quickfix-developers — QuickFIX developers forum

Re: [Quickfix-developers] Rgenerating code after changing xml files in spec/fix44 directory

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

Hi Sheetal,

Very interesting question. Some collegues made this question to me some time
ago, but I didn't know the answer, in my application I prefered to avoid the
cracker overhead anyway.

But, now looking at the quickfix folders, I found that there are special
scripts to to that.

Try spec\generate.bat or spec\generate.sh.

You should change the dictionaries in the spec directory or change the
scripts to point to others.

It seems that you must have ruby and msxsl.exe installed (or xsltproc to use
generate.sh).

I did not test it and I am not sure if these are the only required steps.

Djalma


On 2/7/07, Sheetal Chainraj <sch...@gm...> wrote:
>
> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
> I am trying to add new fields to the NewOrderSingle  message type. I added
> this in the spec/fix44.xml message. After this, expecting to regnerate the
> correct C++ header files under src/C++/fix44/ , I ran make in the home
> directory. It did not generate any new files. I am sure I am missing some
> step. Can some give me a pointer please?
>
> thanks,
> Sheetal
> --
> View this message in context:
> http://www.nabble.com/Rgenerating-code-after-changing-xml-files-in-spec-fix44-directory-tf3190167.html#a8855920
> Sent from the QuickFIX - Dev mailing list archive at Nabble.com.
>
>
> -------------------------------------------------------------------------
> Using Tomcat but need to do more? Need to support web services, security?
> Get stuff done quickly with pre-integrated technology to make your job
> easier.
> Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
> http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642
> _______________________________________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>

[Quickfix-developers] Rgenerating code after changing xml files in spec/fix44 directory

[Sheetal C. <sch...@gm...>]

I am trying to add new fields to the NewOrderSingle  message type. I added
this in the spec/fix44.xml message. After this, expecting to regnerate the
correct C++ header files under src/C++/fix44/ , I ran make in the home
directory. It did not generate any new files. I am sure I am missing some
step. Can some give me a pointer please?

thanks,
Sheetal
-- 
View this message in context: http://www.nabble.com/Rgenerating-code-after-changing-xml-files-in-spec-fix44-directory-tf3190167.html#a8855920
Sent from the QuickFIX - Dev mailing list archive at Nabble.com.

Re: [Quickfix-developers] Bug - ThreadedSocketAcceptor crashes in Windows 2003 Itanium

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

This change has been committed to svn.
> As I work a lot with 64 bit platforms, I would appreciate this  
> modification in next QuickFIX version.
>
> Thanks,
> Djalma
>
>
> ///////////////////////////////////////////////////////////////////
> int socket_getsockopt( int s, int opt, int& optval )
> { QF_STACK_PUSH(socket_getsockopt)
>
>   int level = SOL_SOCKET;
>   if( opt == TCP_NODELAY )
>     level = IPPROTO_TCP;
>
> #ifdef _MSC_VER
>   int length = sizeof(int); //  @@This is an IN/OUT parameter and  
> should be initialized this way
> #else
>   socklen_t length;
> #endif
>
>   return ::getsockopt( s, level, opt,
>                        ( char* ) & optval, & length );
>
>   QF_STACK_POP
> }
> ///////////////////////////////////////////////////////////////////
> ---------------------------------------------------------------------- 
> ---
> Using Tomcat but need to do more? Need to support web services,  
> security?
> Get stuff done quickly with pre-integrated technology to make your  
> job easier.
> Download IBM WebSphere Application Server v.1.0.1 based on Apache  
> Geronimo
> http://sel.as-us.falkag.net/sel? 
> cmd=lnk&kid=120709&bid=263057&dat=121642______________________________ 
> _________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers

Re: [Quickfix-developers] quickfix, ruby, and threads

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

This is something that should be fixed in the svn version.  The  
current release doesn't spawn a new thread.  If you want to use the  
release version, you should spawn a ruby thread and call start in there.

--oren

On Feb 6, 2007, at 7:56 AM, Dan McCormick wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi,
>
> I'm new to both Quickfix and Ruby so forgive me if I'm missing  
> something
> basic, but it doesn't look like threading is working in Ruby.
>
> In executor.rb, if you add a
>
> print "hello\n"
>
> after line 103, acceptor.start, the "hello" never gets printed.
> Similarly, a print statement after an initiator.start call in a client
> never gets called.  Everything else works fine -- I've successfully  
> set
> up executor with a client, and they heartbeat correctly.
>
> Modifying the C++ version of executor, the print statements work.   
> I've
> also tested non-Quickfix-related threading in Ruby, and that seems to
> work fine.
>
> I'm using Quickfix 1.12.4 compiled with Ruby and MySQL support on a
> Linux Fedora Core 3 (with gcc 3.4.4) system.
>
> Any ideas?
>
> Thanks,
> Dan
>
>
> ---------------------------------------------------------------------- 
> ---
> Using Tomcat but need to do more? Need to support web services,  
> security?
> Get stuff done quickly with pre-integrated technology to make your  
> job easier.
> Download IBM WebSphere Application Server v.1.0.1 based on Apache  
> Geronimo
> http://sel.as-us.falkag.net/sel? 
> cmd=lnk&kid=120709&bid=263057&dat=121642
> _______________________________________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>

[Quickfix-developers] Bug - ThreadedSocketAcceptor crashes in Windows 2003 Itanium

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

Hi,

I got the following error, only in a Itanium server (IA64) and only in
Release mode:

Unhandled exception at 0x180021004a000800 in BTSFIXGateway.exe:
0xC0000005: Access violation executing location 0x180021004a000800.

After many hours of remote debugging, I found a bug fixing for it in
socket_getsockopt function (Utility.cpp).

The reason is that the last getsockopt parameter (*optlen) *is both for
input and output, thus it should be properly initialized, indeed all the
MSDN examples that I saw do it.

My opinion is that maybe this error is occurring only with Windows
IA64 because of specific processor optimization, as I said, it does
not occur in debug mode even with Itanium.

