JVM.h:22:17: error: jni.h: No such file or directory
JVM.h:51: error: 'JNIEnv' has not been declared
JVM.h:52: error: 'JavaVM' has not been declared
JVM.h:52: error: 'static void JVM::set(int*)' cannot be overloaded
...
...

It seems to me that g++ cannot find the file jni.h. What do I need to do
to get g++ to find jni.h? 

My $JAVA_HOME is /usr/lib/jvm/java-6-sun ; the jni file is located
here: /usr/lib/jvm/java-6-sun/include/jni.h

Any ideas? 

-RJ

[Quickfix-developers] Building QuickFix for Python

[<Sco...@St...>]

What versions of Python and MySQL is QuickFix known to work with? Does 
anyone have any recommendations in the build process? The configure script 
seems fragile, so suggestions are greatly appreciated.

[Quickfix-developers] Help regarding Performance specs. for QF/J

[VP M. IT A. E. T. <ass...@gm...>]

Hello

We had three peak volume days 07/26 (THU) and 07/27 (FRI)
and 08/01 and I would like to know if any one runs QF/J application in
production mode and weathered through the volume spikes, in particular in
the equity markets.

If so..was there any problem? If there were no problem, do you know the peak
throughput achieved during these three days.

Thank you
--
Raman

Re: [Quickfix-developers] Missing tag 122

[<San...@ub...>]

> Are you talking about messages you send or messages you receive?
I am sending messages.

To met brokers odd requirement of sending Tag 122 in New Order I need to
change QuickFix libraries. Any idea in which class QuickFix changes the
message?

Messages are getting changed in toApp() method. I am using C++ on Linux
platform.

Regards,
Sangram

-----Original Message-----
From: Caleb Epstein [mailto:cal...@gm...]=20
Sent: Thursday, August 02, 2007 5:41 PM
To: Shinde, Sangram; quickfix-developers
Subject: Re: [Quickfix-developers] Missing tag 122

On 8/2/07, San...@ub... <San...@ub...> wrote:

> Any idea how to stop all such validation/corrections done by quickfix?

> I don't want ANY correction from quickfix side?

Are you talking about messages you send or messages you receive?

In the case of the former, OrigSendingTime is a bit of a special case
and this behavior is not configurable.  It is necessary to implement
certain logic in order to be FIX compliant, and the handling of this
field is one of those things.  For example, you don't want to calculate
your own message Checksums do you?  Certain things are necessarily
hard-wired.

If want to disable validation of incoming messages, simply don't use a
Data Dictionary for the session in question.

--
Caleb Epstein
Visit our website at http://www.ubs.com

This message contains confidential information and is intended only 
for the individual named.  If you are not the named addressee you 
should not disseminate, distribute or copy this e-mail.  Please 
notify the sender immediately by e-mail if you have received this 
e-mail by mistake and delete this e-mail from your system.
	
E-mails are not encrypted and cannot be guaranteed to be secure or 
error-free as information could be intercepted, corrupted, lost, 
destroyed, arrive late or incomplete, or contain viruses.  The sender 
therefore does not accept liability for any errors or omissions in the 
contents of this message which arise as a result of e-mail transmission.  
If verification is required please request a hard-copy version.  This 
message is provided for informational purposes and should not be 
construed as a solicitation or offer to buy or sell any securities 
or related financial instruments.

UBS Limited is a company registered in England & Wales under company
number 2035362, whose registered office is at 1 Finsbury Avenue,
London, EC2M 2PP, United Kingdom.

UBS AG (London Branch) is registered as a branch of a foreign company
under number BR004507, whose registered office is at
1 Finsbury Avenue, London, EC2M 2PP, United Kingdom.

UBS Clearing and Execution Services Limited is a company registered
in England & Wales under company number 03123037, whose registered
office is at 1 Finsbury Avenue, London, EC2M 2PP, United Kingdom.

[Quickfix-developers] Fwd: Missing tag 122

[Caleb E. <cal...@gm...>]

Sorry, mistakenly forgot to keep this message CC'ed to the list.

---------- Forwarded message ----------
From: Caleb Epstein <cal...@gm...>
Date: Aug 2, 2007 10:44 AM
Subject: Re: [Quickfix-developers] Missing tag 122
To: "San...@ub..." <San...@ub...>


On 8/2/07, San...@ub... <San...@ub...> wrote:

> I am sending Fix messages to Broker. While constructing Fix message it has
> tag 122 but at the time of sending message ( in toApp method ) I am not able
> to see the tag 122. I tried using data dictionary also but of no use.

