quickfix-developers — QuickFIX developers forum

Re: [Quickfix-developers] [Quickfix-users] QuickFIX Logviewer 1.0.1 [Fix for custom filterdialog]

[Aaron Y. <ay...@pe...>]

I can verify that this works, thank you for the lightning fast
turnaround

Aaron F  Young
PEAK6
312 362 2431

> -----Original Message-----
> From: qui...@li...=20
> [mailto:qui...@li...] On=20
> Behalf Of Oren Miller
> Sent: Monday, August 07, 2006 3:19 PM
> To: qui...@li...; QuickFix Users
> Subject: [Quickfix-users] QuickFIX Logviewer 1.0.1 [Fix for=20
> custom filterdialog]
>=20
>=20
> QuickFIX Documentation:=20
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>=20
> Available at the website.  It should fix the problem with the=20
> missing =20
> value widgets.  Everyone who has reported this problem, please =20
> confirm that it is fixed on your system.
>=20
> --oren
>=20
> On Aug 7, 2006, at 1:43 PM, Aaron Young wrote:
>=20
> > QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/
> > html/index.html
> > QuickFIX Support: http://www.quickfixengine.org/services.html
> >
> > Well, not to pile on
> >
> > But I find this tool pretty responsive
> >
> > But
> >
> > When I, without reading the documentation, went to do a custom
> > filter, I
> > was met with a screen that showed me about 10 "lines"
> >
> > Each line has two selectors
> >
> > One for the tag and the other for the operator
> >
> > Hmmm? That doesn't seem...right...
> >
> > Ok, no other text box appeared...so how exactly do I type=20
> in what I'm=20
> > filtering on...
> >
> > Fine, I'll read the documentation. Ok, so page 5 has a=20
> screen shot of=20
> > the Custom Filter dialog
> >
> > What? I'm missing the blank text input boxes...
> >
> > I'm using Windows XP Professional and the Java info is
> >
> > java version "1.5.0_06"
> > Java(TM) 2 Runtime Environment, Standard Edition (build=20
> 1.5.0_06-b05)=20
> > Java HotSpot(TM) Client VM (build 1.5.0_06-b05, mixed mode, sharing)
> >
> > Other than this, I like the other canned filters ya'll have and the
> > tree
> > view.
> >
> > Aaron F  Young
> > PEAK6
> > 312 362 2431
> >
> >=20
> ----------------------------------------------------------------------
> > ---
> > Using Tomcat but need to do more? Need to support web services, =20
> > security?
> > Get stuff done quickly with pre-integrated technology to make your =20
> > job easier
> > Download IBM WebSphere Application Server v.1.0.1 based on Apache =20
> > Geronimo
> > http://sel.as-us.falkag.net/sel?=20
> > cmd=3Dlnk&kid=3D120709&bid=3D263057&dat=3D121642
> > _______________________________________________
> > Quickfix-developers mailing list
> > Qui...@li...
> > https://lists.sourceforge.net/lists/listinfo/quickfix-developers
> >
>=20
>=20
> --------------------------------------------------------------
> -----------
> Using Tomcat but need to do more? Need to support web=20
> services, security?
> Get stuff done quickly with pre-integrated technology to make=20
> your job easier
> Download IBM WebSphere Application Server v.1.0.1 based on=20
> Apache Geronimo
> http://sel.as-us.falkag.net/sel?cmd=3Dlnk&kid=3D120709&bid=3D263057&
dat=3D121642
_______________________________________________
Quickfix-users mailing list
Qui...@li...
https://lists.sourceforge.net/lists/listinfo/quickfix-users

[Quickfix-developers] QuickFIX Logviewer 1.0.1 [Fix for custom filter dialog]

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

Available at the website.  It should fix the problem with the missing  
value widgets.  Everyone who has reported this problem, please  
confirm that it is fixed on your system.

--oren

On Aug 7, 2006, at 1:43 PM, Aaron Young wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Well, not to pile on
>
> But I find this tool pretty responsive
>
> But
>
> When I, without reading the documentation, went to do a custom  
> filter, I
> was met with a screen that showed me about 10 "lines"
>
> Each line has two selectors
>
> One for the tag and the other for the operator
>
> Hmmm? That doesn't seem...right...
>
> Ok, no other text box appeared...so how exactly do I type in what I'm
> filtering on...
>
> Fine, I'll read the documentation. Ok, so page 5 has a screen shot of
> the Custom Filter dialog
>
> What? I'm missing the blank text input boxes...
>
> I'm using Windows XP Professional and the Java info is
>
> java version "1.5.0_06"
> Java(TM) 2 Runtime Environment, Standard Edition (build 1.5.0_06-b05)
> Java HotSpot(TM) Client VM (build 1.5.0_06-b05, mixed mode, sharing)
>
> Other than this, I like the other canned filters ya'll have and the  
> tree
> view.
>
> Aaron F  Young
> PEAK6
> 312 362 2431
>
> ---------------------------------------------------------------------- 
> ---
> 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-users] QuickFIX Logviewer 1.0.0

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

Ok, I can replicate this now.  Seems to only happen on windows.

