quickfix-users — QuickFIX user support

[Quickfix-users] Multicast in QuickFIX

[John D. <sla...@gm...>]

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

[Quickfix-users] A timezone question.

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

If I wanted to start a daily session at 1am CST, how would I specify 
that in the quickfix config files. I've always used GMT times, so 1am 
CST is really like 20 hundred hours of the previous day.

Can someone give me an example of a 1am CST start time and 12pm CST end 
time for a daily session?

-- 
James P Michels III
Bluefin Trading LLC
jmi...@bl...
914-227-9511 (office)
215-431-7644 (cell)
 

[Quickfix-users] Dynamically creating connections

[Ben P. <bp...@ga...>]

Actually I have two questions:

1)       Can you create connections dynamically? It seems very rigid to
require all sessions to be set up in the configuration file ahead of
time.

2)       Can you configure outgoing connections without using a file?

=20

Benjamin Peikes

Lead Architect

Gargoyle Strategic Investments

Office: 201-227-2209

Cell: 917-687-8773

=20

Re: [Quickfix-users] MarketDataIncrementalRefresh Rejected

[Malinka R. <ael...@gm...>]

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[Quickfix-users] MarketDataIncrementalRefresh Rejected

[Malinka R. <ael...@gm...>]

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[Quickfix-users] Fwd: [Quickfix-developers] Quickfix-developers Digest, Vol 16, Issue 3

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

I know not everyone on quickfix-users is subscribed to
quickfix-developers, and many have been asking for coding samples.
Thomas Bakker was kind enough to provide the following.

---------- Forwarded message ----------
From: Thomas Bakker <th...@ik...>
Date: Sep 24, 2007 11:12 AM
Subject: Re: [Quickfix-developers] Quickfix-developers Digest, Vol 16, Issue 3
To: qui...@li...


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

Here's a bit of sample VB.net code:

'Code for connecting
   Public Sub Run(ByVal configFile As String)
       ratesAPI = New FIXRates
       ratesAPI.form = m_form

       ratesSessionSettings = New SessionSettings(configFile)
       ratesMemoryStoreFactory = New MemoryStoreFactory()
       ratesFileLogFactory = New FileLogFactory(ratesSessionSettings)
       ratesMessageFactory = New DefaultMessageFactory()

       Utils.Log("Initiating rates connection instance...")
       ratesInitiator = New SocketInitiator(ratesAPI,
ratesMemoryStoreFactory, ratesSessionSettings, ratesFileLogFactory,
ratesMessageFactory)

       ratesInitiator.start()

       While Not m_stopme
           Thread.Sleep(25)
       End While

       ratesInitiator.stop()
       ratesInitiator.Dispose()
   End Sub

I have the above code in a class, and the below code in the FIXRates class
(mentioned above).

'Some part of the message handling code:
  Public Sub fromApp(ByVal message As QuickFix.Message, ByVal sessionID As
QuickFix.SessionID) Implements QuickFix.Application.fromApp
       'Utils.Log("from app - rates")
       'Utils.Log(message.ToString)
       crack(message, sessionID)
   End Sub
   Public Sub send(ByVal message As QuickFix.Message)
       Try
           QuickFix.Session.sendToTarget(message, m_sessionID)
       Catch ex As Exception
           Utils.Log(ex.Message)
       End Try
   End Sub

   Public Overloads Overrides Sub onMessage(ByVal msg As
QuickFix42.BusinessMessageReject, ByVal sessionID As QuickFix.SessionID)
       Utils.Log("msg - BusinessMessageReject")
       Utils.Log(msg.ToString)
   End Sub
   Public Overloads Overrides Sub onMessage(ByVal msg As
QuickFix42.MarketDataSnapshotFullRefresh, ByVal sessionID As
QuickFix.SessionID)
       Utils.Log("msg - MarketDataSnapshotFullRefresh")
       Utils.Log(msg.ToString)
   End Sub
   Public Overloads Overrides Sub onMessage(ByVal msg As
QuickFix42.MarketDataRequest, ByVal sessionID As QuickFix.SessionID)
       Utils.Log("msg - MarketDataRequest")
       Utils.Log(msg.ToString)
   End Sub

   Public Overloads Overrides Sub onMessage(ByVal msg As
QuickFix42.MarketDataIncrementalRefresh, ByVal sessionID As
QuickFix.SessionID)
       [..]
   End Sub

Et cetera.

Thomas Bakker
Skype: ThomasDutch (add me if you want)




-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2005.
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_______________________________________________
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-- 
Rodrick R. Brown
http://www.rodrickbrown.com

[Quickfix-users] A quickfix book?

