quickfix-users — QuickFIX user support

[Quickfix-users] Quickfix 1.3 - Classloader problems with RMI-based JMX call

[<mat...@hs...>]

Hi,

We currently have a problem with the latest release of QuickfixJ 1.3 and
wonder if you could throw some light on this please.

We have a set of adapters which connect to various FIX-based ECNs, and
these are deployed together in a single web application.  Each adapter is
wrapped via Spring's MBeanExporter to be manageable, supporting start() and
stop() operations.  On the startup of the webapp, each adapter's start()
method is invoked:  all adapters start successfully.  However, if we stop
then restart an adapter through the JMX interface we have, an exception
results:
                              :
        Caused by: quickfix.ConfigError: error during session
initialization
                at
quickfix.mina.initiator.AbstractSocketInitiator.createSessions(AbstractSocketInitiator.java:138)
                at
quickfix.mina.initiator.AbstractSocketInitiator.<init>(AbstractSocketInitiator.java:77)
                at
quickfix.mina.initiator.AbstractSocketInitiator.<init>(AbstractSocketInitiator.java:67)
                at quickfix.SocketInitiator.<init>(SocketInitiator.java:47)
                at
com.somebank.imt.trading.fix.FixClientApplication.getConnector(FixClientApplication.java:117)
                at
com.somebank.imt.trading.fix.FixApplication.start(FixApplication.java:175)
                ... 38 more
        Caused by: java.lang.IllegalArgumentException: interface
quickfix.SessionStateListener is not visible from class loader
                at java.lang.reflect.Proxy.getProxyClass(Proxy.java:353)
                at java.lang.reflect.Proxy.newProxyInstance(Proxy.java:581)
                at quickfix.ListenerSupport.<init>(ListenerSupport.java:35)
                at quickfix.Session.<init>(Session.java:249)
                at
quickfix.DefaultSessionFactory.create(DefaultSessionFactory.java:159)
                at
quickfix.mina.SessionConnector.createSession(SessionConnector.java:112)
                at
quickfix.mina.initiator.AbstractSocketInitiator.createSessions(AbstractSocketInitiator.java:132)
                ... 43 more

I looked at the 1.3 source, in quickfix.ListenerSupport the following code
is executed.  (You are creating a dynamic proxy to override the toString
implementation)

    @SuppressWarnings("unchecked")
    public ListenerSupport(Class<?> listenerClass) {
        ClassLoader classLoader =
Thread.currentThread().getContextClassLoader();
        multicaster = Proxy.newProxyInstance(classLoader, new Class<?>[] {
listenerClass },
                new ListenerInvocationHandler());
    }

This is called from the quickfix.Session class when it is constructed:

    private final ListenerSupport stateListeners = new
ListenerSupport(SessionStateListener.class);

The first time this is invoked, we are in the context of a webapp
classloader, so SessionStateListener is loaded into this classloader within
Tomcat's classloader hierarchy.

The second time this is invoked, we are in the context of an RMI JMX call.
As such the context classloader off the thread is the classloader which has
loaded the MBeanServer implementation, which is part of rt.jar.  By this
time SessionStateListener has been loaded into the webapp classloader
though which is not visible to the other classloader higher in the
hierarchy so our restart fails.

Could you let us know how to fix this please?  We do not want to lift all
quickfix-based stuff higher in the hierarchy since we want our application
to remain deployable as a single webapp-based unit.

One other point, I notice that there is only one implementation of
SessionStateListener (namely SessionAdmin):  is there a good reason to load
this from the context of the calling thread.  Can you not do
this.getClass().getClassLoader() instead?  You cannot do this from within
the constructor, but maybe you could have a postInit() type method where
you would be able to do this.  Without this, other people will face the
same issue we do.

Any help is greatly appreciated and if I have missed something out or am
incorrect in my assumptions then many apologies!  Thanks very much for your
help on this and sorry for the long mail.


Thanks,
Matt

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[Quickfix-users] Upgrading from NON FIX based solution | consulting required

[Hanan H. <han...@gm...>]

Hi All,

 

I am looking for a consulting for upgrading an existing in house automated
system to a FIX based solution.

The job targets are:

1. Definition of the FIX based required solution.

2. Comparing existing products VS developing using QF engine 

 

Just a few words regarding the existing| required solutions details.

 

The Existing system description:

I have multiple clients (about 10-15 ) connected to Desktop application
trading system. 

            All of the orders sending and status is done via a proprietary
API (COM based).

            each automated system sends a few orders a second.

 

A new FIX based solution description

1. Each Client is a FIX acceptor application

            Use NewOrderSingle()  + SendToTarget("Your FIX server").  to
send a new order 

Each client would have its own config file, and each client would have a
SenderCompID which you specify.  When the client calls the SendToTarget it
would be sending it to your FIX acceptor app, which has been configured to
accept connections from each of your clients.

 

2. The FIX server would not only be an acceptor, but it could conceivably
also be configured to have its own instance of an initiator.

That acceptor app could then connect as an initiator to a broker FIX server
and act as a gateway to the broker for all of my clients.

