quickfix-developers

RE: [Quickfix-developers] tag 11 format restrictions and new clordid in cxl and repl msg

[Narayan, A. <Arv...@le...>]

AFAIK, you have to populate all field data yourself. The only exceptions
that I know of are:
=20
MsgSeqNum
SendingTime
TransactTime=20
SenderCompID
TargetCompID
=20
The sequence number is managed by the engine.
SendingTime and TransactTime are set on creation
SenderCompID and TargetCompID are in the session file
=20
Some other fields can have default values. (See the configuration
section of the QuickFix manual)
=20
all orderid type stuff is managed by the application.=20
=20
Ideally, you provide a FIX interface to your clients, and substitute
=66ields where necessary so the exchange is happy.
=20
=20
	-----Original Message-----
	From: qui...@li...
[mailto:qui...@li...] On Behalf Of
Asim
	Sent: Thursday, February 10, 2005 9:27 AM
	To: qui...@li...
	Subject: [Quickfix-developers] tag 11 format restrictions and
new clordid in cxl and repl msg
=09
=09
	Hi all - my first post here, Just started looking into q.fix.
	=20
	While using quickfix API, all the orderids set has to be
maintained by the application=3F Or the api can do that as well =3F ya
know..clorder, orderid, origclorderid...in cxls and cxl replace
messages,
	Also some firms have diff requirement in cxl messages....like
they never want a new clorderid in cxl message and no new clorderid in
cxl/replace msg allowed while reducing quantity, Looks like violating
=66ix rules=3F Another prob is some firms restrict the client sides to
=66ormat their clorder like yyyymmdd-999, whereas others leave it on order
sending firm's discretion.
	So I was wondering if quickfix has the capability to cope with
these variant requirements=3F
	=20
	Please help!
	=20
	Thanks,
	Asim
	=20

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designated recipient(s) named above.  If you are not the intended recipient=
 =
of this message you are hereby notified that any review, dissemination, =
distribution or copying of this message is strictly prohibited.  This =
communication is for information purposes only and should not be regarded a=
s=
 an offer to sell or as a solicitation of an offer to buy any financial =
product, an official confirmation of any transaction, or as an official =
statement of Lehman Brothers.  Email transmission cannot be guaranteed to b=
e=
 secure or error-free.  Therefore, we do not represent that this informatio=
n=
 is complete or accurate and it should not be relied upon as such.  All =
information is subject to change without notice.

RE: [Quickfix-developers] tag 11 format restrictions and new clordid in cxl and repl msg

[Narayan, A. <Arv...@le...>]

Thanks.

TransactTime I believe is type UTCTimeStamp, which upon instantiation, =
populates itself with the current time. Ie if an object has field =
transacttime, that value does not need to be set explicitly by the =
application. It is set when the object is created.

I was not clear about the difference between setting fields and setting =
values to fields.

-> Yes, at the moment this is the case. But it could be a good=20
-> idea to have some more support=20
-> to ease application level programming.

What did you have in mind=3F This would indeed be powerful functionality if=
 =
done correctly.