Field 122 (OrigSendingTime) should only be present on resent messages
I believe.  QuickFIX is explicitly removing that field from messages
in Session::send (Message&) before passing them to sendRaw.  This
field will only be set on a resent message.

> Any idea where I am going wrong? Broker needs Tag 122 and rejecting
> messages.

Seems like the broker has an odd interpretation of the FIX spec if
they *require* that field on messages that are not resends.

That said, I think you should be able to add the field back in your
Application's toApp function.

--
Caleb Epstein

Re: [Quickfix-developers] Missing tag 122

[Caleb E. <cal...@gm...>]

On 8/2/07, San...@ub... <San...@ub...> wrote:

> Any idea how to stop all such validation/corrections done by quickfix? I
> don't want ANY correction from quickfix side?

Are you talking about messages you send or messages you receive?

In the case of the former, OrigSendingTime is a bit of a special case
and this behavior is not configurable.  It is necessary to implement
certain logic in order to be FIX compliant, and the handling of this
field is one of those things.  For example, you don't want to
calculate your own message Checksums do you?  Certain things are
necessarily hard-wired.

If want to disable validation of incoming messages, simply don't use a
Data Dictionary for the session in question.

-- 
Caleb Epstein

[Quickfix-developers] Quickfix Loop holes for hackers

[Naveed A. <na...@nc...>]

Hello all,

I want to know if someone faced any problem related to Quickfix, that
include any malfunctioning/ illegal penetration occurred from
clients(initiators) to the server (acceptor).

Or some illegal order placement and data manipulation without either
logging in or after logging in.

Replies appreciated

Thanks in advance
-Naveed

[Quickfix-developers] Missing tag 122

[<San...@ub...>]

Visit our website at http://www.ubs.com

This message contains confidential information and is intended only 
for the individual named.  If you are not the named addressee you 
should not disseminate, distribute or copy this e-mail.  Please 
notify the sender immediately by e-mail if you have received this 
e-mail by mistake and delete this e-mail from your system.
	
E-mails are not encrypted and cannot be guaranteed to be secure or 
error-free as information could be intercepted, corrupted, lost, 
destroyed, arrive late or incomplete, or contain viruses.  The sender 
therefore does not accept liability for any errors or omissions in the 
contents of this message which arise as a result of e-mail transmission.  
If verification is required please request a hard-copy version.  This 
message is provided for informational purposes and should not be 
construed as a solicitation or offer to buy or sell any securities 
or related financial instruments.

UBS Limited is a company registered in England & Wales under company
number 2035362, whose registered office is at 1 Finsbury Avenue,
London, EC2M 2PP, United Kingdom.

UBS AG (London Branch) is registered as a branch of a foreign company
under number BR004507, whose registered office is at
1 Finsbury Avenue, London, EC2M 2PP, United Kingdom.

UBS Clearing and Execution Services Limited is a company registered
in England & Wales under company number 03123037, whose registered
office is at 1 Finsbury Avenue, London, EC2M 2PP, United Kingdom.

[Quickfix-developers] SSL and stunnel help needed

[JohnG <jo...@pu...>]

I have set-up stunnel as described in the examples:

  http://www.quickfixj.org/confluence/display/qfj/SSL+Support

My QF engine can now logon and exchange Administration messages with the
intended broker hub. I can receive Application messages but am unable to
send application messages. When i try i get a pause then a logout without
exchange of logout messages.

The stunnel log looks like this:

2007.08.01 19:04:40 LOG7[2636:6104]: SSL alert (read): warning: close notify
2007.08.01 19:04:40 LOG7[2636:6104]: SSL closed on SSL_read
2007.08.01 19:04:40 LOG7[2636:6104]: Socket write shutdown
2007.08.01 19:04:40 LOG7[2636:6104]: SSL write shutdown
2007.08.01 19:04:40 LOG7[2636:6104]: SSL alert (write): warning: close
notify
2007.08.01 19:04:40 LOG6[2636:6104]: SSL_shutdown successfully sent
close_notify
2007.08.01 19:04:40 LOG5[2636:6104]: Connection closed: 1758 bytes sent to
SSL, 1218 bytes sent to socket
2007.08.01 19:04:40 LOG7[2636:6104]: executor finished (0 left)


I do not see any stunnel logging at all happening when Admin messages are
being exchanged (or when receiving Application messages). Is this normal ?


