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From: McAndrew, P. <pa...@no...> - 2006-12-13 18:42:05
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My project is dealing with interaction with RJO. Has anyone sent/received traffic with RJO that could give me some pointers on how to best set this up? =20 Again, sorry for such basic questions. Paige |
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From: Rodrick B. <rod...@gm...> - 2006-12-13 18:31:11
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On 12/13/06, McAndrew, Paige <pa...@no...> wrote: > QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX Support: http://www.quickfixengine.org/services.html > > I'm new to FIX and QuickFix. We have a current application using MSMQ > to receive messages and send them to a client in FIX Protocol format. > They want to add CancelReplace and my project is to see if QuickFix > would be a good way to rewrite the application. Currently the > application needs to be started manually every morning. They would like > to use a service in its place. My questions: > > 1. Is QuickFix a service or would I need to write an application to > initiate it? > 2. How do I send the connection strings? > 3. If I need to receive messages and send them do I need both an > initiator and acceptor applications? > > Thanks for all your help. > > -----Original Message----- > From: qui...@li... > [mailto:qui...@li...] On Behalf Of > qui...@li... > Sent: Wednesday, December 13, 2006 10:49 AM > To: McAndrew, Paige > Subject: Welcome to the "Quickfix-users" mailing list > > Welcome to the Qui...@li... mailing list! > > To post to this list, send your email to: > > qui...@li... > > General information about the mailing list is at: > > https://lists.sourceforge.net/lists/listinfo/quickfix-users > > If you ever want to unsubscribe or change your options (eg, switch to > or from digest mode, change your password, etc.), visit your > subscription page at: > > > https://lists.sourceforge.net/lists/options/quickfix-users/paige%40notrs > .com > > > You can also make such adjustments via email by sending a message to: > > Qui...@li... > > with the word `help' in the subject or body (don't include the > quotes), and you will get back a message with instructions. > > You must know your password to change your options (including changing > the password, itself) or to unsubscribe. It is: > > mcandrew > > Normally, Mailman will remind you of your lists.sourceforge.net > mailing list passwords once every month, although you can disable this > if you prefer. This reminder will also include instructions on how to > unsubscribe or change your account options. There is also a button on > your options page that will email your current password to you. > > ------------------------------------------------------------------------- > Take Surveys. Earn Cash. Influence the Future of IT > Join SourceForge.net's Techsay panel and you'll get the chance to share your > opinions on IT & business topics through brief surveys - and earn cash > http://www.techsay.com/default.php?page=join.php&p=sourceforge&CID=DEVDEV > _______________________________________________ > Quickfix-users mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-users > Quickfix is just an engine/framework for constructing, and receiving FIX messages you will need to build an application around the QuickFixEngine API. Best of luck. -- Rodrick R. Brown |
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From: McAndrew, P. <pa...@no...> - 2006-12-13 16:49:38
|
I'm new to FIX and QuickFix. We have a current application using MSMQ to receive messages and send them to a client in FIX Protocol format. They want to add CancelReplace and my project is to see if QuickFix would be a good way to rewrite the application. Currently the application needs to be started manually every morning. They would like to use a service in its place. My questions: 1. Is QuickFix a service or would I need to write an application to initiate it? 2. How do I send the connection strings? 3. If I need to receive messages and send them do I need both an initiator and acceptor applications? Thanks for all your help. -----Original Message----- From: qui...@li... [mailto:qui...@li...] On Behalf Of qui...@li... Sent: Wednesday, December 13, 2006 10:49 AM To: McAndrew, Paige Subject: Welcome to the "Quickfix-users" mailing list Welcome to the Qui...@li... mailing list! To post to this list, send your email to: qui...@li... General information about the mailing list is at: https://lists.sourceforge.net/lists/listinfo/quickfix-users If you ever want to unsubscribe or change your options (eg, switch to or from digest mode, change your password, etc.), visit your subscription page at: =20 https://lists.sourceforge.net/lists/options/quickfix-users/paige%40notrs .com You can also make such adjustments via email by sending a message to: Qui...@li... with the word `help' in the subject or body (don't include the quotes), and you will get back a message with instructions. You must know your password to change your options (including changing the password, itself) or to unsubscribe. It is: mcandrew Normally, Mailman will remind you of your lists.sourceforge.net mailing list passwords once every month, although you can disable this if you prefer. This reminder will also include instructions on how to unsubscribe or change your account options. There is also a button on your options page that will email your current password to you. |
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From: <Gre...@Ca...> - 2006-12-08 17:00:46
|
RB, I, for one, would love to see you write a proper OMS system. If you take this task seriously, you could easily write something better than what's already available. Think about open sourcing it, eh? Cheers, Greg Chabala "Rodrick Brown" <rod...@gm...> Sent by: qui...@li... 12/07/2006 05:04 PM To qui...@li... cc Subject [Quickfix-users] Building an OMS for fun QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html QuickFIX Support: http://www.quickfixengine.org/services.html Hello everyone I'm fairly new to this list I'm a first year Computer Science student with basic programming knowledge in Java. I'm very interested in financial trading technologies like Order management, trade routing and order execution. I have gathered a slew of information about FIX from the FIXprotocol.org website. I want to possibly learn more and was wondering how feasible it would be develop my own OMS based on quickfix as a learning experience to better enhance my knowledge with FIX and Java network programming. I really dont know how to start or even being with this tremendous task I plan to possibly this as the basis of my senior project. "Yeah starting early" :) I would like to develop something that would be some what functional yes this would be only for learning but at the same time I would want it to be as realistic as possible, I'm doing this project to help prepare me for real world scenarios of designing and trouble-shooting problems associated with FIX from connectivity to order flow and execution issues. I hope to become a FIX engineer/architect at some point in the future. Any information related on how I could go about making this idea a reality would be extremely helpful. Thank you. -- RB -- This communication may contain privileged and/or confidential information and is intended solely for the addressee. No waiver of confidentiality or privilege is made by mistransmission. If you are not the intended recipient, you are hereby notified that any unauthorized dissemination, distribution, reading, printing, copying and/or use of this communication is strictly prohibited. If you have received this communication in error, please delete this message and immediately notify the sender by return e-mail. Calyon Financial Inc. makes no representation or warranty regarding the correctness of any information contained herein, or the appropriateness of any transaction for any person. Nothing herein shall be construed as a recommendation to buy or sell any financial instrument or security. This communication is for informational purposes only. Unless expressly stated, opinions in this e-mail are those of the individual sender and not of the Calyon Financial Group. For further information about the Calyon Financial Group, please see our website at http://www.calyonfinancial.com |