-> -----Original Message-----
-> From: Joerg Thoennes [mailto:Joe...@ma...]=20
-> Sent: Thursday, February 10, 2005 11:53 AM
-> To: Narayan, Arvind
-> Cc: Asim; qui...@li...
-> Subject: Re: [Quickfix-developers] tag 11 format=20
-> restrictions and new clordid in cxl and repl msg
->=20
->=20
-> Narayan, Arvind wrote:
-> > AFAIK, you have to populate all field data yourself. The only=20
-> > exceptions that I know of are:
-> > =20
-> > MsgSeqNum
-> > SendingTime
-> > TransactTime
->=20
-> Sorry to correct you, but TransactTime is part of the body=20
-> of some application level=20
-> messages, so you should set it yourself.
->=20
-> > SenderCompID
-> > TargetCompID
->=20
-> QuickFIX handles all required header and trailer fields,=20
-> which also include
->=20
-> MsgType, MsgSeqNo, (PossDupFlag, OrigSendingTime for resent=20
-> messages) and CheckSum for the trailer
->=20
-> You may add further header fields in the toApp() callback=20
-> for application level messages.
->=20
-> In addition, QuickFIX handles all 7 administrative messages for you:
->=20
-> 	Heartbeat, TestRequest, ResendRequest, Reject,=20
-> SequenceReset, Logon, Logout
->=20
-> > The sequence number is managed by the engine.
-> > SendingTime and TransactTime are set on creation
->=20
-> Only SendingTime is inserted just before QuickFIX puts the=20
-> message on the wire.
->=20
-> > SenderCompID and TargetCompID are in the session file
-> > =20
-> > Some other fields can have default values. (See the configuration=20
-> > section of the QuickFix manual)
-> > =20
-> > all orderid type stuff is managed by the application.
->=20
-> Yes, at the moment this is the case. But it could be a good=20
-> idea to have some more support=20
-> to ease application level programming.
->=20
-> > Ideally, you provide a FIX interface to your clients, and=20
-> substitute=20
-> > fields where necessary so the exchange is happy.
->=20
-> Cheers, J=F6rg
->=20
-> > 	-----Original Message-----
-> > 	From: qui...@li...
-> > [mailto:qui...@li...]=20
-> On Behalf Of=20
-> > Asim
-> > 	Sent: Thursday, February 10, 2005 9:27 AM
-> > 	To: qui...@li...
-> > 	Subject: [Quickfix-developers] tag 11 format=20
-> restrictions and new=20
-> > clordid in cxl and repl msg
-> > =09
-> > =09
-> > 	Hi all - my first post here, Just started looking into q.fix.
-> > 	=20
-> > 	While using quickfix API, all the orderids set has to=20
-> be maintained=20
-> > by the application=3F Or the api can do that as well =3F ya=20
-> know..clorder,=20
-> > orderid, origclorderid...in cxls and cxl replace messages,
-> > 	Also some firms have diff requirement in cxl messages....like
-> > they never want a new clorderid in cxl message and no new=20
-> clorderid in
-> > cxl/replace msg allowed while reducing quantity, Looks=20
-> like violating
-> > fix rules=3F Another prob is some firms restrict the client sides to
-> > format their clorder like yyyymmdd-999, whereas others=20
-> leave it on order
-> > sending firm's discretion.
-> > 	So I was wondering if quickfix has the capability to cope with
-> > these variant requirements=3F
-> > 	=20
-> > 	Please help!
-> > 	=20
-> > 	Thanks,
-> > 	Asim
-> > 	=20
-> >=20
-> >=20
-> -------------------------------------------------------------
-> ---------
-> > --------
-> > This message is intended only for the personal and=20
-> confidential use of the designated recipient(s) named above.=20
->  If you are not the intended recipient of this message you=20
-> are hereby notified that any review, dissemination,=20
-> distribution or copying of this message is strictly=20
-> prohibited.  This communication is for information purposes=20
-> only and should not be regarded as an offer to sell or as a=20
-> solicitation of an offer to buy any financial product, an=20
-> official confirmation of any transaction, or as an official=20
-> statement of Lehman Brothers.  Email transmission cannot be=20
-> guaranteed to be secure or error-free.  Therefore, we do not=20
-> represent that this information is complete or accurate and=20
-> it should not be relied upon as such.  All information is=20
-> subject to change without notice.
-> >=20
->=20
->=20
-> --=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
->=20
->=20
->=20

---------------------------------------------------------------------------=
---
This message is intended only for the personal and confidential use of the =
designated recipient(s) named above.  If you are not the intended recipient=
 =
of this message you are hereby notified that any review, dissemination, =
distribution or copying of this message is strictly prohibited.  This =
communication is for information purposes only and should not be regarded a=
s=
 an offer to sell or as a solicitation of an offer to buy any financial =
product, an official confirmation of any transaction, or as an official =
statement of Lehman Brothers.  Email transmission cannot be guaranteed to b=
e=
 secure or error-free.  Therefore, we do not represent that this informatio=
n=
 is complete or accurate and it should not be relied upon as such.  All =
information is subject to change without notice.