Connection looks like this:

2007.08.02 10:42:41 LOG7[3196:5680]: executor accepted FD=176 from
127.0.0.1:2295
2007.08.02 10:42:41 LOG7[3196:5680]: Creating a new thread
2007.08.02 10:42:41 LOG7[3196:5680]: New thread created
2007.08.02 10:42:41 LOG7[3196:4676]: executor started
2007.08.02 10:42:41 LOG7[3196:4676]: FD 176 in non-blocking mode
2007.08.02 10:42:41 LOG5[3196:4676]: executor accepted connection from
127.0.0.1:2295
2007.08.02 10:42:41 LOG7[3196:4676]: FD 192 in non-blocking mode
2007.08.02 10:42:41 LOG7[3196:4676]: executor connecting xxx.xxx.xxx.xx:4433
2007.08.02 10:42:41 LOG7[3196:4676]: connect_wait: waiting 10 seconds
2007.08.02 10:42:41 LOG7[3196:4676]: connect_wait: connected
2007.08.02 10:42:41 LOG5[3196:4676]: executor connected remote server from
192.168.37.165:2296
2007.08.02 10:42:41 LOG7[3196:4676]: Remote FD=192 initialized
2007.08.02 10:42:41 LOG7[3196:4676]: SSL state (connect): before/connect
initialization
2007.08.02 10:42:41 LOG7[3196:4676]: SSL state (connect): SSLv3 write client
hello A
2007.08.02 10:42:41 LOG7[3196:4676]: SSL state (connect): SSLv3 read server
hello A
2007.08.02 10:42:41 LOG7[3196:4676]: SSL state (connect): SSLv3 read
finished A
2007.08.02 10:42:41 LOG7[3196:4676]: SSL state (connect): SSLv3 write change
cipher spec A
2007.08.02 10:42:41 LOG7[3196:4676]: SSL state (connect): SSLv3 write
finished A
2007.08.02 10:42:41 LOG7[3196:4676]: SSL state (connect): SSLv3 flush data
2007.08.02 10:42:41 LOG7[3196:4676]:    1 items in the session cache
2007.08.02 10:42:41 LOG7[3196:4676]:    3 client connects (SSL_connect())
2007.08.02 10:42:41 LOG7[3196:4676]:    3 client connects that finished
2007.08.02 10:42:41 LOG7[3196:4676]:    0 client renegotiations requested
2007.08.02 10:42:41 LOG7[3196:4676]:    0 server connects (SSL_accept())
2007.08.02 10:42:41 LOG7[3196:4676]:    0 server connects that finished
2007.08.02 10:42:41 LOG7[3196:4676]:    0 server renegotiations requested
2007.08.02 10:42:41 LOG7[3196:4676]:    2 session cache hits
2007.08.02 10:42:41 LOG7[3196:4676]:    0 session cache misses
2007.08.02 10:42:41 LOG7[3196:4676]:    0 session cache timeouts
2007.08.02 10:42:41 LOG6[3196:4676]: SSL connected: previous session reused


Any help would be appreciated,

Thanks,

John

 
-- 
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[Quickfix-developers] Logon with RawData

[Naveed A. <na...@nc...>]

You have to set it in toAdmin () function like this=20

=20

public void toAdmin(QuickFix.Message message, SessionID sessionID)

        {

                  if ((message.ToString().IndexOf("35=3DA") > 0))

                  {

                      if (sessionID.getSenderCompID() =3D=3D "MYCLIENT")


                      {

                          message.setField(96, "CLIENTUID/CLIENTPWD");

                          message.setField(95, "19");

                      }

                      message.setField(141, "Y");

                    }

        }

=20

=20

Hello there, where are u from (Pakistna or from some other country)

Me from pakistan

[Quickfix-developers] Logon with RawData

[hanif k. <han...@ya...>]

Hi,

I  don't know where to set the RawData field before logon. Do I have to set it in the configuration file or any application message, so that once there is a logon request from my app. to server, it contain the RawData field set.

Thanks!


       
---------------------------------
Moody friends. Drama queens. Your life? Nope! - their life, your story.
 Play Sims Stories at Yahoo! Games. 

[Quickfix-developers] QuickFIX + python

[<Sco...@St...>]

I'm new to QuickFIX and I'm trying to build with additional software into 
QuickFIX, but it seems to be failing.  Any successes would be great news. 