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

Okay, so I now have a working trading application, my own OMS written on top
of MySQL, and I am at the point where I'd like to invest in a
QuickFIX-centric learning text.  Does such a book exist?  If not, is there
interest in writing one?

O'Reilly and associates might be willing to fund such an effort.  I'd
imagine that a Bear & Bull would go nicely on the cover. ;)

jonathan

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

[Quickfix-users] help with linking errors

[Malinka R. <ael...@gm...>]

hi i seem to be having a problem compiling either the samples or a program i
made to try to make a fix engine communication the everything compiles fine
but then when it gets to linking it fails for some reason or another, I've
tried with a compiled locally version of Quickfix (debug and release) and
with the binary release, I'm using windows VS6, as a note the exact same
code for my project I'm trying to make compiles and runs fine from *nix with
quick fix installed

if anyone could help me it would much appreciated

[Quickfix-users] Subclassing Factories

[<ath...@jp...>]

I would like to subclass FileLog. But my knowledge of Swig is just not 
that good. 



class LogFactory(quickfix.FileLogFactory):
       def __init__(self, path):
               print 'logger factory created', path
               quickfix.FileLogFactory.__init__(self, path)

        def create(*args):
                print 'factor create', sessionID
                return SomeLogger(*args)


Gives me this:

def main():
        settings = quickfix.SessionSettings('Config/Fix/fix.cfg')
        storeFactory = quickfix.FileStoreFactory( settings )
        logFactory = LogFactory( settings )
        initiator = quickfix.SocketInitiator( Callback(), storeFactory, 
settings, logFactory )
        initiator.start()

I will get the below, ie.e LogFactory.create is never called. *args is 
probably the culprit but I've tried a lot of things, but get into the 
infamous "NotImplementedError: No matching function for overloaded 
'new_FileLogFactory'" trap.


logger factory created somepath
2007-09-20 13:16:41,561 INFO onCreate, sessionID=FIX.4.2:ATHENA->JPMDCPROD
2007-09-20 13:16:41,574 INFO onCreate, 
sessionID=FIX.4.2:ATHENATT->JPMDCPROD
2007-09-20 13:16:41,809 INFO toAdmin, 
sessionID,message=FIX.4.2:ATHENA->JPMDCPROD,8=FIX.4.29=7435=A34=1129349=ATHENA52=20070920-17:16:41.80956=JPMDCPROD98=0108=3010=043
2007-09-20 13:16:41,818 INFO toAdmin, 
sessionID,message=FIX.4.2:ATHENATT->JPMDCPROD,8=FIX.4.29=7635=A34=1129249=ATHENATT52=20070920-17:16:41.81856=JPMDCPROD98=0108=3010=212




-----------------------------------------
This communication is for informational purposes only. It is not
intended as an offer or solicitation for the purchase or sale of
any financial instrument or as an official confirmation of any
transaction. All market prices, data and other information are not
warranted as to completeness or accuracy and are subject to change
without notice. Any comments or statements made herein do not
necessarily reflect those of JPMorgan Chase & Co., its subsidiaries
and affiliates.

This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure
under applicable law. If you are not the intended recipient, you
are hereby notified that any disclosure, copying, distribution, or
use of the information contained herein (including any reliance
thereon) is STRICTLY PROHIBITED. Although this transmission and any
attachments are believed to be free of any virus or other defect
that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it
is virus free and no responsibility is accepted by JPMorgan Chase &
Co., its subsidiaries and affiliates, as applicable, for any loss
or damage arising in any way from its use. If you received this
transmission in error, please immediately contact the sender and
destroy the material in its entirety, whether in electronic or hard
copy format. Thank you.

Please refer to http://www.jpmorgan.com/pages/disclosures for
disclosures relating to UK legal entities.

[Quickfix-users] cannot find symbol Header

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

Just testing my quickfix installation and notice I'm unable to
instance the Header class

import quickfix.field.*;
class Main {
    public static void main(String[] args) {
            System.loadLibrary("quickfix_jni");
            Message message = new Message();
            Header header = message.getHeader();

            header.setField(new BeginString("FIX.4.2"));
            System.out.println(message);
        }
}

-bash-3.00$ echo $LD_LIBRARY_PATH
/opt/quickfix/lib
bash-3.00$ javac -cp /opt/quickfix/lib/quickfix.jar Main.java
Main.java:7: cannot find symbol
symbol  : class Header
location: class Main
                Header header = message.getHeader();
                ^
1 error

Re: [Quickfix-users] PERL modules?

