quickfix-developers — QuickFIX developers forum

Re: [Quickfix-developers] Sequence numbers and session startup question

[<OM...@th...>]

Sean,

FIX very specifically defines an automatic recovery process for when you
send a message that is too high.  There is no automated recovery process
for sending a sequence number that is too low.  The following is a quote,
which is actually in bold in the specification document.

If  the  incoming  message has a sequence number less than expected and the
PossDupFlag  is  not  set,  it  indicates  a  serious error. It is strongly
recommended  that  the  session  be  terminated  and manual intervention be
initiated.

Basically,  there  is no way to determine automatically how to recover.  We
can't  simply  reset  everything  to 1 because that could result in message
loss.  Likewise if we increased the sequence number.  For this reason it is
considered  a  fatal  error  where  the user must determine the appropriate
course  of action.  The fact that the sequence numbers catch up at all is a
side  effect  of  how  sequence numbers are incremented in FIX.  If FIX was
redesigned  today  it would probably never catch up to the correct sequence
number (i.e., Logons probably wouldn't increment the expected numbers).

Does  FIX  support  a way to reset sequence numbers?  The newer versions do
(the  logon message supports a field to tell the opposite side to reset the
sequence  numbers).   This  was designed for 24 hour connectivity (reseting
when  the sequence number reaches 99999), however it could be used for this
purpose  assuming the other side supports this functionality (many do not).
Currently  however  QuickFIX  does  not implement a way for you to manually
indicate  you  want to send one.  In any case such action would not be safe
because  it  could result in message loss.  Also it would not work with FIX
4.0 (reseting during logon only was introduced in 4.1).

The  easiest  work  around for this is to manually edit the sequence number
file  and  set  your  next  target  sequence number to one that you know is
higher than what the target is expecting. This is the only method I know of
to  ensure  there  is no message loss.  If you are unsure of this number it
may  require  a  little trial and error, however incrementing the number by
1000  each trial should get you pretty fast results in any case.  Generally
when  such  a thing happens, it is prudent to call up your counter party to
verify these numbers.

Here  is  what  the  specification says about reseting the targets expected
sequence number to a lower number:

The  sequence  reset  can  only increase the sequence number. If a sequence
reset  is received attempting to decrease the next expected sequence number
the message should be rejected and treated as a serious error.

Despite these warnings, if you still want to automate this, let me know and
we  can  probably  figure out something.  Keep in mind any solution will be
inherently  non-standard and potentially unsafe.  I would certainly like to
hear  any  suggestions  you  have  about how we can simplify the process of
manually recovering from this situation.

--oren



|---------+----------------------------------------------->
|         |           "Sean Castette"                     |
|         |           <sca...@ge...>            |
|         |           Sent by:                            |
|         |           qui...@li...ur|
|         |           ceforge.net                         |
|         |                                               |
|         |                                               |
|         |           03/04/02 08:56 AM                   |
|         |                                               |
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  |                                                                                              |
  |       To:       <qui...@li...>                                  |
  |       cc:                                                                                    |
  |       Subject:  [Quickfix-developers] Sequence numbers and session startup question          |
  >----------------------------------------------------------------------------------------------|




I am working with the "ordermatch" and "tradeclient" sample applications.
I have changed the samples to log the messages that are sent/received for
each of the 4 events in both apps (from/to Admin/App).

When I start both of them initially, they connect with each other and work
correctly.  However, if I disconnect the client and remove its sequence
numbers and message files and then try to reconnect it takes a long time
for the Logon to occur.

The client starts sending logon requests (MsgType=A) to the server with a
sequence number starting at 1 and incrementing with each attempt.  The
server keeps dropping the connection until a message with the expected
sequence number has been received.  The client will also drop the socket
once the server drops it.  This causes Logoff events in both the client and
server to fire.

Then, in the "block"/"onTimeout" loop of the initiator, the client will try
to re-establish the connection after 30 events.  Once the connection is
re-established, the client will send a logon with the next sequence number.

During this process, there are no Application level events that are fired
(toAdmin, fromAdmin) on the server, except the Logout event.  The events on
the client are the "toAdmin" for the logon request (MsgType=A) and a
"Logout" event.

> Is there a way to have the client initiate the conversation with a logon
that resets the sequence numbers?  I believe that this would be the
preferred course of action if the recovery files are not found.

> Is there another way to speed up this logon or to have more control of
the process from the application?

