{{Quickfixn}} Quickfixn Digest, Vol 7, Issue 13

[Felipe Soares]

Inside my onmessage event i am raising an event. Át. This event i ask for marketdatarequest. Am o blocking qf while executing this event?

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Em 16/05/2012, às 19:15, quickfixn-request at lists.quickfixn.com escreveu:

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> Today's Topics:
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>   1.  Message Limits (Felipe Soares)
>   2. Re:  Message Limits (Mike Gatny)
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> Message: 1
> Date: Wed, 16 May 2012 16:48:19 -0300
> From: Felipe Soares <felipe.soares at traderdata.com.br>
> To: quickfixn at lists.quickfixn.com
> Subject: {{Quickfixn}} Message Limits
> Message-ID: <719684e7cfc8ceb654a1af218f9efee8 at mail.gmail.com>
> Content-Type: text/plain; charset="windows-1252"
> 
> Hi,
> 
> 
> 
> I am new to quickfix/n and having some doubts about it:
> 
> 
> 
> -          Message size limt, is there any size limit? For instance for
> sending securityDefinitiion should I send one by one? Or with a group?
> 
> -          After I receive all my securitites I send a message with
> MarketDataRequest for each symbol in a separate message.
> 
> 
> 
> For some reason my client hangs at some point?nothing happens after it
> hanged?I can?t get the session to heartbeat?.
> 
> 
> 
> I am sending something around 10000 requests each one in one message?.is
> this a problem?
> 
> 
> 
> Regards
> 
> Felipe
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> Message: 2
> Date: Wed, 16 May 2012 15:12:51 -0500
> From: Mike Gatny <mgatny at connamara.com>
> To: "Mailing list for QuickFIX/n" <quickfixn at lists.quickfixn.com>
> Subject: Re: {{Quickfixn}} Message Limits
> Message-ID:
>    <CAA1-azN-b=+XM2ywCVwrZBKqrpZKOjUpCxah4CcRrjhExb7Htw at mail.gmail.com>
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> On Wed, May 16, 2012 at 2:48 PM, Felipe Soares <
> felipe.soares at traderdata.com.br> wrote:
> 
>> Message size limt, is there any size limit? For instance for sending
>> securityDefinitiion should I send one by one? Or with a group?
>> 
> 
> 
>> After I receive all my securitites I send a message with
>> MarketDataRequest for each symbol in a separate message.
>> 
> 
> The standard FIX SecurityDefinitionRequest and MarketDataRequest messages
> allow you to request multiple symbols in one message (one per group).  Your
> counterparty may not use plain vanilla FIX messages/semantics, of course,
> so check their documentation.  From experience, I would say it is probably
> not practical to request 10000 symbols in one message (or on one Session).
>  I don't think there is any hard limit in qf/n that will stop you from
> trying, but even if you successfully subscribe to 10000 symbols, you are
> probably going to experience performance issues trying to handle that much
> data on one Session.  And naturally, the more heavily quoted/traded the
> symbols are, the more messages you will have, and hence more potential for
> performance problems.
> 
> Note that when you are handling a FIX message, i.e. during the
> fromApp()/onMessage() callbacks, you are on the qf/n thread and thus
> blocking qf/n from handling the next message.  So you want to return from
> fromApp()/onMessage() as quickly as possible so that qf/n can continue
> processing.  If you are doing a lot of work in fromApp()/onMessage() or
> making blocking calls there, consider queuing the work onto a separate
> thread so that you can return more quickly.  Also, if possible, consider
> setting up more than one Session with your counterparty so that you can
> split up the 10000 symbols across multiple Sessions (and thus maybe even
> multiple applications).  This way, you give yourself the ability to
> configure your way out of performance issues.  For example with this
> design, if you realize that a handful of symbols are the most heavily
> quoted/traded, you can move them to a separate Session, maybe even on a
> different server.
> 
> -- 
> Mike Gatny
> Connamara Systems, LLC
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> End of Quickfixn Digest, Vol 7, Issue 13
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