Menu
▾
▴
Re: [Quickfixj-users] acceptor
|
From: Robert B. <rbr...@me...> - 2008-02-04 17:16:26
|
Thanks for the quick and thorough reply Steve! The other problem I
encountered is we're using Java 1.4.2...but I think I can convince them
to upgrade to Java 5 for the FIX servers at least. Domino effect!
Intervening on the source code is slightly problematic for upgrades for
us because we're also using an extended FIX42.xml data dictionary file
as well (which already requires me to unjar the 42 library and replace
the data dictionary with our extended version and then re-jar it)...
that contains the following two additional entries for liquidity for
Nasdaq and DirectEdge who unfortunately use the same custom liquidity
tag and for ARCA:
<field number="9882" name="INETLiquidity" type="CHAR">
<value enum="A"
description="(INET)ADDED(EDGA-EDGX)EXECUTION_ADDED_LIQUIDITY_TO_INET_BOO
K_(TAPE_A-B-C)"/>
<value enum="B"
description="(EDGA-EDGX)EXECUTION_ADDED_LIQUIDITY_(TAPE_B)"/>
<value enum="C" description="(INET)CLOSING_CROSS_BILLABLE"/>
<value enum="D"
description="(INET)DOT(EDGA-EDGX)LISTED_ROUTE_REMOVING_LIQUIDITY_FROM_NY
SE_DOT_(TAPE_A)"/>
<value enum="E"
description="(EDGA-EDGX)INTERNAL_MATCH_(TAPE_A-B-C_ADD_AND_REMOVE_MMIDS_
ARE_THE_SAME)"/>
<value enum="F"
description="(INET)ADDED_OR_OPENING_TRADE_(ON_NYSE)(EDGA-EDGX)LISTED_ROU
TE_ADDING_LIQUIDITY_TO_NYSE_DOT_(TAPE_A)"/>
<value enum="G"
description="(INET)ODD_LOT_OR_ON-CLOSE_ORDER_(ON_NYSE)"/>
<value enum="H"
description="(INET)HALT_IPO_CROSS_BILLABLE(EDGA-EDGX)EXECUTION_ADDED_LIQ
UIDITY_FROM_HIDDEN_ORDER_(TAPE_A-B-C_EDGA_ONLY)"/>
<value enum="I"
description="(INET)INTRADAY_POST-MARKET_CROSS(EDGA-EDGX)ROUTE_TO_NYSE-AR
CA_AMEX_OR_REGIONALS_(TAPE_A-B)"/>
<value enum="J" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="K" description="(INET)HALT_IPO_CROSS_NON-BILLABLE"/>
<value enum="L"
description="(INET)CLOSING_CROSS_NON-BILLABLE(EDGA-EDGX)ODD_LOT_ROUTE_TO
_NYSE-ARCA_(TAPE_A-B)"/>
<value enum="M" description="(INET)OPEN_CROSS_NON-BILLABLE"/>
<value enum="N"
description="(EDGA-EDGX)EXECUTION_REMOVED_LIQUIDITY_(TAPE_B-C)"/>
<value enum="O"
description="(INET)OPEN_CROSS_BILLABLE(EDGA-EDGX)ROUTED_TO_THE_NASDAQ_OP
ENING_CROSS_(TAPE_C)"/>
<value enum="P"
description="(EDGA-EDGX)ROUTE_TO_NYSE-ARCA_(TAPE_C)"/>
<value enum="Q"
description="(EDGA-EDGX)ROUTE_TO_EXTERNAL_VENUE_(TAPE_A)"/>
<value enum="R"
description="(INET)REMOVED(EDGA-EDGX)LISTED_ROUTE_REROUTING_VIA_NYSE_DOT
_(TAPE_A)"/>
<value enum="S"
description="(EDGA-EDGX)EXECUTION_FOR_AN_ISO_ORDER_ROUTED_EXTERNALLY_AS_
ISO_(TAPE_A-B-C)"/>
<value enum="T" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="U" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="V"
description="(EDGA-EDGX)EXECUTION_ADDED_LIQUIDITY_(TAPE_A)"/>
<value enum="W"
description="(EDGA-EDGX)EXECUTION_REMOVED_LIQUIDITY_(TAPE_A)"/>
<value enum="X"
description="(INET)ROUTED(EDGA-EDGX)ROUTE_TO_EXTERNAL_VENUE_(TAPE_B-C)"/
>
<value enum="Y"
description="(INET)RE-ROUTED_BY_NYSE(EDGA-EDGX)EXECUTION_ADDED_LIQUIDITY
_(TAPE_C)"/>
<value enum="Z"
description="(EDGA-EDGX)ROUTE_TO_AN_IOI_DESTINATION_(TAPE_A-B-C_ROUZ_EXE
CBROKER_ONLY)"/>
<value enum="0" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="1" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="2" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="3" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="4" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="5" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="6" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="7" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="8" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="9" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
</field>
<field number="9730" name="ARCALiquidity" type="CHAR">
<value enum="A" description="ADDING"/>
<value enum="B" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="C" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="D" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="E" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="F" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="G" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="H" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="I" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="J" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="K" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="L" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="M" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="N" description="NYSE_ROUTED"/>
<value enum="O" description="AT_THE_OPENING_(OPENING_AUCTION)"/>
<value enum="P" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="Q" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="R" description="REMOVING"/>
<value enum="S" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="T" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="U" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="V" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="W" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="X" description="ROUTED_AWAY"/>
<value enum="Y" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="Z" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="0" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="1" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="2" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="3" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="4" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="5" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="6" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="7" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="8" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
<value enum="9" description="UNKNOWN_VALUE_NOT_IN_SPEC"/>
</field>
I put in all the UNKNOWN_VALUE entries in there because the destinations
like to throw in new values all of the time, causing messages to reject.