[Oren M. <or...@qu...>]

Not currently.  There is a ruby and python frontend, so you could use  
frameworks like Ruby on Rails  or Django and access the quickfix API  
into those.

--oren

On Sep 14, 2007, at 1:38 AM, Jonathan Kalbfeld wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ 
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hello,
>
> I finally got my quickfix application finely tuned.  I have  
> rewritten ordermatch to use MySQL, am adding an OMS to track  
> holdings using the FIX::Account field of the message, and am  
> working on a quote application.
>
> Is there a good web front-end in PHP or PERL, or even C++?  I am  
> tempted to write a bunch of CGI stuff in C++ but I want to avoid  
> that if possible.
>
> jonathan
>
> -- 
> --
> Jonathan Kalbfeld
> ThoughtWave Technologies LLC
> www.thoughtwave.com
> +1 323 620 6682
> ---------------------------------------------------------------------- 
> ---
> This SF.net email is sponsored by: Microsoft
> Defy all challenges. Microsoft(R) Visual Studio 2005.
> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ 
> _______________________________________________
> Quickfix-users mailing list
> Qui...@li...
> https://lists.sourceforge.net/lists/listinfo/quickfix-users

Re: [Quickfix-users] Visual Studio 2005

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

Hi Bobby,

 

I guess you will need to Add reference to your project.

you can do it by Project-> Add Reference

 

Regards

Hanan

 

  _____  

From: qui...@li...
[mailto:qui...@li...] On Behalf Of Bobby
Richards
Sent: Friday, September 14, 2007 5:26 AM
To: qui...@li...
Subject: [Quickfix-users] Visual Studio 2005

 

All,

I am not to familiar with visual studio (not for years)  I have quickfix
working on OS X and Linux but I cant get it working on windows.  I opened
the quickfix_vs8 solution file and built everything, it seemed to work, no
errors but then when I tried to load a sample and build/run it I get the
error 'cannot open file 'quickfix.lib'  which obviously means I did not do
it right.

Is there a particular location that I need to extract the quickfix directory
to, and then build the project?

All help is greatly appreciated.

Bobby 

Re: [Quickfix-users] Visual Studio 2005

[Keith M. <ke...@ja...>]

Visual Studio 2005Click on the Project->ProjectName Properties. Expand
Configuration Properties. Expand Linker. Click on General. Add the location
of quickfix.lib (usually quickfix/lib/debug for debug builds or
quickfix/lib/release for release builds) to Additional Library Directories.
Click on Input. Add quickfix.lib to Additional Dependencies.

It should now build correctly.

HTH
Keith
  -----Original Message-----
  From: qui...@li...
[mailto:qui...@li...]On Behalf Of Bobby
Richards
  Sent: 14 September 2007 04:26
  To: qui...@li...
  Subject: [Quickfix-users] Visual Studio 2005


  All,

  I am not to familiar with visual studio (not for years)  I have quickfix
working on OS X and Linux but I cant get it working on windows.  I opened
the quickfix_vs8 solution file and built everything, it seemed to work, no
errors but then when I tried to load a sample and build/run it I get the
error 'cannot open file 'quickfix.lib'  which obviously means I did not do
it right.

  Is there a particular location that I need to extract the quickfix
directory to, and then build the project?

  All help is greatly appreciated.

  Bobby

[Quickfix-users] PERL modules?

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

Hello,

I finally got my quickfix application finely tuned.  I have rewritten
ordermatch to use MySQL, am adding an OMS to track holdings using the
FIX::Account field of the message, and am working on a quote application.

Is there a good web front-end in PHP or PERL, or even C++?  I am tempted to
write a bunch of CGI stuff in C++ but I want to avoid that if possible.

jonathan

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

[Quickfix-users] Visual Studio 2005

[Bobby R. <ric...@tr...>]

All,

I am not to familiar with visual studio (not for years)  I have quickfix
working on OS X and Linux but I cant get it working on windows.  I opened
the quickfix_vs8 solution file and built everything, it seemed to work, no
errors but then when I tried to load a sample and build/run it I get the
error =8Ccannot open file =8Cquickfix.lib=B9  which obviously means I did not do
it right.

Is there a particular location that I need to extract the quickfix director=
y
to, and then build the project?

All help is greatly appreciated.

Bobby

Re: [Quickfix-users] Anonymous sessions in quickfix

[Djalma R. d. S. F. <drs...@gm...>]

-- ideas:

Create a SessionFactory as a member variable of your acceptor class
and in the SocketConnection::setSession method - if
Session::lookupSession returns NULL, use the factory to create a new
session based on the the header information of the first message that
arrives (the logon).

