quickfix-developers

[Quickfix-developers] Adding Custom Message to Fix42.xml and handling in application

[Nikhil C. <nik...@gm...>]

Hi,
I have a specific requirement to add a custom message and handle the
response for the same. I have done following so far -

In the Fix42.xml I have added following -

In the <messages> section,:

<!-- ============================== -->

<!-- Begin Custom Messages -->

<message name="MyCustomPositionReport" msgtype="MCM59" msgcat="app">

<field name="MyCustomPositionRequestId" required="Y" />

<group name="MyCustomPositionGroup" required="N">

<field name="Account" required="Y" />

<field name="SecurityID" required="N" />

<field name="WorkingLong" required="Y"/>

<field name="WorkingShort" required="Y"/>

<field name="OpenPosition" required="Y"/>

<field name="AvgPx" required="N"/>

<field name="SecurityExchange" required="N"/>

<field name="Symbol" require="N"/>

<field name="MaturityMonthYear" required="N"/>

</group>

</message>

<message name="MyCustomPositionRequest" msgtype="MCM60" msgcat="app">

<field name="MyCustomPositionRequestId" required="Y" />

<group name="MyCustomAccountGroup" required="Y">

<field name="Account" required="Y" />

</group>

</message>

<!-- End Custom Messages -->

<!-- ============================ -->
and in the fields section I have added following -

<!-- ============================== -->
<!-- Begin Custom Messages Fields -->
<field number="1102400" name="MyCustomPositionGroup" type="INT" />
<field number="1102500" name="MyCustomAccountGroup" type="INT" />
<field number="1102600" name="MyCustomPositionRequestId" type="INT"/>
<field number="1101700" name="OpenPosition" type= "INT"/>
<field number="1101800" name="WorkingLong" type="INT"/>
<field number="1101900" name="WorkingShort" type="INT"/>
<!-- End Custom Messages Fields -->
<!-- ============================ -->

I am using C# (2.0) for development and after making the changes in the xml
file, I have rebuild the quickfix solution. When I am using the dll in the
project, I am not getting the class for MyCustomPositionReport and request.
Is there anything else I have to do so that I will get this working?

Thanks in advance,

Regards
Niks.

Re: [Quickfix-developers] Adding Custom Message to Fix42.xml and handling in application

[Brian E. <azz...@ya...>]

This was supposed to be added to the QF documentation, but never
was. I put together a tutorial on custom messages a few years back, and
as QF hasn't really changed much since then, it should still work fine.

http://www.nabble.com/Custom-Messages-Classes-Tutorial-td13495584.html

- Brian Erst


________________________________




________________________________
From: Nikhil Chitnis <nik...@gm...>
To: QuickFix Developers <qui...@li...>
Sent: Friday, February 27, 2009 3:29:53 AM
Subject: [Quickfix-developers] Adding Custom Message to Fix42.xml and handling in application

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Hi,

I have a specific requirement to add a custom message and handle the response for the same. I have done following so far - 

In the Fix42.xml I have added following - 
In the <messages>
section,:
<!-- ============================== -->
<!-- Begin Custom Messages -->
<message name="MyCustomPositionReport" msgtype="MCM59" msgcat="app">
<field name="MyCustomPositionRequestId" required="Y" />
<group name="MyCustomPositionGroup" required="N">
<field name="Account" required="Y" />
<field name="SecurityID" required="N" />
<field name="WorkingLong" required="Y"/>
<field name="WorkingShort" required="Y"/>
<field name="OpenPosition" required="Y"/>
<field name="AvgPx" required="N"/>
<field name="SecurityExchange" required="N"/>
<field name="Symbol" require="N"/>
<field name="MaturityMonthYear" required="N"/>
</group>
</message>
<message name="MyCustomPositionRequest" msgtype="MCM60" msgcat="app">
<field name="MyCustomPositionRequestId" required="Y" />
<group name="MyCustomAccountGroup" required="Y">
<field name="Account" required="Y" />
</group>
</message>
<!-- End Custom Messages -->
<!-- ============================ -->
and in the fields section I have added following - 


<!-- ============================== -->
<!-- Begin Custom Messages Fields -->
<field number="1102400" name="MyCustomPositionGroup" type="INT" />
<field number="1102500" name="MyCustomAccountGroup" type="INT" />
<field number="1102600" name="MyCustomPositionRequestId" type="INT"/>
<field number="1101700" name="OpenPosition" type= "INT"/>
<field number="1101800" name="WorkingLong" type="INT"/>
<field number="1101900" name="WorkingShort" type="INT"/>
<!-- End Custom Messages Fields -->
<!-- ============================ -->

I am using C# (2.0) for development and after making the changes in the xml file, I have rebuild the quickfix solution. When I am using the dll in the project, I am not getting the class for MyCustomPositionReport and request. Is there anything else I have to do so that I will get this working?

Thanks in advance,

Regards
Niks.

Re: [Quickfix-developers] Adding Custom Message

[Brian E. <azz...@ya...>]

That's curious, as the FIX 4.4 standard (as well as the FIX44.xml file shipped with QF 1.12.4) defines "ClOrdId" as NOT required when part of a NoSides group in the TradeCaptureReport.

Did you, perhaps, modify the wrong message? NoSides groups in other messages (NewOrderCross, CrossOrderCancelReplaceRequest) DO require ClOrdId, but that's NOT the case in TradeCaptureReport.