I'm also hoping to build Windows binary with Python support.

./configure --with-python=/home/arb/software/python-2.5 
--with-mysql=/home/arb/software/mysql-5.0.37

Python Build Error:

Making all in python
make[3]: Entering directory `/home/arb/software/quickfix/src/python' 
if /bin/sh ../../libtool --mode=compile g++ -DHAVE_CONFIG_H -I. -I. 
-I../.. -I. -I.. -I../..    -g -O2 
-Wall -ansi -Wpointer-arith -Wwrite-strings      -I/usr/include/libxml2 
-I/home/arb/software/Python-2.
5.1   -MT QuickfixPython.lo -MD -MP -MF ".deps/QuickfixPython.Tpo" \
         -c -o QuickfixPython.lo `test -f 'QuickfixPython.cpp' || echo 
'./'`QuickfixPython.cpp; \
       then mv ".deps/QuickfixPython.Tpo" ".deps/QuickfixPython.Plo"; \ 
       else rm -f ".deps/QuickfixPython.Tpo"; exit 1; \
       fi
mkdir .libs
g++ -DHAVE_CONFIG_H -I. -I. -I../.. -I. -I.. -I../.. -g -O2 -Wall -ansi 
-Wpointer-arith -Wwrite-string
s -I/usr/include/libxml2 -I/home/arb/software/Python- 2.5.1 -MT 
QuickfixPython.lo -MD -MP -MF .deps/Quic
kfixPython.Tpo -c QuickfixPython.cpp  -fPIC -DPIC -o 
.libs/QuickfixPython.o
QuickfixPython.cpp:130:20: error: Python.h: No such file or directory
QuickfixPython.cpp :3560:4: error: #error "This python version requires to 
use swig with the '-classic' 
option"
QuickfixPython.cpp:737: error: expected initializer before '*' token
QuickfixPython.cpp:792: error: expected initializer before '*' token 
QuickfixPython.cpp:805: error: expected initializer before '*' token
/usr/lib/gcc/i386-redhat-linux/4.1.2/../../../../include/c++/4.1.2/exception:40: 
error: expected declar
ation before end of line
make[3]: *** [ QuickfixPython.lo] Error 1
make[3]: Leaving directory `/home/arb/software/quickfix/src/python'
make[2]: *** [all-recursive] Error 1
make[2]: Leaving directory `/home/arb/software/quickfix/src'
make[1]: *** [all-recursive] Error 1 
make[1]: Leaving directory `/home/arb/software/quickfix'
make: *** [all] Error 2

Mysql build error:
g++ -DHAVE_CONFIG_H -I. -I. -I../../.. -I.. -g -O2 -Wall -ansi 
-Wpointer-arith -Wwrite-strings -I/home 
/arb/software/mysql-5.0.37/include/mysql 
-I/home/arb/software/mysql-5.0.37/mysql/include -I/usr/include
/libxml2 -I/usr/lib/python2.5 -O0 -g -MT MySQLStoreTestCase.lo -MD -MP -MF 
.deps/MySQLStoreTestCase.Tpo
-c MySQLStoreTestCase.cpp  -fPIC -DPIC -o .libs/MySQLStoreTestCase.o
In file included from ../MySQLStore.h:37,
                from MySQLStoreTestCase.h:28,
                from MySQLStoreTestCase.cpp:29:
../MySQLConnection.h:35:19: error: mysql.h: No such file or directory
../MySQLConnection.h:36:20: error: errmsg.h: No such file or directory
../MySQLConnection.h:58: error: 'MYSQL' has not been declared
../MySQLConnection.h:110: error: ISO C++ forbids declaration of 
'MYSQL_RES' with no type 
../MySQLConnection.h:110: error: expected ';' before '*' token
../MySQLConnection.h:114: error: 'MYSQL_ROW' was not declared in this 
scope
../MySQLConnection.h:114: error: template argument 1 is invalid 
../MySQLConnection.h:114: error: template argument 2 is invalid
../MySQLConnection.h: In constructor 'FIX::MySQLQuery::MySQLQuery(const 
std::string&)':
../MySQLConnection.h:49: error: class 'FIX::MySQLQuery' does not have any 
field named 'm_result' 
../MySQLConnection.h: In destructor 'FIX::MySQLQuery::~MySQLQuery()':
../MySQLConnection.h:54: error: 'm_result' was not declared in this scope
../MySQLConnection.h:55: error: 'mysql_free_result' was not declared in 
this scope 
../MySQLConnection.h: In member function 'bool 
FIX::MySQLQuery::execute(int*)':

