Thread: RE: [Quickfix-developers] FIX connection to EuroNext
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From: Angela M. <A.M...@it...> - 2004-07-07 16:55:49
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Yes I developed the Fix Interface to access EURONEXT Market. Angela -----Original Message----- From: Joerg Thoennes [mailto:Joe...@ma...] Sent: Wednesday, July 07, 2004 11:06 To: qui...@li... Subject: [Quickfix-developers] FIX connection to EuroNext QuickFIX Documentation: = http://www.quickfixengine.org/quickfix/doc/html/index.html QuickFIX FAQ: http://www.quickfixengine.org/quickfix/doc/html/FAQ.html QuickFIX Support: http://www.quickfixengine.org/services.html Hi all, I would like to know if anybody of you has managed to connect to=20 EuroNext exchange using QuickFIX? 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 sponsored by Black Hat Briefings & Training. Attend Black Hat Briefings & Training, Las Vegas July 24-29 -=20 digital self defense, top technical experts, no vendor pitches,=20 unmatched networking opportunities. Visit www.blackhat.com _______________________________________________ Quickfix-developers mailing list Qui...@li... https://lists.sourceforge.net/lists/listinfo/quickfix-developers |
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From: Angela M. <A.M...@it...> - 2004-07-08 10:59:58
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Ok J=F6rg I'll ask to my collegues and I'll write you again.
Do you need to see the session.cpp modification I did?
Bye
Angela
-----Original Message-----
From: Joerg Thoennes [mailto:Joe...@ma...]
Sent: Thursday, July 08, 2004 12:54
To: Angela Metallo
Cc: qui...@li...
Subject: Re: [Quickfix-developers] FIX connection to EuroNext
Hi Angela,
> Hi J=F6rg I used QuickFix 1.7.0 but I did some modification to the
> session.cpp file because the Euronext Fix interface isn't standard it
> has a particular behavior when you send the logon message and you
> haven't send any order, in this case euronext send you 2 logon
> message and the both with sequencenumber equal to 1 and he expects a
> logon message with sequencenumber equal to 1 as response. The
> behavior change when you'd sent almost an order to the market, in
> this case the behaviour is standard.
Oren and I intend to setup a public repository to collect the specifics=20
of different systems with regard to QuickFIX. Therefore, many thanks for =
you information!
> Have you spoke with anyone of EURONEXT? My contact is Oliver Jovich.
Not yet. We are just collecting information about different exchanges.
> For the datadictionary I made a lot of modification because of
> EURONEXT use a lot of custom tags, I attach the xml file I think you
> can use it. For the market data access my collegues had other
> problems, I developed only the trading interface.
Thanks for the data dictionary. Perhaps you could ask your colleagues=20
for specifics of the Market Data access?
> if you need other information don't exitate to contact me again.
It would be good to have the exact changes to Session.cpp.
Thanks and regards,
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: Joerg T. <Joe...@ma...> - 2004-07-08 11:04:10
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> Ok Jörg I'll ask to my collegues and I'll write you again.
> Do you need to see the session.cpp modification I did?
Angela, basically it is your decision if you want to publish that
information. If you feel it is proprietary, you probably have to ask
someone at your site.
We do not intend to keep the information private, but publish it in a
public repository. If you think that is not OK, please tell us.
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: Angela M. <A.M...@it...> - 2004-07-08 11:21:10
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J=F6rg, there is any possibility that a new quickFix version will be =
compatible with EURONEXT FIX?
This is very important for my company because we are be able to use =
directly quickfix without patch it.
If this is possible there is a pleasure for us to collaborate with you =
and QuickFix staff.
Otherwise I'll ask to my boss but I think it isn't a problem to publish =
the modification.
Bye
Angela
-----Original Message-----
From: Joerg Thoennes [mailto:Joe...@ma...]
Sent: Thursday, July 08, 2004 13:04
To: Angela Metallo
Cc: qui...@li...
