{{Quickfixn}} Quickfixn Digest, Vol 63, Issue 4
Mihkel Tali
mihkeltali at gmail.com
Wed Jan 25 00:17:25 PST 2017
Hi Kunal,
To get a TradeCaptureReport you must first send a
TradeCaptureReportRequest, which is message type AD.
What you did was resend all the messages with sequence no 1-20, which if
you look at the sequence no tag (34), you don't have that many. Why you got
the reject was that in the data dictionary file FIX4.4 you have the tag
55(symbol) set as a required tag for these messages. From that file you can
alter which tags are necessary in which messages (on your side) and which
tags the application recognizes when sent or sending. And when you have a
tag missing or in some cases of rejection, your side will automatically log
out.
I would suggest you first contact your broker, most brokers (at least the
ones i have worked with) have FIX specification sheets, where they bring
out which messages they support, what they expect in different kinds of
messages (i.e. which tags have to be there, which are optional etc.), what
kind of data they send back in messages and so on. Getting familiar with
that will help you better understand which messages you should send for
what data. Also you can check out
http://www.onixs.biz/fix-dictionary/4.4/fields_by_tag.html which is
basically a FIX dictionary made easy, there you can check out which tag
number corresponds to which tag, you can search for messagetypes, fields
and so on very easily.
Still my first suggestion is contacting the broker, because when you don't
know which tags they need you will be basically shooting in the dark, as if
you have at least one tag off in the message, you won't get the report
back, but a rejection. And according to what your broker tells you, you
should change the FIX4.4 file on your end.
Hope this helps, don't hesitate to ask more.
All the best,
Mihkel
On Wed, Jan 25, 2017 at 1:20 AM <quickfixn-request at lists.quickfixn.com>
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> 1. New to QuickFix - test app is sending messages by itself (?)
> (Kunal CHANGELA)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Tue, 24 Jan 2017 23:20:25 +0000
> From: Kunal CHANGELA <kunal.changela at us.bnpparibas.com>
> To: "quickfixn at lists.quickfixn.com" <quickfixn at lists.quickfixn.com>
> Subject: {{Quickfixn}} New to QuickFix - test app is sending messages
> by itself (?)
> Message-ID:
>
> <401956A21A701F45BCE80AAB83CAFF240159334C0C at NYCS00072005.mercury.intra>
>
> Content-Type: text/plain; charset="utf-8"
>
> Hi,
>
> I am trying to get a stream of TradeCaptureReport messages from FINRA via
> fix.
> I was under the impression that as soon as I connect I should start
> receiving the messages – I do not.
>
> I have generic handlers for Admin messages that print to console the
> function name and IN/OUT and the message.
>
> I see:
> FromAdmin IN:
> 8=FIX.4.4☺9=61☺35=0☺34=6☺49=FNRA☺50=CA☺52=20170124-19:56:06☺56=____☺57=____☺10=052☺
> ToAdmin OUT:
> 8=FIX.4.4☺9=65☺35=0☺34=6☺49=____☺50=____☺52=20170124-19:56:07.209☺56=FNRA☺57=CA☺10=002☺
>
> This is good because it is a heartbeat. Prior to this I got the logon with
> session id: OnLogon(SessionID): FIX.4.4:____/____->FNRA/CA
> I am also calling Crack on message received in FromApp and have crack
> handlers for TradeCaptureReport which is what I want to handle.
> But after initiating the connection I only get Admin messages in and out;
> the admin messages seem like a heartbeat.
> Nothing else…..
>
> Do I have to do something after making the call to start the initiator?
>
> So I thought to try and send a resendrequest message.
> It seems that when I send out the resend request as a simple
> FIX44.ResendRequest with starting id 1 and end 20 I get:
>
> MyMsg==>ToAdmin OUT: 8=FIX.4.4 9=75 35=2 34=3
> 49=____ 50=____ 52=20170124-22:31:16.768
> 56=FNRA 57=CA 7=1 16=20 10=172
> ToAdmin OUT: 8=FIX.4.4 9=114 35=3 34=4 49=____
> 50=____ 52=20170124-22:31:17.688
> 56=FNRA 57=CA 45=2 58=Required tag missing
> 371=55 372=AE 373=1 10=023
> ToAdmin OUT: 8=FIX.4.4 9=114 35=3 34=5 49=____
> 50=____ 52=20170124-22:31:18.049
> 56=FNRA 57=CA 45=3 58=Required tag missing
> 371=55 372=AE 373=1 10=017
> ToAdmin OUT: 8=FIX.4.4 9=74 35=1 34=6
> 49=____ 50=____ 52=20170124-22:31:45.471
> 56=FNRA 57=CA 112=TEST 10=011
> ToAdmin OUT: 8=FIX.4.4 9=114 35=5 34=7 49=____
> 50=____ 52=20170124-22:32:15.956
> 56=FNRA 57=CA 58=MsgSeqNum too low, expecting 4 but received
> 3 10=202
> OnLogout(SessionID): FIX.4.4: ____/____->FNRA/CA
>
> Not sure where the other 4 messages are getting generated from?
> Why the second two that are generated have “58=Required tag missing�
> It seems to refer to 371=55 but there is no product to specify ….i want
> all the messages sent by that sender, FNRA/CA.
> And then why is there a logout?
>
> The session reconnects, trys the login again and again I start getting
> hearbeats.
>
> This might be a very basic question but I would appreciate any assistance
> on this.
> Also, if you would know of any tools that would assist in working with FIX
> a point to those would be appreciated.
>
> Thanks,
> [CIB_BM_Sign_E_Q]
>
> Kunal Changela
> Credit Risk and PnL Development
>
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