{{Quickfixn}} Quickfixn Digest, Vol 17, Issue 25

Mon Mar 25 07:49:47 PDT 2013

Regarding the iLink certification issue, is there any way to configure QuickFIX/n to send resend requests synchronously, i.e., send one resend request for MaxMessagesInResendRequest messages, wait for a response before sending any more resend requests, and then respond with another resend request for the next block of messages if needed? It seems this is what the CME requires when a gap exists that is greater than the maximum of 2500 messages the CME will resend at a time.

PAUL RASKIN
Senior Application Developer 
praskin at rjobrien.com
d (312) 373-4853   //   m (765) 720-3604 
RJO 'Brien
222 South Riverside Plaza, Suite 900
Chicago, IL 60606
www.rjobrien.com 

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Subject: Quickfixn Digest, Vol 17, Issue 25

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Today's Topics:

   1.  iLink Certificaton Using QuickFIX/n 1.4 (Paul Raskin)
   2.  FIX 5.0 Repeating group issue? Perhaps fixed in 1.4?
      (Andrew Culross)

----------------------------------------------------------------------

Message: 1
Date: Fri, 22 Mar 2013 11:05:58 -0500
From: Paul Raskin <PRaskin at rjobrien.com>
To: "quickfixn at lists.quickfixn.com" <quickfixn at lists.quickfixn.com>
Subject: {{Quickfixn}} iLink Certificaton Using QuickFIX/n 1.4
Message-ID:
	<291EEF60ADFB69489CE84302999E1BAD0C2E970D at RCHIEXB310.rjobrien.com>
Content-Type: text/plain; charset="us-ascii"

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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Message: 2
Date: Fri, 22 Mar 2013 17:43:13 +0000
From: Andrew Culross <Andrew.Culross at TwoFour.com>
To: "quickfixn at lists.quickfixn.com" <quickfixn at lists.quickfixn.com>
Subject: {{Quickfixn}} FIX 5.0 Repeating group issue? Perhaps fixed in
	1.4?
Message-ID:
	<0F9A73C28EDED040868FE0AA681AADC315F0E31D at CH1PRD0611MB407.namprd06.prod.outlook.com>

Content-Type: text/plain; charset="us-ascii"

Using a datadictionary, but not v1.4 of QuickFixn - is this a known bug? Or is something wrong with the message that I don't see. It's a trade capture report coming from Reuters and QuickFix/n sends the 35.3 immediately afterwords

20130322-15:44:59.331 : 8=FIXT.1.19=51235=AE34=31128=849=RTNSFIXUAT56=INTLFCSTONEUAT52=20130322-15:44:59552=154=137=Z00097H4OL11=NOREF826=078=179=NOT SPECIFIED80=10000.0000005967=12993.270000

453=5 448=BCART6 452=3 447=D 448=BARX 452=1 447=D 448=BARX 452=16 447=D 448=bcart6 452=11 447=D 448=Barclays Capital 452=12 447=D

571=6611211150=F17=Z00097H4OL32=10000.00000038=10000.00000015=EUR1056=12993.27000031=1.2993265194=1.299250195=0.765064=2013040263=W160=20130322-15:44:5975=201303221057=Y460=4167=FOR65=OR55=EUR/USD10=061

20130322-15:44:59.628 : 8=FIXT.1.19=12435=334=349=INTLFCSTONEUAT52=20130322-15:44:59.62856=RTNSFIXUAT45=358=Tag appears more than once371=448372=AE373=1310=210

Andrew Culross
TwoFour
10 Bank Street
White Plains, NY 10601
Direct +1 (914) 220-8849
Main   +1 (914) 220-8800
Fax      +1 (914) 220-8899
www.TwoFour.com<http://www.twofour.com/>
http://www.twofour.US.com/emaildisclaimer.aspx<http://www.twofour.us.com/emaildisclaimer.aspx>

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