Subject: Re: [Quickfix-developers] FIX connection to EuroNext
> Ok J=F6rg I'll ask to my collegues and I'll write you again.
> Do you need to see the session.cpp modification I did?
Angela, basically it is your decision if you want to publish that=20
information. If you feel it is proprietary, you probably have to ask=20
someone at your site.
We do not intend to keep the information private, but publish it in a=20
public repository. If you think that is not OK, please tell us.
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: Joerg T. <Joe...@ma...> - 2004-07-08 11:27:36
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> Jörg, there is any possibility that a new quickFix version will be compatible with EURONEXT FIX?
> This is very important for my company because we are be able to use directly quickfix without patch it.
> If this is possible there is a pleasure for us to collaborate with you and QuickFix staff.
Sure, if we can make it fit so that it does not break other stuff.
Perhaps some configuration setting, depends on the exact change.
Oren, what do you think?
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...> - 2004-07-08 12:29:47
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yeah, what would be helpful is if we can get a logfile (or the relevant=20= portion) that demonstrates the strange logon behavior. This way we can=20= set up an automated acceptance test for Euronext. It will probably=20 result in a configuration setting that will allow for this behavior. --oren On Jul 8, 2004, at 6:27 AM, Joerg Thoennes wrote: > QuickFIX Documentation:=20 > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX FAQ: http://www.quickfixengine.org/quickfix/doc/html/FAQ.html > QuickFIX Support: http://www.quickfixengine.org/services.html > >> J=F6rg, there is any possibility that a new quickFix version will be=20= >> compatible with EURONEXT FIX? >> This is very important for my company because we are be able to use=20= >> directly quickfix without patch it. >> If this is possible there is a pleasure for us to collaborate with=20 >> you and QuickFix staff. > > Sure, if we can make it fit so that it does not break other stuff.=20 > Perhaps some configuration setting, depends on the exact change. > > Oren, what do you think? > > 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 sponsored by Black Hat Briefings & Training. > Attend Black Hat Briefings & Training, Las Vegas July 24-29 - digital=20= > self defense, top technical experts, no vendor pitches, unmatched=20 > networking opportunities. Visit www.blackhat.com > _______________________________________________ > Quickfix-developers mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-developers > |
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From: James C. D. <jc...@co...> - 2004-07-08 12:48:23
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We also have a similar situation with CME session behaviors. Maybe we = can make some configuration setting for exchanges that do not follow FIX = session protocol.=20 Jim =20 James C. Downs Connamara Systems, LLC 53 W. Jackson Blvd Suite 1627 Chicago, IL 60604 312 - 282 - 7746 www.connamara.com -----Original Message----- From: qui...@li... [mailto:qui...@li...] On Behalf Of = Oren Miller Sent: Thursday, July 08, 2004 7:30 AM To: Joerg Thoennes Cc: Angela Metallo; qui...@li... Subject: Re: [Quickfix-developers] FIX connection to EuroNext QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html QuickFIX FAQ: http://www.quickfixengine.org/quickfix/doc/html/FAQ.html QuickFIX Support: http://www.quickfixengine.org/services.html yeah, what would be helpful is if we can get a logfile (or the relevant portion) that demonstrates the strange logon behavior. This way we can = set up an automated acceptance test for Euronext. It will probably result = in a configuration setting that will allow for this behavior. --oren On Jul 8, 2004, at 6:27 AM, Joerg Thoennes wrote: > QuickFIX Documentation:=20 > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX FAQ: http://www.quickfixengine.org/quickfix/doc/html/FAQ.html > QuickFIX Support: http://www.quickfixengine.org/services.html > >> J=F6rg, there is any possibility that a new quickFix version will be=20 >> compatible with EURONEXT FIX? >> This is very important for my company because we are be able to use=20 >> directly quickfix without patch it. >> If this is possible there is a pleasure for us to collaborate with=20 >> you and QuickFix staff. > > Sure, if we can make it fit so that it does not break other stuff.