 

 

Best regards,

Hanan Harush

[Quickfix-users] Dynamic Sessions

[Check M. <meo...@gm...>]

Hi All,

I was going through the change log and believe it confirms the changes for
dynamic session addition in QFJ Ver 1.3.

But when I tried to go through the Java source I couldn't find any changes
for the same. Can anybody please confirm that the Ver 1.3 includes the
changes for the dynamic session addition? Is anybody actually using the same
in case of an Acceptor based application?

Thanks in advance.

Me :)

[Quickfix-users] Dynamic Sessions

[Check M. <meo...@gm...>]

Hi All,

I was going through the change log and believe it confirms the changes for
dynamic session addition in QFJ Ver 1.3.

But when I tried to go through the Java source I couldn't find any changes
for the same. Can anybody please confirm that the Ver 1.3 includes the
changes for the dynamic session addition? Is anybody actually using the same
in case of an Acceptor based application?

Thanks in advance.

Me :)

[Quickfix-users] Sessions with TargetSubID/SenderSubID

[Mike P. <mic...@ya...>]

Searched the email archives and found a couple of 
threads on how to handle the need for a TargetSubID on
a session.  Correct me if I'm wrong, but it seems like
the answer is to use the
toAdmin/fromAdmin()/toApp()/fromApp() methods to fill
in the SubId.   It seems like you could make the
session definition have an _optional_ subid definition
so there would not be the need to populate it through
the toAdmin()/fromAdmin()/toApp()/fromApp() methods.

I'm looking to write a fix gateway and it seems rather
inconvienent for sessions that need a subid as
required part of the session definition.

Am I missing something obvious?

- Mike


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[Quickfix-users] Client initiator failover

[mpermar <mp...@gm...>]

Hi all, 

I have been reading QuickFIX/QFJ documentation and patterns and it is clear
to me that it does support server (acceptor) failover. That is I can
configure on the client side reconnection to a different server in case of
failure. 

That is great, but I was wondering now if there is any kind of patterns to
perform client (initiator) failover. My idea is having several clients in an
active-passive scenario so when I shut one client down another client could
become the master. Is there any patterns defined in QuickFIX/QFJ to perform
this? 

Best Regards,
Martin
-- 
View this message in context: http://www.nabble.com/Client-initiator-failover-tf4935806.html#a14127887
Sent from the QuickFIX - User mailing list archive at Nabble.com.

[Quickfix-users] scheduling of sequence number reset

[Jerry S. <jer...@gm...>]

Hi,

I'm really pulling my hair out on this one - can anyone tell me exactly how
to schedule reset of sequence numbers?

I can make my numbers reset by using *ResetOn[Logon|Logout|Disconnect]* but
this is not my use case - I need them to reset every week at a particular
time. I understand how to use StartTime/StartDay etc. to govern my session
lifetime but how can I actually make my sequence numbers reset when the
session re-starts?

Many thanks in advance...

jerry

[Quickfix-users] when does onLogout get called

[Good T. <aa...@rd...>]

hello

We're puzzling over some quickfix behaviour and getting more puzzled as we go through the source

Here are the steps for a logon in broad terms

a fix session is initiatied
onLogout is called

ok, that means that if we need to do any kind of higher level logon stuff, we know exactly when the fix session is up

now, when we log off, that seems to be a different story

there are three calls that we've looked over

nextLogout, disconnect, generateLogout

it seems, in broad terms

fix session is terminated
onLogout is called

that seems opposite to us, it seems like we should get onLogout called before the session is terminated so that we can do "higher level" stuff before the connection goes away (or at least attempt)

is that not possible? are we missing the point?

i'd expect that on a "nice" logout, we should expect onLogout to be called before the session was gone, and if it was a "bad" logout, we'd expect the call to not happen, or if it did, then the session would be "dead"

anyway, any input would be helpful

aaron
-- 
Let's just be friends 
the type of friends that make no special effort to see each other

[Quickfix-users] wrapping minimal functions

[<urb...@sb...>]

Hi,

My team is heading toward some 4.2 cross-platform API modeling of feed and 
execution we'd like to expose externally by C.  We typically code C# or Java 
before committing to Cpp, but modeling cross-platform as API using dll/elf, 
means C#, Mono or QF/J-JNI, SWIG or socket bridge does not model a true API 
or keep us near Cpp source.

We're wondering about possibly extending some of the QF dynamic functions we 
need, by abstracting / exposing duplicate C functions from within the Cpp 
source, hoping we could access the C functions more universally using Pascal 
or similar, to model the interfaces.

*** My question is if this sounds "feasible" or if others can warn of 
pitfalls, at least where limited API modeling is concerned, or if there are 
others that have done similar and might share some experience.

Our Cpp coder is swamped, so odd as the approach may sound, it would still 
benefit over time and flexibility.

Thanks in advance for any input.

Mike 

[Quickfix-users] Need help for Running Quick Fix through Source

[Thiagarajan <th...@ch...>]

I am running Quick Fix source first time . It requires some settings =
file as command line arguements.

