Thread: RE: [Quickfix-developers] Conforming with the CME
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From: Timothy Y. <Tim...@pa...> - 2004-09-09 17:10:33
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Has anyone attempted to implement the CME fault-tolerance mechanisms = using quickfix? (I guess not.) Also, other functionality in CME Ilink 2 requires that CompIDs change mid-session. Does QF 1.9.0 have features to cope with that? We solved = this problem by adding callbacks to allow CompIDs to be modified just before = the message got written to the wire. Tim. -----Original Message----- From: qui...@li... [mailto:qui...@li...]On Behalf Of Joerg Thoennes Sent: Thursday, September 09, 2004 11:04 AM To: Matthew Bingham Cc: qui...@li... Subject: Re: [Quickfix-developers] Conforming with the CME QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html QuickFIX FAQ: = http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ QuickFIX Support: http://www.quickfixengine.org/services.html > I would like to use quickfix for trading though Globex on the CME? I = > was wondering if anyone had any sample configuration files, or any=20 > advice about going about it. I know I have to keep sequence numbers = for=20 > the week, so I assume I need > QuickFIX 1.9.0 Yes, according to my knowledge, QF 1.9.0 was specially made to fit CME=20 needs. Cheers, J=F6rg --=20 Joerg Thoennes http://macd.com Tel.: +49 (0)241 44597-24 Macdonald Associates GmbH Fax : +49 (0)241 44597-10 Lothringer Str. 52, D-52070 Aachen ------------------------------------------------------- This SF.Net email is sponsored by: YOU BE THE JUDGE. Be one of 170 Project Admins to receive an Apple iPod Mini FREE for your judgement on who ports your project to Linux PPC the best. Sponsored by IBM.=20 Deadline: Sept. 13. Go here: http://sf.net/ppc_contest.php _______________________________________________ Quickfix-developers mailing list Qui...@li... https://lists.sourceforge.net/lists/listinfo/quickfix-developers |
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From: Timothy Y. <Tim...@pa...> - 2004-09-09 17:54:27
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Oren, I believe for iTOPS orders the SenderCompID can change. This is described in the Ilink 2.0 developer guide under 'Trading on = Behalf of a Client'. Essentially, part of the SenderCompID is a firm = identifier. When you trade on behalf of another client you have to change this. Tim. -----Original Message----- From: Oren Miller [mailto:or...@qu...] Sent: Thursday, September 09, 2004 12:30 PM To: Timothy Yates Cc: qui...@li...; Matthew Bingham; 'Joerg Thoennes' Subject: Re: [Quickfix-developers] Conforming with the CME Tim, Under what circumstances do the CompIDs change? --oren On Sep 9, 2004, at 12:05 PM, Timothy Yates wrote: > QuickFIX Documentation:=20 > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX FAQ:=20 > http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ > QuickFIX Support: http://www.quickfixengine.org/services.html > > Has anyone attempted to implement the CME fault-tolerance mechanisms=20 > using > quickfix? (I guess not.) > > Also, other functionality in CME Ilink 2 requires that CompIDs change > mid-session. Does QF 1.9.0 have features to cope with that? We=20 > solved this > problem by adding callbacks to allow CompIDs to be modified just=20 > before the > message got written to the wire. > > Tim. > > -----Original Message----- > From: qui...@li... > [mailto:qui...@li...]On Behalf Of > Joerg Thoennes > Sent: Thursday, September 09, 2004 11:04 AM > To: Matthew Bingham > Cc: qui...@li... > Subject: Re: [Quickfix-developers] Conforming with the CME > > > QuickFIX Documentation: > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX FAQ:=20 > http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ > QuickFIX Support: http://www.quickfixengine.org/services.html > >> I would like to use quickfix for trading though Globex on the CME? = I >> was wondering if anyone had any sample configuration files, or any >> advice about going about it. I know I have to keep sequence numbers = >> for >> the week, so I assume I need >> QuickFIX 1.9.0 > > Yes, according to my knowledge, QF 1.9.0 was specially made to fit = CME > needs. > > Cheers, J=F6rg > > --=20 > Joerg Thoennes > http://macd.com > Tel.: +49 (0)241 44597-24 Macdonald Associates GmbH > Fax : +49 (0)241 44597-10 Lothringer Str. 52, D-52070 Aachen > > > ------------------------------------------------------- > This SF.Net email is sponsored by: YOU BE THE JUDGE. Be one of 170 > Project Admins to receive an Apple iPod Mini FREE for your judgement = on > who ports your project to Linux PPC the best. Sponsored by IBM. > Deadline: Sept. 13. Go here: http://sf.net/ppc_contest.php > _______________________________________________ > Quickfix-developers mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-developers > > > ------------------------------------------------------- > This SF.Net email is sponsored by: YOU BE THE JUDGE. Be one of 170 > Project Admins to receive an Apple iPod Mini FREE for your judgement = on > who ports your project to Linux PPC the best. Sponsored by IBM. > Deadline: Sept. 13. Go here: http://sf.net/ppc_contest.php > _______________________________________________ > Quickfix-developers mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-developers > |