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From: Rodrick B. <rod...@gm...> - 2006-12-07 23:04:41
|
Hello everyone I'm fairly new to this list I'm a first year Computer Science student with basic programming knowledge in Java. I'm very interested in financial trading technologies like Order management, trade routing and order execution. I have gathered a slew of information about FIX from the FIXprotocol.org website. I want to possibly learn more and was wondering how feasible it would be develop my own OMS based on quickfix as a learning experience to better enhance my knowledge with FIX and Java network programming. I really dont know how to start or even being with this tremendous task I plan to possibly this as the basis of my senior project. "Yeah starting early" :) I would like to develop something that would be some what functional yes this would be only for learning but at the same time I would want it to be as realistic as possible, I'm doing this project to help prepare me for real world scenarios of designing and trouble-shooting problems associated with FIX from connectivity to order flow and execution issues. I hope to become a FIX engineer/architect at some point in the future. Any information related on how I could go about making this idea a reality would be extremely helpful. Thank you. -- RB |
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From: Private a. C. <nn6...@gm...> - 2006-12-02 18:04:00
|
Quickfix Community, I have found a lot of good information searching through these mailing lists and am looking for someone who can provide archives of this mailing list prior to 10/1/2006. I am using Thunderbird to manage my e-mail and can utilize any files in the traditional Unix mbox format. I know about the archives on the web site, but am looking for something I can use while disconnected from the Internet. Please respond privately if you can provide any backfills. |
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From: Good T. <aa...@rd...> - 2006-11-30 13:40:58
|
which leads me to the question Is there an FAQ? aaron -- Those nerds are a threat to our way of life -Revenge of the Nerds On Thu, Nov 30, 2006 at 04:56:22PM +0530, Eranga Samararathna wrote: > QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX Support: http://www.quickfixengine.org/services.html > > Hi, > > > > Is Quickfix support for failover? If answer is YES Then how? > > Is Quickfix support for hotbackups? If answers is YES Then how? > > Is there any way to measure (monitor) load in Quickfix server ? > > > > If anyone can answer these question, highly appreciate > > > > BR, > > > > Eranga > > ------------------------------------------------------------------------- > Take Surveys. Earn Cash. Influence the Future of IT > Join SourceForge.net's Techsay panel and you'll get the chance to share your > opinions on IT & business topics through brief surveys - and earn cash > http://www.techsay.com/default.php?page=join.php&p=sourceforge&CID=DEVDEV > _______________________________________________ > Quickfix-users mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-users |
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From: Eranga S. <pe...@ri...> - 2006-11-30 11:26:43
|
Hi, Is Quickfix support for failover? If answer is YES Then how? Is Quickfix support for hotbackups? If answers is YES Then how? Is there any way to measure (monitor) load in Quickfix server ? If anyone can answer these question, highly appreciate BR, Eranga |
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From: Steve T. <sto...@pe...> - 2006-11-10 18:16:54
|
Thank you Oren. This was in fact the cause of my problem. =20 Steve =20 =20 =20 -----Original Message----- From: Oren Miller [mailto:or...@qu...]=20 Sent: Friday, November 10, 2006 9:01 AM To: Steve Torrence Cc: qui...@li... Subject: Re: [Quickfix-users] ExecutionReports rejected for missing = SecurityType. Incorrectly? =20 Steve, =20 This is actually a very common question. QuickFIX sends a = "Conditionally Required Field Missing" BusinessMessageReject when a = FieldNotFound exception is thrown in the fromApp method. The get or = getField method throws this exception if the field you are trying to get = is not present. For this reason you should check that the SecurityType = field is actually in the message before pulling it out, otherwise the = message has no option but to throw an exception which propagates to the = session which must then reject the message. =20 --oren =20 On Nov 10, 2006, at 10:54 AM, Steve Torrence wrote: QuickFIX Documentation: HYPERLINK = "http://www.quickfixengine.org/quickfix/doc/html/index.html"http://www.qu= ickfixengine.org/quickfix/doc/html/index.html QuickFIX Support: HYPERLINK = "http://www.quickfixengine.org/services.html"http://www.quickfixengine.or= g/services.html =20 I=92m using QuickFix in a C# application that processes ExecutionReports = sent to us by another firm. =20 =20 In testing, ExecutionReports involving stocks are getting rejected by = QuickFix (on our end) with the message =93Conditionally Required Field = Missing (167)=94. The rejected ExecutionReport messages do omit the = SecurityType field. (ExecutionReports involving options, which do = contain SecurityType, get through fine.) =20 Omitting SecurityType for stocks does not seem to be an error, since the = spec says of the SecurityType field in ExecutionReport =93Must be = specified if a Future or Option=85=94. In any case, I don=92t have = control over what the other firm sends us. =20 An example of a rejected ExecutionReport (some data values changed to = protect the guilty): =20 8=3DFIX.4.29=3D29535=3D849=3DTHEM56=3DUS128=3DXXXX34=3D2850=3Du72653352=3D= 20061110-14:30:01 37=3DABC0000111=3D61109=3D48W9120976=3DXXXX17=3D1234567890 20=3D0150=3D139=3D11=3DXXXX55=3DXXXX54=3D538=3D50040=3D244=3D4.74000059=3D= 047=3DA32=3D10031=3D4.74000030=3DC29=3D1 151=3D40014=3D1006=3D4.740060=3D20061110-09:30:00113=3DN439=3DXXXX10=3D11= 7 =20 And the corresponding rejection: =20 8=3DFIX.4.29=3D12035=3Dj34=3D3549=3DUS52=3D20061110-14:30:01.36756=3DTHEM= 45=3D28 58=3DConditionally Required Field Missing (167)372=3D8380=3D510=3D151 =20 =20 Have I diagnosed the issue correctly? =20 What do I need to do to persuade QuickFix not to reject this message? =20 =20 Thank you for any assistance you can give me. =20 =20 -- No virus found in this outgoing message. Checked by AVG Free Edition. Version: 7.1.409 / Virus Database: 268.14.1/527 - Release Date: = 11/9/2006 -------------------------------------------------------------------------= Using Tomcat but need to do more? Need to support web services, = security? Get stuff done quickly with pre-integrated technology to make your job = easier Download IBM WebSphere Application Server v.1.0.1 based on Apache = Geronimo HYPERLINK = "http://sel.as-us.falkag.net/sel?cmd=3Dlnk&kid=3D120709&bid=3D263057&dat=3D= 121642_______________________________________________"http://sel.as-us.fa= lkag.net/sel?cmd=3Dlnk&kid=3D120709&bid=3D263057&dat=3D121642____________= ___________________________________ Quickfix-users mailing list HYPERLINK = "mailto:Qui...