quickfix-developers — QuickFIX developers forum

Re: [Quickfix-developers] quickfix memory leak

[Viktor P. <pohrebnyak@i.ua>]

I don't see where this code can leak except program termination due to
missing cleanup for SessionFactoryu::m_dictionaries container.



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Re: [Quickfix-developers] quickfix memory leak

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

Thanks, we are investigating.

> -------- Original Message --------
> Subject: [Quickfix-developers] quickfix memory leak
> From: Man T <ktm...@gm...>
> Date: Thu, September 11, 2014 9:37 am
> To: qui...@li...
> 
> 
> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html<hr>Hello.
> 
> I found memory leak.
> 
> quickfix 1.14.0
> 
> Session Factory line 226
>   DataDictionary * pCopyOfDD = new DataDictionary(*pDD);
> 
> when delete this variable?<hr>------------------------------------------------------------------------------
> Want excitement?
> Manually upgrade your production database.
> When you want reliability, choose Perforce
> Perforce version control. Predictably reliable.
> http://pubads.g.doubleclick.net/gampad/clk?id=157508191&iu=/4140/ostg.clktrk<hr>_______________________________________________
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[Quickfix-developers] quickfix memory leak

[Man T <ktm...@gm...>]

Hello.

I found memory leak.

quickfix 1.14.0

Session Factory line 226
  DataDictionary * pCopyOfDD = new DataDictionary(*pDD);

when delete this variable?

Re: [Quickfix-developers] TradeCapture Report - Require Tag Missing

[Saha B. <Bin...@sr...>]

Most likely you are missing tag defined in FIXxx.xml. You want to find out the tag as defined by server side and include that in your FIXxx.xml.

-----Original Message-----
From: Mike Gatny [mailto:mg...@co...] 
Sent: Wednesday, September 10, 2014 5:20 AM
To: WayneGraham
Cc: Quickfix Developers List
Subject: Re: [Quickfix-developers] TradeCapture Report - Require Tag Missing

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

Re: [Quickfix-developers] TradeCapture Report - Require Tag Missing

[Mike G. <mg...@co...>]

On Wed, Sep 10, 2014 at 2:27 AM, WayneGraham <wrg...@gm...> wrote:

> 8=FIX.4.4 9=106 35=3 34=3 49=SASBuat1 52=20140909-12:28:37.646 56=LMXBD
> 45=3 58=Required
> tag missing* 371=571 372=AE* 373=1 10=081
>

This is quickfix sending a session-level reject for you automatically
because tag 571 (TradeReportID) is missing from the AE message.  To prevent
quickfix from doing that, you need to alter the DataDictionary xml file for
message AE and set TradeReportID to *required="N".   *This tag is required
by default, and it is unusual that a trade capture report would not have it.

--
Mike Gatny
Connamara Systems, LLC

[Quickfix-developers] TradeCapture Report - Require Tag Missing

[WayneGraham <wrg...@gm...>]

Hi 

I am generating a TradeCaptureReportRequest, which seems to be accepted as I
receive a TradeCaptureReportReqAck with flags 749 and 750 confirming
success. I then receive a TradeCaptureRequestReport, which seems ok, but
this is immediately followed by a string of error messages where Tag 571 is
missing for the TradeCaptureRequestReport ? 

Should I be clearing the TradeCaptureRequestReport in the On Message Sub
before I can receive the next TradeCaptureRequestReport ?

Thanks very much.

Wayne


Here is my message log:

20140909-12:28:37.281 :
8=FIX.4.4
9=138
35=AD
34=2
49=SASBuat1
52=20140909-12:28:37.277
56=LMXBD
263=0
568=14:28:37
569=1
580=2
60=20140909-00:00:00.000
60=20140909-14:28:37.000
10=209

20140909-12:28:37.496 :
8=FIX.4.4
9=94
35=AQ
49=LMXBD
56=SASBuat1
34=2
52=20140909-12:28:38.788
568=14:28:37
569=1
263=0
749=0
750=0
10=053

20140909-12:28:37.514 :
8=FIX.4.4
9=250
35=AE
49=LMXBD
56=SASBuat1
34=3
52=20140909-12:28:38.788
568=14:28:37
912=N
17=O87lagAAAAJwrgDo
527=QGFGOAAAAAXWY00C
48=100547
22=8
32=9.2
31=10.82382
75=20140909
60=20140909-06:04:33.154
552=1
54=2
37=AAGKZwAAAAJVH00M
11=1.1-08:04:31-1
1=1003414890
10=133