The created Session object will automatically assume the default
settings as initialized in Session constructor. Later, you might want
to create a configuration file with standard definitions that user can
change before starting the application and that all anonymous sessions
should inherit.

This way, I believe you'll no more see the 'Session not found for
incoming message' in Global log.

Djalma

On 9/10/07, MONHEIT, David, GBM <Dav...@rb...> wrote:
> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support:
> http://www.quickfixengine.org/services.html
>
>
>
>
>
>
> Hi
>
>
>
> I was wondering if anyone has code or ideas on how to implement an Acceptor
> application which could dynamically receive a new connection and create a
> new session for it WITHOUT having to have this session pre-listed in the
> config file...
>
>
>
> Thanks in advance,
>
> David
>
>
>
> David Monheit
>  Quantitative Trading Group
>  RBS Global Banking & Markets
>  135 Bishopsgate, London, EC2M 3UR
>  Office: +44 20 7085 7254
>
>  The contents of this document are indicative and are subject to change
> without notice. This document is intended for your sole use on the basis
>  that before entering into this, and/or any related transaction, you will
> ensure that you fully understand the potential risks and return of this,
> and/or
>  any related transaction and determine it is appropriate for you given your
> objectives, experience, financial and operational resources, and other
>  relevant circumstances. You should consult with such advisors as you deem
> necessary to assist you in making these determinations. The Royal
>  Bank of Scotland plc ("RBS") will not act as your advisor or owe any
> fiduciary duties to you in connection with this, and/or any related
> transaction
>  and no reliance may be placed on RBS for advice or recommendations of any
> sort. RBS makes no representations or warranties with respect to
>  the information and disclaims all liability for any use you or your
> advisors make of the contents of this document. RBS and its affiliates,
> connected
>  companies, employees or clients may have an interest in financial
> instruments of the type described in this document and/or related financial
>  instruments. Such interest may include dealing, trading, holding, acting as
> market-makers in such instruments and may include providing banking,
>  credit and other financial services to any company or issuer of securities
> or financial instruments referred to herein. RBS is authorised and
>  regulated in the UK by the Financial Services Authority, in Hong Kong by
> the Hong Kong Monetary Authority, in Singapore by the Monetary
>  Authority of Singapore, in Japan by the Financial Services Agency of Japan,
> in Australia RBS (Australia) Pty Ltd ABN 36 088 574 270 is
>  authorised and regulated by the Australian Securities and Investments
> Commission and acts as agent for RBS ABN 30 101 464 528 and in the
>  US, by the New York State Banking Department and the Federal Reserve Board.
> The financial instruments described in this document are made
>  in compliance with an applicable exemption from the registration
> requirements of the US Securities Act of 1933.
>
>
> ***********************************************************************************
> The Royal Bank of Scotland plc. Registered in Scotland No 90312. Registered
> Office: 36 St Andrew Square, Edinburgh EH2 2YB.
> Authorised and regulated by the Financial Services Authority
>
> This e-mail message is confidential and for use by the
> addressee only. If the message is received by anyone other
> than the addressee, please return the message to the sender
> by replying to it and then delete the message from your
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> Royal Bank of Scotland plc does not accept responsibility for
> changes made to this message after it was sent.
>
> Whilst all reasonable care has been taken to avoid the
> transmission of viruses, it is the responsibility of the recipient to
> ensure that the onward transmission, opening or use of this
> message and any attachments will not adversely affect its
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> Royal Bank of Scotland plc in this regard and the recipient should carry
> out such virus and other checks as it considers appropriate.
> Visit our websites at:
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> www.rbs.com/gbm
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> ***********************************************************************************
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[Quickfix-users] Anonymous sessions in quickfix

[MONHEIT, D. G. <Dav...@rb...>]

Hi

 

I was wondering if anyone has code or ideas on how to implement an Acceptor
application which could dynamically receive a new connection and create a
new session for it WITHOUT having to have this session pre-listed in the
config file...

 

Thanks in advance,

David

 

David Monheit
Quantitative Trading Group
RBS Global Banking & Markets
135 Bishopsgate, London, EC2M 3UR 
Office: +44 20 7085 7254  