@li..."Qui...@li...urcef= orge.net HYPERLINK = "https://lists.sourceforge.net/lists/listinfo/quickfix-users"https://list= s.sourceforge.net/lists/listinfo/quickfix-users =20 -- No virus found in this incoming message. Checked by AVG Free Edition. Version: 7.1.409 / Virus Database: 268.14.1/527 - Release Date: = 11/9/2006 --=20 No virus found in this outgoing message. Checked by AVG Free Edition. Version: 7.1.409 / Virus Database: 268.14.1/527 - Release Date: = 11/9/2006 =20 |
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From: Oren M. <or...@qu...> - 2006-11-10 17:01:18
|
Steve, This is actually a very common question. QuickFIX sends a =20 "Conditionally Required Field Missing" BusinessMessageReject when a =20 FieldNotFound exception is thrown in the fromApp method. The get or =20 getField method throws this exception if the field you are trying to =20 get is not present. For this reason you should check that the =20 SecurityType field is actually in the message before pulling it out, =20 otherwise the message has no option but to throw an exception which =20 propagates to the session which must then reject the message. --oren On Nov 10, 2006, at 10:54 AM, Steve Torrence wrote: > QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/=20 > html/index.html > QuickFIX Support: http://www.quickfixengine.org/services.html > > I=92m using QuickFix in a C# application that processes =20 > ExecutionReports sent to us by another firm. > > > In testing, ExecutionReports involving stocks are getting rejected =20 > by QuickFix (on our end) with the message =93Conditionally Required =20= > Field Missing (167)=94. The rejected ExecutionReport messages do =20 > omit the SecurityType field. (ExecutionReports involving options, =20 > which do contain SecurityType, get through fine.) > > > Omitting SecurityType for stocks does not seem to be an error, =20 > since the spec says of the SecurityType field in ExecutionReport =20 > =93Must be specified if a Future or Option=85=94. In any case, I = don=92t =20 > have control over what the other firm sends us. > > > An example of a rejected ExecutionReport (some data values changed =20 > to protect the guilty): > > > 8=3DFIX.=20 > 4.29=3D29535=3D849=3DTHEM56=3DUS128=3DXXXX34=3D2850=3Du72653352=3D200611= 10-14:30:01 > > 37=3DABC0000111=3D61109=3D48W9120976=3DXXXX17=3D1234567890 > > 20=3D0150=3D139=3D11=3DXXXX55=3DXXXX54=3D538=3D50040=3D244=3D4.74000059=3D= 047=3DA32=3D10031=3D4.=20 > 74000030=3DC29=3D1 > > 151=3D40014=3D1006=3D4.740060=3D20061110-09:30:00113=3DN439=3DXXXX10=3D1= 17 > > > And the corresponding rejection: > > > 8=3DFIX.4.29=3D12035=3Dj34=3D3549=3DUS52=3D20061110-14:30:01.36756=3DTHE= M45=3D28 > > 58=3DConditionally Required Field Missing (167)372=3D8380=3D510=3D151 > > > > Have I diagnosed the issue correctly? > > What do I need to do to persuade QuickFix not to reject this message? > > > > Thank you for any assistance you can give me. > > > > -- > No virus found in this outgoing message. > Checked by AVG Free Edition. > Version: 7.1.409 / Virus Database: 268.14.1/527 - Release Date: =20 > 11/9/2006 > > ----------------------------------------------------------------------=20= > --- > Using Tomcat but need to do more? Need to support web services, =20 > security? > Get stuff done quickly with pre-integrated technology to make your =20 > job easier > Download IBM WebSphere Application Server v.1.0.1 based on Apache =20 > Geronimo > http://sel.as-us.falkag.net/sel?=20 > cmd=3Dlnk&kid=3D120709&bid=3D263057&dat=3D121642________________________= ______=20 > _________________ > Quickfix-users mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-users |
|
From: Steve T. <sto...@pe...> - 2006-11-10 16:54:23
|
I=92m using QuickFix in a C# application that processes ExecutionReports = sent to us by another firm. =20 =20 In testing, ExecutionReports involving stocks are getting rejected by = QuickFix (on our end) with the message =93Conditionally Required Field = Missing (167)=94. The rejected ExecutionReport messages do omit the = SecurityType field. (ExecutionReports involving options, which do = contain SecurityType, get through fine.) =20 Omitting SecurityType for stocks does not seem to be an error, since the = spec says of the SecurityType field in ExecutionReport =93Must be = specified if a Future or Option=85=94. In any case, I don=92t have = control over what the other firm sends us. =20 An example of a rejected ExecutionReport (some data values changed to = protect the guilty): =20 8=3DFIX.4.29=3D29535=3D849=3DTHEM56=3DUS128=3DXXXX34=3D2850=3Du72653352=3D= 20061110-14:30:01 37=3DABC0000111=3D61109=3D48W9120976=3DXXXX17=3D1234567890 20=3D0150=3D139=3D11=3DXXXX55=3DXXXX54=3D538=3D50040=3D244=3D4.74000059=3D= 047=3DA32=3D10031=3D4.74000030=3DC29=3D1 151=3D40014=3D1006=3D4.740060=3D20061110-09:30:00113=3DN439=3DXXXX10=3D11= 7 =20 And the corresponding rejection: =20 8=3DFIX.4.29=3D12035=3Dj34=3D3549=3DUS52=3D20061110-14:30:01.36756=3DTHEM= 45=3D28 58=3DConditionally Required Field Missing (167)372=3D8380=3D510=3D151 =20 =20 Have I diagnosed the issue correctly? =20 What do I need to do to persuade QuickFix not to reject this message? =20 =20 Thank you for any assistance you can give me. =20 --=20 No virus found in this outgoing message. Checked by AVG Free Edition. Version: 7.1.409 / Virus Database: 268.14.1/527 - Release Date: = 11/9/2006 =20 |
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From: Nick V. <ni...@ad...> - 2006-11-07 09:13:17
|
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From: Oren M. <or...@qu...> - 2006-11-06 15:31:46
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Can you post the actual reject message? --oren On Nov 6, 2006, at 9:07 AM, Mark T. Kennedy wrote: > QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ > html/index.html > QuickFIX Support: http://www.quickfixengine.org/services.html > > can someone (oren?) confirm that when using (at least) the v4.2 xml > definitions, the quickfix validation layer will incorrectly reject > a nack of a new order when OrigClOrdID is missing? by "nack", i mean > an execution report that rejects the new order message. recall that > OrigClOrdID is optional for new orders in a nack but required > for nacks of cancels or cancel/replace's (page 101 of the spec). > > /mark |
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From: Mark T. K. <mke...@di...> - 2006-11-06 15:25:59