=20 > Perhaps some configuration setting, depends on the exact change. > > Oren, what do you think? > > Cheers, J=F6rg > > -- > 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 sponsored by Black Hat Briefings & Training. > Attend Black Hat Briefings & Training, Las Vegas July 24-29 - digital=20 > self defense, top technical experts, no vendor pitches, unmatched=20 > networking opportunities. Visit www.blackhat.com=20 > _______________________________________________ > Quickfix-developers mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-developers > ------------------------------------------------------- This SF.Net email sponsored by Black Hat Briefings & Training. Attend Black Hat Briefings & Training, Las Vegas July 24-29 - digital = self defense, top technical experts, no vendor pitches, unmatched networking opportunities. Visit www.blackhat.com _______________________________________________ Quickfix-developers mailing list Qui...@li... https://lists.sourceforge.net/lists/listinfo/quickfix-developers |
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From: Rich H. <rh...@st...> - 2004-07-08 13:34:08
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Like others I have a customized version for CME... session and = logon/logout are slightly different. They do a weekly session instead of daily. It = would be nice if this support could be made standard. I can and have = provided my modifications to the list in the past. Cheers, Rich -----Original Message----- From: James C. Downs [mailto:jc...@co...]=20 Sent: Thursday, July 08, 2004 7:48 AM To: 'Oren Miller'; 'Joerg Thoennes' Cc: 'Angela Metallo'; qui...@li... Subject: RE: [Quickfix-developers] FIX connection to EuroNext QuickFIX Documentation: = http://www.quickfixengine.org/quickfix/doc/html/index.html QuickFIX FAQ: http://www.quickfixengine.org/quickfix/doc/html/FAQ.html QuickFIX Support: http://www.quickfixengine.org/services.html We also have a similar situation with CME session behaviors. Maybe we = can make some configuration setting for exchanges that do not follow FIX = session protocol.=20 Jim =20 James C. Downs Connamara Systems, LLC 53 W. Jackson Blvd Suite 1627 Chicago, IL 60604 312 - 282 - 7746 www.connamara.com -----Original Message----- From: qui...@li... [mailto:qui...@li...] On Behalf Of = Oren Miller Sent: Thursday, July 08, 2004 7:30 AM To: Joerg Thoennes Cc: Angela Metallo; qui...@li... Subject: Re: [Quickfix-developers] FIX connection to EuroNext QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html QuickFIX FAQ: http://www.quickfixengine.org/quickfix/doc/html/FAQ.html QuickFIX Support: http://www.quickfixengine.org/services.html yeah, what would be helpful is if we can get a logfile (or the relevant portion) that demonstrates the strange logon behavior. This way we can = set up an automated acceptance test for Euronext. It will probably result = in a configuration setting that will allow for this behavior. --oren On Jul 8, 2004, at 6:27 AM, Joerg Thoennes wrote: > QuickFIX Documentation:=20 > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX FAQ: http://www.quickfixengine.org/quickfix/doc/html/FAQ.html > QuickFIX Support: http://www.quickfixengine.org/services.html > >> J=F6rg, there is any possibility that a new quickFix version will be=20 >> compatible with EURONEXT FIX? >> This is very important for my company because we are be able to use=20 >> directly quickfix without patch it. >> If this is possible there is a pleasure for us to collaborate with=20 >> you and QuickFix staff. > > Sure, if we can make it fit so that it does not break other stuff.=20 > Perhaps some configuration setting, depends on the exact change. > > Oren, what do you think? > > Cheers, J=F6rg > > -- > 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 sponsored by Black Hat Briefings & Training. > Attend Black Hat Briefings & Training, Las Vegas July 24-29 - digital=20 > self defense, top technical experts, no vendor pitches, unmatched=20 > networking opportunities. Visit www.blackhat.com=20 > _______________________________________________ > Quickfix-developers mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-developers > ------------------------------------------------------- This SF.Net email sponsored by Black Hat Briefings & Training. Attend Black Hat Briefings & Training, Las Vegas July 24-29 - digital = self defense, top technical experts, no vendor pitches, unmatched networking opportunities. Visit www.blackhat.com _______________________________________________ Quickfix-developers mailing list Qui...@li... https://lists.sourceforge.net/lists/listinfo/quickfix-developers ------------------------------------------------------- This SF.Net email sponsored by Black Hat Briefings & Training. Attend Black Hat Briefings & Training, Las Vegas July 24-29 -=20 digital self defense, top technical experts, no vendor pitches,=20 unmatched networking opportunities. Visit www.blackhat.com _______________________________________________ Quickfix-developers mailing list Qui...@li... https://lists.sourceforge.net/lists/listinfo/quickfix-developers |