--oren

> Each line has two selectors
>
> One for the tag and the other for the operator
>
> Hmmm? That doesn't seem...right...
>
> Ok, no other text box appeared...so how exactly do I type in what I'm
> filtering on...
>
> Fine, I'll read the documentation. Ok, so page 5 has a screen shot of
> the Custom Filter dialog
>
> What? I'm missing the blank text input boxes...
>
> I'm using Windows XP Professional and the Java info is
>
> java version "1.5.0_06"
> Java(TM) 2 Runtime Environment, Standard Edition (build 1.5.0_06-b05)
> Java HotSpot(TM) Client VM (build 1.5.0_06-b05, mixed mode, sharing)

Re: [Quickfix-developers] [Quickfix-users] QuickFIX Logviewer 1.0.0

[Aaron Y. <ay...@pe...>]

Well, not to pile on

But I find this tool pretty responsive

But

When I, without reading the documentation, went to do a custom filter, I
was met with a screen that showed me about 10 "lines"

Each line has two selectors

One for the tag and the other for the operator

Hmmm? That doesn't seem...right...

Ok, no other text box appeared...so how exactly do I type in what I'm
filtering on...

Fine, I'll read the documentation. Ok, so page 5 has a screen shot of
the Custom Filter dialog

What? I'm missing the blank text input boxes...

I'm using Windows XP Professional and the Java info is

java version "1.5.0_06"
Java(TM) 2 Runtime Environment, Standard Edition (build 1.5.0_06-b05)
Java HotSpot(TM) Client VM (build 1.5.0_06-b05, mixed mode, sharing)

Other than this, I like the other canned filters ya'll have and the tree
view.

Aaron F  Young
PEAK6
312 362 2431

Re: [Quickfix-developers] Calculating the profit/lost for anoperation

[Scott R. <sri...@fo...>]

For simplicity's sake, you can pair each executed quantity with the =
other side in the order they come in, but it doesn't really matter which =
sell you pair the buy off with.  Since you are clearing back to a zero =
position, whichever you pair off with, the other will pair off with the =
trade you will inevitably do later.  Any gain you show with the first =
pair off is going to detract from potential gains from subsequent pairs =
(you are left holding a worse price), and vice versa with loses.  =
Regardless of which you pair off with, at the end of the day, you are =
going to end up with the same PnL.  Hope this helps.
										-Scott

-----Original Message-----
From: qui...@li... =
[mailto:qui...@li...] On Behalf Of =
Lidia L=F3pez Cuesta
Sent: Monday, August 07, 2006 2:10 PM
To: or...@qu...
Cc: qui...@li...
Subject: Re: [Quickfix-developers] Calculating the profit/lost for =
anoperation

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

Hi,

I think that I haven't explained very well. I am working with futures, =
so I=20
have to sell and buy the same number of futures at the end of the day.

For example I sell 1000 futures for the best (order type=3D1, market) =
and=20
someone buy them at 10, So I have sell 1000 at 10 =3D 10000. After I =
want to=20
sell 1000 futures for the best and someone buy them at 11, so I have =
selt=20
1000 at 10 (10000) and 1000 at 11 (11000). This means that I have to buy =
200=20
futures before the market closes.

When I decide to buy some of my futures, for example I want to buy 1000 =
and=20
someone sell this 1000 at 10.5 (10500).

In this case I would like to know if the market matches my last bougth =
with=20
one of my sells to know how much money I have lost or win for a pair=20
buy-sell.

Lidia

>From: Oren Miller <or...@qu...>
>To: Lidia L=F3pez Cuesta <li...@ho...>
>CC: qui...@li...
>Subject: Re: [Quickfix-developers] Calculating the profit/lost for an=20
>operation
>Date: Mon, 7 Aug 2006 12:53:36 -0500
>
>Lidia,
>
>Matching a specific sell order to a specific buy order doesn't make a =20
>whole lot of sense, especially when the orders are of varying sizes.   =
(You=20
>actually shouldn't even be concerned with orders, executions and  =
positions=20
>are all you really need to look at). You instead need to  look at the=20
>number of shares executed, and calculate your realized  PnL for what =
you=20
>have matched, then calculate your unrealized PnL for  what is =
unmatched. =20
>Adding these up will get you the total PnL.  So  in your scenario =
(prices=20
>added for to clarify the example)
>
>Buy 1000 @ 10 =3D Cost Basis 10,000
>Buy 2000 @ 11 =3D Cost Basis 22,000
>Sell 1500 @ 10.5 =3D Cost Basis 15,750
>Market @ 10.75
>
>Now, for your realized PnL, it is reasonable to take the stance that  =
the=20
>earliest shares get 'matched' first.  So we get this:
>
>(1000 @ 10 =3D 10000) + (500 @ 11 =3D 5500 ) =3D Cost Basis 15,500
>
>The Cost Basis is the amount of currency (we'll use dollars here) you =20
>spent in order to accumulate the first 1500 shares of your position.   =
This=20
>is what we will used to calculate the realized PnL.  The cost  basis =
for=20
>the second 1500 shares is 1500 @ 11 =3D 16,500.  So we see we  payed =
$1000=20
>more for the second hundred shares, and this is what we  will use to=20
>calculate the unrealized PnL.
>
>So now we need to take the cost basis of the first 1500 shares, and =20
>subtract them from the cost basis of our sold shares.  Or 1500 @ 10.5  =
=3D=20
>Cost Basis 15,750.  So (15,750 - 15,500) means we made $250 on our  =
first=20
>1500 shares, and this is our realized PnL.
>
>For the rest of it, we can use the market price to estimate what our  =
PnL=20
>might be if we liquidated the position (this is simplistic, much  more=20
>complicated models can be used to estimate a more realistic  price, but =