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can someone (oren?) confirm that when using (at least) the v4.2 xml definitions, the quickfix validation layer will incorrectly reject a nack of a new order when OrigClOrdID is missing? by "nack", i mean an execution report that rejects the new order message. recall that OrigClOrdID is optional for new orders in a nack but required for nacks of cancels or cancel/replace's (page 101 of the spec). /mark Mark T. Kennedy wrote: > QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX Support: http://www.quickfixengine.org/services.html > > > v1.11.1. it looks like a quickfix bug. it rejected a nack of > a new order, not a cancel nor a cancel/replace, because > OrigClOrdID was missing. but the XML says it is optional. > the FIX spec says it is "conditionally required" for > cancels or cancel/replaces. > > please advise. > > /mark > > Oren Miller wrote: >> Mark, >> >> What version of QuickFIX are you using? The latest (1.12.0 and >> later) should already be logging these. Are you maybe using a 1.11 >> version? >> >> --oren >> >> On Nov 3, 2006, at 10:18 AM, Mark T. Kennedy wrote: >> >> > > This communication and any attachments may contain confidential/proprietary information and is intended for information purposes only. It is not an invitation or offer to purchase interests from Diamondback. Any representation to the contrary is unintentional. This communication is intended only for the person(s) to whom it is addressed. If you are not the intended recipient you are hereby notified that you have received this document in error and that any review, dissemination, distribution, or copying of this message or any attachments is not permitted. If you have received this in error, please notify the sender immediately by e-mail and delete this message. All e-mails sent to or received from this address will be received by Diamondback Capital Management's company e-mail system and is subject to archival and possible review by someone other than the recipient. This notice is > automatically appended to each e-mail message leaving Diamondback Capital Management. > > > ------------------------------------------------------------------------- > Using Tomcat but need to do more? Need to support web services, security? > Get stuff done quickly with pre-integrated technology to make your job easier > Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo > http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642 |
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From: Eranga S. <pe...@ri...> - 2006-11-06 10:02:30
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http://www.quickfixengine.org/quickfix/doc/html/user_defined.html This is the place to find answer Eranga _____ From: Nick Volpe [mailto:ni...@ad...] Sent: Monday, November 06, 2006 3:25 PM To: Eranga Samararathna Subject: RE: [Quickfix-developers] Adding Custom Fields to NewOrderSinglemessage (FIX4.2) Thanks. Am I correct in assuming therefore that I don't need to re-generate the java source code after I've modified the XML file since I am sending NewOrderSingle messages but not receiving them? If I don't generate the java source code and recompile QuickFIX then how do I create a NewOrderSingle with these fields?? Nicholas Volpe Treasury Department Abu Dhabi Investment Authority Extension: 2511 Telephone: +971 2 613 2511 Mobile: +971 50 592 8047 Email: <mailto:ni...@ad...> ni...@ad... "Eranga Samararathna" <pe...@ri...> 06/11/2006 13:25 To Nick Volpe/Treasury/ADIA/ae@ADIA cc Subject RE: [Quickfix-developers] Adding Custom Fields to NewOrderSinglemessage (FIX4.2) Hi, The fields mention you have not included in FIX4.2. So what you need to do is add those tags to 4.2 spec. (FIX42.xml) probably you can find this file inside your spec folder. Nik you don't need to modify QF code. Once you added those fields to 4.2 spec you can simply use it. If your counterparty not cares about these tags then define following line in their session config file. [SESSION] BeginString=FIX.4.2 SenderCompID=BKK TargetCompID=AX1 DataDictionary=../spec/FIX42.xml ValidateUserDefinedFields=N BR, Eranga _____ From: qui...@li... [mailto:qui...@li...] On Behalf Of Nick Volpe Sent: Monday, November 06, 2006 2:42 PM To: qui...@li... Subject: [Quickfix-developers] Adding Custom Fields to NewOrderSinglemessage (FIX4.2) I'm using QuickFIX 1.11.0 for Java and have a question related to adding custom fields to the FIX4.2 NewOrderSingle message, to enable me to send multi-leg orders to my counterparty. These fields exist in FIX4.4. Repeating Group Name Field Number NoLegs 555 Repeating Group Member Field Number LegSymbol 600 LegCFICode 608 LegMaturityMonthYear 610 LegRatioQty 623 LegSide 624 Do I simply need to add these fields to the Data Dictionary in order to be able to send NewOrderSingle messages with, or without, these new fields? Or do I need to modify the QuickFix code in some way? I guess I'm after the safest way to be able to send messages that may or may not have these fields defined during a particular fix session with our counterparty. Thanks. Nik **************************************************************************** ********************************** This email and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom they are addressed. Any unauthorized use of the information contained in this email or its attachments is prohibited. If this email is received in error, please contact the sender and delete the material from your computer systems. Do not use, copy, or disclose the contents of this email or any attachments. Abu Dhabi Investment Authority (ADIA) accepts no responsibility for the content of this email to the extent that the same consists of statements and opinions made which are the senders own and not made on behalf of ADIA. Nor does ADIA accept any liability for any errors or omissions in the content of this email caused by electronic and technical failures. Although ADIA has taken reasonable precautions to ensure that no viruses are present in this email, ADIA accepts no responsibility for any loss or damage arising from the use of this email or its attachments. **************************************************************************** ********************************** |
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From: Eranga S. <pe...@ri...> - 2006-11-06 09:35:36
|
Your FIX4.2.xml may looks like ;
<field number="555" name=" NoLegs " type="CHAR"/>
<field number="600" name=" LegSymbol " type="STRING"/>
<field number="608" name=" LegCFICode " type="STRING"/>
<message name="NewOrderSingle" msgtype="D" msgcat="app">
..........................
........................
<field name="SecurityID" required="N"/>
<field name="IDSource" required="N"/>
<field name="SecurityType" required="N"/>
......
............
<field name=" NoLegs " required="N"/>
<field name=" LegSymbol " required="N"/>
<field name=" LegCFICode " required="N"/>
</message>
BR,
Eranga
_____
From: Eranga Samararathna [mailto:pe...@ri...]
Sent: Monday, November 06, 2006 2:56 PM
To: 'Nick Volpe'; 'qui...@li...';
'qui...@li...'
Subject: FW: [Quickfix-developers] Adding Custom Fields to
NewOrderSinglemessage (FIX4.2)
_____
From: Eranga Samararathna [mailto:pe...@ri...]
Sent: Monday, November 06, 2006 2:56 PM
To: 'Nick Volpe'
Subject: RE: [Quickfix-developers] Adding Custom Fields to
NewOrderSinglemessage (FIX4.2)
Hi,
The fields mention you have not included in FIX4.2. So what you need to do
is add those tags to 4.2 spec. (FIX42.xml) probably you can find this file
inside your spec folder.
Nik you don't need to modify QF code. Once you added those fields to 4.2
spec you can simply use it.
If your counterparty not cares about these tags then define following line
in their session config file.