20140909-12:28:37.647 :
8=FIX.4.4
9=106
35=3
34=3
49=SASBuat1
52=20140909-12:28:37.646
56=LMXBD
45=3
58=Required
tag missing
371=571
372=AE
373=1
10=081


and my code:


Public Sub GetTradeHistory()
        GTHCounter = GTHCounter + 1
        Dim TradeRequestID As TradeRequestID = New
TradeRequestID(Format(Now(), "HH:mm:ss") & "." & GTHCounter)
        Dim TradeRequestType As TradeRequestType = New
TradeRequestType(TradeRequestType.MATCHED_TRADES_MATCHING_CRITERIA_PROVIDED_ON_REQUEST)
    
        Dim m1 As QuickFix.FIX44.TradeCaptureReportRequest = New
QuickFix.FIX44.TradeCaptureReportRequest(TradeRequestID, TradeRequestType)

        Try
            m1.Header.SetField(New TargetCompID("LMXBD"))
            m1.Header.SetField(New SenderCompID("SASBuat1"))
            m1.Header.SetField(New SendingTime(Now()))

            m1.SetField(New
SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT))

            Dim TransactTime1 As
QuickFix.FIX44.TradeCaptureReportRequest.NoDatesGroup = New
QuickFix.FIX44.TradeCaptureReportRequest.NoDatesGroup
            TransactTime1.Set(New TransactTime(Now().Date.ToString))
            Dim TransactTime2 As
QuickFix.FIX44.TradeCaptureReportRequest.NoDatesGroup = New
QuickFix.FIX44.TradeCaptureReportRequest.NoDatesGroup
            TransactTime2.Set(New TransactTime(Now().ToString))
            m1.AddGroup(TransactTime1)
            m1.AddGroup(TransactTime2)

            m1.Header.SetField(New BodyLength(135))
            m1.Trailer.SetField(New CheckSum(m1.CheckSum.ToString))

            m1.Validate()
            _sessionTrd.Send(m1)

        Catch ex As Exception
            MsgBox("Trade Capture Report Request: " & ex.Message)
        End Try

    End Sub

 Public Sub OnMessage(TCR As QuickFix.FIX44.TradeCaptureReportRequest,
sessionID As SessionID)
        OutPutMsg("TradeReq: " & sessionID.ToString)
    End Sub

    Public Sub OnMessage(TCR As QuickFix.FIX44.TradeCaptureReportRequestAck,
sessionID As SessionID)
        OutPutMsg("TradeReqAck: " & TCR.TradeRequestStatus.ToString)
    End Sub

    Public Sub OnMessage(TCR As QuickFix.FIX44.TradeCaptureReport, sessionID
As SessionID)
        Dim _on As Integer = 0

        OutPutMsg("TradeCapRpt: " & TCR.TradeRequestID.ToString)
        _on = AddOrder()

    End Sub




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[Quickfix-developers] QuickFIX 1.14.0. is available

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

QuickFIX 1.14.0 is available at http://www.quickfixengine.org

Release notes at http://www.quickfixengine.org/NEWS



Hello all,

This release has really been out for about a month, but just getting the
word out now.

Many performance improvements here.  Special thanks to Viktor Pogrebnyak
for his contributions.

Check the release notes for a full list of changes, but some things to
note.

The .NET wrapper is now superseded but QuickFIX/n.  This is the same
process we went through when we removed the JNI wrapper in favor of
QuickFIX/J.  Like QuickFIX/J, QuickFIX/n has been in production for
quite some time, is a native implementation, and has a great company
supporting it, in this case Connamara Systems.

Visual Studio support is available for VS10, VS11, and VS12.  So now it
supports the latest public releases.  Older versions have been dropped. 
We are now only supporting versions of Visual Studio that Microsoft
distributes with a freely available version of Visual Studio Express. 
If you want to continue using older legacy versions of Visual Studio you
will need to maintain your own solutions, or use an older version of
QuickFIX.

Out website has been redesigned.  It is now just one landing page and
has all the same basic information.  Check it out, I think you'll find
it much easier to find what you need.

The documentation has been heavily reformatted and simplified.  The idea
is to make it a little easier for new users to get going.

This tagged release and all previous releases can also be pulled from
github.  Enjoy!