Can anybody send me sample configuration or Settings file with details.

And also with complete execution method details. I had gone through the =
documention of Quick Fix . But i am unable to run Acceptor and =
Inititator. can any body help me out?


Regards,
Thiagarajan

[Quickfix-users] ThreadedSocketInitiator hangs during shutdown

[xiaofeng c. <xia...@ya...>]

   
  We have been encountering a fairly reproducible issue when unloading the quickfix library when there are several initiator threads.  The stack info for the relevant threads is included below.  When our engine tries to shut down the ThreadedSocketInitiator, the engine hangs on thread_join for thread 147418032.  Thread 147418032 is hanging because it is waiting to acquire a lock; Simultaneously, thread -1210057808 is waiting to acquire the same lock.  Both Threads 147418032 and -1210057808 work on (this=0x93c6340, s=2).
   
  The fact both threads are trying to remove the same connection thread makes us to think that there is some synchronization failure.
   
  We are running on the 2.4 Redhat Linux kernel.
   
  Can anyone shed some light on this issue? 
   
  Thanks in advance.
   
  -Jeff
   
   
  Backtrace from GDB
   
  (gdb) thread apply all bt
   
  Thread 5 (Thread 147418032 (LWP 6937)):
  #0  0x0092c7a2 in _dl_sysinfo_int80 () from /lib/ld-linux.so.2
  #1  0x00b871ce in __lll_mutex_lock_wait () from /lib/tls/libpthread.so.0
  #2  0x00b83e2b in _L_mutex_lock_35 () from /lib/tls/libpthread.so.0
  #3  0x08c962c4 in ?? ()
  #4  0x00543764 in ?? () from /usr/local/lib/libquickfix.so.10
  #5  0xb7f768e0 in ?? ()
  #6  0x093c6340 in ?? ()
  #7  0x08c962e8 in ?? ()
  #8  0x004a14bc in FIX::ThreadedSocketInitiator::removeThread (this=0x93c6340, s=2) at Mutex.h:64
  #9  0x004a14bc in FIX::ThreadedSocketInitiator::removeThread (this=0x93c61a0, s=13) at Mutex.h:64
  #10 0x004a59b5 in FIX::ThreadedSocketInitiator::socketThread (p=0x92a1b50) at ThreadedSocketInitiator.cpp:222
  #11 0x00b82371 in start_thread () from /lib/tls/libpthread.so.0
  #12 0x00c569be in clone () from /lib/tls/libc.so.6
   
  Thread 4 (Thread -1210057808 (LWP 6938)):
  #0  0x0092c7a2 in _dl_sysinfo_int80 () from /lib/ld-linux.so.2
  #1  0x00b871ce in __lll_mutex_lock_wait () from /lib/tls/libpthread.so.0
  ---Type <return> to continue, or q <return> to quit---
  #2  0x00b83e2b in _L_mutex_lock_35 () from /lib/tls/libpthread.so.0
  #3  0xb7dff2c4 in ?? ()
  #4  0x00543764 in ?? () from /usr/local/lib/libquickfix.so.10
  #5  0xb7f768e0 in ?? ()
  #6  0x093c6340 in ?? ()
  #7  0xb7dff2e8 in ?? ()
  #8  0x004a14bc in FIX::ThreadedSocketInitiator::removeThread (this=0x93c6340, s=2) at Mutex.h:64
  #9  0x004a14bc in FIX::ThreadedSocketInitiator::removeThread (this=0x93c61a0, s=14) at Mutex.h:64
  #10 0x004a59b5 in FIX::ThreadedSocketInitiator::socketThread (p=0x93c14c0) at ThreadedSocketInitiator.cpp:222
  #11 0x00b82371 in start_thread () from /lib/tls/libpthread.so.0
  #12 0x00c569be in clone () from /lib/tls/libc.so.6
   
  Thread 1 (Thread -1208522528 (LWP 6421)):
  #0  0x0092c7a2 in _dl_sysinfo_int80 () from /lib/ld-linux.so.2
  #1  0x00b830fd in pthread_join () from /lib/tls/libpthread.so.0
  #2  0x00513993 in FIX::thread_join (thread=147418032) at Utility.cpp:489
  #3  0x004a16cb in FIX::ThreadedSocketInitiator::onStop (this=0x93c61a0) at ThreadedSocketInitiator.cpp:128
  #4  0x0048a011 in FIX::Initiator::stop (this=0x93c61a0, force=false) at Initiator.cpp:274
  #5  0x080acdf7 in FIXEngineT::Stop (this=0x9216b58) at fixeng.cpp:1087
  #6  0x0808498e in FIXDT::Term (this=0xbff0fae0) at fixd.cpp:231
  #7  0x080864b9 in FIXDT::OnEndOfDay (this=0xbff0fae0) at fixd.cpp:652
  #8  0x080891b9 in FIXDT::ProcessMsg (this=0xbff0fae0, bxmsg=@0xbff0f8d8) at fixd.cpp:466
  #9  0x080899db in FIXDT::QueueCheck (this=0xbff0fae0) at fixd.cpp:501
  #10 0x0808b26d in FIXDT::RunApp (this=0xbff0fae0) at fixd.cpp:176
  #11 0x0808c2a8 in main (argc=5, argv=0xbff10484) at fixd.cpp:79
  (gdb)
   