[SESSION]
BeginString=FIX.4.2
SenderCompID=BKK
TargetCompID=AX1
DataDictionary=../spec/FIX42.xml
ValidateUserDefinedFields=N
BR,
Eranga
_____
From: qui...@li...
[mailto:qui...@li...] On Behalf Of Nick
Volpe
Sent: Monday, November 06, 2006 2:42 PM
To: qui...@li...
Subject: [Quickfix-developers] Adding Custom Fields to NewOrderSinglemessage
(FIX4.2)
I'm using QuickFIX 1.11.0 for Java and have a question related to adding
custom fields to the FIX4.2 NewOrderSingle message, to enable me to send
multi-leg orders to my counterparty. These fields exist in FIX4.4.
Repeating Group Name Field Number
NoLegs 555
Repeating Group Member Field Number
LegSymbol 600
LegCFICode 608
LegMaturityMonthYear 610
LegRatioQty 623
LegSide 624
Do I simply need to add these fields to the Data Dictionary in order to be
able to send NewOrderSingle messages with, or without, these new fields? Or
do I need to modify the QuickFix code in some way? I guess I'm after the
safest way to be able to send messages that may or may not have these fields
defined during a particular fix session with our counterparty.
Thanks.
Nik
****************************************************************************
**********************************
This email and any files transmitted with it are confidential and
intended solely for the use of the individual or entity to whom they
are addressed. Any unauthorized use of the information contained
in this email or its attachments is prohibited. If this email is received in
error, please contact the sender and delete the material from your
computer systems. Do not use, copy, or disclose the contents of this
email or any attachments.
Abu Dhabi Investment Authority (ADIA) accepts no responsibility for
the content of this email to the extent that the same consists of
statements and opinions made which are the senders own and not
made on behalf of ADIA. Nor does ADIA accept any liability for any
errors or omissions in the content of this email caused by electronic
and technical failures.
Although ADIA has taken reasonable precautions to ensure that no
viruses are present in this email, ADIA accepts no responsibility for
any loss or damage arising from the use of this email or its
attachments.
****************************************************************************
**********************************
|
|
From: Eranga S. <pe...@ri...> - 2006-11-06 09:27:27
|
_____ From: Eranga Samararathna [mailto:pe...@ri...] Sent: Monday, November 06, 2006 2:56 PM To: 'Nick Volpe' Subject: RE: [Quickfix-developers] Adding Custom Fields to NewOrderSinglemessage (FIX4.2) Hi, The fields mention you have not included in FIX4.2. So what you need to do is add those tags to 4.2 spec. (FIX42.xml) probably you can find this file inside your spec folder. Nik you don't need to modify QF code. Once you added those fields to 4.2 spec you can simply use it. If your counterparty not cares about these tags then define following line in their session config file. [SESSION] BeginString=FIX.4.2 SenderCompID=BKK TargetCompID=AX1 DataDictionary=../spec/FIX42.xml ValidateUserDefinedFields=N BR, Eranga _____ From: qui...@li... [mailto:qui...@li...] On Behalf Of Nick Volpe Sent: Monday, November 06, 2006 2:42 PM To: qui...@li... Subject: [Quickfix-developers] Adding Custom Fields to NewOrderSinglemessage (FIX4.2) I'm using QuickFIX 1.11.0 for Java and have a question related to adding custom fields to the FIX4.2 NewOrderSingle message, to enable me to send multi-leg orders to my counterparty. These fields exist in FIX4.4. Repeating Group Name Field Number NoLegs 555 Repeating Group Member Field Number LegSymbol 600 LegCFICode 608 LegMaturityMonthYear 610 LegRatioQty 623 LegSide 624 Do I simply need to add these fields to the Data Dictionary in order to be able to send NewOrderSingle messages with, or without, these new fields? Or do I need to modify the QuickFix code in some way? I guess I'm after the safest way to be able to send messages that may or may not have these fields defined during a particular fix session with our counterparty. Thanks. Nik **************************************************************************** ********************************** This email and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom they are addressed. Any unauthorized use of the information contained in this email or its attachments is prohibited. If this email is received in error, please contact the sender and delete the material from your computer systems. Do not use, copy, or disclose the contents of this email or any attachments. Abu Dhabi Investment Authority (ADIA) accepts no responsibility for the content of this email to the extent that the same consists of statements and opinions made which are the senders own and not made on behalf of ADIA. Nor does ADIA accept any liability for any errors or omissions in the content of this email caused by electronic and technical failures. Although ADIA has taken reasonable precautions to ensure that no viruses are present in this email, ADIA accepts no responsibility for any loss or damage arising from the use of this email or its attachments. **************************************************************************** ********************************** |
|
From: Mark T. K. <mke...@di...> - 2006-11-03 18:28:43
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this is FIX v4.2, btw. /mark Mark T. Kennedy wrote: > QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX Support: http://www.quickfixengine.org/services.html > > > v1.11.1. it looks like a quickfix bug. it rejected a nack of > a new order, not a cancel nor a cancel/replace, because > OrigClOrdID was missing. but the XML says it is optional. > the FIX spec says it is "conditionally required" for > cancels or cancel/replaces. > > please advise. > > /mark > > Oren Miller wrote: >> Mark, >> >> What version of QuickFIX are you using? The latest (1.12.0 and >> later) should already be logging these. Are you maybe using a 1.11 >> version? >> >> --oren >> >> On Nov 3, 2006, at 10:18 AM, Mark T. Kennedy wrote: >> >> > > This communication and any attachments may contain confidential/proprietary information and is intended for information purposes only. It is not an invitation or offer to purchase interests from Diamondback. Any representation to the contrary is unintentional. This communication is intended only for the person(s) to whom it is addressed. If you are not the intended recipient you are hereby notified that you have received this document in error and that any review, dissemination, distribution, or copying of this message or any attachments is not permitted. If you have received this in error, please notify the sender immediately by e-mail and delete this message. All e-mails sent to or received from this address will be received by Diamondback Capital Management's company e-mail system and is subject to archival and possible review by someone other than the recipient. This notice is > automatically appended to each e-mail message leaving Diamondback Capital Management. > > > ------------------------------------------------------------------------- > Using Tomcat but need to do more? Need to support web services, security? > Get stuff done quickly with pre-integrated technology to make your job easier > Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo > http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642 |
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From: Mark T. K. <mke...@di...> - 2006-11-03 18:18:06
