quickfix-developers

[Quickfix-developers] Query on Market Data Incremental refresh

[Ananth <ana...@in...>]

 
Hi,
 
As per FIX document "Recommended Practices for Book Management" there
are additional fields which are MDPriceLevel Tag No. 1021 and MDBookType
Tag No. 1023. These fields are very useful for processing the Market
Data Incremental Refresh message. I cannot find these fields in QuickFix
FIX44 xml file. Are they custom fields which I need to add in the xml
file and respective classes to use them? Or is there any better way?
 
Could anybody help on this issue?
 
Thanks in advance,
 
Ananth
 

Re: [Quickfix-developers] Query on Market Data Incremental refresh

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

On 09/13/06 10:45, Ananth wrote:
> As per FIX document "Recommended Practices for Book Management" there
> are additional fields which are MDPriceLevel Tag No. 1021 and MDBookTyp=
e
> Tag No. 1023. These fields are very useful for processing the Market
> Data Incremental Refresh message. I cannot find these fields in QuickFi=
x
> FIX44 xml file.

Did you check FIX 4.4 specs first. If the tags are there, then it is a bu=
g if they are missing in=20
the data dictionary. Otherwise, they are just not part of FIX 4.4. Maybe =
they are planned to be=20
added in the next time. Please ask on the forums on the FPL site.

> Are they custom fields which I need to add in the xml
> file and respective classes to use them? Or is there any better way?

For incoming messages, the data dictionary is used for checking. Therefor=
e, the tags have to be=20
added there (and published to possible clients). Please use the user defi=
ned range 5000...9999 if=20
the tags are not in FIX 4.4. Check the user defined fields repository on =
the FPL site.

For outgoing messages, you could define your own field class. Just use an=
y standard QF field class=20
as a template. Then you can use the general setter method of the Message =
and Group class (ie=20
FieldBase base class).

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