{{Quickfixn}} iLink Certificaton Using QuickFIX/n 1.4

[Paul Raskin]

We are using QuickFIX/n version 1.4.0 as part of a CME Globex adapter and we have run into a problem with iLink AutoCert+ certification that specifically relates to the CME's expected behavior and differing behavior of QuickFIX/n. The certification test we are failing is "Processing Message Gaps of More than 2500 Messages." Has anyone else had a problem with this test while using QF/n, or has anyone passed this certification test using 1.4.0?

The basic steps are:

1.       The CME sends a message with a sequence number more than 5000 greater than the previous message they sent

2.       The CME expects us to send Resend Request messages (plural, sort of) to get the missing messages

3.       The CME sends a Sequence Reset with Gap Fill

4.       The CME and we heartbeat with the sequence numbers back in sync

The problem is that, since the CME limits Resend Requests to a maximum of 2500 messages at a time (so we have this in our session config: MaxMessagesInResendRequest=2500), QuickFIX/n generates and sends several Resend Reqeusts to get missing messages and the CME rejects all but the first Resend Request for "Error. Received new Resend Request while already processing a Resend Request." It seems the CME is expecting us to send one and only one Resend Request and wait for and process a response to that request before we send any further Resend Requests.

This is an example of what happens:

CME sends seq. no. 151669:
8=FIX.4.2|9=103|35=1|34=151669|369=815|52=20130322-15:57:01.873|49=CME|50=G|56=RJO|57=00X|143=US,IL|112=IDhee8dg9d|10=176|

8=FIX.4.2|9=103|35=0|34=816|49=RJO|50=00X|52=20130322-15:56:59.889|56=CME|57=G|142=US,IL|369=151669|112=IDhee8dg9d|10=194|

8=FIX.4.2|9=88|35=0|34=817|49=RJO|50=00X|52=20130322-15:57:29.891|56=CME|57=G|142=US,IL|369=151669|10=101|

CME sends seq. no. 156870:
8=FIX.4.2|9=88|35=0|34=156870|369=817|52=20130322-15:57:32.877|49=CME|50=G|56=RJO|57=00X|143=US,IL|10=099|

RJO sends three resend requests in a row:
8=FIX.4.2|9=107|35=2|34=818|49=RJO|50=00X|52=20130322-15:57:30.892|56=CME|57=G|142=US,IL|369=151669|7=151670|16=154169|10=017|

8=FIX.4.2|9=107|35=2|34=819|49=RJO|50=00X|52=20130322-15:57:30.892|56=CME|57=G|142=US,IL|369=151669|7=154170|16=156669|10=023|

8=FIX.4.2|9=107|35=2|34=820|49=RJO|50=00X|52=20130322-15:57:30.892|56=CME|57=G|142=US,IL|369=151669|7=156670|16=156869|10=024|

CME responds to the first resend request to gap fill and catch up all the way to 156871:
8=FIX.4.2|9=135|35=4|34=151670|369=820|52=20130322-15:57:37.004|43=Y|49=CME|50=G|56=RJO|57=00X|122=20130322-15:57:37.004|143=US,IL|36=156871|123=Y|10=131|

CME rejects the second and third resend requests:
8=FIX.4.2|9=176|35=3|34=156871|369=820|52=20130322-15:57:32.900|49=CME|50=G|56=RJO|57=00X|143=US,IL|45=819|58=Error. Received new Resend Request while already processing a Resend Request.|10=186|

8=FIX.4.2|9=176|35=3|34=156872|369=820|52=20130322-15:57:32.907|49=CME|50=G|56=RJO|57=00X|143=US,IL|45=820|58=Error. Received new Resend Request while already processing a Resend Request.|10=186|

PAUL RASKIN
Senior Application Developer

praskin at rjobrien.com
<mailto:praskin at rjobrien.com>d (312) 373-4853   //   m (765) 720-3604

[cid:image001.gif at 01CE26E1.ECF02020]<http://www.rjobrien.com/>[cid:image002.gif at 01CE26E1.ECF02020]RJO 'Brien
222 South Riverside Plaza, Suite 900
Chicago, IL 60606
www.rjobrien.com<http://rjobrien.com>



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