../MySQLConnection.h:54: error: 'm_result' was not declared in this scope
../MySQLConnection.h:55: error: 'mysql_free_result' was not declared in 
this scope 
../MySQLConnection.h: In member function 'bool 
FIX::MySQLQuery::execute(int*)':
../MySQLConnection.h:64: error: 'm_result' was not declared in this scope
../MySQLConnection.h:64: error: 'mysql_free_result' was not declared in 
this scope 
../MySQLConnection.h:65: error: 'mysql_query' was not declared in this 
scope
../MySQLConnection.h:66: error: 'm_result' was not declared in this scope
../MySQLConnection.h:66: error: 'mysql_store_result' was not declared in 
this scope 
../MySQLConnection.h:69: error: 'mysql_errno' was not declared in this 
scope
../MySQLConnection.h:70: error: 'mysql_error' was not declared in this 
scope
../MySQLConnection.h:71: error: 'mysql_ping' was not declared in this 
scope 
../MySQLConnection.h: In member function 'int FIX::MySQLQuery::rows()':
../MySQLConnection.h:84: error: 'm_result' was not declared in this scope
../MySQLConnection.h:84: error: 'mysql_num_rows' was not declared in this 
scope 
../MySQLConnection.h: In member function 'char* 
FIX::MySQLQuery::getValue(int, int)':
../MySQLConnection.h:94: error: request for member 'empty' in 
'((FIX::MySQLQuery*)this)->FIX::MySQLQuer
y::m_rows', which is of non-class type 'int'
../MySQLConnection.h:96: error: 'MYSQL_ROW' was not declared in this scope
../MySQLConnection.h:96: error: expected `;' before 'row'
../MySQLConnection.h:97: error: 'm_result' was not declared in this scope 
../MySQLConnection.h:97: error: 'mysql_fetch_row' was not declared in this 
scope
../MySQLConnection.h:98: error: request for member 'push_back' in 
'((FIX::MySQLQuery*)this)->FIX::MySQL
Query::m_rows', which is of non-class type 'int' 
../MySQLConnection.h:100: error: invalid types 'int[int]' for array 
subscript
../MySQLConnection.h: At global scope:
../MySQLConnection.h:182: error: ISO C++ forbids declaration of 'MYSQL' 
with no type 
../MySQLConnection.h:182: error: expected ';' before '*' token
../MySQLConnection.h: In destructor 
'FIX::MySQLConnection::~MySQLConnection()':
../MySQLConnection.h:137: error: 'm_pConnection' was not declared in this 
scope 
../MySQLConnection.h:138: error: 'mysql_close' was not declared in this 
scope
../MySQLConnection.h: In member function 'bool 
FIX::MySQLConnection::connected()':
../MySQLConnection.h:149: error: 'm_pConnection' was not declared in this 
scope 
../MySQLConnection.h:149: error: 'mysql_ping' was not declared in this 
scope
../MySQLConnection.h: In member function 'bool 
FIX::MySQLConnection::reconnect()':
../MySQLConnection.h:155: error: 'm_pConnection' was not declared in this 
scope 
../MySQLConnection.h:155: error: 'mysql_ping' was not declared in this 
scope
../MySQLConnection.h: In member function 'bool 
FIX::MySQLConnection::execute(FIX::MySQLQuery&)':
../MySQLConnection.h:161: error: 'm_pConnection' was not declared in this 
scope 
../MySQLConnection.h: In member function 'void 
FIX::MySQLConnection::connect()':
../MySQLConnection.h:168: error: 'm_pConnection' was not declared in this 
scope
../MySQLConnection.h:168: error: 'mysql_init' was not declared in this 
scope 
../MySQLConnection.h:171: error: 'mysql_real_connect' was not declared in 
this scope
make[4]: *** [MySQLStoreTestCase.lo] Error 1
make[4]: Leaving directory `/home/arb/software/quickfix/src/C++/test' 
make[3]: *** [all-recursive] Error 1
make[3]: Leaving directory `/home/arb/software/quickfix/src/C++'
make[2]: *** [all-recursive] Error 1
make[2]: Leaving directory `/home/arb/software/quickfix/src'
make[1]: *** [all-recursive] Error 1
make[1]: Leaving directory `/home/arb/software/quickfix'
make: *** [all] Error 2

Re: [Quickfix-developers] Router Messages to Fix Gateway/Engine RESTATED

[Caleb E. <cal...@gm...>]

On 7/26/07, Naveed Ali <na...@nc...> wrote:
> Anybody having knowledge of FIX Routers and FIX Gateways Connectivity kindly
> respond.  One Fix Router receiving many connections/logon messages from various
> clients, How all these clients are authenticated on Main fix gateway, through FIX
> router ?