As I work a lot with 64 bit platforms, I would appreciate this modification
in next QuickFIX version.

Thanks,
Djalma

///////////////////////////////////////////////////////////////////
int socket_getsockopt( int s, int opt, int& optval )
{ QF_STACK_PUSH(socket_getsockopt)

  int level = SOL_SOCKET;
  if( opt == TCP_NODELAY )
    level = IPPROTO_TCP;

#ifdef _MSC_VER
  int length = sizeof(int); //  @@This is an IN/OUT parameter and should be
initialized this way
#else
  socklen_t length;
#endif

  return ::getsockopt( s, level, opt,
                       ( char* ) & optval, & length );

  QF_STACK_POP
}
///////////////////////////////////////////////////////////////////

[Quickfix-developers] quickfix, ruby, and threads

[Dan M. <da...@co...>]

Hi,

I'm new to both Quickfix and Ruby so forgive me if I'm missing something
basic, but it doesn't look like threading is working in Ruby.

In executor.rb, if you add a 

print "hello\n"

after line 103, acceptor.start, the "hello" never gets printed.
Similarly, a print statement after an initiator.start call in a client
never gets called.  Everything else works fine -- I've successfully set
up executor with a client, and they heartbeat correctly.

Modifying the C++ version of executor, the print statements work.  I've
also tested non-Quickfix-related threading in Ruby, and that seems to
work fine.

I'm using Quickfix 1.12.4 compiled with Ruby and MySQL support on a
Linux Fedora Core 3 (with gcc 3.4.4) system.

Any ideas?

Thanks,
Dan

Re: [Quickfix-developers] Performance of QuickFix/J vs QuickFix (C++)

[Vikram V. <rer...@ya...>]

Hi Robert,
  The latency values were in milliseconds. and the throughput is in
transactions / second.
And, regarding the test environment...
# of CPU's : 2  (Arch : x386)
Platform    : Solaris
JVM          : version 1.5.0_10 
Logging     : Using FileLogFactory... logs go to files...


Thanks,
Vikram


robparrott wrote:
> 
> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
> 
> Also, for these number to be better interpreted, you'll need to be
> more specific about the number of CPUs, and settings and version of
> the JVM.  Also, what kind of logging are you using? What platform?
> 
> Otherwise it's hard to tell if you are testing QuickFIX or are seeing
> effects of garbage collecting and such in the JVM itself, or perhaps
> of File IO due to logging and persistence.
> 
> The very disparate values in the results, especially latency, say to
> me that you are hitting system performance bottlenecks, and not really
> testing QuickFIX/J at this point.
> 
> 
> On 2/4/07, Robert Parrott <rob...@gm...> wrote:
>> Hi Vikram, can you provide some units here? Are these microseconds?
>>
>> On 2/1/07, Vikram Venkatesan <rer...@ya...> wrote:
>> > QuickFIX Documentation:
>> http://www.quickfixengine.org/quickfix/doc/html/index.html
>> > QuickFIX Support: http://www.quickfixengine.org/services.html
>> >
>> >
>> > Hi,
>> >     I have done some performance tests for Quickfix/J 1.0.4. and got
>> some
>> > performance results. Please let me know whether the performance results
>> are
>> > acceptable, and are expected.
>> >
>> > Started Client1 (Trader) and Client2(CounterParty) on the same machine
>> > (Architecture : i386 / Memory : 4 GB ).
>> >
>> > 1.  Throughput testing
>> >     Description :  Placed 100,000 orders from Trader and got all the
>> orders
>> > filled by the Counterparty (i.e. received all execution reports). The
>> total
>> > time taken is noted, and the throughout is calculated(orders per
>> second) for
>> > 100,000 orders.
>> >
>> > Average throughput : 3600 transactions / second.
>> > (where transaction = sending order and receiving it's execution
>> report).
>> >
>> > 2. Ping pong mode of testing
>> >    Description : Placed 'N' orders from Trader. On receiving execution
>> > report for all the 'N' orders, the next 'N' orders are placed and so
>> > on...sort of BLOCKING order placement.
>> > Latency :
>> >           On receiving the execution report for the 'N' th order, the
>> time
>> > difference between the current time and the PLACING TIME of that order
>> is
>> > calculated and this is taken as the LATENCY for an order.
>> >
>> > Throuthput calculation:
>> >       The total time taken for 'N' orders to be filled is taken down.
>> From
>> > this the throughput is calculated.
>> >
>> > Batch size = The value of 'N'.
>> >
>> > # orders  Batch size  Min Latency  Max Latency  Avg latency Min
>> throughput
>> > Max throughput  Avg throughput
>> > 100000       1               1          1009              504            
>> 2
>> > 1000                  575
>> > 100000       2               1          1028              501           
>> 22
>> > 2000                  1728
>> > 100000       5               1          1009              501           
>> 90
>> > 5000                  3999
>> > 100000       10             1          1028             499              
>> 62
>> > 10000                4300
>> > 100000       100           9          1042             518              
>> 200
>> > 9090                 5126
>> > 100000       1000          28        1038             529              
>> 3058
>> > 6802                 5778
>> >
>> >
>> > - Vikram
>> > --
>> > View this message in context:
>> http://www.nabble.com/Performance-of-QuickFix-J-vs-QuickFix-%28C%2B%2B%29-tf3134559.html#a8746000
>> > Sent from the QuickFIX - Dev mailing list archive at Nabble.com.
>> >
>> >
>> >
>> -------------------------------------------------------------------------
>> > Using Tomcat but need to do more? Need to support web services,
>> security?
>> > Get stuff done quickly with pre-integrated technology to make your job
>> easier.
>> > Download IBM WebSphere Application Server v.1.0.1 based on Apache
>> Geronimo
>> >
>> http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642
>> > _______________________________________________
>> > Quickfix-developers mailing list
>> > Qui...@li...
>> > https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>> >
>>
> 
> -------------------------------------------------------------------------
> Using Tomcat but need to do more? Need to support web services, security?
> Get stuff done quickly with pre-integrated technology to make your job
> easier.
> Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
> http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642
> _______________________________________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
> 
> 

-- 
View this message in context: http://www.nabble.com/Performance-of-QuickFix-J-vs-QuickFix-%28C%2B%2B%29-tf3134559.html#a8821178
Sent from the QuickFIX - Dev mailing list archive at Nabble.com.