The contents of this document are indicative and are subject to change
without notice. This document is intended for your sole use on the basis
that before entering into this, and/or any related transaction, you will
ensure that you fully understand the potential risks and return of this,
and/or 
any related transaction and determine it is appropriate for you given your
objectives, experience, financial and operational resources, and other
relevant circumstances. You should consult with such advisors as you deem
necessary to assist you in making these determinations. The Royal
Bank of Scotland plc ("RBS") will not act as your advisor or owe any
fiduciary duties to you in connection with this, and/or any related
transaction
and no reliance may be placed on RBS for advice or recommendations of any
sort. RBS makes no representations or warranties with respect to 
the information and disclaims all liability for any use you or your advisors
make of the contents of this document. RBS and its affiliates, connected
companies, employees or clients may have an interest in financial
instruments of the type described in this document and/or related financial
instruments. Such interest may include dealing, trading, holding, acting as
market-makers in such instruments and may include providing banking,
credit and other financial services to any company or issuer of securities
or financial instruments referred to herein. RBS is authorised and
regulated in the UK by the Financial Services Authority, in Hong Kong by the
Hong Kong Monetary Authority, in Singapore by the Monetary
Authority of Singapore, in Japan by the Financial Services Agency of Japan,
in Australia RBS (Australia) Pty Ltd ABN 36 088 574 270 is 
authorised and regulated by the Australian Securities and Investments
Commission and acts as agent for RBS ABN 30 101 464 528 and in the
US, by the New York State Banking Department and the Federal Reserve Board.
The financial instruments described in this document are made
in compliance with an applicable exemption from the registration
requirements of the US Securities Act of 1933. 

 


***********************************************************************************
The Royal Bank of Scotland plc. Registered in Scotland No 90312. Registered Office: 36 St Andrew Square, Edinburgh EH2 2YB. 
Authorised and regulated by the Financial Services Authority 
 
This e-mail message is confidential and for use by the 
addressee only. If the message is received by anyone other 
than the addressee, please return the message to the sender 
by replying to it and then delete the message from your 
computer. Internet e-mails are not necessarily secure. The 
Royal Bank of Scotland plc does not accept responsibility for 
changes made to this message after it was sent. 

Whilst all reasonable care has been taken to avoid the 
transmission of viruses, it is the responsibility of the recipient to 
ensure that the onward transmission, opening or use of this 
message and any attachments will not adversely affect its 
systems or data. No responsibility is accepted by The 
Royal Bank of Scotland plc in this regard and the recipient should carry 
out such virus and other checks as it considers appropriate. 
Visit our websites at: 
www.rbs.com
www.rbs.com/gbm
www.rbsgc.com
***********************************************************************************


______________________________________________________________________
This email has been scanned by the MessageLabs Email Security System.
For more information please visit http://www.messagelabs.com/email 
______________________________________________________________________

[Quickfix-users] ordermatch - feedback?

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

Anyone have any feedback on the comments I added to ordermatch and the
slight change to the display func?

Also, has anyone re-written this using a relational database instead of C++
queues and hashes?  If so, is it available?  I'll probably re-do it as a
learning experience and the soon-to-be-Mrs. Kalbfeld wants to show me how to
re-write OrderMatcher as a stored procedure but i don't know much about that
stuff, and if it's already been done that would save us the trouble :)

jonathan

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

Re: [Quickfix-users] [Quickfix-developers] FW: Quickfix c++ Session level rejection problem..... [ Found the problem ]

[Eranga S. <pe...@ri...>]

Hi,

Thanks Caleb. I found the issue. In my code I am calling the following code
for both market and limit type orders.

FIX::Symbol symbol;
double p_price;

p_price = price.getValue();

Since market orders hasn't price field it reject the order. But I have doubt
there, the way quickfix handle an error. In this cause  if the engine throw
some exception like Filed can't find or something that is obvious. But what
actually qf do is reject incoming order ( session level ) saying invalid
value for price. Even I am set to Data dictionary validation 'false' this
happen.

I would like to get you expert help in this cause.

Thanks

Eranga.

NOTE : 

I corrected my code like 

if( message.isSetField(price)){
        p_price = price.getValue();
}


-----Original Message-----
From: Caleb Epstein [mailto:cal...@gm...] 
Sent: Friday, August 24, 2007 9:09 PM
To: Eranga Samararathne
Cc: qui...@li...;
qui...@li...
Subject: Re: [Quickfix-developers] FW: [Quickfix-users] Quickfix c++ Session
level rejection problem.....

On 8/24/07, Eranga Samararathna <pe...@ri...> wrote:

> My program just extend the FIX :: Application. Any help highly appreciate.

Something smells fishy here.  From my reading of the code, this
exception is  usually thrown when validating a message against the
Data Dictionary, and in that case should only be thrown if there is
actually a value for the tag in question.

The other possibility is that you are calling getValue on a Price
field which has not been initialized or which has been initialized
from a string that does not parse as a double.  We need to see your
code to get to the bottom of this.

-- 
Caleb Epstein

Re: [Quickfix-users] Handling a mismatch in the sequence number on logon

[<ath...@jp...>]

I'm in the same situation.