Any help is much appreciated.

Thanks,

Sean Castette
----------------------------
GetCo
(312) 242-4605

[Quickfix-developers] Sequence numbers and session startup question

[Sean C. <sca...@ge...>]

I am working with the "ordermatch" and "tradeclient" sample =
applications.  I have changed the samples to log the messages that are =
sent/received for each of the 4 events in both apps (from/to Admin/App).

When I start both of them initially, they connect with each other and =
work correctly.  However, if I disconnect the client and remove its =
sequence numbers and message files and then try to reconnect it takes a =
long time for the Logon to occur. =20

The client starts sending logon requests (MsgType=3DA) to the server =
with a sequence number starting at 1 and incrementing with each attempt. =
 The server keeps dropping the connection until a message with the =
expected sequence number has been received.  The client will also drop =
the socket once the server drops it.  This causes Logoff events in both =
the client and server to fire.

Then, in the "block"/"onTimeout" loop of the initiator, the client will =
try to re-establish the connection after 30 events.  Once the connection =
is re-established, the client will send a logon with the next sequence =
number.

During this process, there are no Application level events that are =
fired (toAdmin, fromAdmin) on the server, except the Logout event.  The =
events on the client are the "toAdmin" for the logon request =
(MsgType=3DA) and a "Logout" event. =20

> Is there a way to have the client initiate the conversation with a =
logon that resets the sequence numbers?  I believe that this would be =
the preferred course of action if the recovery files are not found.

> Is there another way to speed up this logon or to have more control of =
the process from the application?

Any help is much appreciated.

Thanks,

Sean Castette
----------------------------
GetCo
(312) 242-4605

Re: [Quickfix-developers] ISE Certification

[<OM...@th...>]

QuickFIX has not been certified or directly tested against an equity
derivatives exchange.  It has currently only been certified on systems that
have tested equity order entry, trade reporting and general FIX compliance.
Are you planning on using QuickFIX for option order entry or for option
quoting? For just simple order entry the difference between entering
equities and options in FIX is pretty trivial.

The level of assistance we can provide depends on a few factors. We can
certainly provide you with answers to any questions pertaining to QuickFIX
you may have as well as patches to the code for any issues you can clearly
identify during your certification process.

For any issues that are not directly related to QuickFIX (such as your
trading system in general) or if there is anything that would require us to
be onsite or cause us to dedicate a significant portion of our developers
time to resolving your particular issues, then ThoughtWorks will need to
charge for their services.

In any case one thing that would be helpful right away would be to provide
us with the ISE FIX specification (assuming it doesn't fall under any sort
of non-disclosure, I can't imagine it would).  Based on that document we
can probably write up some automated tests that simulate their environment.
These tests
can be updated as you discover potential inconsitencies between their
document and the real system.

Do keep in mind however that we need to prioritize our time as well as the
features we work on, and customers who hire us will get the final say in
what our highest priorities are.  Fortunately since you have access to all
the same code that we do, you will never be left in the lurch.

Let me know if you have any more specific questions about what type of
support we can offer you.  Thank you.

--Oren Miller, ThoughtWorks
om...@th...



|---------+----------------------------------------------->
|         |           Benjamin Blair <bb...@pe...>   |
|         |           Sent by:                            |
|         |           qui...@li...ur|
|         |           ceforge.net                         |
|         |                                               |
|         |                                               |
|         |           02/26/02 05:44 PM                   |
|         |                                               |
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  >----------------------------------------------------------------------------------------------|
  |                                                                                              |
  |       To:       "'qui...@li...'"                                |
  |        <qui...@li...>                                           |
  |       cc:                                                                                    |
  |       Subject:  [Quickfix-developers] ISE Certification                                      |
  >----------------------------------------------------------------------------------------------|




Is anyone currently pursuing ISE Certification for QuickFIX for
equity-options trading? Has QuickFIX been certified (or even partially
tested) with any electronic equity derivatives exchange (like EUREX)? What
level of support would ThoughtWorks be willing to offer to assist us
getting QuickFIX ISE-certified? Thanks.

Ben Blair
PEAK6 Capital Management

[Quickfix-developers] ISE Certification

[Benjamin B. <bb...@pe...>]

Is anyone currently pursuing ISE Certification for QuickFIX for
equity-options trading? Has QuickFIX been certified (or even partially
tested) with any electronic equity derivatives exchange (like EUREX)? What
level of support would ThoughtWorks be willing to offer to assist us getting
QuickFIX ISE-certified? Thanks.
 