I'm surprised the FIX spec doesn't have anything for liquidity like this
by default to unify this instead of every single destination coming up
with custom tags. Oh well.
I tried adding the above to the FIX42.xml file and then running the jar
ant target in the 1.3.1 source download and that kept failing on the
creation of these tags as Java classes because I guess characters in my
description attribute for each value (which are all XML-compliant
characters) are causing the jalopy libraries to fail.
Fun times! BTW, the fields above are direct from Nasdaq, DirectEdge and
ARCAs actual specifications with exact descriptions pulled from their
APIs...I couldn't think of a more elegant approach to the dually-used
9882 tag by both INET and DirectEdge...in case anyone is interested in
using them and are concerned as to their validity.
Thanks again for all your help!
robert l. brueckmann
vice president
merlin securities
712 fifth avenue
new york, ny 10019
p: 212.822.4821
f: 212.822.4820
Merlin Securities - #1 Prime Broker North America and #1 Prime Broker Single Strategy Funds - Global Custodian 2007
#1 Prime Broker for Hedge Funds under $1 Billion - Alpha Survey 2007
From: qui...@li...
[mailto:qui...@li...] On Behalf Of
Steve Bate
Sent: Monday, February 04, 2008 10:45 AM
To: qui...@li...
Subject: Re: [Quickfixj-users] acceptor
QuickFIX/J Documentation: http://www.quickfixj.org/documentation/
QuickFIX/J Support: http://www.quickfixj.org/support/
> The issue is we're using an oracle database and with an acceptor
you're
> not allowed to use a session qualifier for whatever reason and I'm
> guessing somehow the initial creation of the session entry works but
any
> subsequent update to the table fails because the session qualifier is
> null. I haven't looked into the code but I remember that JDBC logging
> against an Oracle db is a problem if you don't provide a session
> qualifier.
Hello Robert,
This problem is only indirectly related to session qualifiers. The root
problem is that Oracle treats empty strings as SQL nulls. The SessionID
uses empty strings rather than Java nulls for unset values. My guess is
this was done in QF to avoid this very problem of attempting to put SQL
nulls into nonnullable primary key columns. However, Oracle's behavior
breaks that approach.
One way to fix the Oracle problem is to provide a different default
value for unset SessionID properties. I'd recommend doing this in the
JdbcStore immediately before performing SQL operations. Therefore, it
would be an option on the JdbcStore (something like
"JdbcStoreSessionIdPropertyDefault"). You could then create a setting
like
JdbcStoreSessionidPropertyDefault=N/A
and the string "N/A" would be written to the database instead of
an empty string. If you are using 1.3.1 and need this in a hurry,
this would be an easy modification to the
JdbcUtil.setSessionIdParameters()
method.
In the meantime, I've added a Jira issue (QFJ-295) to add this
capability
into the next release.
> ... get an explanation as to why session qualifiers don't work
> for acceptors?
This is really a separate issue, but session qualifiers are a
hack for initiators that must communicate with nonstandard
counterparties
who use the same session ID for multiple sessions (rare). This works on
the initiator side because the initiating application specifies the
specific
session when sending a message and received messages arrive on a socket
that is bound to the qualifier session. It doesn't work for an acceptor.
There
is no standard way for a counterparty to send a session qualifier to
an acceptor. When the acceptor receives a message it would have no way
to know which "qualified" session to dispatch it to.
Regards,
Steve
------------------------------------------------------------------------
-
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2008.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
_______________________________________________
Quickfixj-users mailing list
Qui...@li...
https://lists.sourceforge.net/lists/listinfo/quickfixj-users
--------------------------------------------------------
This message contains information from Merlin Securities, LLC, or from one of its affiliates, that may be confidential and privileged. If you are not an intended recipient, please refrain from any disclosure, copying, distribution or use of this information and note that such actions are prohibited. If you have received this transmission in error, please notify the sender immediately by telephone or by replying to this transmission.
Merlin Securities, LLC is a registered broker-dealer. Services offered through Merlin Securities, LLC are not insured by the FDIC or any other Federal Government Agency, are not deposits of or guaranteed by Merlin Securities, LLC and may lose value. Nothing in this communication shall constitute a solicitation or recommendation to buy or sell a particular security.
|
