quickfix-developers — QuickFIX developers forum

Re: [Quickfix-developers] FAST FIX

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

Supporting CME has been an important goal for QuickFIX, and will  
continue to be with our FAST implementation.  Much of the work we  
have done for compatibility has been from feedback by users who are  
connected to the CME.  I know there are many firms that currently use  
QuickFIX with the CME.  We know they have a funny implementation and  
have worked to support it.

I know we did work to support their funny usage of compids, though  
from your description I'm not sure if it is exactly what we worked on  
or not.  Anybody who is connected that can comment on it?

Required fields aren't such a big deal because you can change how  
messages are validated.  So QuickFIX doesn't have to care so much  
about required fields.

--oren

On Jul 23, 2007, at 3:42 PM, Brian Erst wrote:

> Oren -
>
> Are you planning to support the CME's networking layer (dual UDP  
> streams) in your new FAST engine? I ask because CME has been the  
> primary driver for FAST, and that implementation (a SIAC-like UDP  
> networking layer coupled with FAST messaging) is probably going to  
> be the first version that hits production.
>
> Second question - which may already have been asked and answered  
> somewhere - can QuickFIX handle the CME's broken FIX  
> implementation? They really borked up two aspects:
>
> 1. They overload the meaning of the SenderCompID. They use it for  
> primary/backup/failover purposes and to allow multi-firm routing.  
> It's bizarre - the first three characters of the SenderCompID  
> identify the API "user", the next three identify the firm  
> submitting the current order, and the last character indicates  
> which server you think you're connecting to - primary or backup (or  
> "N" if you don't care/can't handle failover). The "session" is  
> defined purely in terms of the first three characters - I can send  
> "ABC123P" and "ABC987B" on the same "session". In practice (as we  
> don't use failover), we end up just modifying the "middle" three  
> characters to handle multi-membership routing.
>
> 2. They don't send all the required fields on fills of spread  
> orders on their "Eagle" markets. Instead of sending a  
> "differential" fill or leg fills, they send a weird combination of  
> a differential fill, followed by two "leg" fills that are missing a  
> lot of required FIX fields for execution reports. You're supposed  
> to fill in the missing fields on the legs with data from the  
> differential.
>
> Because of the above, we run a custom "FIX-like" engine that I  
> wrote to handle their mess. Anyone dealing with CME that has  
> managed to get QuickFIX to work with it? I'd imagine unmodified QF  
> would run screaming from their message flow...
>
> - Brian Erst
>
> ----- Original Message ----
> From: Oren Miller <or...@qu...>
> To: Caleb Epstein <cal...@gm...>
> Cc: qui...@li...
> Sent: Monday, July 23, 2007 3:05:39 PM
> 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
>
> We are doing work on FAST, though it will not be using the QuickFIX
> API for the reasons you noted.  It will have a new API that is better
> suited to the task.
>
> --oren
>
> On Jul 23, 2007, at 3:02 PM, Caleb Epstein wrote:
>
> > QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/
> > html/index.html
> > QuickFIX Support: http://www.quickfixengine.org/services.html
> >
> > On 7/23/07, Shawn Yarbrough <sya...@ge...> wrote:
> >
> >> I'm searching for information about QuickFIX and the new FAST/FIX
> >> protocol,
> >> but I wasn't able to find anything on the quickfixengine.org
> >> website.  Can
> >> you tell me anything about this?
> >
> > I don't think any work has been done to add FAST encoding into
> > QuickFIX.
> >
> > 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?
> >
> > 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.
> >
> > --
> > Caleb Epstein
> >
> >  
> ----------------------------------------------------------------------
> > ---
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> >
>
>
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>

Re: [Quickfix-developers] FAST FIX

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

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

Re: [Quickfix-developers] FAST FIX

[Brian E. <azz...@ya...>]