>it's usually not too important to be accurate here).  So  the market is =

>trading at 10.75, this means that our cost basis  estimate is 1500 @ =
10.75=20
>=3D 16,125.  So we have 16,125 - 16,500,  giving us an unrealized PnL =
of=20
>-375.  Now just add the two up, and  your total PnL is 250 - 375 =3D =
-125.
>
>I didn't go over them too carefully, but I hope my calculations are =20
>correct.  I hope the explanation helps.
>
>--oren
>
>On Aug 7, 2006, at 12:09 PM, Lidia L=F3pez Cuesta wrote:
>
>>QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/=20
>>html/index.html
>>QuickFIX Support: http://www.quickfixengine.org/services.html
>>
>>Hi all,
>>
>>If I have sent 2 buy orders to the market. When both has been executed
>>(firtst at 1000 and the second one at 2000), I send a sell order.  =
When=20
>>the
>>sell order is executed (at 1500), how do I know which the buys  orders =
is=20
>>the
>>couple to close the operation?
>>
>>I  need to calculate the partial profit/lost, so I need to know  which =
buy
>>order corresponds to this sell order.
>>
>>Are there any message or field in the execution report to know  which=20
>>order
>>is matched with the sell order?
>>
>>If the sell order is matched with the first one I have earned 500,  =
but if=20
>>it
>>is the second one I have lost 500
>>
>>Lidia
>>
>>
>>
>>---------------------------------------------------------------------- =
---
>>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=20
>>easier
>>Download IBM WebSphere Application Server v.1.0.1 based on Apache =20
>>Geronimo
>>http://sel.as-us.falkag.net/sel? =
cmd=3Dlnk&kid=3D120709&bid=3D263057&dat=3D121642
>>_______________________________________________
>>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=3Dlnk&kid=3D120709&bid=3D263057&dat=3D=
121642
_______________________________________________
Quickfix-developers mailing list
Qui...@li...
https://lists.sourceforge.net/lists/listinfo/quickfix-developers

Re: [Quickfix-developers] [Quickfix-users] QuickFIX Logviewer 1.0.0

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

Yeah, the original implementation was built against QuickFIX JNI.   
This has a much lower memory imprint than QuickFIX/J.  This of course  
comes at a cost of portability (which is important for releasing to a  
wider audience).  There are also some performance differences due to  
the JNI layer, but I don't think they are too significant.

If I recall the memory footprint of the Java implementation was at  
least twice the size of running against QuickFIX.  This can probably  
be attributed to Java storing all strings as wide characters (or is  
QuickFIX/J storing them as bytes internally?  I'm not sure).  With  
QuickFIX JNI, the strings are just a facade that are created as  
necessary, so they are actually stored in memory as regular characters.

One thing that can be done is give the option of running against the  
JNI library under windows at least.  This would give you the  
capability of opening much larger files without any changes to the code.

A smarter allocation strategy that only pulls in a portion of  
messages would help solve the dilemma, but the cost would be slower  
filtering when working with large files.  As it is now, filtering is  
pretty instantaneous I think (your experience?).

Also, you should take a look at the start time and end time options  
when opening a file.  This was placed in there specifically to deal  
with very large files that you are only interested in part of.  If  
you are looking for a problem that you know occurred within the last  
hour for instance, you can tell the viewer to only open up that time  
period.  If the log file spans multiple days, opening up the day you  
are interested in is probably a good idea.

--oren

> And now the ugly...
> I attempted to load a 180mb file and the memory usage
> went to 1.5G and basicly stopped.  I bumped up the max
> memory size to 1.5gb after it failed with the 512mb
> size.

Re: [Quickfix-developers] Calculating the profit/lost for an operation

[<li...@ho...>]

Hi,

I think that I haven't explained very well. I am working with futures, so I 
have to sell and buy the same number of futures at the end of the day.

For example I sell 1000 futures for the best (order type=1, market) and 
someone buy them at 10, So I have sell 1000 at 10 = 10000. After I want to 
sell 1000 futures for the best and someone buy them at 11, so I have selt 
1000 at 10 (10000) and 1000 at 11 (11000). This means that I have to buy 200 
futures before the market closes.

When I decide to buy some of my futures, for example I want to buy 1000 and 
someone sell this 1000 at 10.5 (10500).

In this case I would like to know if the market matches my last bougth with 
one of my sells to know how much money I have lost or win for a pair 
buy-sell.