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v1.11.1. it looks like a quickfix bug. it rejected a nack of a new order, not a cancel nor a cancel/replace, because OrigClOrdID was missing. but the XML says it is optional. the FIX spec says it is "conditionally required" for cancels or cancel/replaces. please advise. /mark Oren Miller wrote: > Mark, > > What version of QuickFIX are you using? The latest (1.12.0 and > later) should already be logging these. Are you maybe using a 1.11 > version? > > --oren > > On Nov 3, 2006, at 10:18 AM, Mark T. Kennedy wrote: > >> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ >> html/index.html >> QuickFIX Support: http://www.quickfixengine.org/services.html >> >> >> the offending field was OrigClOrdID, which is conditionally >> required when you nack a cancel or cancel/replace. >> the logging needs to be enhanced to report field >> details. >> >> /mark > > This communication and any attachments may contain confidential/proprietary information and is intended for information purposes only. It is not an invitation or offer to purchase interests from Diamondback. Any representation to the contrary is unintentional. This communication is intended only for the person(s) to whom it is addressed. If you are not the intended recipient you are hereby notified that you have received this document in error and that any review, dissemination, distribution, or copying of this message or any attachments is not permitted. If you have received this in error, please notify the sender immediately by e-mail and delete this message. All e-mails sent to or received from this address will be received by Diamondback Capital Management's company e-mail system and is subject to archival and possible review by someone other than the recipient. This notice is automatically appended to each e-mail message leaving Diamondback Capital Management. |
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From: Oren M. <or...@qu...> - 2006-11-03 16:53:58
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Mark, What version of QuickFIX are you using? The latest (1.12.0 and later) should already be logging these. Are you maybe using a 1.11 version? --oren On Nov 3, 2006, at 10:18 AM, Mark T. Kennedy wrote: > QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/ > html/index.html > QuickFIX Support: http://www.quickfixengine.org/services.html > > > the offending field was OrigClOrdID, which is conditionally > required when you nack a cancel or cancel/replace. > the logging needs to be enhanced to report field > details. > > /mark |
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From: Mark T. K. <mke...@di...> - 2006-11-03 16:18:30
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the offending field was OrigClOrdID, which is conditionally required when you nack a cancel or cancel/replace. the logging needs to be enhanced to report field details. /mark Mark T. Kennedy wrote: > QuickFIX Documentation: > http://www.quickfixengine.org/quickfix/doc/html/index.html > QuickFIX Support: http://www.quickfixengine.org/services.html > > > we're seeing this error when an execution report with > OrdStatus=Rejected is sent to us. the error message in the > event log doesn't name the missing field. the BusinessMsgReject > message generated by quickfix's validation layer doesn't name > the offending field either. the execution report looks ok to me. > it does not have an OrdRejReason field, but that field is marked > as optional in the xml file. i can't find any code that > thinks it is required when OrdStatus is Rejected. > the FieldNotFound exception object can include a field > object, so information about the offending field should > be available in a log message. > > thoughts/comments? > > /mark > > This communication and any attachments may contain > confidential/proprietary information and is intended for information > purposes only. It is not an invitation or offer to purchase interests > from Diamondback. Any representation to the contrary is unintentional. > This communication is intended only for the person(s) to whom it is > addressed. If you are not the intended recipient you are hereby > notified that you have received this document in error and that any > review, dissemination, distribution, or copying of this message or any > attachments is not permitted. If you have received this in error, > please notify the sender immediately by e-mail and delete this message. > All e-mails sent to or received from this address will be received by > Diamondback Capital Management's company e-mail system and is subject to > archival and possible review by someone other than the recipient. This > notice is automatically appended to each e-mail message leaving > Diamondback Capital Management. > > > ------------------------------------------------------------------------- > Using Tomcat but need to do more? Need to support web services, security? > Get stuff done quickly with pre-integrated technology to make your job > easier > Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo > http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642 > <http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642> > _______________________________________________ > Quickfix-users mailing list > Qui...@li... > https://lists.sourceforge.net/lists/listinfo/quickfix-users > This communication and any attachments may contain confidential/proprietary information and is intended for information purposes only. It is not an invitation or offer to purchase interests from Diamondback. Any representation to the contrary is unintentional. This communication is intended only for the person(s) to whom it is addressed. If you are not the intended recipient you are hereby notified that you have received this document in error and that any review, dissemination, distribution, or copying of this message or any attachments is not permitted. If you have received this in error, please notify the sender immediately by e-mail and delete this message. All e-mails sent to or received from this address will be received by Diamondback Capital Management's company e-mail system and is subject to archival and possible review by someone other than the recipient. This notice is automatically appended to each e-mail message leaving Diamondback Capital Management. |
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From: Mark T. K. <mke...@di...> - 2006-11-03 15:24:45
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we're seeing this error when an execution report with OrdStatus=Rejected is sent to us. the error message in the event log doesn't name the missing field. the BusinessMsgReject message generated by quickfix's validation layer doesn't name the offending field either. the execution report looks ok to me. it does not have an OrdRejReason field, but that field is marked as optional in the xml file. i can't find any code that thinks it is required when OrdStatus is Rejected. the FieldNotFound exception object can include a field object, so information about the offending field should be available in a log message. thoughts/comments? /mark This communication and any attachments may contain confidential/proprietary information and is intended for information purposes only. It is not an invitation or offer to purchase interests from Diamondback. Any representation to the contrary is unintentional. This communication is intended only for the person(s) to whom it is addressed. If you are not the intended recipient you are hereby notified that you have received this document in error and that any review, dissemination, distribution, or copying of this message or any attachments is not permitted. If you have received this in error, please notify the sender immediately by e-mail and delete this message. All e-mails sent to or received from this address will be received by Diamondback Capital Management's company e-mail system and is subject to archival and possible review by someone other than the recipient. This notice is automatically appended to each e-mail message leaving Diamondback Capital Management. |
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From: Alvin W. <AW...@FF...> - 2006-10-26 21:45:50