Oren -=0A=0AAre you planning to support the CME's networking layer (dual UD=
P streams) in your new FAST engine? I ask because CME has been the primary =
driver for FAST, and that implementation (a SIAC-like UDP networking layer =
coupled with FAST messaging) is probably going to be the first version that=
 hits production.=0A=0ASecond question - which may already have been asked =
and answered somewhere - can QuickFIX handle the CME's broken FIX implement=
ation? They really borked up two aspects:=0A=0A1. They overload the meaning=
 of the SenderCompID. They use it for primary/backup/failover purposes and =
to allow multi-firm routing. It's bizarre - the first three characters of t=
he SenderCompID identify the API "user", the next three identify the firm s=
ubmitting the current order, and the last character indicates which server =
you think you're connecting to - primary or backup (or "N" if you don't car=
e/can't handle failover). The "session" is defined purely in terms of the f=
irst three characters - I can send "ABC123P" and "ABC987B" on the same "ses=
sion". In practice (as we don't use failover), we end up just modifying the=
 "middle" three characters to handle multi-membership routing.=0A=0A2. They=
 don't send all the required fields on fills of spread orders on their "Eag=
le" markets. Instead of sending a "differential" fill or leg fills, they se=
nd a weird combination of a differential fill, followed by two "leg" fills =
that are missing a lot of required FIX fields for execution reports. You're=
 supposed to fill in the missing fields on the legs with data from the diff=
erential.=0A=0ABecause of the above, we run a custom "FIX-like" engine that=
 I wrote to handle their mess. Anyone dealing with CME that has managed to =
get QuickFIX to work with it? I'd imagine unmodified QF would run screaming=
 from their message flow...=0A=0A- Brian Erst=0A=0A----- Original Message -=
---=0AFrom: Oren Miller <or...@qu...>=0ATo: Caleb Epstein <cale=
b.e...@gm...>=0ACc: qui...@li...=0ASent=
: Monday, July 23, 2007 3:05:39 PM=0ASubject: Re: [Quickfix-developers] FAS=
T FIX=0A=0AQuickFIX Documentation: http://www.quickfixengine.org/quickfix/d=
oc/html/index.html=0AQuickFIX Support: http://www.quickfixengine.org/servic=
es.html=0A=0AWe are doing work on FAST, though it will not be using the Qui=
ckFIX  =0AAPI for the reasons you noted.  It will have a new API that is be=
tter  =0Asuited to the task.=0A=0A--oren=0A=0AOn Jul 23, 2007, at 3:02 PM, =
Caleb Epstein wrote:=0A=0A> QuickFIX Documentation: http://www.quickfixengi=
ne.org/quickfix/doc/ =0A> html/index.html=0A> QuickFIX Support: http://www.=
quickfixengine.org/services.html=0A>=0A> On 7/23/07, Shawn Yarbrough <syarb=
ro...@ge...> wrote:=0A>=0A>> I'm searching for information about =
QuickFIX and the new FAST/FIX  =0A>> protocol,=0A>> but I wasn't able to fi=
nd anything on the quickfixengine.org  =0A>> website.  Can=0A>> you tell me=
 anything about this?=0A>=0A> I don't think any work has been done to add F=
AST encoding into  =0A> QuickFIX.=0A>=0A> I believe FAST is still a 'proof =
of concept' and is generally being=0A> used for very high volume, session-l=
ess traffic like market data=0A> feeds.  Are any ECNs using it for order en=
try?  Has anyone gone=0A> through the exercise of mapping (say) the FIX4.4 =
message=0A> specifications to FAST message templates?=0A>=0A> Frankly, if t=
here is no real "session" involved and you're just=0A> consuming market dat=
a, I don't know that QuickFIX would be a=0A> particularly good choice of AP=
Is even if it did have FAST support.=0A> You're probably better off with (s=
ay) the proof-of-concept FAST C=0A> library  available from fixprotocol.org=
/fast.=0A>=0A> -- =0A> Caleb Epstein=0A>=0A> ------------------------------=
---------------------------------------- =0A> ---=0A> This SF.net email is =
sponsored by: Splunk Inc.=0A> Still grepping through log files to find prob=
lems?  Stop.=0A> Now Search log events and configuration files using AJAX a=
nd a  =0A> browser.=0A> Download your FREE copy of Splunk now >>  http://ge=
t.splunk.com/=0A> _______________________________________________=0A> Quick=
fix-developers mailing list=0A> Qui...@li...=
=0A> https://lists.sourceforge.net/lists/listinfo/quickfix-developers=0A>=
=0A=0A=0A------------------------------------------------------------------=
-------=0AThis SF.net email is sponsored by: Splunk Inc.=0AStill grepping t=
hrough log files to find problems?  Stop.=0ANow Search log events and confi=
guration files using AJAX and a browser.=0ADownload your FREE copy of Splun=
k now >>  http://get.splunk.com/=0A________________________________________=
_______=0AQuickfix-developers mailing lis...@li...=
ceforge.net=0Ahttps://lists.sourceforge.net/lists/listinfo/quickfix-develop=
ers=0A=0A=0A=0A=0A