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[Quickfix-users] ThreadedSocketInitiator hangs during shutdown

[Jeffrey C. <jef...@pi...>]

We have been encountering a fairly reproducible issue when unloading the
quickfix library when there are several initiator threads.  The stack
info for the relevant threads is included below.  When our engine tries
to shut down the ThreadedSocketInitiator, the engine hangs on
thread_join for thread 147418032.  Thread 147418032 is hanging because
it is waiting to acquire a lock; Simultaneously, thread -1210057808 is
waiting to acquire the same lock.  Both Threads 147418032 and
-1210057808 work on (this=3D0x93c6340, s=3D2).

=20

The fact both threads are trying to remove the same connection thread
makes us to think that there is some synchronization failure.

=20

We are running on the 2.4 Redhat Linux kernel.

=20

Can anyone shed some light on this issue?=20

=20

Thanks in advance.

=20

-Jeff

=20

=20

Backtrace from GDB

=20

(gdb) thread apply all bt

=20

Thread 5 (Thread 147418032 (LWP 6937)):

#0  0x0092c7a2 in _dl_sysinfo_int80 () from /lib/ld-linux.so.2

#1  0x00b871ce in __lll_mutex_lock_wait () from /lib/tls/libpthread.so.0

#2  0x00b83e2b in _L_mutex_lock_35 () from /lib/tls/libpthread.so.0

#3  0x08c962c4 in ?? ()

#4  0x00543764 in ?? () from /usr/local/lib/libquickfix.so.10

#5  0xb7f768e0 in ?? ()

#6  0x093c6340 in ?? ()

#7  0x08c962e8 in ?? ()

#8  0x004a14bc in FIX::ThreadedSocketInitiator::removeThread
(this=3D0x93c6340, s=3D2) at Mutex.h:64

#9  0x004a14bc in FIX::ThreadedSocketInitiator::removeThread
(this=3D0x93c61a0, s=3D13) at Mutex.h:64

#10 0x004a59b5 in FIX::ThreadedSocketInitiator::socketThread
(p=3D0x92a1b50) at ThreadedSocketInitiator.cpp:222

#11 0x00b82371 in start_thread () from /lib/tls/libpthread.so.0

#12 0x00c569be in clone () from /lib/tls/libc.so.6

=20

Thread 4 (Thread -1210057808 (LWP 6938)):

#0  0x0092c7a2 in _dl_sysinfo_int80 () from /lib/ld-linux.so.2

#1  0x00b871ce in __lll_mutex_lock_wait () from /lib/tls/libpthread.so.0

---Type <return> to continue, or q <return> to quit---

#2  0x00b83e2b in _L_mutex_lock_35 () from /lib/tls/libpthread.so.0

#3  0xb7dff2c4 in ?? ()

#4  0x00543764 in ?? () from /usr/local/lib/libquickfix.so.10

#5  0xb7f768e0 in ?? ()

#6  0x093c6340 in ?? ()

#7  0xb7dff2e8 in ?? ()

#8  0x004a14bc in FIX::ThreadedSocketInitiator::removeThread
(this=3D0x93c6340, s=3D2) at Mutex.h:64

#9  0x004a14bc in FIX::ThreadedSocketInitiator::removeThread
(this=3D0x93c61a0, s=3D14) at Mutex.h:64

#10 0x004a59b5 in FIX::ThreadedSocketInitiator::socketThread
(p=3D0x93c14c0) at ThreadedSocketInitiator.cpp:222

#11 0x00b82371 in start_thread () from /lib/tls/libpthread.so.0

#12 0x00c569be in clone () from /lib/tls/libc.so.6

=20

Thread 1 (Thread -1208522528 (LWP 6421)):

#0  0x0092c7a2 in _dl_sysinfo_int80 () from /lib/ld-linux.so.2

#1  0x00b830fd in pthread_join () from /lib/tls/libpthread.so.0

#2  0x00513993 in FIX::thread_join (thread=3D147418032) at =
Utility.cpp:489

#3  0x004a16cb in FIX::ThreadedSocketInitiator::onStop =
(this=3D0x93c61a0)
at ThreadedSocketInitiator.cpp:128

#4  0x0048a011 in FIX::Initiator::stop (this=3D0x93c61a0, force=3Dfalse) =
at
Initiator.cpp:274

#5  0x080acdf7 in FIXEngineT::Stop (this=3D0x9216b58) at fixeng.cpp:1087

#6  0x0808498e in FIXDT::Term (this=3D0xbff0fae0) at fixd.cpp:231

#7  0x080864b9 in FIXDT::OnEndOfDay (this=3D0xbff0fae0) at fixd.cpp:652

#8  0x080891b9 in FIXDT::ProcessMsg (this=3D0xbff0fae0, =
bxmsg=3D@0xbff0f8d8)
at fixd.cpp:466

#9  0x080899db in FIXDT::QueueCheck (this=3D0xbff0fae0) at fixd.cpp:501

#10 0x0808b26d in FIXDT::RunApp (this=3D0xbff0fae0) at fixd.cpp:176

#11 0x0808c2a8 in main (argc=3D5, argv=3D0xbff10484) at fixd.cpp:79

(gdb)

=20



Disclaimer: Any references to Pipeline performance contained herein are =
based on historic performance levels which Pipeline expects to maintain =
or exceed but nevertheless does not guarantee. Congested networks, price =
volatility, or other extraordinary events may impede future trading =
activities and degrade performance statistics.