Lidia

>From: Oren Miller <or...@qu...>
>To: Lidia López Cuesta <li...@ho...>
>CC: qui...@li...
>Subject: Re: [Quickfix-developers] Calculating the profit/lost for an 
>operation
>Date: Mon, 7 Aug 2006 12:53:36 -0500
>
>Lidia,
>
>Matching a specific sell order to a specific buy order doesn't make a  
>whole lot of sense, especially when the orders are of varying sizes.   (You 
>actually shouldn't even be concerned with orders, executions and  positions 
>are all you really need to look at). You instead need to  look at the 
>number of shares executed, and calculate your realized  PnL for what you 
>have matched, then calculate your unrealized PnL for  what is unmatched.  
>Adding these up will get you the total PnL.  So  in your scenario (prices 
>added for to clarify the example)
>
>Buy 1000 @ 10 = Cost Basis 10,000
>Buy 2000 @ 11 = Cost Basis 22,000
>Sell 1500 @ 10.5 = Cost Basis 15,750
>Market @ 10.75
>
>Now, for your realized PnL, it is reasonable to take the stance that  the 
>earliest shares get 'matched' first.  So we get this:
>
>(1000 @ 10 = 10000) + (500 @ 11 = 5500 ) = Cost Basis 15,500
>
>The Cost Basis is the amount of currency (we'll use dollars here) you  
>spent in order to accumulate the first 1500 shares of your position.   This 
>is what we will used to calculate the realized PnL.  The cost  basis for 
>the second 1500 shares is 1500 @ 11 = 16,500.  So we see we  payed $1000 
>more for the second hundred shares, and this is what we  will use to 
>calculate the unrealized PnL.
>
>So now we need to take the cost basis of the first 1500 shares, and  
>subtract them from the cost basis of our sold shares.  Or 1500 @ 10.5  = 
>Cost Basis 15,750.  So (15,750 - 15,500) means we made $250 on our  first 
>1500 shares, and this is our realized PnL.
>
>For the rest of it, we can use the market price to estimate what our  PnL 
>might be if we liquidated the position (this is simplistic, much  more 
>complicated models can be used to estimate a more realistic  price, but 
>it's usually not too important to be accurate here).  So  the market is 
>trading at 10.75, this means that our cost basis  estimate is 1500 @ 10.75 
>= 16,125.  So we have 16,125 - 16,500,  giving us an unrealized PnL of 
>-375.  Now just add the two up, and  your total PnL is 250 - 375 = -125.
>
>I didn't go over them too carefully, but I hope my calculations are  
>correct.  I hope the explanation helps.
>
>--oren
>
>On Aug 7, 2006, at 12:09 PM, Lidia López Cuesta wrote:
>
>>QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
>>html/index.html
>>QuickFIX Support: http://www.quickfixengine.org/services.html
>>
>>Hi all,
>>
>>If I have sent 2 buy orders to the market. When both has been executed
>>(firtst at 1000 and the second one at 2000), I send a sell order.  When 
>>the
>>sell order is executed (at 1500), how do I know which the buys  orders is 
>>the
>>couple to close the operation?
>>
>>I  need to calculate the partial profit/lost, so I need to know  which buy
>>order corresponds to this sell order.
>>
>>Are there any message or field in the execution report to know  which 
>>order
>>is matched with the sell order?
>>
>>If the sell order is matched with the first one I have earned 500,  but if 
>>it
>>is the second one I have lost 500
>>
>>Lidia
>>
>>
>>
>>---------------------------------------------------------------------- ---
>>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-users] QuickFIX Logviewer 1.0.0

[Mike P. <mic...@ya...>]

First the good...

Very nice, I like the filters. Thanks!

Now the bad...
The Customer Filter dialog doesn't display the field
value widget/control after the =/</>/!= control.  If I
blindly tab off the operator and type in something and
apply it works.  

And now the ugly...
I attempted to load a 180mb file and the memory usage
went to 1.5G and basicly stopped.  I bumped up the max
memory size to 1.5gb after it failed with the 512mb
size.


All-in-All, well done!

Mike


--- Oren Miller <or...@qu...> wrote:

> QuickFIX Documentation:
>
http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support:
> http://www.quickfixengine.org/services.html
> 
> Available for download at
> http://www.quickfixengine.org
> 
> Documentation is available, in PDF format, here
> http:// 
>
www.quickfixengine.org/quickfix-logviewer/documentation.pdf
> 
> This is a logviewer we have been using internally
> for a couple  
> years.  We've put it in a releasable state along
> with substantial  
> user documentation.  While taking a look at this,
> also check out  
> log4fix at
> http://www.opentradingsolutions.org/blog/log4fix/,
> and  
> Hermes JMS at http://www.hermesjms.com/.  All of
> these take different  
> approaches to managing FIX logs which should prove
> useful in  
> different scenarios.
> 
> --oren
> 
>
-------------------------------------------------------------------------
> 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-users mailing list
> Qui...@li...
>
https://lists.sourceforge.net/lists/listinfo/quickfix-users
> 


__________________________________________________
Do You Yahoo!?
Tired of spam?  Yahoo! Mail has the best spam protection around 
http://mail.yahoo.com 