Re: [Quickfix-developers] FAST FIX

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

We are doing work on FAST, though it will not be using the QuickFIX  
API for the reasons you noted.  It will have a new API that is better  
suited to the task.

--oren

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

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> On 7/23/07, Shawn Yarbrough <sya...@ge...> wrote:
>
>> I'm searching for information about QuickFIX and the new FAST/FIX  
>> protocol,
>> but I wasn't able to find anything on the quickfixengine.org  
>> website.  Can
>> you tell me anything about this?
>
> I don't think any work has been done to add FAST encoding into  
> QuickFIX.
>
> 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?
>
> 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.
>
> -- 
> Caleb Epstein
>
> ---------------------------------------------------------------------- 
> ---
> 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/
> _______________________________________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>

Re: [Quickfix-developers] FAST FIX

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

On 7/23/07, Shawn Yarbrough <sya...@ge...> wrote:

> I'm searching for information about QuickFIX and the new FAST/FIX protocol,
> but I wasn't able to find anything on the quickfixengine.org website.  Can
> you tell me anything about this?

I don't think any work has been done to add FAST encoding into QuickFIX.

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?

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.

-- 
Caleb Epstein

[Quickfix-developers] FAST FIX

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

I'm searching for information about QuickFIX and the new FAST/FIX =
protocol, but I wasn't able to find anything on the quickfixengine.org =
website.  Can you tell me anything about this?

Thanks,

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

[Quickfix-developers] FAST FIX

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

I'm searching for information about QuickFIX and the new FAST/FIX =
protocol, but I wasn't able to find anything on the quickfixengine.org =
website.  Can you tell me anything about this?

Thanks,

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


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PROHIBITED. IF YOU HAVE RECEIVED THIS TRANSMISSION IN ERROR, PLEASE =
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Re: [Quickfix-developers] Body file contains nothing + LOG files are not created

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

I got the answer,
Actually I have been resetting things on Logout
ResetOnLogut=3DY
Now, changed to ResetOnLogon=3DY


Now another problem arises,
When the application I s re-run old message are that are sent are lost,
Is there any way to maintain the history of messages that were sent in
previous session (Logon)=20


The problem of FileLogPath is still there?

Thanks
-Naveed

-----Original Message-----
From: qui...@li...
[mailto:qui...@li...] On Behalf Of
Naveed Ali
Sent: Monday, July 23, 2007 3:46 PM
To: qui...@li...
Subject: [Quickfix-developers] Body file contains nothing + LOG files
arenot created

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

[Naveed Ali]=20
When I run my application a file in Store with extension .body is
created and shows that its size is >0 KB . when I stop my engine to see
its content its size =3D 0 and contains nothing.

Can Anybody tell me why this happens and what is the solution to it.

One more question , I have specified the File Log Path in setting file
but no file is created in Log Folder?

Thanks
-Naveed

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[Quickfix-developers] Body file contains nothing + LOG files are not created

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

[Naveed Ali]=20
When I run my application a file in Store with extension .body is
created and shows that its size is >0 KB . when I stop my engine to see
its content its size =3D 0 and contains nothing.