I think the answer is 'it depends'.

You could have a router that does a one-to-one connection mapping, so
that each client session inbound to the router has a corresponding
session to some other FIX engine.

Or you might do many-to-one where all incoming traffic is sent down a
single pipe to some other engine (smart router, exchange gateway,
etc).

You could also do N-to-M where N and M need not be equal numbers (e.g.
some combination of the above for sharing or load-balancing).

When routing FIX traffic, I think the general methodology is that the
client's SenderCompID/SubID get "pushed down" to
OnBehalfOfCompID/SubID.

If the traffic is many-to-one or multiple clients share a single
outbound FIX session, the router may need to enrich the outbound
messages to ensure ClOrdID uniqueness if it does not have control over
the inbound ClOrdID creation logic.  For example, adding a prefix to
the ClOrdID that is stripped off when ExecutionReports are returned.

-- 
Caleb Epstein

[Quickfix-developers] Router Messages to Fix Gateway/Engine RESTATED

[Naveed A. <na...@nc...>]

Anybody having knowledge of FIX Routers and FIX Gateways Connectivity
kindly respond

=20

One Fix Router receiving many connections/logon messages from various
clients,

How all these clients are authenticated on Main fix gateway, through FIX
router ?

=20

How many logon messages are exchanged b/w FIX Router and FIX GATEWAY

What is the sequence of messages?

=20

________________________________

From: Nick Bilak [mailto:be...@gm...]=20
Sent: Wednesday, July 25, 2007 8:46 PM
To: Naveed Ali
Subject: Re: [Quickfix-developers] Router Messages to Fix Gateway/Engine

=20

Naveed,

=20

as I understand you will have to create new initiator to extrenal FIX
acceptor for each new client loggin into your router

all clients must have unique CompIDs and new login with the same CompID
will override existing connection

=20

On 7/25/07, Naveed Ali <na...@nc...> wrote:=20

QuickFIX Documentation:
http://www.quickfixengine.org/quickfix/doc/html/index.html=20
QuickFIX Support: http://www.quickfixengine.org/services.html

Hello there,

I want to know that what is the mechanism that your FIX Router connects=20
/sends messages to any FIX Engine/Gateway,

i.e. when a client tries to send a message of logon through  the router,
it send Logon to it.
Does the router forwards this message as it is to desired location?=20
What if the router has already established the connection to that
destination due to some other client

Does the router seems similar to any ordinary FIX initiator to the
acceptor or else?
If else then what a router is assumed to be for any FIX Acceptor?=20


If it is any ordinary Fix Initiator then I have learned that for each
initiator session, logon is sent once and at the start of the session,
how can two logon messages (from different client to router) can be sent

from an initiator to the acceptor within the same session?


I may be some what mixing things but hope to get the answer from you.

Thanks and with regards
Muhammad Naveed Ali

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--=20
Regards,
    Nick.=20

Re: [Quickfix-developers] Controlling of Logon message

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

In your onCreate method, you can call the logoff method for all the  
sessions which will cause it to stay in the state.  When you wish to  
connect, call logon on that particular session to establish connection.

--oren

On Jul 25, 2007, at 11:06 AM, Naveed Ali wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Can we control the issuance of Logon message by QuickFix,
> When I start my Quickfix based application it auto issue a logon  
> message
> for all the sessions exist in Quickfix.ini file
>
> I want to control this and send the logon message only for that  
> session
> for which I receive the request (from other application /my acceptor).
>
> Help needed.
> -Naveed
>
> ---------------------------------------------------------------------- 
> ---
> This SF.net email is sponsored by: Splunk Inc.
> Still grepping through log files to find problems?  Stop.
> Now Search log events and configuration files using AJAX and a  
> browser.
> Download your FREE copy of Splunk now >>  http://get.splunk.com/
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>

[Quickfix-developers] Controlling of Logon message

[Naveed A. <na...@nc...>]

Can we control the issuance of Logon message by QuickFix,
When I start my Quickfix based application it auto issue a logon message
for all the sessions exist in Quickfix.ini file

I want to control this and send the logon message only for that session
for which I receive the request (from other application /my acceptor).