Re: [Quickfix-developers] Performance of QuickFix/J vs QuickFix (C++)

[Robert P. <rob...@gm...>]

Also, for these number to be better interpreted, you'll need to be
more specific about the number of CPUs, and settings and version of
the JVM.  Also, what kind of logging are you using? What platform?

Otherwise it's hard to tell if you are testing QuickFIX or are seeing
effects of garbage collecting and such in the JVM itself, or perhaps
of File IO due to logging and persistence.

The very disparate values in the results, especially latency, say to
me that you are hitting system performance bottlenecks, and not really
testing QuickFIX/J at this point.


On 2/4/07, Robert Parrott <rob...@gm...> wrote:
> Hi Vikram, can you provide some units here? Are these microseconds?
>
> On 2/1/07, Vikram Venkatesan <rer...@ya...> wrote:
> > QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
> > QuickFIX Support: http://www.quickfixengine.org/services.html
> >
> >
> > Hi,
> >     I have done some performance tests for Quickfix/J 1.0.4. and got some
> > performance results. Please let me know whether the performance results are
> > acceptable, and are expected.
> >
> > Started Client1 (Trader) and Client2(CounterParty) on the same machine
> > (Architecture : i386 / Memory : 4 GB ).
> >
> > 1.  Throughput testing
> >     Description :  Placed 100,000 orders from Trader and got all the orders
> > filled by the Counterparty (i.e. received all execution reports). The total
> > time taken is noted, and the throughout is calculated(orders per second) for
> > 100,000 orders.
> >
> > Average throughput : 3600 transactions / second.
> > (where transaction = sending order and receiving it's execution report).
> >
> > 2. Ping pong mode of testing
> >    Description : Placed 'N' orders from Trader. On receiving execution
> > report for all the 'N' orders, the next 'N' orders are placed and so
> > on...sort of BLOCKING order placement.
> > Latency :
> >           On receiving the execution report for the 'N' th order, the time
> > difference between the current time and the PLACING TIME of that order is
> > calculated and this is taken as the LATENCY for an order.
> >
> > Throuthput calculation:
> >       The total time taken for 'N' orders to be filled is taken down. From
> > this the throughput is calculated.
> >
> > Batch size = The value of 'N'.
> >
> > # orders  Batch size  Min Latency  Max Latency  Avg latency Min throughput
> > Max throughput  Avg throughput
> > 100000       1               1          1009              504             2
> > 1000                  575
> > 100000       2               1          1028              501            22
> > 2000                  1728
> > 100000       5               1          1009              501            90
> > 5000                  3999
> > 100000       10             1          1028             499               62
> > 10000                4300
> > 100000       100           9          1042             518               200
> > 9090                 5126
> > 100000       1000          28        1038             529               3058
> > 6802                 5778
> >
> >
> > - Vikram
> > --
> > View this message in context: http://www.nabble.com/Performance-of-QuickFix-J-vs-QuickFix-%28C%2B%2B%29-tf3134559.html#a8746000
> > Sent from the QuickFIX - Dev mailing list archive at Nabble.com.
> >
> >
> > -------------------------------------------------------------------------
> > Using Tomcat but need to do more? Need to support web services, security?
> > Get stuff done quickly with pre-integrated technology to make your job easier.
> > Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
> > http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642
> > _______________________________________________
> > Quickfix-developers mailing list
> > Qui...@li...
> > https://lists.sourceforge.net/lists/listinfo/quickfix-developers
> >
>

Re: [Quickfix-developers] Performance of QuickFix/J vs QuickFix (C++)

[Robert P. <rob...@gm...>]

Hi Vikram, can you provide some units here? Are these microseconds?

On 2/1/07, Vikram Venkatesan <rer...@ya...> wrote:
> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
> Hi,
>     I have done some performance tests for Quickfix/J 1.0.4. and got some
> performance results. Please let me know whether the performance results are
> acceptable, and are expected.
>
> Started Client1 (Trader) and Client2(CounterParty) on the same machine
> (Architecture : i386 / Memory : 4 GB ).
>
> 1.  Throughput testing
>     Description :  Placed 100,000 orders from Trader and got all the orders
> filled by the Counterparty (i.e. received all execution reports). The total
> time taken is noted, and the throughout is calculated(orders per second) for
> 100,000 orders.
>
> Average throughput : 3600 transactions / second.
> (where transaction = sending order and receiving it's execution report).
>
> 2. Ping pong mode of testing
>    Description : Placed 'N' orders from Trader. On receiving execution
> report for all the 'N' orders, the next 'N' orders are placed and so
> on...sort of BLOCKING order placement.
> Latency :
>           On receiving the execution report for the 'N' th order, the time
> difference between the current time and the PLACING TIME of that order is
> calculated and this is taken as the LATENCY for an order.
>
> Throuthput calculation:
>       The total time taken for 'N' orders to be filled is taken down. From
> this the throughput is calculated.
>
> Batch size = The value of 'N'.
>
> # orders  Batch size  Min Latency  Max Latency  Avg latency Min throughput
> Max throughput  Avg throughput
> 100000       1               1          1009              504             2
> 1000                  575
> 100000       2               1          1028              501            22
> 2000                  1728
> 100000       5               1          1009              501            90
> 5000                  3999
> 100000       10             1          1028             499               62
> 10000                4300
> 100000       100           9          1042             518               200
> 9090                 5126
> 100000       1000          28        1038             529               3058
> 6802                 5778
>
>
> - Vikram
> --
> View this message in context: http://www.nabble.com/Performance-of-QuickFix-J-vs-QuickFix-%28C%2B%2B%29-tf3134559.html#a8746000
> Sent from the QuickFIX - Dev mailing list archive at Nabble.com.
>
>
> -------------------------------------------------------------------------
> Using Tomcat but need to do more? Need to support web services, security?
> Get stuff done quickly with pre-integrated technology to make your job easier.
> Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
> http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642
> _______________________________________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>

[Quickfix-developers] please help with Socket[both].... under VB.NET

[Bogdan C. <fxe...@ya...>]

[I too am complete newbie to FIX ... all I know is MetaTrader...]