Can Anybody tell me why this happens and what is the solution to it.

One more question , I have specified the File Log Path in setting file
but no file is created in Log Folder?

Thanks
-Naveed

[Quickfix-developers] QuickFix Architecture Question

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

Hi All

=20

How many threads are minimum that are created when an Initiator or the
Acceptor are running.

Odes the sending of message is in separate thread and receiving in other
thread..

=20

Oren or Caleb can please explain the overall architecture of QuickFix.

How the callbacks work etc....?

=20

-Thanks in Advance for your time Oren/Caleb

=20

Naveed

Re: [Quickfix-developers] Message Logging and connection recreation after dropping

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

On 7/19/07, Naveed Ali <na...@nc...> wrote:

> Are the messages that are sent to the server logged anywhere, if yes
> then what is its location?

If you use the FileLog with your Application, they will be in the
".messages" file for the session in the directory pointed to by the
FileLogPath configuration setting.  There are other Log
implementations like the OdbcLog, PostgreSQLLog, etc that will log
messages to a database.

> If my connection to the server is dropped, does the reconnection
> recreate the message log file?

No need to recreate it.  It keeps using the same file as long as the
Session is active.

> If again yes then how can I get the history of messages exchanged with
> the server without contacting it?

You can check the logs.

-- 
Caleb Epstein

Re: [Quickfix-developers] Quickfix and IOCP

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

I agree.  This is something I've wanted in there for some time but  
haven't yet implemented.

--oren

On Jul 19, 2007, at 2:10 PM, Djalma Rosa dos Santos Filho wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi,
>
> In my opinion, It would be great to have an I/O completion port
> implementation for QuickFIX. It solves the one-thread-per-client
> bottleneck problem and allows higher scalability and performance, it
> makes a lot of difference if you want your application to have
> hundreds or maybe thousands of connections.
>
> Thanks to the good design of QuickFIX, it does not seem to be
> difficult to write a SocketAcceptor that uses IOCP.
>
> It is a technology available in Winsock2, but boost ASIO is a
> multiplatform implementation.
>
> I confess that It is under my plans to make some experiences with ASIO
> or IOCP with QF, but currently I am very busy with application
> specific stuff.
>
> Very nice feature request!
>
> Djalma
>
> On 7/19/07, Naveed Ali <na...@nc...> wrote:
>> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
>> html/index.html
>> QuickFIX Support: http://www.quickfixengine.org/services.html
>>
>> Hi all,
>>
>> Can any one tell me that whether Quickfix run using IOCP?
>>
>> What can be accomplished to do it?
>>
>> Thanks
>> -Naveed
>>
>>
>> --------------------------------------------------------------------- 
>> ----
>> This SF.net email is sponsored by: Microsoft
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>>
>
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Re: [Quickfix-developers] Quickfix and IOCP

[Djalma R. d. S. F. <drs...@gm...>]

Hi,

In my opinion, It would be great to have an I/O completion port
implementation for QuickFIX. It solves the one-thread-per-client
bottleneck problem and allows higher scalability and performance, it
makes a lot of difference if you want your application to have
hundreds or maybe thousands of connections.

Thanks to the good design of QuickFIX, it does not seem to be
difficult to write a SocketAcceptor that uses IOCP.

It is a technology available in Winsock2, but boost ASIO is a
multiplatform implementation.

I confess that It is under my plans to make some experiences with ASIO
or IOCP with QF, but currently I am very busy with application
specific stuff.

Very nice feature request!

Djalma

On 7/19/07, Naveed Ali <na...@nc...> wrote:
> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi all,
>
> Can any one tell me that whether Quickfix run using IOCP?
>
> What can be accomplished to do it?
>
> Thanks
> -Naveed
>
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Microsoft
> Defy all challenges. Microsoft Visual Studio 2005.
> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
> _______________________________________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>

[Quickfix-developers] Message Logging and connection recreation after dropping

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

Hi All,

Are the messages that are sent to the server logged anywhere, if yes
then what is its location?=20

Plus=20

If my connection to the server is dropped, does the reconnection
recreate the message log file?