Help needed.
-Naveed

[Quickfix-developers] Router Messages to Fix Gateway/Engine

[Naveed A. <na...@nc...>]

Hello there,

I want to know that what is the mechanism that your FIX Router connects
/sends messages to any FIX Engine/Gateway,

i.e. when a client tries to send a message of logon through  the router,
it send Logon to it.=20
Does the router forwards this message as it is to desired location?
What if the router has already established the connection to that
destination due to some other client

Does the router seems similar to any ordinary FIX initiator to the
acceptor or else?
If else then what a router is assumed to be for any FIX Acceptor?


If it is any ordinary Fix Initiator then I have learned that for each
initiator session, logon is sent once and at the start of the session,
how can two logon messages (from different client to router) can be sent
from an initiator to the acceptor within the same session?


I may be some what mixing things but hope to get the answer from you.

Thanks and with regards
Muhammad Naveed Ali

Re: [Quickfix-developers] FAST FIX

[Shawn Y. <sya...@ge...>]

Basically, we disable sequence numbers.  FIX on CME runs over TCP/IP, =
which is supposed to be a reliable protocol.  So we aren't too worried =
about dropped messages.

All that the sequence number feature did for us was prevent us from =
reconnecting to CME after a problem.  There are any number of good or =
bad reasons that your sequence numbers might be off, including:

1) You are developing new trading software, and had to delete your =
QuickFIX state files to reset QuickFIX for some reason.
2) You moved your trading software to a new machine, but didn't think of =
copying over the QuickFIX state files.
3) Your trading software crashed, which is hopefully rare in mature =
software, but will happen, and which is common in new software, when you =
need your connection logic to be at it's easiest.
4) Somebody else in your company mistakenly logged into your session =
from some other machine.  If they do this while you are logged in, CME =
silently disconnects you, which is another whole story about painful =
troubleshooting.
5) CME is off in their sequence numbers for unknown reasons.  Maybe they =
rebooted their simulation environment without asking your permission.  =
Exchanges don't tend to care about your convienence.

After a crash, your traders have already phoned the exchange and =
manually maintained their orders as needed.  So you aren't concerned =
with the perfect integrity of the data flow.  Now your traders, who are =
angry with you over the crash, just want you to bring the software back =
online so they can get back in the market.  But wait, FIX+QuickFIX+CME =
are here to help you.  When you restart your trading software, it and =
CME will refuse to talk to each other because they helpfully noticed =
that the sequence numbers are off.

But you don't care!  You just want your traders to get back online.

So we disable sequence numbers.  How many hours I wasted trying to =
figure out why CME and my code were speaking to each other...

Sequence numbers left a bad taste in my mouth for the FIX protocol.  I =
realize part of the problem may have been poor documentation, and part =
of the problem may have been CME's quirky FIX implementation, but it's =
the truth.  Connecting sophisticated processes to each other can be hard =
enough without the protocols actively trying to prevent you from doing =
it.

Another problem were the session start and end times.  Most networking =
protocols don't require you to predict the future before you are allowed =
to connect.  How long will you be connected?  We now set a start time of =
one second after midnight on Sunday morning, and a stop time of one =
second before midnight Saturday night.  Before I figured those settings =
out, we couldn't connect, and it wasn't clear why not.

It would be nice if QuickFIX could help smooth over these FIX and CME =
speedbumps.


Shawn Yarbrough
Software Architect
Gelber Group, LLC
(312) 692-2819
sya...@ge...


THE MESSAGES AND DOCUMENTS TRANSMITTED WITH THIS NOTICE CONTAIN =
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-----Original Message-----
From: Oren Miller [mailto:or...@qu...]
Sent: Monday, July 23, 2007 4:00 PM
To: Shawn Yarbrough
Cc: Brian Erst; Caleb Epstein; qui...@li...
Subject: Re: [Quickfix-developers] FAST FIX


Do you have information about what you are doing with sequence number =20
handling?