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From: Scott H. <sco...@fo...> - 2004-07-08 13:46:55
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A spec has just crossed my desk from a large northamerican bank for streaming dealable FX rates which also specifies weekly (sunday night) sequence number reset. Perhaps Appia is providing this option with its FIX engine? So much for standards. On Thu, 8 Jul 2004, Rich Holm wrote: > Like others I have a customized version for CME... session and > logon/logout are slightly different. They do a weekly session instead > of daily. It would be nice if this support could be made standard. I > can and have provided my modifications to the list in the past. > > Cheers, > Rich [snip] |
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From: Oren M. <or...@qu...> - 2004-07-08 14:16:56
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Actually this is ok. The spec says that the length of the sessions should be negotiated between the counter-parties. It does not specify anywhere what that length should be. So week long sessions are perfectly acceptable. It just so happens that most systems use day long sessions, particularly for equities. We see with other instrument types that weekly sessions are sometimes favored. We really just need to add support for this to QuickFIX. I had originally planned for this to go into 1.7.1, but it didn't make it in. It should become a high priority. --oren On Jul 8, 2004, at 8:46 AM, Scott Harrington wrote: > QuickFIX Documentation: > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX FAQ: http://www.quickfixengine.org/quickfix/doc/html/FAQ.html > QuickFIX Support: http://www.quickfixengine.org/services.html > > A spec has just crossed my desk from a large northamerican bank for > streaming dealable FX rates which also specifies weekly (sunday night) > sequence number reset. Perhaps Appia is providing this option with its > FIX engine? So much for standards. > > On Thu, 8 Jul 2004, Rich Holm wrote: > >> Like others I have a customized version for CME... session and >> logon/logout are slightly different. They do a weekly session instead >> of daily. It would be nice if this support could be made standard. I >> can and have provided my modifications to the list in the past. >> >> Cheers, >> Rich > [snip] > > > ------------------------------------------------------- > This SF.Net email sponsored by Black Hat Briefings & Training. > Attend Black Hat Briefings & Training, Las Vegas July 24-29 - > digital self defense, top technical experts, no vendor pitches, > unmatched networking opportunities. Visit www.blackhat.com > _______________________________________________ > Quickfix-developers mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-developers > |
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From: Angela M. <A.M...@it...> - 2004-07-08 13:37:55
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OK that's great! I'll prepare all the log I have (for trading and market = data) and I'll send you with all the modification we did to quickfix = 1.7.0 but I can't do it now (I apologize for that!). I'll write you = tomorrow. Bye Angela -----Original Message----- From: Oren Miller [mailto:or...@qu...] Sent: Thursday, July 08, 2004 14:30 To: Joerg Thoennes Cc: Angela Metallo; qui...@li... Subject: Re: [Quickfix-developers] FIX connection to EuroNext yeah, what would be helpful is if we can get a logfile (or the relevant=20 portion) that demonstrates the strange logon behavior. This way we can=20 set up an automated acceptance test for Euronext. It will probably=20 result in a configuration setting that will allow for this behavior. --oren On Jul 8, 2004, at 6:27 AM, Joerg Thoennes wrote: > QuickFIX Documentation:=20 > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX FAQ: http://www.quickfixengine.org/quickfix/doc/html/FAQ.html > QuickFIX Support: http://www.quickfixengine.org/services.html > >> J=F6rg, there is any possibility that a new quickFix version will be=20 >> compatible with EURONEXT FIX? >> This is very important for my company because we are be able to use=20 >> directly quickfix without patch it. >> If this is possible there is a pleasure for us to collaborate with=20 >> you and QuickFix staff. > > Sure, if we can make it fit so that it does not break other stuff.