If again yes then how can I get the history of messages exchanged with
the server without contacting it?


Thanks in advance
-Naveed

[Quickfix-developers] Quickfix and IOCP

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

Hi all,

Can any one tell me that whether Quickfix run using IOCP?

What can be accomplished to do it?

Thanks
-Naveed

Re: [Quickfix-developers] Order Message without/prior logon message + single port/multiple connections

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

You cannot exchange messages until there is a successful logon  
sequence.  This logon sequence must occur at every connection.

You can connect as many clients as you want to the same port.  They  
are differentiated by the contents of the logon message.

--oren

On Jul 18, 2007, at 10:19 AM, Naveed Ali wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hello All,
>
> I want to know that is it possible that a user can send an 'Order New'
> Message without /prior logon message?
>
> My case is, a user has initiated connection with the server and
> exchanged logon messages and authenticated.
>
> It just then suddenly disconnected without sending a logout message.
> Is it possible for the client to connect again to the server and
> exchange business messages without exchanging the logon message?
>
>
>
> One more thing to query
>
> I have just looking into the Group discussions on Fixprotocol.org
> I am now confused about how one fix gateway accepts multiple  
> connections
> from multiple /single client
>
> We have a gateway listening to a port (it has multiple session
> definitions).
>
> Is it possible to connect multiple clients to it, on the same port
> simultaneously?
>
> How will the engine differentiate among the requests...?
>
>
>
>
> Thanks
> -Naveed
>
> ---------------------------------------------------------------------- 
> ---
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>

[Quickfix-developers] Order Message without/prior logon message + single port/multiple connections

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

Hello All,

I want to know that is it possible that a user can send an 'Order New'
Message without /prior logon message?

My case is, a user has initiated connection with the server and
exchanged logon messages and authenticated.

It just then suddenly disconnected without sending a logout message.
Is it possible for the client to connect again to the server and
exchange business messages without exchanging the logon message?



One more thing to query

I have just looking into the Group discussions on Fixprotocol.org
I am now confused about how one fix gateway accepts multiple connections
from multiple /single client

We have a gateway listening to a port (it has multiple session
definitions).

Is it possible to connect multiple clients to it, on the same port
simultaneously?

How will the engine differentiate among the requests...?




Thanks
-Naveed

[Quickfix-developers] file descriptors?

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

Hi,

For QuickFIX in C++:  I need a list of the file descriptors in use by =
QuickFIX so I can block on I/O in a select() system call.  Is this =
available thru the QuickFIX interface?

I currently accomplish what I need by using a scary #define hack to get =
at the private SocketInitiator::m_connections list.  But I'd rather call =
a public (or protected) member and have it return a list to me safely.


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


THE MESSAGES AND DOCUMENTS TRANSMITTED WITH THIS NOTICE CONTAIN =
CONFIDENTIAL INFORMATION BELONGING TO THE SENDER. IF YOU ARE NOT THE =
INTENDED RECIPIENT OF THIS INFORMATION, YOU ARE HEREBY NOTIFIED THAT ANY =
DISCLOSURE, COPYING, DISTRIBUTION OR USE OF THE INFORMATION IS STRICTLY =
PROHIBITED. IF YOU HAVE RECEIVED THIS TRANSMISSION IN ERROR, PLEASE =
NOTIFY THE SENDER IMMEDIATELY.

[Quickfix-developers] file descriptors?

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

Hi,

For QuickFIX in C++:  I need a list of the file descriptors in use by =
QuickFIX so I can block on I/O in a select() system call.  Is this =
available thru the QuickFIX interface?

I currently accomplish what I need by using a scary #define hack to get =
at the private SocketInitiator::m_connections list.  But I'd rather call =
a public (or protected) member and have it return a list to me safely.