Re: [Quickfix-users] Exchange Simulator for local testing

[Rodrick B. <rod...@gm...>]

On 10/19/07, Ted Graham <tg...@co...> wrote:
>
> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
>
>  Can anyone recommend an exchange simulator for testing my FIX and Order
> Management logic?  I started using the ordermatch example, but it doesn't
> even allow for CancelReplacing orders, and I'd rather have a more robust
> solution.
>
>
>
> Local or hosted is fine.
>
> Pay or free is fine.
>
>
>

At my firm we use Aegis Client Simulator and Exchange Simulator (Xsim),
these two products are probably the best in the business for FIX
certification and testing, checkout www.aegisoft.com

  Anyone have experience with B2Bits REEF environment?
>
>
>
> Ted
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Splunk Inc.
> Still grepping through log files to find problems?  Stop.
> Now Search log events and configuration files using AJAX and a browser.
> Download your FREE copy of Splunk now >> http://get.splunk.com/
> _______________________________________________
> Quickfix-users mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-users
>
>


-- 
Rodrick R. Brown
http://www.rodrickbrown.com

Re: [Quickfix-users] Exchange Simulator for local testing

[James P M. I. <jmi...@bl...>]

<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
  <meta content="text/html;charset=ISO-8859-1" http-equiv="Content-Type">
  <title></title>
</head>
<body bgcolor="#ffffff" text="#000000">
Both ARCA and CME have development environments that you should
consider using if you meet the eligibility requirements. I would add
that ARCA's FIX 4.2 implementation is excellent, while CME's is a very
bastardized FIX. These 2 extremes should give you some good experience
with real world implementations and some of the "flavoring" that you
will need to do for real apps.<br>
<br>
Also, if your brokers support DMA type trading through their FIX
engines, then you should be able to get test sessions created with them.<br>
<br>
Ted Graham wrote:
<blockquote cite="mid:00f901c8128b$1c492950$54db7bf0$@com" type="cite">
  <pre wrap="">QuickFIX Documentation: <a class="moz-txt-link-freetext" href="http://www.quickfixengine.org/quickfix/doc/html/index.html">http://www.quickfixengine.org/quickfix/doc/html/index.html</a>
QuickFIX Support: <a class="moz-txt-link-freetext" href="http://www.quickfixengine.org/services.html">http://www.quickfixengine.org/services.html</a>

  </pre>
  <br>
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 <o:shapedefaults v:ext="edit" spidmax="1026" />
</xml><![endif]--><!--[if gte mso 9]><xml>
 <o:shapelayout v:ext="edit">
  <o:idmap v:ext="edit" data="1" />
 </o:shapelayout></xml><![endif]-->
  <div class="Section1">
  <p class="MsoNormal">Can anyone recommend an exchange simulator for
testing my
FIX and Order Management logic?&nbsp; I started using the ordermatch
example,
but it doesn&#8217;t even allow for CancelReplacing orders, and I&#8217;d
rather have a more robust solution.<o:p></o:p></p>
  <p class="MsoNormal"><o:p>&nbsp;</o:p></p>
  <p class="MsoNormal">Local or hosted is fine.<o:p></o:p></p>
  <p class="MsoNormal">Pay or free is fine.<o:p></o:p></p>
  <p class="MsoNormal"><o:p>&nbsp;</o:p></p>
  <p class="MsoNormal">Anyone have experience with B2Bits REEF
environment?<o:p></o:p></p>
  <p class="MsoNormal"><o:p>&nbsp;</o:p></p>
  <p class="MsoNormal">Ted<o:p></o:p></p>
  </div>
  <pre wrap="">
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  <pre wrap="">
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_______________________________________________
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  </pre>
</blockquote>
<pre class="moz-signature" cols="72">-- 
James P Michels III

</pre>
</body>
</html>

Re: [Quickfix-users] [Quickfixj-users] Exchange Simulator for local testing

[Toli K. <to...@ma...>]

Ted,

We've had a good experience using the TransactTools FIX certification
engine at http://www.openfix.net/ . You'll have to register with them
first, of course, which is sometimes convoluted and may take a week.

We are also hosting a FIX exchange simulator at
http://exchange.marketcetera.org, but it doesn't support currencies or
cancel/replace yet either.
You can generate a senderCompID for it at
http://www.marketcetera.com/contacts/register , and then connect to
FIX IP: exchange.marketcetera.com
port: 7001

hope this helps.