Re: [Quickfix-developers] Calculating the profit/lost for an operation

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

Lidia,

Matching a specific sell order to a specific buy order doesn't make a =20=

whole lot of sense, especially when the orders are of varying sizes.  =20=

(You actually shouldn't even be concerned with orders, executions and =20=

positions are all you really need to look at). You instead need to =20
look at the number of shares executed, and calculate your realized =20
PnL for what you have matched, then calculate your unrealized PnL for =20=

what is unmatched.  Adding these up will get you the total PnL.  So =20
in your scenario (prices added for to clarify the example)

Buy 1000 @ 10 =3D Cost Basis 10,000
Buy 2000 @ 11 =3D Cost Basis 22,000
Sell 1500 @ 10.5 =3D Cost Basis 15,750
Market @ 10.75

Now, for your realized PnL, it is reasonable to take the stance that =20
the earliest shares get 'matched' first.  So we get this:

(1000 @ 10 =3D 10000) + (500 @ 11 =3D 5500 ) =3D Cost Basis 15,500

The Cost Basis is the amount of currency (we'll use dollars here) you =20=

spent in order to accumulate the first 1500 shares of your position.  =20=

This is what we will used to calculate the realized PnL.  The cost =20
basis for the second 1500 shares is 1500 @ 11 =3D 16,500.  So we see we =20=

payed $1000 more for the second hundred shares, and this is what we =20
will use to calculate the unrealized PnL.

So now we need to take the cost basis of the first 1500 shares, and =20
subtract them from the cost basis of our sold shares.  Or 1500 @ 10.5 =20=

=3D Cost Basis 15,750.  So (15,750 - 15,500) means we made $250 on our =20=

first 1500 shares, and this is our realized PnL.

For the rest of it, we can use the market price to estimate what our =20
PnL might be if we liquidated the position (this is simplistic, much =20
more complicated models can be used to estimate a more realistic =20
price, but it's usually not too important to be accurate here).  So =20
the market is trading at 10.75, this means that our cost basis =20
estimate is 1500 @ 10.75 =3D 16,125.  So we have 16,125 - 16,500, =20
giving us an unrealized PnL of -375.  Now just add the two up, and =20
your total PnL is 250 - 375 =3D -125.

I didn't go over them too carefully, but I hope my calculations are =20
correct.  I hope the explanation helps.

--oren

On Aug 7, 2006, at 12:09 PM, Lidia L=F3pez Cuesta wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/=20
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi all,
>
> If I have sent 2 buy orders to the market. When both has been executed
> (firtst at 1000 and the second one at 2000), I send a sell order. =20
> When the
> sell order is executed (at 1500), how do I know which the buys =20
> orders is the
> couple to close the operation?
>
> I  need to calculate the partial profit/lost, so I need to know =20
> which buy
> order corresponds to this sell order.
>
> Are there any message or field in the execution report to know =20
> which order
> is matched with the sell order?
>
> If the sell order is matched with the first one I have earned 500, =20
> but if it
> is the second one I have lost 500
>
> Lidia
>
>
>
> ----------------------------------------------------------------------=20=

> ---
> Using Tomcat but need to do more? Need to support web services, =20
> security?
> Get stuff done quickly with pre-integrated technology to make your =20
> job easier
> Download IBM WebSphere Application Server v.1.0.1 based on Apache =20
> Geronimo
> http://sel.as-us.falkag.net/sel?=20
> cmd=3Dlnk&kid=3D120709&bid=3D263057&dat=3D121642
> _______________________________________________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers
>

Re: [Quickfix-developers] Calculating the profit/lost for an operation

[Asim <asi...@ya...>]

It depends on your portfolio calcualting scheme, FIFO (First in first
out) or LIFO(Last in first out).
Usually FIFO is used to calculate PnL.

Regards,
Asim
www.exxsolutions.com


-----Original Message-----
From: qui...@li...
[mailto:qui...@li...] On Behalf Of
Lidia L=F3pez Cuesta
Sent: Monday, August 07, 2006 10:09 PM
To: qui...@li...
Subject: [Quickfix-developers] Calculating the profit/lost for an
operation


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

Hi all,

If I have sent 2 buy orders to the market. When both has been executed=20
(firtst at 1000 and the second one at 2000), I send a sell order. When
the=20
sell order is executed (at 1500), how do I know which the buys orders is
the=20
couple to close the operation?

I  need to calculate the partial profit/lost, so I need to know which
buy=20
order corresponds to this sell order.

Are there any message or field in the execution report to know which
order=20
is matched with the sell order?

If the sell order is matched with the first one I have earned 500, but
if it=20
is the second one I have lost 500

Lidia



------------------------------------------------------------------------
-
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=3Dlnk&kid=3D120709&bid=3D263057&dat=3D=
121642
_______________________________________________
Quickfix-developers mailing list
Qui...@li...
https://lists.sourceforge.net/lists/listinfo/quickfix-developers

[Quickfix-developers] Calculating the profit/lost for an operation

[<li...@ho...>]

Hi all,

If I have sent 2 buy orders to the market. When both has been executed 
(firtst at 1000 and the second one at 2000), I send a sell order. When the 
sell order is executed (at 1500), how do I know which the buys orders is the 
couple to close the operation?