I started to unravel the quickfix mysteries starting from the Executor app.
Was kinda dumb at that time and I didn't understand how to make the settings file, so I was forced to learn how to make config manually.
I thought things would be simpler with a container class, which was supposed to easily handle the config.

so here it goes:

Option Explicit On
Imports System
Imports System.Globalization
Imports QuickFix
Module FastFix



    Public Const FIX44 As String = "FIX.4.4"
    Public Const FIX43 As String = "FIX.4.3"
    Public Const FIX42 As String = "FIX.4.2"
    Public Const FIX41 As String = "FIX.4.1"
    Public Const FIX40 As String = "FIX.4.0"
    Public Const Initiator As String = "initiator"
    Public Const Acceptor As String = "acceptor"


    Public Class FixContainer

        Public fixConnectionType As String

        Public fixSessionID As SessionID
        Public fixDictionary As New Dictionary
        Public fixDataDictionary As New DataDictionary
        Public fixSessionSettings As SessionSettings
        Public fixApplication As New Application
        Public fixFileStoreFactory As FileStoreFactory
        Public fixFileLogFactory As FileLogFactory
        Public fixMessageFactory As New DefaultMessageFactory
        Public fixSocketAcceptor As SocketAcceptor
        Public fixSocketInitiator As SocketInitiator




        Public Sub New(ByVal BaseURL As String, _
                       ByVal BeginString As String, _
                       ByVal SenderCompID As String, _
                       ByVal TargetCompID As String, _
                       ByVal SessionQualifier As String, _
                       ByVal ConnectionType As String, _
                       ByVal SocketPort As Integer, _
                       ByVal SocketHost As String, _
                             Optional ByVal StartTime As String = "", _
                             Optional ByVal EndTime As String = "", _
                             Optional ByVal StartDay As String = "", _
                             Optional ByVal EndDay As String = "", _
                             Optional ByVal MillisecondsInTimeStamp As String = "Y", _
                             Optional ByVal SendRedundantResendRequests As String = "N", _
                             Optional ByVal ResetOnLogon As String = "N", _
                             Optional ByVal ResetOnLogout As String = "N", _
                             Optional ByVal ResetOnDisconnect As String = "N", _
                             Optional ByVal RefreshOnLogon As String = "N", _
                             Optional ByVal HeartBtInt As Integer = 30)
            fixConnectionType = ConnectionType
            Try
                'ID keys
                Dim NowDateStart, NowDateEnd As DateTime
                Dim FullURL As String = BaseURL
                Dim FixFile As String = ""
                fixSessionID = New SessionID(BeginString, SenderCompID, TargetCompID, SessionQualifier)
                Select Case BeginString
                    Case "FIX.4.0"
                        FixFile = "FIX40.XML"
                    Case "FIX.4.1"
                        FixFile = "FIX41.XML"
                    Case "FIX.4.2"
                        FixFile = "FIX42.XML"
                    Case "FIX.4.3"
                        FixFile = "FIX43.XML"
                    Case "FIX.4.4"
                        FixFile = "FIX44.XML"
                End Select
                FullURL = BaseURL + FixFile
                fixDataDictionary = New DataDictionary(FullURL)
                fixDictionary.setString("BeginString", BeginString)
                fixDictionary.setString("SenderCompID", SenderCompID)
                fixDictionary.setString("TargetCompID", TargetCompID)
                If fixConnectionType = "initiator" Then
                    fixDictionary.setString("SessionQualifier", SessionQualifier)
                End If
                fixDictionary.setString("ConnectionType", ConnectionType)
                NowDateStart = DateTime.UtcNow
                NowDateEnd = NowDateStart.AddDays(7)
                If Len(StartTime) <> 0 Then
                    fixDictionary.setString("StartTime", StartTime)
                Else
                    fixDictionary.setString("StartTime", NowDateStart.ToString("T", DateTimeFormatInfo.InvariantInfo))
                End If
                If Len(EndTime) <> 0 Then
                    fixDictionary.setString("EndTime", EndTime)
                Else
                    fixDictionary.setString("EndTime", NowDateEnd.ToString("T", DateTimeFormatInfo.InvariantInfo))
                End If
                If Len(StartDay) <> 0 Then
                    fixDictionary.setString("StartDay", StartDay)
                Else
                    fixDictionary.setString("StartDay", NowDateStart.DayOfWeek)
                End If
                If Len(EndDay) <> 0 Then
                    fixDictionary.setString("EndDay", EndDay)
                Else
                    fixDictionary.setString("EndDay", NowDateEnd.DayOfWeek)
                End If
                fixDictionary.setString("MillisecondsInTimeStamp", MillisecondsInTimeStamp)
                fixDictionary.setString("SendRedundantResendRequests", SendRedundantResendRequests)
                fixDictionary.setString("ResetOnLogon", ResetOnLogon)
                fixDictionary.setString("ResetOnLogout", ResetOnLogout)
                fixDictionary.setString("ResetOnDisconnect", ResetOnDisconnect)
                fixDictionary.setString("ResetOnLogon", RefreshOnLogon)
                'Validation keys
                fixDictionary.setString("UseDataDictionary", "Y")
                fixDictionary.setString("DataDictionary", FullURL)
                'Initiator and acceptor keys
                fixDictionary.setLong("HeartBtInt", HeartBtInt)
                If fixConnectionType = "initiator" Then
                    fixDictionary.setLong("SocketConnectPort", SocketPort)
                    fixDictionary.setString("SocketConnectHost", SocketHost)
                End If
                If fixConnectionType = "acceptor" Then
                    fixDictionary.setLong("SocketAcceptPort", SocketPort)
                End If
                'Building settings
                fixSessionSettings = New SessionSettings
                fixSessionSettings.set(fixSessionID, fixDictionary)
                fixFileStoreFactory = New FileStoreFactory("c:\quickfixmsgs")
                fixFileLogFactory = New FileLogFactory("c:\quickfixmsgs")
                fixDataDictionary = New DataDictionary(FullURL)                
                'Building Session
                'at FIX.SocketInitiator.{ctor}(SocketInitiator* , Application* , MessageStoreFactory* , SessionSettings* , LogFactory* )
                If fixConnectionType = "initiator" Then
                    'error goes here
                    fixSocketInitiator = New SocketInitiator(fixApplication, fixFileStoreFactory, fixSessionSettings, fixFileLogFactory, fixMessageFactory)
                End If
                If fixConnectionType = "acceptor" Then
                    'and here
                    fixSocketAcceptor = New SocketAcceptor(fixApplication, fixFileStoreFactory, fixSessionSettings, fixFileLogFactory, fixMessageFactory)
                End If
                Console.WriteLine("Session existence status : " +               CStr(Session.doesSessionExist(fixSessionID)))
            Catch e As System.Exception
                Console.WriteLine(e)
                Console.ReadKey()
            End Try
        End Sub