Ben Blair
PEAK6 Capital Management

Re: [Quickfix-developers] Visual Studio Abnormal Exit

[<OM...@th...>]

Sean,

What you are experiencing is a bug in the way MSVC's statement completion
functionality works with templates.  I have experienced this sort of
problem in just about every project I have worked on with templates in
MSVC.  The work around is to simply turn off this functionality in MSVC.

Go to the Tool->Options menu and under the editor tab, uncheck all of the
statement completion options at the bottom.  Once you do this, your
development environment should stop disappearing.  Hopefully they have
fixed this problem in Visual Studio .NET. It has been a pain in my side for
some time.

--Oren Miller
  ThoughtWorks



|---------+----------------------------------------------->
|         |           "Sean Castette"                     |
|         |           <sca...@ge...>            |
|         |           Sent by:                            |
|         |           qui...@li...ur|
|         |           ceforge.net                         |
|         |                                               |
|         |                                               |
|         |           02/20/02 10:11 AM                   |
|         |                                               |
|---------+----------------------------------------------->
  >----------------------------------------------------------------------------------------------|
  |                                                                                              |
  |       To:       <qui...@li...>                                  |
  |       cc:                                                                                    |
  |       Subject:  [Quickfix-developers] Visual Studio Abnormal Exit                            |
  >----------------------------------------------------------------------------------------------|




I am working with the QuickFix library and example applications in MSVC
(SP5).  Randomly, the development environment disappears.  I was wondering
if anyone else has seen this and especially if someone knows what the
problem is.

I have had this experience on 2 different computers.

Thanks,

Sean

[Quickfix-developers] Visual Studio Abnormal Exit

[Sean C. <sca...@ge...>]

I am working with the QuickFix library and example applications in MSVC =
(SP5).  Randomly, the development environment disappears.  I was =
wondering if anyone else has seen this and especially if someone knows =
what the problem is.

I have had this experience on 2 different computers.

Thanks,

Sean=20

[Quickfix-developers] QuickFIX version 0.9.0 now available

[<OM...@th...>]

Thoughtworks is pleased to announce version 0.9.0 of QuickFIX, the open
source FIX engine for Windows, Linux and now *Solaris* is available for
download at http://quickfix.sourceforge.net

This is the final major pre release of QuickFIX before version 1.0.0.  For
the pre-release versions we are not publishing all of the changes, however
here are some of the major enhancements we have made to the product:

Solaris support,
      QuickFIX now builds and runs under the Solaris operating system. We
have verified that the port was smooth by running the same automated test
suite       against our Solaris build that we run against our Linux and
Windows builds. The port was very quick and easy and we expect other ports
to be just as     painless.

Archipelago certification,
      QuickFIX has been certified on all levels for production use on their
systems.  The certifications we received are in all categories including
Session           Level Tests, Orderflow Tests, Cancel Tests, Cancel
Replace Tests - Quantity, Cancel Replace Tests - Price,  and the more
advanced Optional             Orderflow Tests.  We have certified for both
the Archipelago ECN and the Archipelago Exchange for FIX versions 4.0 and
4.1

More tests,
      More tests have been added to both the code based unit tests and the
FIX functionality tests.  Most of these functionality  tests are designed
according   to the fix protocol defined behaviors document.  Running these
tests on your system will verify that your build is good. You should only
continue to use   QuickFIX if *all* these tests pass on your system.
Otherwise you may have undefined behavior.

User Documentation,
      A full set of documentation is included with QuickFIX that gives step
by step instructions on installing, setting up a project, building and
application, and  configuring QuickFIX.  There is also class documentation
with comments for the entire object model.

Example programs,
      Two example programs are included with this version of QuickFIX.  One
application is a simple sell side OMS that will accept order messages and
      match limit orders from counter parties.  Execution reports will be
sent when two orders are matched.  A buy side console based buy side
trading client    is also provided that allows a user to send orders to a
FIX destination.

We are also working on supplying a JNI interface and a sample GUI
application.  Version 1.0.0 will be released in about a week and at this
point will mostly be affected by the feedback we receive.

-- Oren Miller
   ThoughtWorks
   om...@th...

[Quickfix-developers] test

[<cec...@Th...>]

test