And thank you to the FIX protocol organization for honoring QuickFIX at
the FIX Trading Community Americas regional meeting in Chicago.

FIX is celebratings it's 20th year, and QuickFIX is now in its 13th
year.  Back then there was a lot of skepticism that open source would
work in the financial industry.  Now I can't even keep track of just the
open source FIX engines that are available.  Thanks for everyone's
support for QuickFIX and open source in finance.

Re: [Quickfix-developers] FIX Message Validation

[Grant B. <gbi...@co...>]

Yes, what Dariusz said.

If your counterparty modifies fields in a repeating group, then you *need*
to use a DataDictionary, else the engine can not know which field belongs
in a group or not, and thus can't really tell which field is the last field
of a group.

I feel your pain, though.  I maintain an application that connects to one
of ICE's interfaces.  About twice a year ICE makes changes, and I have to
spend a few hours making corresponding adjustments and testing.

-Grant


On Tue, Sep 2, 2014 at 9:55 AM, Dariusz Nawrocki <dna...@gm...> wrote:

> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
> Hello Ron,
>
> 2014-09-02 15:44 GMT+02:00 Franssen, Ron <Ron...@ko...>:
>
>> I tried to change the configuration setting to “N” to NOT use a data
>> dictionary and QuickFix promptly began rejecting messages.
>>
>
> Generally as far as I know you need message validation for repeating
> groups to work correctly (repeating groups work upon defined in the
> dictionary fields order) .
>
> Regards
> Darek
>
>
>
> ------------------------------------------------------------------------------
> Slashdot TV.
> Video for Nerds.  Stuff that matters.
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> _______________________________________________
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> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>



-- 
Grant Birchmeier
*Connamara Systems, LLC*
*Made-To-Measure Trading Solutions.*
Exactly what you need. No more. No less.
http://connamara.com

Re: [Quickfix-developers] FIX Message Validation

[Dariusz N. <dna...@gm...>]

Hello Ron,

2014-09-02 15:44 GMT+02:00 Franssen, Ron <Ron...@ko...>:

> I tried to change the configuration setting to “N” to NOT use a data
> dictionary and QuickFix promptly began rejecting messages.
>

Generally as far as I know you need message validation for repeating groups
to work correctly (repeating groups work upon defined in the dictionary
fields order) .

Regards
Darek

[Quickfix-developers] FIX Message Validation

[Franssen, R. <Ron...@ko...>]

Hello All,
We have had a QuickFix implementation for about 5 years now that connects to one of the major exchanges.  Anyhow, we are wondering if there is a way to use QuickFix without the message validation.  We are currently using a data dictionary and validate incoming messages.  However, the vendor routinely adds new information to the data dictionary (which we must go manually update).  This can become a bit of a tedious chore.  I tried to change the configuration setting to "N" to NOT use a data dictionary and QuickFix promptly began rejecting messages.  Further research indicates that I can use the ValidateFieldsHaveValues and ValidateUserDefinedFields (set to N) to turn of message validation, although I don't have this working yet.

What is the proper way to turn of message validation and what are the pitfalls if I do?

thanks


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Re: [Quickfix-developers] Sending message from ToAdmin()/ToApp()

[Grant B. <gbi...@co...>]

I guess I won't question it, then :)


On Thu, Aug 28, 2014 at 5:02 PM, Yavnel, Slava <sla...@jp...>
wrote:

>  We didn’t experience any issues so far.
>
>
>
> *From:* Grant Birchmeier [mailto:gbi...@co...]
> *Sent:* Friday, August 29, 2014 1:00 AM
> *To:* Yavnel, Slava
> *Cc:* qui...@li...; Voronov, Alec; Schwartz,
> Marina
> *Subject:* Re: [Quickfix-developers] Sending message from
> ToAdmin()/ToApp()
>
>
>
> I don't know if this is wrong, but it doesn't seem right.  You should
> definitely do some testing before going to production.
>
>
>
> On Wed, Aug 27, 2014 at 4:41 AM, Yavnel, Slava <sla...@jp...>
> wrote:
>
> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>   Hi,
>
>
>
> In order to cancel outstanding quotes on logout we send quote cancel
> request from toAdmin() when outgoing message type is FIX::MsgType_Logout.
> Is there any problem with this approach ?
>
>
>
> Thanks,
>
> Slava
>
> This email is confidential and subject to important disclaimers and
> conditions including on offers for the purchase or sale of securities,
> accuracy and completeness of information, viruses, confidentiality, legal
> privilege, and legal entity disclaimers, available at
> http://www.jpmorgan.com/pages/disclosures/email.
>
>
>
> ------------------------------------------------------------------------------
> Slashdot TV.
> Video for Nerds.  Stuff that matters.
> http://tv.slashdot.org/
> _______________________________________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>
>
>
>
>
> --
>
> Grant Birchmeier
>
> *Connamara Systems, LLC*
>
> *Made-To-Measure Trading Solutions.*
>
> Exactly what you need. No more. No less.
>
> http://connamara.com
>
> This email is confidential and subject to important disclaimers and
> conditions including on offers for the purchase or sale of securities,
> accuracy and completeness of information, viruses, confidentiality, legal
> privilege, and legal entity disclaimers, available at
> http://www.jpmorgan.com/pages/disclosures/email.
>