        Sub Login()
            If fixConnectionType = "initiator" Then
                fixSocketInitiator.start()
            End If
            If fixConnectionType = "acceptor" Then
                fixSocketAcceptor.start()
            End If
        End Sub

        Sub Logoff()
            If fixConnectionType = "initiator" Then
                fixSocketInitiator.stop()
            End If
            If fixConnectionType = "acceptor" Then
                fixSocketAcceptor.stop()
            End If
        End Sub


    End Class



End Module



I left the Application.vb module intact as it was in Executor, and initiated configuration from the main module:

Dim Fixc As New FixContainer("file:///F:/Trading%20Platform%20Kits/QuickFIX%20engine/quickfix/spec/", FIX41, "TW", "ARCA", "Fixc", Initiator, 9823, "123.123.123.123")

what i get is this:

System.AccessViolationException: Attempted to read or write protected memory. Th
is is often an indication that other memory is corrupt.
   at FIX.SocketInitiator.{ctor}(SocketInitiator* , Application* , MessageStoreF
actory* , SessionSettings* , LogFactory* )
   at QuickFix.SocketInitiator..ctor(Application application, MessageStoreFactor
y factory, SessionSettings settings, LogFactory logFactory, MessageFactory messa
geFactory)
[....]

Now I'm totally lost.

P.S.
1.If i set connection type to Acceptor, i get the same error, generated by New SocketAcceptor
2.I also have doubts about the FileStoreFactory and FileLogFactory, because the New requests a path and in the example the New is applied to settings...

Did anyone confront with this issue?

 
---------------------------------
Need Mail bonding?
Go to the Yahoo! Mail Q&A for great tips from Yahoo! Answers users.

Re: [Quickfix-developers] Performance of QuickFix/J vs QuickFix (C++)

[Vikram V. <rer...@ya...>]

Hi,
    I have done some performance tests for Quickfix/J 1.0.4. and got some
performance results. Please let me know whether the performance results are
acceptable, and are expected.

Started Client1 (Trader) and Client2(CounterParty) on the same machine
(Architecture : i386 / Memory : 4 GB ).

1.  Throughput testing
    Description :  Placed 100,000 orders from Trader and got all the orders
filled by the Counterparty (i.e. received all execution reports). The total
time taken is noted, and the throughout is calculated(orders per second) for
100,000 orders.

Average throughput : 3600 transactions / second.
(where transaction = sending order and receiving it's execution report).

2. Ping pong mode of testing
   Description : Placed 'N' orders from Trader. On receiving execution
report for all the 'N' orders, the next 'N' orders are placed and so
on...sort of BLOCKING order placement.
Latency : 
          On receiving the execution report for the 'N' th order, the time
difference between the current time and the PLACING TIME of that order is
calculated and this is taken as the LATENCY for an order. 

Throuthput calculation: 
      The total time taken for 'N' orders to be filled is taken down. From
this the throughput is calculated.

Batch size = The value of 'N'.

# orders  Batch size  Min Latency  Max Latency  Avg latency Min throughput 
Max throughput  Avg throughput  
100000       1               1          1009              504             2                   
1000                  575     
100000       2               1          1028              501            22                  
2000                  1728
100000       5               1          1009              501            90                  
5000                  3999
100000       10             1          1028             499               62                
10000                4300
100000       100           9          1042             518               200               
9090                 5126
100000       1000          28        1038             529               3058             
6802                 5778


- Vikram
-- 
View this message in context: http://www.nabble.com/Performance-of-QuickFix-J-vs-QuickFix-%28C%2B%2B%29-tf3134559.html#a8746000
Sent from the QuickFIX - Dev mailing list archive at Nabble.com.

[Quickfix-developers] OrderMatch and TradeClient examples

[Joe S. <joe...@gm...>]

[I am complete newbie to FIX and electronic trading]

I got source code for the QuckFX, built it and successfully ran runut
and runat. I can also run OrderMatch and TradeClient examples via
batch files.

TradeClient outputs a bunch of "Connecting..."/"Disconnecting..."
messages, but I am under impression I should be able to enter trades
there and OrderMatch should execute those trades, right? However,
there seem to be now way to break the loop of
Connecting.../Disconnecting.. messages in Tradeclient to enter
anything.

Can anyone clarify how these examples should be used?

Re: [Quickfix-developers] Not able to logon from UTC 00:00:00 to UTC 00:59:59)

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

It would, though it would reset the session at 00:00:00 UTC.