-----------------------------------------
This communication is for informational purposes only. It is not
intended as an offer or solicitation for the purchase or sale of
any financial instrument or as an official confirmation of any
transaction. All market prices, data and other information are not
warranted as to completeness or accuracy and are subject to change
without notice. Any comments or statements made herein do not
necessarily reflect those of JPMorgan Chase & Co., its subsidiaries
and affiliates.

This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure
under applicable law. If you are not the intended recipient, you
are hereby notified that any disclosure, copying, distribution, or
use of the information contained herein (including any reliance
thereon) is STRICTLY PROHIBITED. Although this transmission and any
attachments are believed to be free of any virus or other defect
that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it
is virus free and no responsibility is accepted by JPMorgan Chase &
Co., its subsidiaries and affiliates, as applicable, for any loss
or damage arising in any way from its use. If you received this
transmission in error, please immediately contact the sender and
destroy the material in its entirety, whether in electronic or hard
copy format. Thank you.

Please refer to http://www.jpmorgan.com/pages/disclosures for
disclosures relating to UK legal entities.

[Quickfix-users] Multi-session configuration

[<ath...@jp...>]

__________________

I'm using version 1.12.4. One configuration works well  and the other 
where I have sessions set up for each doesn't. Can you see what I'm doing 
wrong.


This works:

[DEFAULT]
ConnectionType=initiator
ReconnectInterval=60
#RefreshMessageStoreAtLogon=Y
ReconnectInterval=5
HeartBtInt=30
BeginString=FIX.4.2
SocketConnectHost=XX
SocketConnectHost1=XX
DataDictionary=Config/Fix/XML/FIX42.xml
TargetCompID=JPMDCPROD
FileStorePath=.
FileLogPath=.
StartTime=00:01:00
EndTime=23:58:00
SendRedundantResendRequests=Y
RefreshOnLogon=Y

[SESSION]
SocketConnectPort=7680
SocketConnectPort1=7680
SenderCompID=ATHENA

[SESSION]
SocketConnectPort=7691
SocketConnectPort1=7691
SenderCompid=ATHENATT



BUT This doesn't when I tried to start up the system at 10:09 Eastern time 
on Thursday.



---------- Feed Started: Thu Aug 30 09:23:13 2007 ----------
2007-08-30 09:23:13,342 STATUS 1. Insatiate and configure
2007-08-30 09:23:14,232 STATUS CWD: /export/apps/sit2/CME/UAT
2007-08-30 09:23:14,232 STATUS FIX Root: Config/Fix/fix.cfg
2007-08-30 09:23:14,232 STATUS ========
 [DEFAULT]
ConnectionType=initiator
ReconnectInterval=60
#RefreshMessageStoreAtLogon=Y
ReconnectInterval=5
HeartBtInt=30
BeginString=FIX.4.2
SocketConnectHost=XX
SocketConnectHost1=XX
DataDictionary=Config/Fix/XML/FIX42.xml
TargetCompID=JPMDCPROD
FileStorePath=.
FileLogPath=.
SendRedundantResendRequests=Y
RefreshOnLogon=Y

[SESSION]
SocketConnectPort=7680
SocketConnectPort1=7680
SenderCompID=ATHENA
StartDay=Sunday
StartTime=21:45:00
EndDay=Monday
EndTime=21:35:00

[SESSION]
SocketConnectPort=7691
SocketConnectPort1=7691
SenderCompid=ATHENATT
StartDay=Sunday
StartTime=21:45:00
EndDay=Monday
EndTime=21:35:00


[SESSION]
SocketConnectPort=7680
SocketConnectPort1=7680
SenderCompID=ATHENA
StartDay=Monday
StartTime=21:45:00
EndDay=Tuesday
EndTime=21:35:00

[SESSION]
SocketConnectPort=7691
SocketConnectPort1=7691
SenderCompid=ATHENATT
StartDay=Monday
StartTime=21:45:00
EndDay=Tuesday
EndTime=21:35:00


[SESSION]
SocketConnectPort=7680
SocketConnectPort1=7680
SenderCompID=ATHENA
StartDay=Tuesday
StartTime=21:45:00
EndDay=Wednesday
EndTime=21:35:00

[SESSION]
SocketConnectPort=7691
SocketConnectPort1=7691
SenderCompid=ATHENATT
StartDay=Tuesday
StartTime=21:45:00
EndDay=Wednesday
EndTime=21:35:00


[SESSION]
SocketConnectPort=7680
SocketConnectPort1=7680
SenderCompID=ATHENA
StartDay=Wednesday
StartTime=21:45:00
EndDay=Thursday
EndTime=21:35:00