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


THE MESSAGES AND DOCUMENTS TRANSMITTED WITH THIS NOTICE CONTAIN =
CONFIDENTIAL INFORMATION BELONGING TO THE SENDER. IF YOU ARE NOT THE =
INTENDED RECIPIENT OF THIS INFORMATION, YOU ARE HEREBY NOTIFIED THAT ANY =
DISCLOSURE, COPYING, DISTRIBUTION OR USE OF THE INFORMATION IS STRICTLY =
PROHIBITED. IF YOU HAVE RECEIVED THIS TRANSMISSION IN ERROR, PLEASE =
NOTIFY THE SENDER IMMEDIATELY.

[Quickfix-developers] Windows IA64 Compiled Version

[Hector C. <hca...@fi...>]

Hello list, I've had a hard time compiling the .NET quickfix libraries for
Windows IA64.
Can someone spare a compiled version of both quickfix_net and
quickfix_net_messages? (zipped email)
I'll really appreciate that kind of gesture,
Hector

Re: [Quickfix-developers] Performance issue: FIX::message_sorter

[Djalma R. d. S. F. <drs...@gm...>]

Hi Yuriy,

Very interesting!

I think that I got your idea.

I guess that if you use extern instead of static you can initialize
all shared pointers in a single CPP file.

I would appreciate to take a look in your code.

Regards,
Djalma

On 7/9/07, Yuriy Baranovskyy <Yur...@tr...> wrote:
> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/i=
ndex.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi,
>
> I'm having a performance problem with my application, which uses QuickFix=
 1.12.4. After profiling I discovered that FIX::message_order constructor a=
nd copy operator both are very slow due to excessive heap allocation.
>
> FIX::message_order class has rather na=EFve implementation, which uses ar=
ray of ints for reverse lookup of the field ranks. This array is created/co=
pied each time the field is created/copied, which happens a lot during the =
message construction. The array size is typically few K each (max field num=
ber * sizeof(int)), so all these copies cost you dear.
>
> It's easy to implement light-weight copying just by using shared pointer =
to that array. (In my implementation I use either vector<int> or hash_map<i=
nt,int>, which are chosen in run-time depending on the predicted size).
> The copy constructor and assignment operator then only copy shared pointe=
r, not the array.
>
> To make construction light-weight is more tricky. Currently, FIX::message=
_order is created on the stack and passed to FIX::Group constructor, as def=
ined in message header files (src/C++/FIX44/*.h).
>
> Ideally, you'd need one instance of FIX::message_order class per field ty=
pe. The simplest way to do it is to initialise each FIX::Group with static =
instances of FIX::message_order. But this would require making .cpp file pe=
r each message header file, and adding them to the project/makefile.
>
> I can post solution for FIX::message_order here, but it is not clear how =
to solve the problem with cpp files. I played a bit with ruby code which ge=
nerated CPP sources, but adding 159 cpp files to the project seems to be qu=
ite a big change.
>
> Regards,
>
> Yuriy Baranovskyy
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by DB2 Express
> Download DB2 Express C - the FREE version of DB2 express and take
> control of your XML. No limits. Just data. Click to get it now.
> http://sourceforge.net/powerbar/db2/
> _______________________________________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>

Re: [Quickfix-developers] Performance issue: FIX::message_sorter

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

If you have a superior implementation please submit it so we can =20
verify and apply it.  The current implementation is not naive, it was =20=

specifically chosen for its superior performance characteristics for =20
most common scenarios.  This includes using std::collection classes =20
which provided a far far slower implementation for sorting fields =20
which is the predominant bottleneck in creating messages with =20
repeating groups.