--oren

On Jan 29, 2007, at 4:45 PM, Ping Chung wrote:

> Oren,
>
>             Thanks for spotting the problem for me.
>
> I have it set StartTime=3D01:00:00 EndTime=3D23:59:59. If I set it as =
=93 =20
> StartTime=3D00:00:00 EndTime=3D00:00:00=93, would the quickfix engine =20=

> work all the time ?

Re: [Quickfix-developers] Not able to logon from UTC 00:00:00 to UTC 00:59:59)

[Ping C. <pc...@na...>]

Oren,=20

            Thanks for spotting the problem for me.=20

I have it set StartTime=3D01:00:00 EndTime=3D23:59:59. If I set it as "
StartTime=3D00:00:00 EndTime=3D00:00:00", would the quickfix engine work =
all
the time ?

=20

Ping Chung



________________________________

From: Oren Miller [mailto:or...@qu...]=20
Sent: Monday, January 29, 2007 5:15 PM
To: Ping Chung
Cc: qui...@li...
Subject: Re: [Quickfix-developers] Not able to logon from UTC 00:00:00
to UTC 00:59:59)

=20

How have you set your session times in your configuration file?

=20

--oren

=20

On Jan 29, 2007, at 3:35 PM, Ping Chung wrote:





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

QuickFIX Support: http://www.quickfixengine.org/services.html

=20

=20

Hi all,

            I have recently developing the quickfix on a window server
2003 environment with VB.net. I have created a fix message sender and a
receiver. It usually works perfectly. Yet, strange thing that I find is
whenever the server time is at 19:00 to 19:59 Eastern time, (UTC
00:00:00 to 00:59:59) I am not able to log on.  On the following
screenshot, you can clearly see that there is something wrong when I
running the same receiver and sender to try to log on.  I didn't change
any code but changed the clock on the server.  Can anyone help to me to
solve this problem?

Re: [Quickfix-developers] Not able to logon from UTC 00:00:00 to UTC 00:59:59)

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

How have you set your session times in your configuration file?

--oren

On Jan 29, 2007, at 3:35 PM, Ping Chung wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/=20
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
>
> Hi all,
>
>             I have recently developing the quickfix on a window =20
> server 2003 environment with VB.net. I have created a fix message =20
> sender and a receiver. It usually works perfectly. Yet, strange =20
> thing that I find is whenever the server time is at 19:00 to 19:59 =20
> Eastern time, (UTC 00:00:00 to 00:59:59) I am not able to log on.  =20
> On the following screenshot, you can clearly see that there is =20
> something wrong when I running the same receiver and sender to try =20
> to log on.  I didn=92t change any code but changed the clock on the =20=

> server.  Can anyone help to me to solve this problem?

[Quickfix-developers] Performance of QuickFix/J vs QuickFix (C++)

[Vikram V. <rer...@ya...>]

Hi,
    I am considering using QuickFix/J and am currently evaluating it's
performance(throughput, letency,etc.,). At this point, i would like to know
the comparative performances of QuickFix/J and QuickFix(C++). Is the java
version better compared to C++ version? 
And, are there any benchmark perfromance test results(for throughput,
latency) for QuickFix/J or QuickFix ?

Thanks and Regards,
Vikram 
-- 
View this message in context: http://www.nabble.com/Performance-of-QuickFix-J-vs-QuickFix-%28C%2B%2B%29-tf3134559.html#a8685486
Sent from the QuickFIX - Dev mailing list archive at Nabble.com.

Re: [Quickfix-developers] Removing unsupported fields in toApp()

[Nick R. <nic...@gm...>]

thanks for the very quick reply.

I also just noticed that I had defined a message for reject 35=3 and not
35=j in my data dictionary.
I was about to change that, but as you point out, QF won't  'force' the
issue with regard to outbound message

thanks
again

nick.



On 29/01/07, Oren Miller <or...@qu...> wrote:
>
> Hi Nick,
>
> The method you are looking for is removeField( int field ).  It is
> not defined in the Message class but is in the base FieldMap class,
> which is probably why you didn't see it.
>
> Currently, data dictionaries are only used to validate incoming
> messages.  Any outgoing messages are sent without regard for the data
> dictionary.  The reason is that the QuickFIX developer has control
> over what they send out (as opposed to what they receive) and if they
> choose to send a message it is assumed they know what they are
> doing.  This also saves some overhead in validating messages that the
> counter-party is really responsible to validate (as you witnessed).
>
> This of course seems to be a case of the counter-party not liking a
> message generated by the engine itself.  This happens on occasion and
> sometimes results in a configuration setting to handle communicating
> with these weird situations if there is no obvious workaround.  It
> seems that using the removeField method should work for you though.
>
> Also, note that as a validator, there is no case where the data
> dictionary will see a field missing and remove the field from the
> message by itself.  As a validator, it decides whether a message is
> ok or not.  It will never try to modify the message to force it to be
> ok,
>
> You could of course grab the data dictionary and validate outgoing
> messages in the toApp method yourself if you like.  As you noted
> however the best you could do is throw a DoNotSend if the message
> fails validation.  If you do throw a DoNotSend on a message with a
> PossDup flag, by the way, the engine will replace the message with a
> gap fill.  It is not a problem to do this.
>
> --oren
>
> On Jan 29, 2007, at 12:35 AM, Nick Richardson wrote:
>
> > Hi all,
> >
> > I've recently been evaluating QF as a possible replacement for an
> > in house FIX engine.
> > We connect to quite a few Brokers globally and as you can imagine
> > they all run different FIX engine and each have their own
> > interpretation of FIX.
> >
> > Apologies if this is a really naive question
> >
> > One broker we connect to supports Business Message Reject (35=J),
> > however they do not support all the fields, tag 380 (Business
> > Reject Reason)
> > tag 380 is a mandatory filed, so you would expect them to support
> > it, or at the very least ignore, however this is not the case.
> >
> > Is there a way I can not send a tag on a session message ?
> > I've tried to find a message.unset(filed) type method that I can
> > use in the toApp() callback, but haven't found anything.
> >
> > I could throw a 'DoNotSend' here and then create my own
> > BusinessRejectMessage without the tag they can't handle... BUT what
> > would happen if the business reject was being send as part of a
> > resend request (eg possDup flag is set) ? From the doco it seems
> > that the QF session will sequence-reset because of the possdup flag
> > being set and the fact that I threw the DoNotSend.
> >
> > Would that be the case ? If so, then catching in toApp(), throwing
> > the exception and creating my own BusinessReject message would not
> > be possible, IMHO.
> >
> > One other thing i did do, which I thought may have helped, was to
> > make sure that the business reject message was defined in the
> > DataDictionary for this particular session, and that the tag 380
> > was NOT in the message, I didn;t just make it optional, I actually
> > removed it totally.
> >
> >     <message name="Reject" msgtype="3" msgcat="admin">
> >       <field name="RefSeqNum" required="Y"/>
> >       <field name="RefTagID" required="N"/>
> >       <field name="RefMsgType" required="N"/>
> >       <field name="SessionRejectReason" required="N"/>
> >       <field name="Text" required="N"/>
> >     </message>
> >
> >
> > Which raises another question. If I create a DataDictionary for a
> > particular session, why does QF ignore some of it ?  I know that my
> > newOrderSingle definition in the DataDictionary works and is being
> > used by QF,  as for this particular session tags 48 and 22 are
> > optional and I wasn't catching the 'Conditionally Required Field'
> > when I tried to get the fields, so its definitely reading the
> > business messages, but not the Reject message,  which is an admin
> > message.
> >
> >
> > I hope that all makes sense,  I guess there are two questions here,
> > 1. Can i delete a field from session message in toApp() callback
> > before it is sent ?
> > 2, why does QF not use my reject message as defined in the data
> > dictionary ?
> >
> > Any help truly appreciated
> >
> > regards
> > Nick
>
>


