QuickFix/N sending error message before getting to crack
I don't see field 64 mentioned in the definition of MarketData SnapShot full refresh message for FIX4.4. Not just that, it appears more than once in the reply from the "established" API. Field 64 is the field for Settlement Date... It may be that the counterparty is sending more data...
What are the available open source acceptors for quickfix? [closed]
QuickfixJ comes with an example called OrderMatcher. It is a simple order matching engine that accepts orders and generated ER when matches occurs.
sample new order list quick fix
I am Working on the supplied information - a large part of this answer is dependent upon why you want to do this. Are you on the buy side or the sell side? If you are on the buy side, does your counterparty support NewOrderList (NOL)? If so the rules...
Adding custom field in QuickFIX/C++ (FIX50SP2.xml)
The problem is with a few print statements in GeneratorCPP.rb. Replacing them with puts fixes the problem. See http://sourceforge.net/p/quickfix/mailman/message/32256133/ for details.
quickfixj logs have no newlines for windows notepad
Don't use Notepad. I don't mean that to be a flippant answer, but as a fellow developer I'm sure you know that there are dozens of other text editors out there, and all of them are better than Notepad. This won't be the last time you open a file that...
Is it possible to change cast of an object dynamically?
You have some options: dynamic You can use dynamic keyword to make "duck typing": dynamic order= newOrderSingle; order.Set(new Price(limitPrice)); Unfortunately, you loose intellisense and will get RuntimeBinderException when order has not such a method (is of type FIX42 f.e.). GenericInvoker You can use my library: newOrderSingle.DetermineType() .When((QuickFix.FIX42 msg) => msg.Set(/*...
Can we connect initiator to alternate FIX acceptor if existing acceptor failed?
You can do it. It is mentioned in the config section of Quickfix/J This is the entriy you need to do for the initiator for failing over to another host. Put that in your initiator config file. SocketConnectHost Alternate socket hosts for connecting to a session for failover, where n...
Quickfix crack() throws Field not found exception for field 35
I finally found the source of the problem. I had installed quickfix from source code and it seems that in newer versions of quickfix (1.14.0 and latest) something changed in DataDictionaryProvadider.h related with shared pointers and it seems that it was the cause of the problem. When I installed quickfix...
memory mapping files for high frequency trading?
ipc,mmap,quickfix,fix,memory-mapping
Memory mapping is really fast and it gives you an area that bot processes can access. The problem that arises is: How do the processes know that data has changed? You could add a kind of version number that increases as data changes, but with all additional locking across processes...
QuickFix/N reset
Because of this: StartTime=00:00:00 EndTime=00:00:00 You have a daily session that resets seq at midnight. Do you want a weeklong session? Set StartDay/EndDay....
quickFix - sending XML message for Fix 4.4 failing validation
It looks like the standard data dictionaries for FIX 4.4 in QuickFIX don't contain message type n (msgtype="n"), you will have to add the message type yourself. Incidentally I have never seen XMLnonFIX messages before so had to look it up first!
SocketInitiator getSession give session not at the same order as in the config file
java,session,quickfix,fix,quickfixj
It is normal behavior that the sessions are not ordered as the SessionID->Sessions are stored in a HashMap and converted to a List on the getSessions() method. from SessionConnector (superclass of SocketInitiator) public ArrayList<SessionID> getSessions() { return new ArrayList<SessionID>(sessions.keySet()); } (As a reminder, a HashMap doesn't guarantee order of the...
capturing incoming FIX messages which fail QuickFix validation
Validation via XML spec file is in session level processing. So, there is not suitable hook for this. On the other hand, there are some configuration parameters; UseDataDictionary : eliminates validation ValidateUserDefinedFields : eliminates user defined field's validation look for detailed descriptions edit: If your real problem is monitoring rejections,...
Getting Session Properties (Username and Password) for QuickFix/n
You are on the right track with String username = sessionSettings.getString(sessionId, "Username");, but the method call in QuickFIX/n is slightly different. The call is more like sessionSettings.Get(sessionId).GetString("Username");. See this example: var configuration = new System.Text.StringBuilder().AppendLine("[ DEFAULT ]") .AppendLine("ConnectionType=initiator") .AppendLine("[SESSION]") .AppendLine("BeginString=FIX.4.4") .AppendLine("SenderCompID=Sender") .AppendLine("TargetCompID=Target") .AppendLine("Username=Gandalf")...
QuickFix/N how best to deal with multiple FIX versions
The problem is that is that FIX message types from different versions don't have any relationship except for their base class - at the lowest level, all FIX messages derive from Message. You need to take the information you need from a message, package it in such a way that...
QuickFIX/J mixing two different versions
One way to do this is to customize the Data Dictionary FIX4.4.xml and replace the fields in it that can sometimes be in FIX 5.0 format. Eg by copying them from FIX5.0.xml and placing them in the proper messages in FIX4.4.xml. From the QuickFIX/J user manual: The simplest customization is...
Using external packages Java
Just the way you tell C++ comipler about your LIBPATH, there is a way to tell java compiler about the library path called as classpath in java jargon. So you add classpath option as mentioned here javac -cp "pathtoquickfixjar" file.java ...
Implementing a FIX client through QuickFixJ throws NoSuchMethodError
Importing the second example as-is instead of trying to implement into my own Eclipse project worked. The problem appears to have been caused by using an incorrect import from the quickfix-all jar causing the wrong method to be called during start up.
Can't set value for field “Symbol” with message type “MarketDataRequest”
The "Symbol" field is not a top-level field in MarketDataRequest. It's in the repeating group that starts with tag 146 "NoRelatedSym". A MarketDataRequest can contain multiple symbols, and repeating groups are the mechanism which enables this. Please read the QF doc page about repeating groups....
quickfix.Message cannot be cast to quickfix.fix50sp2.Message
When the begin string is FIXT.1.1 quickfix will treat the message as FIX50 with the DefaultMessageFactory. So it will automatically generate a FIX.5.0 message. The resolution is to write your own custom message factory to generate a SP2 message when the transport is FIXT.1.1. Here's how I did it. Write...