Re: [Quickfix-developers] tag 11 format restrictions and new clordid in cxl and repl msg

[Joerg T. <Joe...@ma...>]

Narayan, Arvind wrote:
> TransactTime I believe is type UTCTimeStamp, which upon instantiation, populates itself
> with the current time. Ie if an object has field transacttime, that value does not need
> to be set explicitly by the application. It is set when the object is created.

True, it did not check that case.

> I was not clear about the difference between setting fields and setting values to
> fields.

In our system, the TransactTime is pulled out of the propriatary message send by the 
exchange, so just setting the current time would be wrong.

>> Yes, at the moment this is the case. But it could be a good idea to have some more
>> support to ease application level programming.
> 
> What did you have in mind? This would indeed be powerful functionality if done
> correctly.

Nothing too specific yet. But for our own FIX application level interface I found that you 
need a couple of utility functions to ease programming. I wonder whether we could collect 
some application level utilities to provide a library. The additional benefit would be 
that this library could do things in a FIX compliant way (think of ClOrdID / OrigClOrdID 
chaining...) If you did some FIX programming, you probably have some functions in mind.

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

Re: [Quickfix-developers] tag 11 format restrictions and new clordid in cxl and repl msg

[Joerg T. <Joe...@ma...>]

Narayan, Arvind wrote:
> AFAIK, you have to populate all field data yourself. The only exceptions
> that I know of are:
>  
> MsgSeqNum
> SendingTime
> TransactTime 

Sorry to correct you, but TransactTime is part of the body of some application level 
messages, so you should set it yourself.

> SenderCompID
> TargetCompID

QuickFIX handles all required header and trailer fields, which also include

MsgType, MsgSeqNo, (PossDupFlag, OrigSendingTime for resent messages) and
CheckSum for the trailer

You may add further header fields in the toApp() callback for application level messages.

In addition, QuickFIX handles all 7 administrative messages for you:

	Heartbeat, TestRequest, ResendRequest, Reject, SequenceReset, Logon, Logout

> The sequence number is managed by the engine.
> SendingTime and TransactTime are set on creation

Only SendingTime is inserted just before QuickFIX puts the message on the wire.

> SenderCompID and TargetCompID are in the session file
>  
> Some other fields can have default values. (See the configuration
> section of the QuickFix manual)
>  
> all orderid type stuff is managed by the application. 

Yes, at the moment this is the case. But it could be a good idea to have some more support 
to ease application level programming.

> Ideally, you provide a FIX interface to your clients, and substitute
> fields where necessary so the exchange is happy.

Cheers, Jörg

> 	-----Original Message-----
> 	From: qui...@li...
> [mailto:qui...@li...] On Behalf Of
> Asim
> 	Sent: Thursday, February 10, 2005 9:27 AM
> 	To: qui...@li...
> 	Subject: [Quickfix-developers] tag 11 format restrictions and
> new clordid in cxl and repl msg
> 	
> 	
> 	Hi all - my first post here, Just started looking into q.fix.
> 	 
> 	While using quickfix API, all the orderids set has to be
> maintained by the application? Or the api can do that as well ? ya
> know..clorder, orderid, origclorderid...in cxls and cxl replace
> messages,
> 	Also some firms have diff requirement in cxl messages....like
> they never want a new clorderid in cxl message and no new clorderid in
> cxl/replace msg allowed while reducing quantity, Looks like violating
> fix rules? Another prob is some firms restrict the client sides to
> format their clorder like yyyymmdd-999, whereas others leave it on order
> sending firm's discretion.
> 	So I was wondering if quickfix has the capability to cope with
> these variant requirements?
> 	 
> 	Please help!
> 	 
> 	Thanks,
> 	Asim
> 	 
> 
> ------------------------------------------------------------------------------
> This message is intended only for the personal and confidential use of the designated recipient(s) named above.  If you are not the intended recipient of this message you are hereby notified that any review, dissemination, distribution or copying of this message is strictly prohibited.  This communication is for information purposes only and should not be regarded as an offer to sell or as a solicitation of an offer to buy any financial product, an official confirmation of any transaction, or as an official statement of Lehman Brothers.  Email transmission cannot be guaranteed to be secure or error-free.  Therefore, we do not represent that this information is complete or accurate and it should not be relied upon as such.  All information is subject to change without notice.
> 


-- 
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