-- 
Nick Richardson

Re: [Quickfix-developers] Removing unsupported fields in toApp()

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

Hi Nick,

The method you are looking for is removeField( int field ).  It is  
not defined in the Message class but is in the base FieldMap class,  
which is probably why you didn't see it.

Currently, data dictionaries are only used to validate incoming  
messages.  Any outgoing messages are sent without regard for the data  
dictionary.  The reason is that the QuickFIX developer has control  
over what they send out (as opposed to what they receive) and if they  
choose to send a message it is assumed they know what they are  
doing.  This also saves some overhead in validating messages that the  
counter-party is really responsible to validate (as you witnessed).

This of course seems to be a case of the counter-party not liking a  
message generated by the engine itself.  This happens on occasion and  
sometimes results in a configuration setting to handle communicating  
with these weird situations if there is no obvious workaround.  It  
seems that using the removeField method should work for you though.

Also, note that as a validator, there is no case where the data  
dictionary will see a field missing and remove the field from the  
message by itself.  As a validator, it decides whether a message is  
ok or not.  It will never try to modify the message to force it to be  
ok,

You could of course grab the data dictionary and validate outgoing  
messages in the toApp method yourself if you like.  As you noted  
however the best you could do is throw a DoNotSend if the message  
fails validation.  If you do throw a DoNotSend on a message with a  
PossDup flag, by the way, the engine will replace the message with a  
gap fill.  It is not a problem to do this.

--oren

On Jan 29, 2007, at 12:35 AM, Nick Richardson wrote:

> Hi all,
>
> I've recently been evaluating QF as a possible replacement for an  
> in house FIX engine.
> We connect to quite a few Brokers globally and as you can imagine  
> they all run different FIX engine and each have their own  
> interpretation of FIX.
>
> Apologies if this is a really naive question
>
> One broker we connect to supports Business Message Reject (35=J),  
> however they do not support all the fields, tag 380 (Business  
> Reject Reason)
> tag 380 is a mandatory filed, so you would expect them to support  
> it, or at the very least ignore, however this is not the case.
>
> Is there a way I can not send a tag on a session message ?
> I've tried to find a message.unset(filed) type method that I can  
> use in the toApp() callback, but haven't found anything.
>
> I could throw a 'DoNotSend' here and then create my own  
> BusinessRejectMessage without the tag they can't handle... BUT what  
> would happen if the business reject was being send as part of a  
> resend request (eg possDup flag is set) ? From the doco it seems  
> that the QF session will sequence-reset because of the possdup flag  
> being set and the fact that I threw the DoNotSend.
>
> Would that be the case ? If so, then catching in toApp(), throwing  
> the exception and creating my own BusinessReject message would not  
> be possible, IMHO.
>
> One other thing i did do, which I thought may have helped, was to  
> make sure that the business reject message was defined in the  
> DataDictionary for this particular session, and that the tag 380  
> was NOT in the message, I didn;t just make it optional, I actually  
> removed it totally.
>
>     <message name="Reject" msgtype="3" msgcat="admin">
>       <field name="RefSeqNum" required="Y"/>
>       <field name="RefTagID" required="N"/>
>       <field name="RefMsgType" required="N"/>
>       <field name="SessionRejectReason" required="N"/>
>       <field name="Text" required="N"/>
>     </message>
>
>
> Which raises another question. If I create a DataDictionary for a  
> particular session, why does QF ignore some of it ?  I know that my  
> newOrderSingle definition in the DataDictionary works and is being  
> used by QF,  as for this particular session tags 48 and 22 are  
> optional and I wasn't catching the 'Conditionally Required Field'  
> when I tried to get the fields, so its definitely reading the  
> business messages, but not the Reject message,  which is an admin  
> message.
>
>
> I hope that all makes sense,  I guess there are two questions here,
> 1. Can i delete a field from session message in toApp() callback  
> before it is sent ?
> 2, why does QF not use my reject message as defined in the data  
> dictionary ?
>
> Any help truly appreciated
>
> regards
> Nick

[Quickfix-developers] Removing unsupported fields in toApp()

[Nick R. <nic...@gm...>]

Hi all,

I've recently been evaluating QF as a possible replacement for an in house
FIX engine.
We connect to quite a few Brokers globally and as you can imagine they all
run different FIX engine and each have their own interpretation of FIX.