[SESSION]
SocketConnectPort=7691
SocketConnectPort1=7691
SenderCompid=ATHENATT
StartDay=Wednesday
StartTime=21:45:00
EndDay=Thursday
EndTime=21:35:00


[SESSION]
SocketConnectPort=7680
SocketConnectPort1=7680
SenderCompID=ATHENA
StartDay=Thursday
StartTime=21:45:00
EndDay=Friday
EndTime=21:35:00

[SESSION]
SocketConnectPort=7691
SocketConnectPort1=7691
SenderCompid=ATHENATT
StartDay=Thursday
StartTime=21:45:00
EndDay=Friday
EndTime=21:35:00



2007-08-30 09:23:14,234 STATUS message log 
:/export/apps/sit2/CME-2007-08-30.log
<20070830-13:23:14, FIX.4.2:ATHENA->JPMDCPROD, event>
  (Created session)
<20070830-13:23:14, FIX.4.2:ATHENATT->JPMDCPROD, event>
  (Created session)
2007-08-30 09:23:14,262 STATUS 2. Wire-up
2007-08-30 09:23:14,262 STATUS 3. run
2007-08-30 09:23:14,262 INFO started initiator


-----------------------------------------
This communication is for informational purposes only. It is not
intended as an offer or solicitation for the purchase or sale of
any financial instrument or as an official confirmation of any
transaction. All market prices, data and other information are not
warranted as to completeness or accuracy and are subject to change
without notice. Any comments or statements made herein do not
necessarily reflect those of JPMorgan Chase & Co., its subsidiaries
and affiliates.

This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure
under applicable law. If you are not the intended recipient, you
are hereby notified that any disclosure, copying, distribution, or
use of the information contained herein (including any reliance
thereon) is STRICTLY PROHIBITED. Although this transmission and any
attachments are believed to be free of any virus or other defect
that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it
is virus free and no responsibility is accepted by JPMorgan Chase &
Co., its subsidiaries and affiliates, as applicable, for any loss
or damage arising in any way from its use. If you received this
transmission in error, please immediately contact the sender and
destroy the material in its entirety, whether in electronic or hard
copy format. Thank you.

Please refer to http://www.jpmorgan.com/pages/disclosures for
disclosures relating to UK legal entities.

[Quickfix-users] Web/Internet Support for FIX client

[Naveed A. <na...@nc...>]

Hello All,

=20

Is there any support for a web based applications, in existing quickfix
engine?

If not then is there any alternate good Fix engine that support web
based trading terminal (based on FIX).

=20

Thanks

-Naveed

=20

[Quickfix-users] Slowly understanding ordermatch

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

Hello All,

I am slowing beginning to grasp how ordermatch.cpp works.  Part of it is
simply getting more comfortable with C++ and its associated syntax.  When I
took the Series 7 five years ago, I had to simulate an order book on paper,
so I understand how negotiated markets work.

I have a couple of questions:

1/ How hard would it be to take ordermatch and turn it into a stateful
system using mysql?  I already have the underlying database and simply need
to figure out if anyone else has done this.

2/ Are there books out there that have a really good tutorial of how
something like ordermatch works?  I pretty much want to create a closed
system so it doesn't need to link in to outside markets.  I can create all
of the symbols, but I do want to create a database backend to track open
orders, closed & executed orders, and create a quote stream?

3/ Is there a bigger store of sample QuickFIX code?  contrib code, with more
examples, and lots of comments?

4/ Are order book operations all done through the stock objects or is that
handled by application logic?

Am I on the right track?

Jonathan

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

Re: [Quickfix-users] [Quickfix-developers] FW: Quickfix c++ Session level rejection problem.....

[Caleb E. <cal...@gm...>]

On 8/24/07, Eranga Samararathna <pe...@ri...> wrote:

> My program just extend the FIX :: Application. Any help highly appreciate.

Something smells fishy here.  From my reading of the code, this
exception is  usually thrown when validating a message against the
Data Dictionary, and in that case should only be thrown if there is
actually a value for the tag in question.

The other possibility is that you are calling getValue on a Price
field which has not been initialized or which has been initialized
from a string that does not parse as a double.  We need to see your
code to get to the bottom of this.

-- 
Caleb Epstein

[Quickfix-users] FW: Quickfix c++ Session level rejection problem.....

[Eranga S. <pe...@ri...>]

Hi,

Thanks very much for all replies.

I am append the part of my FIX log here.