--oren

On Jul 9, 2007, at 11:40 AM, Yuriy Baranovskyy wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/=20
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi,
>
> I'm having a performance problem with my application, which uses =20
> QuickFix 1.12.4. After profiling I discovered that =20
> FIX::message_order constructor and copy operator both are very slow =20=

> due to excessive heap allocation.
>
> FIX::message_order class has rather na=EFve implementation, which =20
> uses array of ints for reverse lookup of the field ranks. This =20
> array is created/copied each time the field is created/copied, =20
> which happens a lot during the message construction. The array size =20=

> is typically few K each (max field number * sizeof(int)), so all =20
> these copies cost you dear.
>
> It's easy to implement light-weight copying just by using shared =20
> pointer to that array. (In my implementation I use either =20
> vector<int> or hash_map<int,int>, which are chosen in run-time =20
> depending on the predicted size).
> The copy constructor and assignment operator then only copy shared =20
> pointer, not the array.
>
> To make construction light-weight is more tricky. Currently, =20
> FIX::message_order is created on the stack and passed to FIX::Group =20=

> constructor, as defined in message header files (src/C++/FIX44/*.h).
>
> Ideally, you'd need one instance of FIX::message_order class per =20
> field type. The simplest way to do it is to initialise each =20
> FIX::Group with static instances of FIX::message_order. But this =20
> would require making .cpp file per each message header file, and =20
> adding them to the project/makefile.
>
> I can post solution for FIX::message_order here, but it is not =20
> clear how to solve the problem with cpp files. I played a bit with =20
> ruby code which generated CPP sources, but adding 159 cpp files to =20
> the project seems to be quite a big change.
>
> Regards,
>
> Yuriy Baranovskyy
>
> ----------------------------------------------------------------------=20=

> ---
> This SF.net email is sponsored by DB2 Express
> Download DB2 Express C - the FREE version of DB2 express and take
> control of your XML. No limits. Just data. Click to get it now.
> http://sourceforge.net/powerbar/db2/
> _______________________________________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>

[Quickfix-developers] Performance issue: FIX::message_sorter

[Yuriy B. <Yur...@tr...>]

Hi,

I'm having a performance problem with my application, which uses =
QuickFix 1.12.4. After profiling I discovered that FIX::message_order =
constructor and copy operator both are very slow due to excessive heap =
allocation.

FIX::message_order class has rather na=EFve implementation, which uses =
array of ints for reverse lookup of the field ranks. This array is =
created/copied each time the field is created/copied, which happens a =
lot during the message construction. The array size is typically few K =
each (max field number * sizeof(int)), so all these copies cost you =
dear.

It's easy to implement light-weight copying just by using shared pointer =
to that array. (In my implementation I use either vector<int> or =
hash_map<int,int>, which are chosen in run-time depending on the =
predicted size).
The copy constructor and assignment operator then only copy shared =
pointer, not the array.

To make construction light-weight is more tricky. Currently, =
FIX::message_order is created on the stack and passed to FIX::Group =
constructor, as defined in message header files (src/C++/FIX44/*.h).=20

Ideally, you'd need one instance of FIX::message_order class per field =
type. The simplest way to do it is to initialise each FIX::Group with =
static instances of FIX::message_order. But this would require making =
.cpp file per each message header file, and adding them to the =
project/makefile.

I can post solution for FIX::message_order here, but it is not clear how =
to solve the problem with cpp files. I played a bit with ruby code which =
generated CPP sources, but adding 159 cpp files to the project seems to =
be quite a big change.

Regards,

Yuriy Baranovskyy

[Quickfix-developers] Trading application (Form based vs.net 2005), status is not updated from application class

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

Hello All

I am building a Trading client (Windows Forms based using vs.net 2005
c#) using Quickfix engine.
It is able to send messages but, when the message responses are received
in Application class (OnMessage(), OnLogon()/OnLogout() methods) ,then I
am not being able to display it on the User Interface.=20
Actually Market Data Request is to be sent when the Security Definition
is received. Any way to do this.

The problem is due to the threading limitation of vs.net2005.

Any solution to this problem if any one tried and got success.

[Quickfix-developers] Dynamic session creation (again)

[Emil V. <que...@ho...>]

Hi guys,

I've seen the feature about creating FIX sessions dynamically after a client 
connects mentioned some time ago, but couldn't find anything about this 
lately.

Is it still planned? Or can someone suggest some hints or pitfalls to avoid 
when implementing it?

Thanks, Emil

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