--oren

On Jul 23, 2007, at 3:52 PM, Shawn Yarbrough wrote:

> We've been running QuickFIX on CME for about a year and a half.  I =20
> had to disable QuickFIX's message validation dictionary, and =20
> override some of the sequence number handling, but otherwise it =20
> works OK.
>
>
> Shawn Yarbrough
> Software Architect
> Gelber Group, LLC
> (312) 692-2819
> sya...@ge...
>
>
> -----Original Message-----
> From: qui...@li...
> [mailto:qui...@li...]On Behalf Of
> Brian Erst
> Sent: Monday, July 23, 2007 3:42 PM
> To: Oren Miller; Caleb Epstein
> Cc: qui...@li...
> Subject: Re: [Quickfix-developers] FAST FIX
>
>
> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/=20
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>

Re: [Quickfix-developers] FAST FIX

[Jain, A. <Ani...@rb...>]

=20
> Shawn Yarbrough wrote:
> I had to disable QuickFIX's message validation dictionary, and override s=
ome of the sequence number handling, but otherwise it works OK.

Sounds like you handled the CME issues with quite ease :-)
In our case, we did not want weekly logon, so doing a daily logon required =
quite a bit of handling in fromAdmin/toAdmin.

Also, QuickFix and in-session logon do not go quite easy together, fundamen=
tally.
QuickFIX currently does the sequence reset when a sequence reset logon mess=
age is sent and not when it is accepted. If a test request arrives just aft=
er the (in-session) reset logon, QuickFIX will later quit, because of dupli=
cate sequence numbers. We changed QuickFIX - sort of quick and dirty - so t=
hat we can empty queue after in-session logon reset, not the best solution =
but quite practical.

But overall, our CME implementation is free from any manual intervention.

Thanks,

Anil Jain
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Re: [Quickfix-developers] FAST FIX

[Graham M. <gm...@ma...>]

On Jul 23, 2007, at 3:02 PM, Caleb Epstein wrote:

>
> I believe FAST is still a 'proof of concept' and is generally being
> used for very high volume, session-less traffic like market data
> feeds.  Are any ECNs using it for order entry?  Has anyone gone
> through the exercise of mapping (say) the FIX4.4 message
> specifications to FAST message templates?

I think that this is essentially correct (I'm going on what I recall
from the FIX Protocol ECN/Exchanges working group meeting last month).
 Given that several of these exchanges are seeing over 2x bandwidth
wins using FAST versus their proprietary market data wire protocols,
several are moving into production with FAST implementations for
delivering market data.  None of them mentioned using FAST for order
entry yet.

Also, one word on message template design.  From what I gather this is
at least as important to a good FAST implementation as the quality and
speed of the underlying codec code.

>
> Frankly, if there is no real "session" involved and you're just
> consuming market data, I don't know that QuickFIX would be a
> particularly good choice of APIs even if it did have FAST support.
> You're probably better off with (say) the proof-of-concept FAST C
> library  available from fixprotocol.org/fast.

Actually, there is still a FIX session that gets communicated over the
FAST connection, and there is a separate spec for managing session at
the FAST layer (handling corruption in the FAST stream for example):
http://www.fixprotocol.org/fastspec

Also, I believe the code that is up on fixprotocol.org is a sample
implementation of FAST v1.0. The current version is v1.1 and version
1.0 of the standard has been all but withdrawn because of some fairly
large shortcomings.  So that code is of limited use.

That all being said, Oren, we'd love to hear more about your FAST
implementation plans, and help out as much as we can.

graham

Also: sorry, but a shameless plug for a blog post on that meeting that
I did a few weeks ago:

http://blog.marketcetera.com/2007/06/22/fast-is-fast-and-standard/


-- 
Marketcetera Trading Platform
download.run.trade.
www.marketcetera.org

Re: [Quickfix-developers] FAST FIX

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

Do you have information about what you are doing with sequence number  
handling?

--oren

On Jul 23, 2007, at 3:52 PM, Shawn Yarbrough wrote:

> We've been running QuickFIX on CME for about a year and a half.  I  
> had to disable QuickFIX's message validation dictionary, and  
> override some of the sequence number handling, but otherwise it  
> works OK.
>
>
> Shawn Yarbrough
> Software Architect
> Gelber Group, LLC
> (312) 692-2819
> sya...@ge...
>
>
> -----Original Message-----
> From: qui...@li...
> [mailto:qui...@li...]On Behalf Of
> Brian Erst
> Sent: Monday, July 23, 2007 3:42 PM
> To: Oren Miller; Caleb Epstein
> Cc: qui...@li...
> Subject: Re: [Quickfix-developers] FAST FIX
>
>
> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>