I  need to calculate the partial profit/lost, so I need to know which buy 
order corresponds to this sell order.

Are there any message or field in the execution report to know which order 
is matched with the sell order?

If the sell order is matched with the first one I have earned 500, but if it 
is the second one I have lost 500

Lidia

[Quickfix-developers] QuickFIX Logviewer 1.0.0

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

Available for download at http://www.quickfixengine.org

Documentation is available, in PDF format, here http:// 
www.quickfixengine.org/quickfix-logviewer/documentation.pdf

This is a logviewer we have been using internally for a couple  
years.  We've put it in a releasable state along with substantial  
user documentation.  While taking a look at this, also check out  
log4fix at http://www.opentradingsolutions.org/blog/log4fix/, and  
Hermes JMS at http://www.hermesjms.com/.  All of these take different  
approaches to managing FIX logs which should prove useful in  
different scenarios.

--oren

Re: [Quickfix-developers] log4j logging with quickfixj

[Steve B. <sb...@sm...>]

Hello Anshu,

Are you sure you have configured Log4J properly for logging
to files rather than (or in addition to) the console?

Regards,

Steve

[Quickfix-developers] log4j logging with quickfixj

[Anshu N. <ans...@ya...>]

Hi ,

I wanted to use log4j for logging fix logs in order to
use log4j in built features like rolling for files etc
. How do we do that ?  

We used SLF4JLogFactory as LogFactory and modified
classpath to contain slf4j-log4j12-1.0.1.jar and
log4j-1.2.4.jar instead of slf4j-jdk14-1.0.1.jar issue
was that code started using log4j but logging was
happening on console as opposed to log files .

Can anybody help . Thanks in advance . 

Thanks and Regards,
Anshu Narang.

__________________________________________________
Do You Yahoo!?
Tired of spam?  Yahoo! Mail has the best spam protection around 
http://mail.yahoo.com 

[Quickfix-developers] QFJ:How get current connection infomation and connect or reconnect event

[Lin L. <le...@gm...>]

Hi,

I'm working on QFJ 1.0.1.
I want to let admin monitor current socket connecting host address and
notify the admin if the current connection has been broken and reconnected
to another FIX server host.
This feature like a Monitor Console.
How to do this with QFJ.


Regards.

-- 
Lin Lejiang

[Quickfix-developers] QuickFIX 1.12.1 is now available

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

QuickFIX 1.12.1 is now available at http://www.quickfixengine.org

You can get the release notes for all versions here: http://
www.quickfixengine.org/NEWS

The major purpose of this release is to fix some bugs in the new non- 
blocking implementation of the SocketInitiator/Acceptor.  If you are  
using 1.12.0 with these, you should upgrade.  The 1.12.0  
implementation could result in an infinite loop under unix, and a  
full out crash under windows.  These problems have been addressed in  
this release.

There is a new configuration settings called  
SendRedundantResendRequests.  If this is set to Y than QuickFIX will  
send a resend request even if it isn't completely necessary.  This is  
the behavior of older versions of QuickFIX.  Some certification  
systems look for this behavior even though it is less efficient.

Reject messages are always sent to the application, even if their  
sequence number is too high.

BusinessMessageReject includes the field number if applicable  
(contributed by Robert Bill)

Fixed ResetOnLogon functionality which seems quite broken.

Fixed various issues with MySQL support.

Some improved logging.

Compilation fixes for various systems.

Re: [Quickfix-developers] Substituting message resend with Gap Fill

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

	> Can anyone else confirm this?  This is functionality that has been in =20
	> since version 1.0.  If there are scenarios where it is not working we =20
	> need to fix it.
	> --oren
	>>     Responding with DoNotSend simply does not send the current =20
	>> message, pesky ECN's continue to bother us for resend. Let me =20
	>> clarify once again - It does not result in GapFill message for the =20
	>> [BeginSeqNo, EndSeqNo] interval asked.
	>>     Responding with sending a new GapFill message from fromAdmin, =20
	>> does not work as desired.

For toApp implementation, Dave and Oren were right. Unfortunately, in fromA=
dmin, I was rejecting the resend request. Apologies for all your time and e=
ffort wasted on the toApp issue.

This message-at-a-time-gap-fill makes my issue less critical that, in fromA=
dmin, sending a SequenceReset-GapFill for ALL messages in range has problem=
s=2E That also means that for implementing a SequenceReset-Reset for some d=
isaster recovery situations, I will have to change GapFillFlag to "N" in th=
e toApp.

Folks, I cannot appreciate enough your dedication and hard work to QuickFIX=
 and it's support!

Thanks a lot.

Anil
_______________________________________________________________________

This E-Mail (including any attachments) may contain privileged or confident=
ial information.  It is intended only for the addressee(s) indicated above.
The sender does not waive any of its rights, privileges or other protection=
s respecting this information. =20
Any distribution, copying or other use of this E-Mail or the information it=
 contains, by other than an intended recipient, is not sanctioned and is pr=
ohibited.
If you received this E-Mail in error, please delete it and advise the sende=
r (by return E-Mail or otherwise) immediately.

