{{Quickfixn}} needs help

[Joby Joseph]

Hi All,

 

We have the following setup:

 

Orders sit in our own proprietary database. We have a Windows Service that
creates a QuickFIX Initiator. The service reads the orders from the database
and sends them out using QuickFIX. We use the file message store. 

 

Basically, the sequence is as follows:

 

1.    Order is put in database. Status is set to Pending Submit.

2.    Order is sent using QuickFIX. Status is updated to Submitted.

3.    QuickFIX receives ACK from counter-party. Status is updated to Open.

 

We are wondering how to handle the following test scenario:

 

1.    FIX session is configured to be active from 10 AM to 4 PM.

2.    Counterparty goes down at 3:58 and does not come back up till after 4
PM.

3.    Order is put in database at 3:59 PM. Status is set to Pending Submit.

4.    Order is sent using QuickFIX (it is put in the message store but is
not actually sent because there is no counterparty.) Status becomes
Submitted.

5.    FIX session ends at 4 PM. All messages in the message store are
discarded.

6.    The next day at 10 AM, the FIX session is reset and becomes active
once again. 

 

So now we have an order in our database with a Submitted status, but no
corresponding FIX message.

 

What we would like to do is, on a session end (when the messages in the
store are discarded.), remove all orders with Submitted status from our
database.

 

The question we have is: what is the best way and place to do that? There
does not seem to be a hook into session reset or session start.

 

We welcome comments on our overall approach.

 

Thanks

Joby Joseph

 

 

            

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