-- 
Grant Birchmeier
*Connamara Systems, LLC*
*Made-To-Measure Trading Solutions.*
Exactly what you need. No more. No less.
http://connamara.com

Re: [Quickfix-developers] Sending message from ToAdmin()/ToApp()

[Yavnel, S. <sla...@jp...>]

We didn’t experience any issues so far.

From: Grant Birchmeier [mailto:gbi...@co...]
Sent: Friday, August 29, 2014 1:00 AM
To: Yavnel, Slava
Cc: qui...@li...; Voronov, Alec; Schwartz, Marina
Subject: Re: [Quickfix-developers] Sending message from ToAdmin()/ToApp()

I don't know if this is wrong, but it doesn't seem right.  You should definitely do some testing before going to production.

On Wed, Aug 27, 2014 at 4:41 AM, Yavnel, Slava <sla...@jp...<mailto:sla...@jp...>> wrote:
QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Hi,

In order to cancel outstanding quotes on logout we send quote cancel request from toAdmin() when outgoing message type is FIX::MsgType_Logout. Is there any problem with this approach ?

Thanks,
Slava

This email is confidential and subject to important disclaimers and conditions including on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, confidentiality, legal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email.

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--
Grant Birchmeier
Connamara Systems, LLC
Made-To-Measure Trading Solutions.
Exactly what you need. No more. No less.
http://connamara.com

This email is confidential and subject to important disclaimers and conditions including on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, confidentiality, legal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email.  

Re: [Quickfix-developers] Sending message from ToAdmin()/ToApp()

[Grant B. <gbi...@co...>]

I don't know if this is wrong, but it doesn't seem right.  You should
definitely do some testing before going to production.


On Wed, Aug 27, 2014 at 4:41 AM, Yavnel, Slava <sla...@jp...>
wrote:

> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
>  Hi,
>
>
>
> In order to cancel outstanding quotes on logout we send quote cancel
> request from toAdmin() when outgoing message type is FIX::MsgType_Logout.
> Is there any problem with this approach ?
>
>
>
> Thanks,
>
> Slava
>
> This email is confidential and subject to important disclaimers and
> conditions including on offers for the purchase or sale of securities,
> accuracy and completeness of information, viruses, confidentiality, legal
> privilege, and legal entity disclaimers, available at
> http://www.jpmorgan.com/pages/disclosures/email.
>
>
> ------------------------------------------------------------------------------
> Slashdot TV.
> Video for Nerds.  Stuff that matters.
> http://tv.slashdot.org/
> _______________________________________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>



-- 
Grant Birchmeier
*Connamara Systems, LLC*
*Made-To-Measure Trading Solutions.*
Exactly what you need. No more. No less.
http://connamara.com

[Quickfix-developers] Sending message from ToAdmin()/ToApp()

[Yavnel, S. <sla...@jp...>]

Hi,

In order to cancel outstanding quotes on logout we send quote cancel request from toAdmin() when outgoing message type is FIX::MsgType_Logout. Is there any problem with this approach ?

Thanks,
Slava

This email is confidential and subject to important disclaimers and conditions including on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, confidentiality, legal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email.  

Re: [Quickfix-developers] Re-ordering fields in repeating groups

[Grant B. <gbi...@co...>]

Go in your DD xml file (probably FIX44.xml) and change the order of fields
within the Instrument component.