This E-Mail (including any attachments) has been scanned for viruses.=20
It is believed to be free of any virus or other defect that might affect an=
y computer system into which it is received and opened.=20
However, it is the responsibility of the recipient to ensure that it is vir=
us free.=20
The sender accepts no responsibility for any loss or damage arising in any =
way from its use.

E-Mail received by or sent from RBC Capital Markets is subject to review by=
 Supervisory personnel.=20
Such communications are retained and may be produced to regulatory authorit=
ies or others with legal rights to the information.

Re: [Quickfix-developers] Order Modification Request

[<li...@ho...>]

Thank you


>From: "Caleb Epstein" <cal...@gm...>
>To: "Lidia López Cuesta" <li...@ho...>
>CC: qui...@li...
>Subject: Re: [Quickfix-developers] Order Modification Request
>Date: Tue, 1 Aug 2006 13:29:03 -0400
>
>On 7/28/06, Lidia López Cuesta <li...@ho...> wrote:
>>Anybody knows which is the class to send a order modification request
>>message (type=G)? I am trying to modify the StopPx for an existing order
>>with stop price.
>
>OrderCancelReplaceRequest
>
>--
>Caleb Epstein

Re: [Quickfix-developers] Order Modification Request

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

On 7/28/06, Lidia L=F3pez Cuesta <li...@ho...> wrote:
> Anybody knows which is the class to send a order modification request
> message (type=3DG)? I am trying to modify the StopPx for an existing orde=
r
> with stop price.

OrderCancelReplaceRequest

--=20
Caleb Epstein

[Quickfix-developers] Required groups seem to during in DataDictionary validate

[K. Lo S. <kls...@to...>]

In required groups, such as MassQuote's NoQuoteSets,

In file FIX42.xml:316:
>     <message name="MassQuote" msgtype="i" msgcat="app">
>       [...]
>       <group name="NoQuoteSets" required="Y">

seem to fail when validating required groups since required groups  
for a message type are listed in a DataDictionary along with the  
message type's required fields, but the DataDictionary only checks  
that list against the message body's fields and not against the  
message body's groups. In DataDictionary.checkHasRequired()'s code,

In file DataDictionary.java:730:
>         Iterator fieldItr = requiredFieldsForMessage.iterator();
>         while (fieldItr.hasNext()) {
>             int field = ((Integer) fieldItr.next()).intValue();
>             if (!body.isSetField(field)) {
>                 throw new FieldException 
> (SessionRejectReason.REQUIRED_TAG_MISSING, field);
>             }
>         }

You'll see that FieldMap.isSetField() is used to check for each of  
the requiredFieldsForMessage, but it should likely first determine if  
the field DataDictionary.isGroup() and either use this  
FieldMap.isSetField() or FieldMap.isGroupField() as appropriate. The  
code could look like:

>         Iterator fieldItr = requiredFieldsForMessage.iterator();
>         while (fieldItr.hasNext()) {
>             int field = ((Integer) fieldItr.next()).intValue();
>             final boolean isFieldType = !this.isGroup(msgType, field);
>             if (isFieldType  && !body.isSetField(field)) {
>                 throw new FieldException 
> (SessionRejectReason.REQUIRED_TAG_MISSING, field);
>             } else if (!isSetField && !body.hasGroup(field)) {
>                 throw new FieldException 
> (SessionRejectReason.REQUIRED_TAG_MISSING, field);
>             }
>         }


I can't imagine that this is actually a bug, since the browsing the  
repository seems to tell me that this DataDictionary. checkHasRequired 
() implementation has been around since July 2005. Would someone know  
what I might be doing wrong?

Regards,
Lo

Re: [Quickfix-developers] Substituting message resend with Gap Fill

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

Can anyone else confirm this?  This is functionality that has been in  
since version 1.0.  If there are scenarios where it is not working we  
need to fix it.

--oren

>     Responding with DoNotSend simply does not send the current  
> message, pesky ECN's continue to bother us for resend. Let me  
> clarify once again - It does not result in GapFill message for the  
> [BeginSeqNo, EndSeqNo] interval asked.
>     Responding with sending a new GapFill message from fromAdmin,  
> does not work as desired.

Re: [Quickfix-developers] Substituting message resend with Gap Fill

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

> From: Oren Miller [mailto:or...@qu...]
> Sent: Saturday, July 29, 2006 10:08 AM
> I don't believe that ResetOnLogon exists in the version he is using.  =20
> It can be simulated by setting ResetOnLogoff and ResetOnDisconnect, =20
> then making sure he calls reset() on each session in OnCreate.   Then =20
> in the to app add the ResetSeqNumFlag to every outgoing logon.  This =20
> should give pretty equivalent functionality.

ResetOnLogoff/ResetOnDisconnect will reset the sequence numbers! And I do n=
ot want to add ResetSeqNumFlag to every outgoing logon (this is for recover=
y purposes) - in fact, in CME, only in-session logon are allowed to send Re=
setSeqNumFlag.