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First of all, there is some additional info (as you may have known) http://www.fixprotocol.org/committees/gtc/documents http://www.fixprotocol.org/documents/2943/FIX%205.0%20FAQs.doc I am not sure if they will publish the repository files. As long as the message can be delivered once, can be guaranteed delivery, and in the right order, it can be on any non-FIX session for example MQ. Another thing they talked is like a firm can use FIX 5 session to send an order in FIX 4.2 and then allocate using FIX 4.4 for example. (I think QF needs to think a way to make the application easily forward compatible, for example how to reuse the existing application code using quickfix.fix44 package work with FIX 5? and how to reuse the application code to work on both FIX 44 and FIX 5 rather than rewriting the code using "quickfix.fix5" package?) Then there are concept of extension package and service pack. Then some new support on the business side, like FX, advancement in order routing, and regulatory initiatives...... Oren Miller <oren@quickfixeng ine.org> To Alvin Wang <AW...@FF...> 10/28/2006 04:28 cc PM Eranga <pe...@ri...>, qui...@li...urcefor ge.net, quickfix-developers-bounces@lists.s ourceforge.net, qui...@li... t, <qui...@li...urceforge. net> Subject Re: [Quickfix-developers] Quickfix for FIX 5.0..... Do you know if they plan on freely distributing the repository or is it still only going to be available to members only. That's has been a key problem with directly supporting the repository in the past, we simply are not allowed to redistribute it as is. If not we will likely end up generating the QF data dictionary from the repository. We have code that can do this assuming their format hasn't changed significantly. We do have plans to support FAST. FIX 5.0 and FAST support are both significant projects and we will need to prioritize to figure out which we want to tackle first. Any other information you have would be very useful. Did they go over any scenarios regarding the transport independence? I was wondering how it will effect resend requests. --oren On Oct 26, 2006, at 3:12 PM, Alvin Wang wrote: > We went to FPL's Technology Focus Day 2006 today: > http://www.fixprotocol.org/documents/2893/FPL_Technology_Focus_Day.pdf > > Besides transport independence framework and running different FIX > versions > on the same session, FIX 5 will use XML to organize repository (some > similar to quickfix's xml dictionaries). Just wonder if QuickFIX and > QuickFIX/J can leverage that directly. Another big thing is FAST > protocol. > Do QuickFIX and QuickFIX/J plan to support FAST? > > Thanks. ******************************************************************************* This e-mail message is intended solely for the use of the addressee. The message may contain information that is privileged and confidential. Disclosure to anyone other than the intended recipient is prohibited. If you are not the intended recipient, please do not disseminate, distribute or copy this communication, by e-mail or otherwise. Instead, please notify us immediately by return e-mail(including the original message with your reply) and then delete and discard all copies of the message. We have taken precautions to minimize the risk of transmitting software viruses but nevertheless advise you to carry out your own virus checks on any attachment to this message. We accept no liability for any loss or damage caused by software viruses. ******************************************************************************* |
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From: Alvin W. <AW...@FF...> - 2006-10-26 20:13:14
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We went to FPL's Technology Focus Day 2006 today: http://www.fixprotocol.org/documents/2893/FPL_Technology_Focus_Day.pdf Besides transport independence framework and running different FIX versions on the same session, FIX 5 will use XML to organize repository (some similar to quickfix's xml dictionaries). Just wonder if QuickFIX and QuickFIX/J can leverage that directly. Another big thing is FAST protocol. Do QuickFIX and QuickFIX/J plan to support FAST? Thanks. = =20 Oren Miller = =20 <oren@quickfixeng = =20 ine.org> To= =20 Sent by: Eranga = =20 quickfix-develope <pe...@ri...> = =20 rs-bounces@lists. cc= =20 sourceforge.net qui...@li...urcefor= =20 ge.net, = =20 qui...@li...= =20 10/25/2006 02:56 t = =20 AM Subject= =20 Re: [Quickfix-developers] Quickfix = =20 for FIX 5.0..... = =20 = =20 = =20 = =20 = =20 = =20 = =20 QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html QuickFIX Support: http://www.quickfixengine.org/services.html Well the first cut will be likely to use the Session Protocol as the first supported transport for application messages.=A0 This can be implemented wi= th relatively little change to the architecture as it is pretty similar to how the previous versions work already.=A0 This will require supporting the new versioning constructs while maintaining backwards compatibility with the old ones.=A0 There will probably have to be some changes to how data dictionaries work, since I guess we will need two of them. The first release of QF with 5.0 support will probably only implement transporting application messages over the session protocol.=A0=A0After tha= t I suppose it will come down to the first viable use case of sending application messages over a different transport. --oren On Oct 25, 2006, at 12:50 AM, Eranga Samararathna wrote: QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html QuickFIX Support: http://www.quickfixengine.org/services.html Hi, How is the quickfix / quickfixj preparation for FIX 5.0? Is quickfix need architecture change to address the new loosely coupled FIX application layer and FIX session layer? BR, Eranga ------------------------------------------------------------------------- Using Tomcat but need to do more? Need to support web services, security? Get stuff done quickly with pre-integrated technology to make your job easier Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo http://sel.as-us.falkag.net/sel?cmd=3Dlnk&kid=3D120709&bid=3D263057&dat=3D1= 21642 _______________________________________________ Quickfix-developers mailing list Qui...@li... https://lists.sourceforge.net/lists/listinfo/quickfix-developers ***********= ******************************************************************** This e-mail message is intended solely for the use of the addressee. The message may contain information that is privileged and=20 confidential. Disclosure to anyone other than the intended recipient is prohibited. If you are not the intended recipient, please do not disseminate, distribute or copy this communication, by e-mail or otherwise. Instead, please notify us immediately by return e-mail(including the original message with your reply) and then delete and discard all copies of the message. We have taken precautions to minimize the risk of transmitting software viruses but nevertheless advise you to carry out your own virus checks on any attachment to this message. We accept no liability for any loss or damage caused by software viruses. ***************************************************************************= **** |
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From: Nick E. <ni...@de...> - 2006-10-26 17:36:29
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Hi,
Well, actually the whole story of initial message was quite simple -- my =
eye caugth word architecture, not the subject. Thus, you've qualified it =
as blame... Why I didn't adopt quickfix/j? It was early beta those days =
and relplicates original quickfix design, hence also didn't provide =
batch processing, which is crucial (I don't like idea of processing =
messages one-by-one on any stage (even transport), sorry).
On other side what is nice for quickfix/j at least implementation =
details (synchronization issues/sequence reset) could be easily fixed by =
java developers that's a huge bonus as I think about 90% of quickfix =
deployments is java platform. And it's free from mistery sig segv =
crashes we've seen on sparc solaris (x86 linux was ok).
As for quoting/replying issue... You've just stole my words :). Would =
you read carefully my questions and your answers?
10mlns per sec transaction issue. Well yes, it was a trick from my side =
to show you how easy to missinterpret the opponent's words. Exactly what =
you've done.
Once again Don't you really think I'm spending my time posting here to =
down quickfix??? If so, you are wrong! It was attempt to share thoughts =
and expirience. You didn't like it. That's ok. The truth is that I like =
quickfix initiative (why do you think I'm still reading mail list?).=20
My words were taugh, but I've figured out that this is the only approach =
then things get stagnating... I'm sorry about that.
----- Original Message -----=20
From: Oren Miller=20
To: Nick Evgeniev=20
Cc: qui...@li... ; =
qui...@li...=20
Sent: Saturday, October 28, 2006 8:54 PM
Subject: Re: [Quickfix-developers] [Quickfix-users] Quickfix for FIX =
5.0.....
No Nick. You bounded into the message board guns a blazin' attacking =
the project while thread-jacking a discussion of FIX 5.0 support, and =
then sleek into the role of the tempered rationalist when someone calls =
you on it. You then use the boring old trick of cherry picking the =
points you want to respond to and completely removing the others =
entirely. If I don't quote it it's like it never happened! I don't =
need to justify my statement and I can make the other person look =
foolish at the same time!