See this page.  It's for a different QF port, but the DataDictionary files
are the same, so I think it will be helpful.
http://quickfixn.org/tutorial/custom-fields-groups-and-messages


On Tue, Aug 26, 2014 at 9:50 AM, WayneGraham <wrg...@gm...> wrote:

> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> I need to change the field order within the Instrument group to submit the
> message with tag 48 preceding 22. i.e should be:
>
>
> 8=FIX.4.4|9=150|35=V|49=company1|56=LMXBLM|34=342159|52=20140826-09:05:20.009|262=100761--1-20140826090520009|263=1|264=1|265=0|267=2|269=0|269=1|146=1|48=100761|22=8|10=247|
>
> but is:
>
>
> 8=FIX.4.4|9=150|35=V|49=company1|56=LMXBLM|34=342159|52=20140826-09:05:20.009|262=100761--1-20140826090520009|263=1|264=1|265=0|267=2|269=0|269=1|146=1|22=8|48=100761|10=247|
>
> Can any help on how to do this.
>
> Thanks
>
> W
>
>
>
> --
> View this message in context:
> http://quickfix.13857.n7.nabble.com/Re-ordering-fields-in-repeating-groups-tp6663.html
> Sent from the QuickFIX - Dev mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
> Slashdot TV.
> Video for Nerds.  Stuff that matters.
> http://tv.slashdot.org/
> _______________________________________________
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> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>



-- 
Grant Birchmeier
*Connamara Systems, LLC*
*Made-To-Measure Trading Solutions.*
Exactly what you need. No more. No less.
http://connamara.com

[Quickfix-developers] Re-ordering fields in repeating groups

[WayneGraham <wrg...@gm...>]

I need to change the field order within the Instrument group to submit the
message with tag 48 preceding 22. i.e should be:

8=FIX.4.4|9=150|35=V|49=company1|56=LMXBLM|34=342159|52=20140826-09:05:20.009|262=100761--1-20140826090520009|263=1|264=1|265=0|267=2|269=0|269=1|146=1|48=100761|22=8|10=247|

but is: 

8=FIX.4.4|9=150|35=V|49=company1|56=LMXBLM|34=342159|52=20140826-09:05:20.009|262=100761--1-20140826090520009|263=1|264=1|265=0|267=2|269=0|269=1|146=1|22=8|48=100761|10=247|

Can any help on how to do this.

Thanks

W



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[Quickfix-developers] VB unable to access main class objects

[WayneGraham <wrg...@gm...>]

Hi 

I have created a simple Initiator that is connecting and logging in fine.

When I connect I am able to set a textbox text to the session_ID without
problem from the OnCreate method as follows:

 Public Sub OnCreate(sessionID As SessionID) Implements
IApplication.OnCreate
        _session = Session.LookupSession(sessionID)
        mainclass.OutputTB.Text = "On Create - " & _session.ToString
    End Sub

However, when I log in I am unable to access the textbox - code is as
follows:

Public Sub OnLogon(sessionID As SessionID) Implements IApplication.OnLogon
        mainclass.OutputTB.Text = "Logged on"
        MsgBox("Logged On")
    End Sub

I get the messagebox coming up confirming that I am logged on, but I does
not set the textbox text.

Can anyone tell me one method can access the mainclass and the other not 

Thanks very much.

W




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Re: [Quickfix-developers] Logon with username and password

[WayneGraham <wrg...@gm...>]

All sorted thanks




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Re: [Quickfix-developers] Logon with username and password

[Grant B. <gbi...@co...>]

Don't call _session.Send() inside ToAdmin() or ToApp().

Those get called on every message that is *already being sent*.  It's
basically an intercept, allowing to you mess with the message before it
goes out.

Other than that, you're code looks correct to me (though it should be noted
that I don't actually know VB).


On Tue, Aug 19, 2014 at 1:53 AM, WayneGraham <wrg...@gm...> wrote:

> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi
>
> I am new to Quickfix and need help with the logon - am using VB.
>
> I am currently able to to establish the connection, and initiate the logon.
> However, my logon seems to be getting rejected as I have not included the
> username and password correctly, so immediately get logged off.
>
> Am I correct that once I have started an initiator, within the ToAdmin Sub,
> I need to check if the message is a Logon message and then add the username
> and password to the ToAdmin message. Do I also need to reset the BodyLength
> and Checksum after having done so? Do I then just re-send the message ?
> Sorry know this is probably basic stuff, but have been going round in
> circles for 2 days now.
>
> Here is my code - does not cause logon:
>
> Public Sub ToAdmin(message As Message, sessionID As SessionID) Implements
> IApplication.ToAdmin
>         If message.GetType.ToString = "A" Then
>             message.SetField(New Username("JHFTB1"))
>             message.SetField(New Password("FG#T1K8"))
>             _session.Send(message)
>         End If
>     End Sub
>
> Thanks for any help.
>
> Wayne
>
>
>
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> View this message in context:
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>
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[Quickfix-developers] Logon with username and password

[WayneGraham <wrg...@gm...>]

Hi

I am new to Quickfix and need help with the logon - am using VB.