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From: Oren M. <or...@qu...> - 2004-09-10 21:52:02
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So you can't just use a SenderSubID? Hmmm. Alright, I'll look into it. --oren On Sep 9, 2004, at 12:49 PM, Timothy Yates wrote: > QuickFIX Documentation:=20 > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX FAQ:=20 > http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ > QuickFIX Support: http://www.quickfixengine.org/services.html > > Oren, > > I believe for iTOPS orders the SenderCompID can change. > > This is described in the Ilink 2.0 developer guide under 'Trading on=20= > Behalf > of a Client'. Essentially, part of the SenderCompID is a firm=20 > identifier. > When you trade on behalf of another client you have to change this. > > Tim. > > -----Original Message----- > From: Oren Miller [mailto:or...@qu...] > Sent: Thursday, September 09, 2004 12:30 PM > To: Timothy Yates > Cc: qui...@li...; Matthew Bingham; 'Joerg > Thoennes' > Subject: Re: [Quickfix-developers] Conforming with the CME > > > Tim, > > Under what circumstances do the CompIDs change? > > --oren > > On Sep 9, 2004, at 12:05 PM, Timothy Yates wrote: > >> QuickFIX Documentation: >> http://www.quickfixengine.org/quickfix/doc/html/index.html >> QuickFIX FAQ: >> http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ >> QuickFIX Support: http://www.quickfixengine.org/services.html >> >> Has anyone attempted to implement the CME fault-tolerance mechanisms >> using >> quickfix? (I guess not.) >> >> Also, other functionality in CME Ilink 2 requires that CompIDs change >> mid-session. Does QF 1.9.0 have features to cope with that? We >> solved this >> problem by adding callbacks to allow CompIDs to be modified just >> before the >> message got written to the wire. >> >> Tim. >> >> -----Original Message----- >> From: qui...@li... >> [mailto:qui...@li...]On Behalf Of >> Joerg Thoennes >> Sent: Thursday, September 09, 2004 11:04 AM >> To: Matthew Bingham >> Cc: qui...@li... >> Subject: Re: [Quickfix-developers] Conforming with the CME >> >> >> QuickFIX Documentation: >> http://www.quickfixengine.org/quickfix/doc/html/index.html >> QuickFIX FAQ: >> http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ >> QuickFIX Support: http://www.quickfixengine.org/services.html >> >>> I would like to use quickfix for trading though Globex on the CME? = I >>> was wondering if anyone had any sample configuration files, or any >>> advice about going about it. I know I have to keep sequence numbers >>> for >>> the week, so I assume I need >>> QuickFIX 1.9.0 >> >> Yes, according to my knowledge, QF 1.9.0 was specially made to fit = CME >> needs. >> >> Cheers, J=F6rg >> >> --=20 >> Joerg Thoennes >> http://macd.com >> Tel.: +49 (0)241 44597-24 Macdonald Associates GmbH >> Fax : +49 (0)241 44597-10 Lothringer Str. 52, D-52070 Aachen >> >> >> ------------------------------------------------------- >> This SF.Net email is sponsored by: YOU BE THE JUDGE. Be one of 170 >> Project Admins to receive an Apple iPod Mini FREE for your judgement=20= >> on >> who ports your project to Linux PPC the best. Sponsored by IBM. >> Deadline: Sept. 13. Go here: http://sf.net/ppc_contest.php >> _______________________________________________ >> Quickfix-developers mailing list >> Qui...@li... >> https://lists.sourceforge.net/lists/listinfo/quickfix-developers >> >> >> ------------------------------------------------------- >> This SF.Net email is sponsored by: YOU BE THE JUDGE. Be one of 170 >> Project Admins to receive an Apple iPod Mini FREE for your judgement=20= >> on >> who ports your project to Linux PPC the best. Sponsored by IBM. >> Deadline: Sept. 13. Go here: http://sf.net/ppc_contest.php >> _______________________________________________ >> Quickfix-developers mailing list >> Qui...@li... >> https://lists.sourceforge.net/lists/listinfo/quickfix-developers >> > > > ------------------------------------------------------- > This SF.Net email is sponsored by: YOU BE THE JUDGE. Be one of 170 > Project Admins to receive an Apple iPod Mini FREE for your judgement = on > who ports your project to Linux PPC the best. Sponsored by IBM. > Deadline: Sept. 13. Go here: http://sf.net/ppc_contest.php > _______________________________________________ > Quickfix-developers mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-developers > |
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From: Joerg T. <Joe...@ma...> - 2004-09-10 14:30:43
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Oren Miller wrote:
> Timothy Yates wrote:
>
>> I believe for iTOPS orders the SenderCompID can change.