On 10/19/07, Ted Graham <tg...@co...> wrote:
> QuickFIX/J Documentation:
> http://www.quickfixj.org/documentation/
> QuickFIX/J Support: http://www.quickfixj.org/support/
>
>
>
>
>
> Can anyone recommend an exchange simulator for testing my FIX and Order
> Management logic?  I started using the ordermatch example, but it doesn't
> even allow for CancelReplacing orders, and I'd rather have a more robust
> solution.
>
>
>
> Local or hosted is fine.
>
> Pay or free is fine.
>
>
>
> Anyone have experience with B2Bits REEF environment?
>
>
>
> Ted
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Splunk Inc.
> Still grepping through log files to find problems?  Stop.
> Now Search log events and configuration files using AJAX and a browser.
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> _______________________________________________
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>
>


-- 
Toli Kuznets
http://www.marketcetera.com: Open-Source Trading Platform
download.run.trade.

[Quickfix-users] Exchange Simulator for local testing

[Ted G. <tg...@Co...>]

Can anyone recommend an exchange simulator for testing my FIX and Order
Management logic?  I started using the ordermatch example, but it doesn't
even allow for CancelReplacing orders, and I'd rather have a more robust
solution.

 

Local or hosted is fine.

Pay or free is fine.

 

Anyone have experience with B2Bits REEF environment?

 

Ted

[Quickfix-users] Copying QuickFix messages

[Sam S. <sa...@if...>]

Hi,

=20

I need to a deep clone of a QuickFix message, retaining its type. I have
written the following method in C#.

=20

It seems to work.

=20

Having examine the C++ code of the fix library and the underlying types
I believe that this should do a by-value copy.

=20

Please can anyone let me know if there are any problems with this, or
there is a better way to do it?

=20

            public static QuickFix.Message DeepCopyFixMessage
(QuickFix.Message inputMessage)

            {

                  QuickFix.Message outputMessage;

=20

                  outputMessage =3D (QuickFix.Message)
System.Activator.CreateInstance (inputMessage.GetType ());

                  unsafe

                  {

                        outputMessage.setUnmanaged
(inputMessage.unmanaged ());

                  }

=20

                  return outputMessage;

            }

Sam Smith
Intelligent Financial Systems Ltd



=20

Re: [Quickfix-users] Order and Position management

[James P M. I. <jmi...@bl...>]

<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
  <meta content="text/html;charset=ISO-8859-1" http-equiv="Content-Type">
</head>
<body bgcolor="#ffffff" text="#000000">
We wrote our own. I will say that I was happy with the way the QuickFix
design allowed us to tightly couple our OMS to the message engine.<br>
<br>
Ted Graham wrote:
<blockquote cite="mid:008401c81037$c2f54a00$48dfde00$@com" type="cite">
  <pre wrap="">QuickFIX Documentation: <a class="moz-txt-link-freetext" href="http://www.quickfixengine.org/quickfix/doc/html/index.html">http://www.quickfixengine.org/quickfix/doc/html/index.html</a>
QuickFIX Support: <a class="moz-txt-link-freetext" href="http://www.quickfixengine.org/services.html">http://www.quickfixengine.org/services.html</a>

  </pre>
  <br>
  <hr size="4" width="90%"><br>
  <meta http-equiv="Content-Type" content="text/html; ">
  <meta name="Generator" content="Microsoft Word 12 (filtered medium)">
  <style>
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</xml><![endif]--><!--[if gte mso 9]><xml>
 <o:shapelayout v:ext="edit">
  <o:idmap v:ext="edit" data="1" />
 </o:shapelayout></xml><![endif]-->
  <div class="Section1">
  <p class="MsoNormal"><o:p>&nbsp;</o:p></p>
  <p class="MsoNormal">QuickFix is great for sending and receiving FIX
messages,
but it seems that order and position management is a bigger job.&nbsp; By
this
I mean:<o:p></o:p></p>
  <p class="MsoNormal">+ keeping track of orders, including their
current state<o:p></o:p></p>
  <p class="MsoNormal">+ keeping track of your current position, based
on fills
that have come in for orders<o:p></o:p></p>
  <p class="MsoNormal"><o:p>&nbsp;</o:p></p>
  <p class="MsoNormal">I don&#8217;t see any support for this in QF.&nbsp; Am I
missing it?&nbsp; If not, are there are tools or libraries to make this
easier?<o:p></o:p></p>
  <p class="MsoNormal"><o:p>&nbsp;</o:p></p>
  <p class="MsoNormal">Thanks,<o:p></o:p></p>
  <p class="MsoNormal">Ted<o:p></o:p></p>
  </div>
  <pre wrap="">
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Re: [Quickfix-users] [Quickfixj-users] Order and Position management

[Toli K. <to...@ma...>]

Hey Ted,

I don't want to sound like a "marketing drone", but this is exactly
why we built Marketcetera :)

QFJ is a great library for communicating with FIX destination, but
it's limited to that only.