You're the guy that sucker punches someone then steps back and says =
"Whoa whoa, don't be so emotional, let's be rational about this." =
Classy. You didn't come here for a rational exchange, you came to take =
potshots.
If it's so easy, why you didn't take a couple days to adapt QuickFIX/J =
to your needs instead of writing a whole engine from scratch is rather =
curious. But that's your choice. If what you have works for you, =
that's great. QuickFIX isn't for everyone. You've made it very clear =
it's not for you. You're not the first nor the last that will take a =
pass on QuickFIX. Hopefully some day you will release your bounty unto =
the world.
For the record, the number of transactions was meant to be total, not =
per session. I make no claim of anyone processing 10,000,000 orders a =
second. No one does that many. The sentence was awkward and your =
interpretation is understandable, but was not the meaning I meant to =
convey. Most of the systems I refer to run these sessions in a single =
process. Point is that calling QuickFIX nothing more than a sandbox =
implementation is patently false.
--oren
On Oct 26, 2006, at 10:15 AM, Nick Evgeniev wrote:
Hi,
Thank you for such emotional answer I'll try to reply not to the =
emotions but facts
1. quickfix does implicit transaction management passing fix =
messages one-by-one (transaction completed if client didn't trhow an =
exception). obviously while serving the message I have to perform =
tranaction in the database. hence we have obvious (just for me?) =
limitation on messages per second throughput. Hey, ma! where is the =
batches??? Even jms api has nice contract -- message.confirm(); =
confirming all the previousmessages received so far.
Wrong. Wrong. Wrong. Not even wrong. You have somehow come under =
the impression that QuickFIX is a message queuing product. Let me be =
the first to dissuade you of that notion. You want a transactional =
message queue? Then stick the message in a transactional message queue. =
There are lots of products out there that do that, QuickFIX isn't one =
of them. Users who build high performance systems do not want the added =
over head of a transactional message queue just because you can't figure =
out how to piece the two together. Believe it or not, some who write =
high frequency trading systems have figured out how to do so without a =
message queue or a database. I'll leave you to figure out how.
You're missing the whole point. I'm not talking about storing =
messages in the database I'm talking about business transactions. They =
are about to happen somethere either in sync or async way, right? Hence =
the point was that quickfix doesn't make things easier in this way, =
because I have to use another abstraction to do batching. Please read it =
literally -- "I want to do batch insert at the end of the chain to =
insert 1000 orders in database at once". The only working solution with =
quickfix is to route it's messages somethere to perform async =
processing. Hence to use it not like queue but rather like transport =
adapter... You also pointed this out but in very inpolite manner. Such =
infrastructure involves a couple of rmi calls which also slows things =
down. It's always a good position to tell -- hey you're an idiot we've =
provided you a tool that is just a trasport! don't expect more. But may =
I ask you a question? Is architecture I'm describing would be harder to =
implement? Would it result bigger code? (I would not say for c++ but in =
java the code will be even simpler:)) As result you will have much more =
flexible product.
Organizations like Reuters, CME, Pipeline, optionsXpress and many =
others have built massive systems with QuickFIX which run hundreds of =
simultaneous sessions processing hundreds or thousands of messages per =
second. The fact that you can't only speaks to your incompetence. =
Please. Leave QuickFIX out of it.
100 * 100 * 1000 =3D=3D 10 000 000 optionsXpress is able to process =
10 millions orders per second? don't make my shoes laugh :)
Jumping on person is your style right? Is it because of lacking =
arguments? Do you know how many boxes do they use to handle it? Do you =
know why? because if you use fixengine just as transport you have to =
build/buy messaging infrastracture set several boxes to perform task =
that could be done just by one blade server... Sometimes you don't care =
about it sometimes you do.
2. Broken push message model implementation: thread in native =
code holding the lock while propagating message to java. get deadlock =
prone code as a bonus right? It's easy to fix but much better to have =
pull message model.
Broken is highly exaggerated and isn't born out in the field. =
Since you say it's easy to fix it is surprising you bring this up as a =
major issue and even more surprising you've not submitted a patch.
It was not a top issue it's just an annoying implementation detail. =
And I'm not a c++ developer. just java. sorry. But basicly all you need =
is not to hold monitor while calling java code, but use lock idiom -- =
flag checking under the mutex.
3. Never ending reset sequence fixes which are just never =
working right in all (valid) cases.
Most of the reset scenarios have been fixed. Almost nobody =
notices bugs here because almost nobody uses this functionality. One =
person who did, you, didn't do anything to help the situation. Not all =
scenarios have been implemented because no one is really demanding them. =
We went for years without any reset support and no one even noticed. =20
Everything is quite simple. Nobody warns me neither in documentation =
nor other way. Hey, dude! our reset sequence code is alpha qaulity use =
it on your own risk. It was kind of surprise to me.. and finally decison =
was made to get rid of quickfix because of the reason #1 not #3.
I'll tell you what's going on here Nick. You made some promises =
to deliver, you failed, and now QuickFIX is going to be the fall guy. =
It took you 6 months to figure out that QuickFIX didn't meet your needs? =
That's some evaluation, did someone pay for you to waste all that time?
Probably you do have god's number because you know things you're not =
supposed to know. would you send it to me? Yes I was paid because =
solution with qf was developed in about a month, most time of which were =
spent on integration issues. And it was working ok... But finally we =
decided to develop ourown implementation in pure java that is why I'm =
talking about six month...
QuickFIX is designed to meet the needs of thousands of users. It =
is designed to be portable, works with standard and broken =
implementation of the FIX protocol, integrates with any database, file =
storage, custom storage, custom and out of the box logging, has a web =
interface, documentation, tons of settings, is written in portable C++ =
that compiles under many compilers on many operating systems. It builds =
right out of the box and also comes in pre-built binaries for windows. =
It has APIs in C++, Java, .NET, Ruby and Python plus a full from scratch =
pure Java implementation. That's just for starters. It's been in =
production use for 5 years and has, let me just say, an astounding =
amount of production implementations by an even more astounding group of =
well respected financial companies. =
.
Probably this should be output to log on startup to prevent =
complains :)
So you can write an implementation in a single platform that meets =
your specific needs designed to fit into your exact architecture. Big =
deal hotshot.
java is supposed to work on many platforms :)... bigdeal?
I'm sorry to hear that your leaving, but Don't worry about us =
Nick. From now on everyone on the list will look to what someone once =
posted on this very list as our guiding inspiration.
"as for everything else -- just keep moving! quickfix rocks :)"
-- Nick Evgeniev (May 31, 2005)
I don't reclaim my words :)... Keep moving! change it to be more =
high performant, as changes are not as expensive :))
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