8=3DFIX.4.2=019=3D197=0135=3DD=0134=3D3=0149=3DRCREST=0150=3Dsys=0152=3D2=
0070824-05:39:03=0156=3DJEFOPT=011=3D
WDWA1=0111=3D306=0112=3D1=0113=3D1=0118=3D5=0121=3D3=0138=3D100=0140=3D1=01=
54=3D1=0155=3DGGDIR=0159=3D0=0160=3D20070824-
11:09:03=0177=3DO=01167=3DOPT=01200=3D200709=01201=3D1=01202=3D290=01204=3D=
0=01439=3DTBD=0110=3D051=01
8=3DFIX.4.2=019=3D114=0135=3D3=0134=3D3=0149=3DJEFOPT=0152=3D20070824-05:=
39:03.570=0156=3DRCREST=0145=3D3=01
58=3DIncorrect data format for =
value=01371=3D44=01372=3DD=01373=3D6=0110=3D076=01
8=3DFIX.4.2=019=3D197=0135=3DD=0134=3D4=0149=3DRCREST=0150=3Dsys=0152=3D2=
0070824-05:39:15=0156=3DJEFOPT=011=3D
WDWA1=0111=3D307=0112=3D1=0113=3D1=0118=3D5=0121=3D3=0138=3D500=0140=3D1=01=
54=3D1=0155=3DGGDIR=0159=3D0=0160=3D20070824-
11:09:15=0177=3DO=01167=3DOPT=01200=3D200709=01201=3D1=01202=3D290=01204=3D=
0=01439=3DTBD=0110=3D063=01
8=3DFIX.4.2=019=3D114=0135=3D3=0134=3D4=0149=3DJEFOPT=0152=3D20070824-05:=
39:15.571=0156=3DRCREST=0145=3D4=01
58=3DIncorrect data format for =
value=01371=3D44=01372=3DD=01373=3D6=0110=3D082=01
8=3DFIX.4.2=019=3D197=0135=3DD=0134=3D5=0149=3DRCREST=0150=3Dsys=0152=3D2=
0070824-05:39:23=0156=3DJEFOPT=011=3D
WDWA1=0111=3D308=0112=3D1=0113=3D1=0118=3D5=0121=3D3=0138=3D200=0140=3D1=01=
54=3D1=0155=3DGGDIR=0159=3D0=0160=3D20070824-
11:09:23=0177=3DO=01167=3DOPT=01200=3D200709=01201=3D1=01202=3D290=01204=3D=
0=01439=3DTBD=0110=3D060=01
8=3DFIX.4.2=019=3D114=0135=3D3=0134=3D5=0149=3DJEFOPT=0152=3D20070824-05:=
39:23.274=0156=3DRCREST=0145=3D5=01
58=3DIncorrect data format for =
value=01371=3D44=01372=3DD=01373=3D6=0110=3D083=01

As you see from the logs there are no price field in my single orders. I =
am
wonder what this happen. Both initiator and acceptor running with =
quickfix
1.12.4.=20

This is the my config file.

[DEFAULT]
ConnectionType=3Dacceptor
SocketAcceptPort=3D44004
FileStorePath=3Dstore
FileLogPath=3Dlog
StartTime=3D00:00:00
EndTime=3D00:00:00

[SESSION]
BeginString=3DFIX.4.2
SenderCompID=3DJEFOPT
TargetCompID=3DRCREST
DataDictionary=3D../spec/FIX42.xml
Destination=3DCSE

My program just extend the FIX :: Application. Any help highly =
appreciate.

Regards,

Eranga

-----Original Message-----
From: Oren Miller [mailto:or...@qu...]=20
Sent: Thursday, August 23, 2007 8:46 PM
To: Eranga Samararathne
Cc: qui...@li...;
qui...@li...
Subject: Re: [Quickfix-users] Quickfix c++ Session level rejection
problem.....

All you are telling the data dictionary is that the Price field does =20
not have to be there.  But when it is there the value still needs to =20
be valid.  Are you sure that a price field does not exist.  And if it =20
does, what is the value?

--oren

On Aug 23, 2007, at 8:30 AM, Eranga Samararathna wrote:

> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/=20
> html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
> Hi,
>
>
>
> I wrote a simple application using quickfix API ( c++). In there I =20
> used FIX 4.2. I change the new order single ( 35=3DD) fix 4.2 spec  =20
> as <field name=3D"Price" required=3D"N"/>.
>
> Therefore my acceptor has to accept market orders without any =20
> error. (40 =3D1 ) But when the initiator send the mkt order my =20
> acceptor reject it session level indicating invalid value for =20
> price. But actually that message does not contain a price field. =20
> This works fine for limit orders. Any help highly appreciate.