I am currently able to to establish the connection, and initiate the logon.
However, my logon seems to be getting rejected as I have not included the
username and password correctly, so immediately get logged off.

Am I correct that once I have started an initiator, within the ToAdmin Sub,
I need to check if the message is a Logon message and then add the username
and password to the ToAdmin message. Do I also need to reset the BodyLength
and Checksum after having done so? Do I then just re-send the message ?
Sorry know this is probably basic stuff, but have been going round in
circles for 2 days now. 

Here is my code - does not cause logon:

Public Sub ToAdmin(message As Message, sessionID As SessionID) Implements
IApplication.ToAdmin
        If message.GetType.ToString = "A" Then
            message.SetField(New Username("JHFTB1"))
            message.SetField(New Password("FG#T1K8"))
            _session.Send(message)
        End If
    End Sub

Thanks for any help.

Wayne



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Re: [Quickfix-developers] Problem with Session::send (const std::string& string)

[Sev Z. <se...@gm...>]

Regarding your experiment with modifying the output of message.ToString, 
I think that once you modify the string, you'll invalidate the 
CheckSum(10) field that QuickFix appends to the end of each message.

On 7/6/2014 5:30 AM, Wjack07 wrote:
> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi:
>
> I am trying to trim the latency of sending message by using as less overhead
> as possible.
>
> But I met some weird issue, and have no clue so far. Hope anyone has some
> idea.
>
>
> Basically, instead of using FIX::Session::sendtotarget ( Message& message)
>
> One can use  FIX::Session::send ( Message& message)*
>
> *But the SessionID needs to be set up first. this can be done separately.
> But once it is done, we can save this step for every to-be-sent message
> after (in QuickFIX, it check the sesseionID every time when a message is to
> be sent, and this slows down a little bit.)
>
>
> Furthermore, one can even use FIX::Session::sendRaw (Message& message)**
> And this can further save few steps
>
> **sendRaw in session.h is in "private" category, so the .h file needs to be
> modified a bit before using.
>
>
> To push further, I tried FIX::Session::send ( const std::string& string )***
>
> *** again, it is in "private category" so the .h file needs to be modified.
> Also the string should be well defined before head (for example, from
> message.ToString). The MegSeqNum issue also needs to be considered.
>
> So far so good, and I did successfully send out the message by this way.
> By using FIX::Session::send ( const std::string& string ), the latency for
> sending message is significantly reduced.
>
> BUT, here is the problem.
>
> if I do message.ToString > FIX::Session::send ( const std::string& string ),
> then the message is sent successfully.
> if I do message.ToString > modify this string (for example, COrderID from
> 12345 to 54321)> FIX::Session::send ( const std::string& string ), the
> message will be written on the log file (or shown on the screen logger)
> saying it is outgoing, but the server would never respond, which suggesting
> this message want sent out.
>
> What is interesting is, if I do
> do message.ToString > modify this string (COrderID from 12345 to 54321 by
> string.erase and then string insert)> modify this string (COrderID from
> 54321 back to 12345) > FIX::Session::send ( const std::string& string )
> then this is successful.
>
> This is very weird to me, and it seems the message.ToString automatically
> set up some flag, and the FIX::Session::send will check that flag (to see if
> message and message.ToString are matched).
> I read hose code, but didnt find such a thing.
>
> So, my question is,
> why the modification after message.ToString makes FIX::Session::send ( const
> std::string& string ) failed?
>
> Many thanks
> Wjack
>
>
>
>
>
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>
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[Quickfix-developers] ValidateUserDefinedFields - quickfixj 1.5.3

[Ilija O. <ili...@rb...>]

Hi,

Below is my configuration file (I want custom fields validation to be
ignored). Still, all messages that contain user defined fields are rejected.

