{{Quickfixn}} MiFID II and Microseconds

Wed Mar 8 02:22:29 PST 2017

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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