None of this should require a recompile - these are run-time checks.

Has anyone else in the QF community had this problem?

- Brian Erst
Thynk Software, Inc.




________________________________
From: Julian <jul...@pr...>
To: Brian Erst <azz...@ya...>
Sent: Monday, March 2, 2009 8:44:09 AM
Subject: RE: [Quickfix-developers] Adding Custom Message

 
Hi Brian, 
                We are having some trouble on the QF validation
of a message. We thought there was an unseen error on our procedure, but when I
read this on your tutorial I don’t think so:
 
“Second, QuickFIX uses the
"required" attribute of tags when generating constructors for message
objects. If the required attribute is set to "Y", that field will
become part of a constructor. Don't be tempted to set the required attribute to
"Y" on the existing fields of an existing message. Even if your
counterparty requires the RawData field on a Logon message, this
is not the place to force that validation. If you do it here, much of the
QuickFIX build will fail, as many of the acceptance tests will not be able to
construct message objects that have suddenly gained a required parameter. Once
you've built your custom version of QuickFIX, make a copy of your XML files to
your deployment environment and modify those copies to make fields required at
run-time. Perhaps a future version of QuickFIX could add another attribute that
could distinguish between "required for constructors" and
"required for run-time validation".”
 
            English,
as you might see, is my second language; so it’s not much clear to me
what you say. Here is our inconvenient:
 
                The exchange (acceptor) change a message
definition, setting a required field as “not required”, the message
is a TradeCaptureReport (35=”AE”) and the field is ClOrdID(tag
11) in the “NoSide”(tag 552). As we’ve done before, we edit
the FIX4.4 xml to make it valid:
 
            <field
name="ClOrdID" required="N" />
 
                In the corresponding message. To our surprise,
the error persist (QF reject the message saying “Missing required message
field (11)”.
                Can this have anything to do with what you said? 
                What should we do? Rebuild QF libraries? But we
don’t use any Dictionary while building them, the dictionary is added the
settings of a new session…
 
                Thanks,
 
            
 
Julián Mendiola | PSF Developer Leader
http://www.prosoftwarefactory.com.ar

 
From:Brian Erst
[mailto:azz...@ya...] 
Sent: Friday, February 27, 2009 1:54 PM
To: QuickFix Developers
Subject: Re: [Quickfix-developers] Adding Custom Message to Fix42.xml
and handling in application
 
This was supposed to be added
to the QF documentation, but never was. I put together a tutorial on custom
messages a few years back, and as QF hasn't really changed much since then, it
should still work fine.

http://www.nabble.com/Custom-Messages-Classes-Tutorial-td13495584.html

- Brian Erst
 

________________________________
 
 

________________________________
 
From:Nikhil Chitnis
<nik...@gm...>
To: QuickFix Developers
<qui...@li...>
Sent: Friday, February 27, 2009 3:29:53 AM
Subject: [Quickfix-developers] Adding Custom Message to Fix42.xml and
handling in application

QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX Support: http://www.quickfixengine.org/services.html

Hi,
 
I have a specific requirement to add a custom message and
handle the response for the same. I have done following so far - 
 
In the Fix42.xml I have added following - 
In the <messages> section,:
                        <!--
============================== -->
                        <!-- Begin Custom
Messages -->
                        <message
name="MyCustomPositionReport" msgtype="MCM59"
msgcat="app">
                                    <field
name="MyCustomPositionRequestId" required="Y" />
                                    <group
name="MyCustomPositionGroup" required="N">
                                                <field
name="Account" required="Y" />
                                                <field
name="SecurityID" required="N" />
                                                <field
name="WorkingLong" required="Y"/>
                                                <field
name="WorkingShort" required="Y"/>
                                                <field
name="OpenPosition" required="Y"/>
                                                <field
name="AvgPx" required="N"/>
                                                <field
name="SecurityExchange" required="N"/>
                                                <field
name="Symbol" require="N"/>
                                                <field
name="MaturityMonthYear" required="N"/>
                                    </group>
                        </message>
                        <message
name="MyCustomPositionRequest" msgtype="MCM60"
msgcat="app">
                                    <field
name="MyCustomPositionRequestId" required="Y" />
                                    <group
name="MyCustomAccountGroup" required="Y">
                                                <field
name="Account" required="Y" />
                                    </group>
                        </message>
                        <!-- End Custom Messages
-->
                        <!--
============================ -->
and in the fields section I have added following - 
 
                        <!--
============================== -->
                        <!--
Begin Custom Messages Fields -->
                        <field
number="1102400" name="MyCustomPositionGroup"
type="INT" />
                        <field
number="1102500" name="MyCustomAccountGroup"
type="INT" />
                        <field
number="1102600" name="MyCustomPositionRequestId"
type="INT"/>
                        <field
number="1101700" name="OpenPosition" type=
"INT"/>
                        <field
number="1101800" name="WorkingLong"
type="INT"/>
                        <field
number="1101900" name="WorkingShort"
type="INT"/>
                        <!--
End Custom Messages Fields -->
                        <!--
============================ -->
 
I am using C# (2.0) for development and after making the
changes in the xml file, I have rebuild the quickfix solution. When I am using
the dll in the project, I am not getting the class
for MyCustomPositionReport and request. Is there anything else I have to
do so that I will get this working?
 
Thanks in advance,
 
Regards
Niks.
 
 
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