In the log file I see that incoming message contains user defined field:
quickfixj.msg.incoming: 
35=b..
21002=DLRSPRDCUSIP must be 912828WS5

quickfixj.errorEvent:
Rejecting invalid message: quickfix.FieldException: Invalid tag number,
field=21002

Please let me know what I am doing wrong. 

This is my quickfixj configuration file:

[DEFAULT]
ConnectionType=initiator
ReconnectInterval=30
SenderCompID=XXXXXXX

[SESSION]
DefaultApplVerID=9
BeginString=FIXT.1.1
TargetCompID=XXXX
StartTime=00:00:00
EndTime=00:00:00
HeartBtInt=10
SocketConnectPort=XXXXX
SocketConnectHost=XXXXX
SocketKeepAlive=Y
NonStopSession=Y
UseDataDictionary=Y
DataDictionary=META-INF/FIX50SP2-CUSTOM.xml
SLF4JLogHeartbeats=N
FileLogHeartbeats=N
ResetOnLogon=Y
ValidateFieldsOutOfOrder=N
ValidateFieldsHaveValues=N
ValidateUserDefinedFields=N

Regards,






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Re: [Quickfix-developers] QuickFixJ: MassQuoteMessage

[Grant B. <gbi...@co...>]

This is the C++ QF list.  You should join the Java list instead.

See http://quickfixj.org/support/


On Tue, Jul 15, 2014 at 11:45 PM, Obucina, Ilija (CWM-NR) <
ili...@rb...> wrote:

> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
>  Hi,
>
> I am using quickfixj 1.53 (counterparty is using FIX50SP2 specs. I am
> trying to create MassQuoteMessage , but I am having difficulties adding
> instrument information and custom tags defined by the counterparty:
>
>
>
> Here is part of my counterparty requirements:
>
>
>
> *Header: *
>
> MsgType=i
>
>
>
> *Message:*
>
> Tag:117 (QuoteID)
>
> Tag 296 (NoQuoteSets)
>
>                 Tag : 302 (QuoteSetID)
>
>             Taag 48: (SecurityId)
>
>             Tag 22: (SecurityIDSource)
>
>             Tag 12345 (Custom)
>
>             Tag: 12346 (Custom2)
>
>             …..
>
>                         Tag 299 (QuoteEntryID)
>
> Tag 132 (BidPx)
>
> Tag 133(OfferPx)
>
>
>
>
>
>
>
> My Java code :
>
> MassQuote offeringMessage = new MassQuote(new
> QuoteID(String.format("QID_%s", sequence++)));
>
>
>
> // header -- TODO maybe it is not needed
>
> offeringMessage.getHeader().setField(new MsgType(MsgType.MASS_QUOTE));
>
>
>
> MassQuote.NoQuoteSets quoteSetGroup = new MassQuote.NoQuoteSets();
>
> quoteSetGroup.set(new QuoteSetID(String.format("QSET_%s",
> sequence)));
>
> quoteSetGroup.set(new TotNoQuoteEntries(1));
>
>
>
> // How to add custom filelds and Instrument info ????????
>
>
>
> MassQuote.NoQuoteSets.NoQuoteEntries quoteEntryGroup = new
> MassQuote.NoQuoteSets.NoQuoteEntries();
>
> quoteEntryGroup.set(new QuoteEntryID(“1”));
>
>
>
> quoteEntryGroup.set(*new* BidPx(2.1));
>
> quoteEntryGroup.set(*new* OfferPx(2.0));
>
>
>
> quoteSetGroup.addGroup(quoteEntryGroup);
>
>           offeringMessage.addGroup(quoteSetGroup);
>
>
>
>
>
> Thank you,
>
> Ilija
>
> _______________________________________________________________________
>
> This email is intended only for the use of the individual(s) to whom it is
> addressed and may be privileged and confidential.
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> sender does not accept any liability for any errors or omissions in the
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>
> Ce courriel est confidentiel et protégé. L'expéditeur ne renonce pas aux
> droits et obligations qui s'y rapportent.
> Toute diffusion, utilisation ou copie de ce message ou des renseignements
> qu'il contient par une personne autre que le (les) destinataire(s)
> désigné(s) est interdite.
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>
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*Made-To-Measure Trading Solutions.*
Exactly what you need. No more. No less.
http://connamara.com

[Quickfix-developers] QuickFixJ: MassQuoteMessage

[Obucina, I. (CWM-NR) <ili...@rb...>]