We reset sequence number only once each day, at the beginning of the day (e=
xplicitly, when required). Disconnects during day are --not reset-- for seq=
uence numbers.
For this reason even ResetonLogon is not desirable.

I'm afraid, we have moved from the issue of making sure outdated messages a=
re not resent (and this may happen during mid-session too) to ways of doing=
 Sequence Reset - Reset.
In my original mail, I discussed three FIX documented options, whenever an =
ECN asks us to resend messages:
1=2E Sequence Reset - Reset=20
   I do not want to exercise this option as a rule.
   The Reset on Logoff/Logon/Disconnect are a subset of scenarios for this =
option.

2=2E Sequence Reset - Gap Fill even for application(trade) messages.
   This is what I desire as a default and not the following third option, b=
elow (which is the current implementation)
   =20
    Responding with DoNotSend simply does not send the current message, pes=
ky ECN's continue to bother us for resend. Let me clarify once again - It d=
oes not result in GapFill message for the [BeginSeqNo, EndSeqNo] interval a=
sked.
    Responding with sending a new GapFill message from fromAdmin, does not =
work as desired.

3=2E Sequence Reset - Gap Fill admin messages, re-send actual messages for =
trade messages (current behavior)
=20

What, if I make Session::generateSequenceReset public in my QuickFIX source=
, and call it on getting ResendRequest? Will this change QuickFIX behavior?=
 Or, else if I add a flag for resend behavior in Session.h and modify Sessi=
on::sendRaw for this? You see, at this time, I'm skill challenged to deal w=
ith this at the library level:-(.=20

Else, I would try to hack something based on ResendRequest, BeginSeqNo, End=
SeqNo in FromAdmin/ToAdmin. But, if somebody has a good idea, I would be ha=
ppy to hear!

Thank you all, for your responses.
=20
Regards,

Anil
_______________________________________________________________________

This E-Mail (including any attachments) may contain privileged or confident=
ial information.  It is intended only for the addressee(s) indicated above.
The sender does not waive any of its rights, privileges or other protection=
s respecting this information. =20
Any distribution, copying or other use of this E-Mail or the information it=
 contains, by other than an intended recipient, is not sanctioned and is pr=
ohibited.
If you received this E-Mail in error, please delete it and advise the sende=
r (by return E-Mail or otherwise) immediately.

This E-Mail (including any attachments) has been scanned for viruses.=20
It is believed to be free of any virus or other defect that might affect an=
y computer system into which it is received and opened.=20
However, it is the responsibility of the recipient to ensure that it is vir=
us free.=20
The sender accepts no responsibility for any loss or damage arising in any =
way from its use.

E-Mail received by or sent from RBC Capital Markets is subject to review by=
 Supervisory personnel.=20
Such communications are retained and may be produced to regulatory authorit=
ies or others with legal rights to the information.

[Quickfix-developers] FileLogFactory: logging only some messages

[Francis G. <fr...@at...>]

I'm working with QF 1.12 in .NET and I'd like to know if there's a way to
store only order-related messages in the FileLog.  The provider I'm
connecting to sends market data on the same session as orders and the result
are huge log files that are tedious to parse.

I could of course write my own logger but I'd rather use QF's efficient
logging facilities.

Thanks,

Francis

Re: [Quickfix-developers] Ungraceful logoff(network failure)

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

For these kinds of scenarios log files are extremely helpful to  
determine exactly what occured.  Do you have them and can you make  
them available?

--oren

On Jul 26, 2006, at 11:00 AM, Arun Jaiprakash wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi,
>       I have a problem following an ungraceful logoff, say after an  
> in-session network failure. When I (initiator, QF 1.1, .NET ) send  
> a logon request to the counterparty subsequently, the first  
> response i get is a resend request followed by a succesful logon  
> message. As soon as quickfix detects the resend request, it seems  
> to close the socket connection (Is this expected?). So i am unable  
> to logon after a network outage. Is there a way to take care of  
> this or am i missing something? My code is essentially a .Net  
> version of Banzai.
>
> Am a regular reader of this mailing list, and have learnt quite a  
> lot from volleys of problems and prompt lightning quick solutions.  
> Thanks everyone !
>
> Rgds
> Arun
>
> ---------------------------------------------------------------------- 
> ---
> Take Surveys. Earn Cash. Influence the Future of IT
> Join SourceForge.net's Techsay panel and you'll get the chance to  
> share your
> opinions on IT & business topics through brief surveys -- and earn  
> cash
> http://www.techsay.com/default.php? 
> page=join.php&p=sourceforge&CID=DEVDEV________________________________ 
> _______________
> Quickfix-developers mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-developers

Re: [Quickfix-developers] Substituting message resend with Gap Fill

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

I don't believe that ResetOnLogon exists in the version he is using.   
It can be simulated by setting ResetOnLogoff and ResetOnDisconnect,  
then making sure he calls reset() on each session in OnCreate.   Then  
in the to app add the ResetSeqNumFlag to every outgoing logon.  This  
should give pretty equivalent functionality.

--oren

> It sounds like you want a more-or-less "stateless" session.  Use the
> MemoryStore and set your sessions to ResetOnLogon=Y.