Apologies if this is a really naive question

One broker we connect to supports Business Message Reject (35=J), however
they do not support all the fields, tag 380 (Business Reject Reason)
tag 380 is a mandatory filed, so you would expect them to support it, or at
the very least ignore, however this is not the case.

Is there a way I can not send a tag on a session message ?
I've tried to find a message.unset(filed) type method that I can use in the
toApp() callback, but haven't found anything.

I could throw a 'DoNotSend' here and then create my own
BusinessRejectMessage without the tag they can't handle... BUT what would
happen if the business reject was being send as part of a resend request (eg
possDup flag is set) ? From the doco it seems that the QF session will
sequence-reset because of the possdup flag being set and the fact that I
threw the DoNotSend.

Would that be the case ? If so, then catching in toApp(), throwing the
exception and creating my own BusinessReject message would not be possible,
IMHO.

One other thing i did do, which I thought may have helped, was to make sure
that the business reject message was defined in the DataDictionary for this
particular session, and that the tag 380 was NOT in the message, I didn;t
just make it optional, I actually removed it totally.

    <message name="Reject" msgtype="3" msgcat="admin">
      <field name="RefSeqNum" required="Y"/>
      <field name="RefTagID" required="N"/>
      <field name="RefMsgType" required="N"/>
      <field name="SessionRejectReason" required="N"/>
      <field name="Text" required="N"/>
    </message>


Which raises another question. If I create a DataDictionary for a particular
session, why does QF ignore some of it ?  I know that my newOrderSingle
definition in the DataDictionary works and is being used by QF,  as for this
particular session tags 48 and 22 are optional and I wasn't catching the
'Conditionally Required Field' when I tried to get the fields, so its
definitely reading the business messages, but not the Reject message,  which
is an admin message.


I hope that all makes sense,  I guess there are two questions here,
1. Can i delete a field from session message in toApp() callback before it
is sent ?
2, why does QF not use my reject message as defined in the data dictionary ?

Any help truly appreciated

regards
Nick


-- 
Nick Richardson

Re: [Quickfix-developers] AMD64 build w/Visual Studio?

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

Yes, you are right. It was my misunderstanding about X64 / AMD64.
I could select x64 for all projects here, I think that it is a VS UI bug
that occurs sometimes.
I suggest that you clean your platform settings in your .sln file or even
start with a new solution.

On 1/26/07, Andrew Munn <an...@nm...> wrote:
>
> >You said you wanted AMD, X64 probably won't work for you.
>
>   I thought X64 was AMD. I thought X64 meant you generated code
> for Windows x64 on AMD64 or Intel EM64T (now renamed "Intel 64") hardware.
>
> -Andrew
>
>
> On Fri, 26 Jan 2007, 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
> >
> >
>

[Quickfix-developers] Nik Volpe is currently out of the office.

[Nick V. <ni...@ad...>]

I will be out of the office starting  25/01/2007 and will not return until
29/01/2007.

I will have limited access to email so will respond to your message when I
return.  For urgent matters, please call +971 50 592 8047.

Thanks.


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Re: [Quickfix-developers] AMD64 build w/Visual Studio?

[Andrew M. <an...@nm...>]

Also for the projects that are not saying x64 here..

 	http://www.nmedia.net/~z/qf_x64_compile/vs.jpg

.. my only options in the platform dropdown box are these

 	http://www.nmedia.net/~z/qf_x64_compile/vs2.jpg

odd that I have x64 as an option someplaces but not others.

Andrew


On Fri, 26 Jan 2007, Djalma Rosa dos Santos Filho wrote:

> Sometimes, I find it odd too.
>
> Select New from the Menu and in the 'New Project Platform' dialog select X64
> to create it for the selected project (it sucks, but sometimes you have to
> repeat this step for every project).
> You said you wanted AMD, X64 probably won't work for you. Maybe you need to
> install the support for AMD in your VS.
>
>
> On 1/26/07, Andrew Munn <an...@nm...> wrote:
>> 
>> The problem is when I try to select x64 in VS8 I am allowed x64
>> for some projects in the Configuration Manager but not all of them. like
>> this:
>>
>>         http://www.nmedia.net/~z/qf_x64_compile/vs.jpg
>> 
>> Any suggestions?
>> 
>> Thanks,
>> Andrew
>> 
>

Re: [Quickfix-developers] AMD64 build w/Visual Studio?

[Andrew M. <an...@nm...>]

>You said you wanted AMD, X64 probably won't work for you.

  I thought X64 was AMD. I thought X64 meant you generated code 
for Windows x64 on AMD64 or Intel EM64T (now renamed "Intel 64") hardware.

-Andrew


On Fri, 26 Jan 2007, 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
>
>

Re: [Quickfix-developers] AMD64 build w/Visual Studio?

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

Sometimes, I find it odd too.

Select New from the Menu and in the 'New Project Platform' dialog select X64
to create it for the selected project (it sucks, but sometimes you have to
repeat this step for every project).
You said you wanted AMD, X64 probably won't work for you. Maybe you need to
install the support for AMD in your VS.


On 1/26/07, Andrew Munn <an...@nm...> wrote:
>
> The problem is when I try to select x64 in VS8 I am allowed x64
> for some projects in the Configuration Manager but not all of them. like
> this:
>
>         http://www.nmedia.net/~z/qf_x64_compile/vs.jpg
>
> Any suggestions?
>
> Thanks,
> Andrew
>

Re: [Quickfix-developers] AMD64 build w/Visual Studio?

[Andrew M. <an...@nm...>]

The problem is when I try to select x64 in VS8 I am allowed x64 
for some projects in the Configuration Manager but not all of them. like 
this:

  	http://www.nmedia.net/~z/qf_x64_compile/vs.jpg

Any suggestions?

Thanks,
Andrew