Hi,
I am using quickfixj 1.53 (counterparty is using FIX50SP2 specs. I am trying to create MassQuoteMessage , but I am having difficulties adding instrument information and custom tags defined by the counterparty:

Here is part of my counterparty requirements:

Header:
MsgType=i

Message:
Tag:117 (QuoteID)
Tag 296 (NoQuoteSets)
                Tag : 302 (QuoteSetID)
            Taag 48: (SecurityId)
            Tag 22: (SecurityIDSource)
            Tag 12345 (Custom)
            Tag: 12346 (Custom2)
            …..
                        Tag 299 (QuoteEntryID)
Tag 132 (BidPx)
Tag 133(OfferPx)



My Java code :
MassQuote offeringMessage = new MassQuote(new QuoteID(String.format("QID_%s", sequence++)));

// header -- TODO maybe it is not needed
offeringMessage.getHeader().setField(new MsgType(MsgType.MASS_QUOTE));

MassQuote.NoQuoteSets quoteSetGroup = new MassQuote.NoQuoteSets();
quoteSetGroup.set(new QuoteSetID(String.format("QSET_%s", sequence)));
quoteSetGroup.set(new TotNoQuoteEntries(1));

// How to add custom filelds and Instrument info ????????

MassQuote.NoQuoteSets.NoQuoteEntries quoteEntryGroup = new MassQuote.NoQuoteSets.NoQuoteEntries();
quoteEntryGroup.set(new QuoteEntryID(“1”));

quoteEntryGroup.set(new BidPx(2.1));
quoteEntryGroup.set(new OfferPx(2.0));

quoteSetGroup.addGroup(quoteEntryGroup);
          offeringMessage.addGroup(quoteSetGroup);


Thank you,
Ilija
_______________________________________________________________________

This email is intended only for the use of the individual(s) to whom it is addressed and may be privileged and confidential.
Unauthorised use or disclosure is prohibited. If you receive This e-mail in error, please advise immediately and delete the original message. 
This message may have been altered without your or our knowledge and the sender does not accept any liability for any errors or omissions in the message.

Ce courriel est confidentiel et protégé. L'expéditeur ne renonce pas aux droits et obligations qui s'y rapportent. 
Toute diffusion, utilisation ou copie de ce message ou des renseignements qu'il contient par une personne autre que le (les) destinataire(s) désigné(s) est interdite.
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[Quickfix-developers] Latency measurement

[Wjack07 <ck...@gm...>]

Hi:

I am trying to measure QuickFix performance, but have several questions. 
I hope anyone has some clues about them.

*Some  information: I am using MSVC2013 + QuickFix c++
*I use QueryPerformanceFrequency and QueryPerformanceCounter to measure to
micro second precision

*(1) To measure sending out messages.*
Basically, I have no problem on measuring this part.
But I have seen some commercial FIX engines, which publish their benchmark.
Some of them list their measuring results on QuickFIX to compare to their
product.
And usually, it shows QuickFix can handle sending message at about
7500~10000 messages per second.
(100~130 micro second / msg)

BUT, in my testing, it can only support up to 2000 messages per second. (500
micro seconds / msg)
So I wonder if anyone also test this, and share your results.
Why there is a 4x difference?

*My cpu has 3.0 Ghz, which is not super fast, but I thought it can support
up to 5000 at least.

*(2) To measure receiving message*
About this part, I totally have no idea how to measure.

The message shown in fromApp is also processed (it should be binary
information first, and then translated to string, and then translated to
QuickFIX message format.) I dont know how to measure the time of this
processing before the message shows in fromApp.

Simply put: How to measure from when the "information" arrived computer to
when the message in fromApp is ready to be used.

*(3) To measure receiving message (extracting)*

In QuickFIX, we can use fromApp to get message components.
So what I do is to measure how quick QuickFIX is extracting message
components.
My results show QuickFIX performances at about 50~100 micro seconds for
extracting one single component (OrdID, price, symbol etc)
 
I am aware that QuickFIX is mostly for education purpose, so one probably
shouldnt compare it with other dedicated commerical FIX engine. But I am
quite surprised the performance can have such a big difference, more than 50
x (some commercial FIX engine claims they can achieve 1 micro for
extracting).

What makes this such big difference? Or commercial FIX engine just brag? Or
I just didnt correctly use QuickFIX, so it has a poor performance?

Many thanks
Wjack






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