>>
>> This is described in the Ilink 2.0 developer guide under 'Trading
>> on Behalf of a Client'. Essentially, part of the SenderCompID is a
>> firm identifier. When you trade on behalf of another client you
>> have to change this.
>
> So you can't just use a SenderSubID?
How about FIX 4.2 fields OnBehalfOfCompID and DeliverToCompID? There are
a plenty of fields for Order routing in FIX. CME should takes these
fields instead of inventing a new mechanism.
Cheers, Jörg
--
Joerg Thoennes
http://macd.com
Tel.: +49 (0)241 44597-24 Macdonald Associates GmbH
Fax : +49 (0)241 44597-10 Lothringer Str. 52, D-52070 Aachen
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From: Oren M. <or...@qu...> - 2004-09-10 14:36:59
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Yes. But I think the issue at hand is what they do, not what they=20 should do. It's not the first non-standard behavior we've had to work=20= around, though probably the oddest. --oren On Sep 10, 2004, at 9:27 AM, Joerg Thoennes wrote: > Oren Miller wrote: >> Timothy Yates wrote: > > >>> I believe for iTOPS orders the SenderCompID can change. >>> This is described in the Ilink 2.0 developer guide under 'Trading >>> on Behalf of a Client'. Essentially, part of the SenderCompID is a >>> firm identifier. When you trade on behalf of another client you >>> have to change this. > > >> So you can't just use a SenderSubID? > > How about FIX 4.2 fields OnBehalfOfCompID and DeliverToCompID? There=20= > are a plenty of fields for Order routing in FIX. CME should takes=20 > these fields instead of inventing a new mechanism. > > Cheers, J=F6rg > > --=20 > Joerg Thoennes > http://macd.com > Tel.: +49 (0)241 44597-24 Macdonald Associates GmbH > Fax : +49 (0)241 44597-10 Lothringer Str. 52, D-52070 Aachen > |
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From: Oren M. <or...@qu...> - 2004-09-09 17:30:44
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Tim, Under what circumstances do the CompIDs change? --oren On Sep 9, 2004, at 12:05 PM, Timothy Yates wrote: > QuickFIX Documentation:=20 > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX FAQ:=20 > http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ > QuickFIX Support: http://www.quickfixengine.org/services.html > > Has anyone attempted to implement the CME fault-tolerance mechanisms=20= > using > quickfix? (I guess not.) > > Also, other functionality in CME Ilink 2 requires that CompIDs change > mid-session. Does QF 1.9.0 have features to cope with that? We=20 > solved this > problem by adding callbacks to allow CompIDs to be modified just=20 > before the > message got written to the wire. > > Tim. > > -----Original Message----- > From: qui...@li... > [mailto:qui...@li...]On Behalf Of > Joerg Thoennes > Sent: Thursday, September 09, 2004 11:04 AM > To: Matthew Bingham > Cc: qui...@li... > Subject: Re: [Quickfix-developers] Conforming with the CME > > > QuickFIX Documentation: > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX FAQ:=20 > http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ > QuickFIX Support: http://www.quickfixengine.org/services.html > >> I would like to use quickfix for trading though Globex on the CME? I >> was wondering if anyone had any sample configuration files, or any >> advice about going about it. I know I have to keep sequence numbers=20= >> for >> the week, so I assume I need >> QuickFIX 1.9.0 > > Yes, according to my knowledge, QF 1.9.0 was specially made to fit CME > needs. > > Cheers, J=F6rg > > --=20 > Joerg Thoennes > http://macd.com > Tel.: +49 (0)241 44597-24 Macdonald Associates GmbH > Fax : +49 (0)241 44597-10 Lothringer Str. 52, D-52070 Aachen > > > ------------------------------------------------------- > This SF.Net email is sponsored by: YOU BE THE JUDGE. Be one of 170 > Project Admins to receive an Apple iPod Mini FREE for your judgement = on > who ports your project to Linux PPC the best. Sponsored by IBM. > Deadline: Sept. 13. Go here: http://sf.net/ppc_contest.php > _______________________________________________ > Quickfix-developers mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-developers > > > ------------------------------------------------------- > This SF.Net email is sponsored by: YOU BE THE JUDGE. Be one of 170 > Project Admins to receive an Apple iPod Mini FREE for your judgement = on > who ports your project to Linux PPC the best. Sponsored by IBM. > Deadline: Sept. 13. Go here: http://sf.net/ppc_contest.php > _______________________________________________ > Quickfix-developers mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-developers > |
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