=20 > Perhaps some configuration setting, depends on the exact change. > > Oren, what do you think? > > 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 sponsored by Black Hat Briefings & Training. > Attend Black Hat Briefings & Training, Las Vegas July 24-29 - digital=20 > self defense, top technical experts, no vendor pitches, unmatched=20 > networking opportunities. Visit www.blackhat.com > _______________________________________________ > Quickfix-developers mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-developers > |
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From: Angela M. <A.M...@it...> - 2004-07-08 10:28:31
Attachments:
FIX42_EURONEXT.xml
|
Hi J=F6rg I used QuickFix 1.7.0 but I did some modification to the =
session.cpp file because the Euronext Fix interface isn't standard it =
has a particular behavior when you send the logon message and you =
haven't send any order, in this case euronext send you 2 logon message =
and the both with sequencenumber equal to 1 and he expects a logon =
message with sequencenumber equal to 1 as response. The behavior change =
when you'd sent almost an order to the market, in this case the =
behaviour is standard.
Have you spoke with anyone of EURONEXT? My contact is Oliver Jovich.
For the datadictionary I made a lot of modification because of EURONEXT =
use a lot of custom tags, I attach the xml file I think you can use it.
For the market data access my collegues had other problems, I developed =
only the trading interface.
if you need other information don't exitate to contact me again.
Bye
Angela
=20
-----Original Message-----
From: Joerg Thoennes [mailto:Joe...@ma...]
Sent: Thursday, July 08, 2004 12:12
To: Angela Metallo
Cc: qui...@li...
Subject: Re: [Quickfix-developers] FIX connection to EuroNext
Hi Angela,
> Yes I developed the Fix Interface to access EURONEXT Market.
There have been rumours about specific session level problems if one=20
connects to EuroNext. In addition, the Data Dictionary is different.
Do you know about such things or did you just setup a specific Data=20
Dictionary and then could connect to EuroNext without problems? Which=20
version of QuickFIX do you use?
Thanks and regards,
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: Joerg T. <Joe...@ma...> - 2004-07-08 10:54:17
|
Hi Angela,
> Hi Jörg I used QuickFix 1.7.0 but I did some modification to the
> session.cpp file because the Euronext Fix interface isn't standard it
> has a particular behavior when you send the logon message and you
> haven't send any order, in this case euronext send you 2 logon
> message and the both with sequencenumber equal to 1 and he expects a
> logon message with sequencenumber equal to 1 as response. The
> behavior change when you'd sent almost an order to the market, in
> this case the behaviour is standard.
Oren and I intend to setup a public repository to collect the specifics
of different systems with regard to QuickFIX. Therefore, many thanks for
you information!
> Have you spoke with anyone of EURONEXT? My contact is Oliver Jovich.
Not yet. We are just collecting information about different exchanges.
> For the datadictionary I made a lot of modification because of
> EURONEXT use a lot of custom tags, I attach the xml file I think you
> can use it. For the market data access my collegues had other
> problems, I developed only the trading interface.
Thanks for the data dictionary. Perhaps you could ask your colleagues
for specifics of the Market Data access?
> if you need other information don't exitate to contact me again.
It would be good to have the exact changes to Session.cpp.
Thanks and regards,
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
|
|
From: Joerg T. <Joe...@ma...> - 2004-07-08 10:12:36
|
Hi Angela,
> Yes I developed the Fix Interface to access EURONEXT Market.
There have been rumours about specific session level problems if one
connects to EuroNext. In addition, the Data Dictionary is different.
Do you know about such things or did you just setup a specific Data
Dictionary and then could connect to EuroNext without problems? Which
version of QuickFIX do you use?
Thanks and regards,
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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