Marketcetera Platform does exactly what you are asking for: it
consists of an OMS, an end-user GUI that lets you trade and manage
orders (http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/Photon)
and Tradebase, a positions and basic risk analysis and P&L web-app
(http://trac.marketcetera.org/trac.fcgi/wiki/Marketcetera/Tradebase).

It's also an open-source project, and it's built on top of Quickfix/J,
as you can imagine.

feel free to send me email directly if you have any questions, or take
a look at http://trac.marketcetera.org/ for more information.

> QuickFix is great for sending and receiving FIX messages, but it seems that
> order and position management is a bigger job.  By this I mean:
>
> + keeping track of orders, including their current state
>
> + keeping track of your current position, based on fills that have come in
> for orders
> I don't see any support for this in QF.  Am I missing it?  If not, are there
> are tools or libraries to make this easier?


-- 
Toli Kuznets
http://www.marketcetera.com: Open-Source Trading Platform
download.run.trade.

Re: [Quickfix-users] Order and Position management

[Jonathan K. <jon...@gm...>]

You have to write your own or buy one.  I'm doing that right now -- take a
look at the code for tradeclient.cpp and you can back everything in to a SQL
database.

On 10/16/07, Ted Graham <tg...@co...> wrote:
>
> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
>
>
> QuickFix is great for sending and receiving FIX messages, but it seems
> that order and position management is a bigger job.  By this I mean:
>
> + keeping track of orders, including their current state
>
> + keeping track of your current position, based on fills that have come in
> for orders
>
>
>
> I don't see any support for this in QF.  Am I missing it?  If not, are
> there are tools or libraries to make this easier?
>
>
>
> Thanks,
>
> Ted
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Splunk Inc.
> Still grepping through log files to find problems?  Stop.
> Now Search log events and configuration files using AJAX and a browser.
> Download your FREE copy of Splunk now >> http://get.splunk.com/
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>
>


-- 
--
Jonathan Kalbfeld
ThoughtWave Technologies LLC
www.thoughtwave.com
+1 323 620 6682

[Quickfix-users] Order and Position management

[Ted G. <tg...@Co...>]

 

QuickFix is great for sending and receiving FIX messages, but it seems that
order and position management is a bigger job.  By this I mean:

+ keeping track of orders, including their current state

+ keeping track of your current position, based on fills that have come in
for orders

 

I don't see any support for this in QF.  Am I missing it?  If not, are there
are tools or libraries to make this easier?

 

Thanks,

Ted

[Quickfix-users] Performance tests for various QuickFix flavors (with numbers)

[Ted G. <tg...@Co...>]

I'm building an arbitrage system, so responding to FIX messages quickly is
essential.  I don't need to process hundreds of messages a second, but I
need to respond to the messages that arrive very quickly.  

 

I wrote a simple Initiator client that just logs in.  Once Logon is
complete, I change the client's heartbeat interval to be very long, so the
client quits sending HeartBeats.  Therefore the server will send a
TestRequest every few seconds, and QuickFix will respond with a heartbeat.  

 

I'm interested in the turnaround time to do that message processing.  I used
Wireshark to capture the network traffic so I could see how long it takes
the client to respond.  

 

To make the times as fast as possible,  I've done the following:

+ The Log level is WARN, so nothing is being logged 

+ Using the MemoryStore for messages 

+ UseDataDictionary, ValidateFieldsHaveValues, CheckCompID and CheckLatency
are all turned off 

+ SocketTcpNoDelay is turned on

 

I did this for QuickFix, QuickFix/JNI, QuickFix from C# and QuickFix/J.  I
was pleased with how easy it was to get this test running using the various
flavors of QuickFix.  The average time to respond in MICROseconds is as
follows:

QuickFix: 235

QuickFix/JNI: 550

QuickFix/C#: 483

QuickFix/J: 501

 

I don't think the JVI vs .NET vs QuickFixJ differences are significant, but
the C++ times are significantly faster than anything else.  For the two Java
apps, I spent some time tuning the JVM's params; I also tried the JRockit
JVM.

 

My question for the group: Is there an architectural reason why QuickFix
outperforms QuickFix/J?  Or is this a case of C++ being faster than Java in
this problem domain (network programming and byte manipulation)?

 

Thanks,

Ted

 

 

 

[Quickfix-users] Problem connecting to broker

[abaraff <ab...@ra...>]

I=E2=80=99m in the process of building my first FIX application, but I=E2=
=80=99m running in
to some trouble getting connectivity to my broker=E2=80=99s system.  I=E2=
=80=99ve
implemented a pretty basic SocketInitiator C# application that looks like
this:

public class Program
    {
        protected static QuickFix.SocketInitiator _initiator;
        protected static QuickFix.Application _application;
        protected static QuickFix.FileLogFactory _logFactory;
        protected static QuickFix.MessageFactory _messageFactory;
        protected static QuickFix.SessionSettings _settings;
        protected static QuickFix.FileStoreFactory _storeFactory;
        /// <summary>
        /// The main entry point for the application.
        /// </summary>
        [STAThread]
        static void Main()
        {
            _settings =3D new QuickFix.SessionSettings("sessionsettings.txt=
");
            _application =3D new QuickFixApp();
            _storeFactory =3D new QuickFix.FileStoreFactory(_settings);
            _logFactory =3D new QuickFix.FileLogFactory(_settings);
            _messageFactory =3D new QuickFix.DefaultMessageFactory();
            _initiator =3D new QuickFix.SocketInitiator(_application,
_storeFactory, _settings, _logFactory, _messageFactory );
            _initiator.start();
            for (int i =3D 0; i < 20; i++)
            {
                System.Threading.Thread.Sleep(1000);
              =20
System.Diagnostics.Debug.WriteLine(_initiator.isLoggedOn().ToString());
            }
            _initiator.stop();=20
        }

class QuickFixApp : QuickFix.Application
    {
        public void fromAdmin(Message p1, SessionID p2)
        {
            System.Diagnostics.Debug.WriteLine("fromAdmin\tMessage\t" +
p1.ToString());
            System.Diagnostics.Debug.WriteLine("fromAdmin\tSession\t" +
p2.ToString());
        }

        public void fromApp(Message p1, SessionID p2)
        {
            System.Diagnostics.Debug.WriteLine("fromApp\t" + p1.ToString())=
;
            System.Diagnostics.Debug.WriteLine("fromApp\tSession\t" +
p2.ToString());
        }

        public void onCreate(SessionID p1)
        {
            System.Diagnostics.Debug.WriteLine("onCreate\t" +
p1.ToString());
        }

        public void onLogon(SessionID p1)
        {
            System.Diagnostics.Debug.WriteLine("onLogon\t" + p1.ToString())=
;
        }

        public void onLogout(SessionID p1)
        {
            System.Diagnostics.Debug.WriteLine("onLogout\t" +
p1.ToString());
        }

        public void toAdmin(Message p1, SessionID p2)
        {
            System.Diagnostics.Debug.WriteLine("toAdmin\tMessage\t" +
p1.ToString());
            System.Diagnostics.Debug.WriteLine("toAdmin\tSession\t" +
p2.ToString());
        }

        public void toApp(Message p1, SessionID p2)
        {
            System.Diagnostics.Debug.WriteLine("toApp\t" + p1.ToString());
            System.Diagnostics.Debug.WriteLine("toApp\tSession\t" +
p2.ToString());
        }
    }

When I run it I get an onCreate event that prints out my
BeginString:SenderCompID->TargetCompID.  Then I never get another event, no=
r
does isLoggedOn() return true at any point.  My event log file has three
lines:

20071010-22:32:28 : Created session
20071010-22:32:28 : Connecting to  <Remote Machine's IP> on port <Remote
Machine's Port>
20071010-22:40:53 : Created session

That's it.  Is my app ever getting a connection to the remote computer?  At
what point is this stuff breaking down?  I'd like to be able to tell the
guys at the brokerage exactly where I'm stuck but it's tough with so little
experience.

Thanks,

Anthony=20
--=20
View this message in context: http://www.nabble.com/Problem-connecting-to-b=
roker-tf4606964.html#a13154911
Sent from the QuickFIX - User mailing list archive at Nabble.com.

[Quickfix-users] Multithread in handling FIX messages

[Oksana C. <ch...@to...>]

Hi,

I'm Oksana Chucha from Tocarema company.
I'm starting to use QuickFix library and I have some questions about its =
possibility:

1) There is the queue in Session, function nextQueued allows to get =
messages from it. But I see QuickFix put there messages only at =
ResendReply(in Session::doTargetTooHigh). What is the exact purpose of =
this queue?=20

SessionState:: typedef std::map < int, Message > Messages;
SessionState::Messages m_queue;

Can we use it to keep all messages, not only which we get on Resend? If =
so, how these messages can be put into this queue (out of QuickFix =
code), because Session::m_state is not public member and there is not =
public function which can return it.


2) I tried to use object from Queue.h : I see template class Queue has =
function Queue::wait(), which executes function Event::wait(). But there =
should be parameter wait(double s): we don't have Event::wait(VOID).

Oksana

Tocarema Technology

Re: [Quickfix-users] Multicast in QuickFIX

[Rodrick B. <rod...@gm...>]

On 10/3/07, John Doe <sla...@gm...> wrote:
> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support:
> http://www.quickfixengine.org/services.html
>
>
> Hi all,
> I've been playing with the quickfix engine a bit but was not able to find
> any info about how to create a Publisher/Subscriber
> channel. I mean one publisher and N
> subscribers, publisher sending market data feeds over
> multicast. Is it at all possible? The FIX Protocol official
> page has some docs on multicast but in
> majority it's about recommendations not how to implement
> the multicast communication in practice.
>
> Any hint/advice appreciated.
>
> Thanks in advance.
>
> Regards,
>   John Doe
>
If its not part of the FIX API specification you wont find much
support in QuickFix.

>
>
> -------------------------------------------------------------------------
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> Still grepping through log files to find problems?  Stop.
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>
>


-- 
Rodrick R. Brown
http://www.rodrickbrown.com